Edgar Filing: Nuveen Multi-Strategy Income & Growth Fund

nvq

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21293

Nuveen Multi-Strategy Income & 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: 3/31/2007

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

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

TABLE OF CONTENTS


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

Item 1. Schedule of Investments

Portfolio of Investments (Unaudited)

Nuveen Preferred and Convertible Income Fund (JPC)
(Currently known as Nuveen Multi-Strategy Income & Growth Fund)
March 31, 2007


Shares		Description (1)	Value


		Common Stocks – 10.2% (6.8% of Total Investments)

		Aerospace & Defense – 0.3%

	18,560	Boeing Company	$	1,650,170
	18,126	Lockheed Martin Corporation		1,758,585
	23,190	Orbital Sciences Corporation, (2)		434,581

		Total Aerospace & Defense		3,843,336


		Air Freight & Logistics – 0.1%

	8,792	FedEx Corporation		944,525


		Beverages – 0.1%

	24,840	Coca-Cola Company		1,192,320


		Biotechnology – 0.1%

	14,420	Biogen Idec Inc., (2)		639,960
	19,383	Genentech, Inc., (2)		1,591,732

		Total Biotechnology		2,231,692


		Capital Markets – 0.3%

	1,810	BlackRock Inc.		282,921
	48,090	JPMorgan Chase & Co.		2,326,594
	4,620	Marketaxess, (2)		77,339
	14,310	Morgan Stanley		1,127,056

		Total Capital Markets		3,813,910


		Chemicals – 0.3%

	12,360	Air Products & Chemicals Inc.		914,146
	17,720	Airgas, Inc.		746,898
	19,400	Ashland Inc.		1,272,640
	5,230	CF Industries Holdings, Inc.		201,617
	6,990	Sparetech Corporation		205,087
	11,590	Terra Industries, Inc., (2)		202,825

		Total Chemicals		3,543,213


		Commercial Banks – 0.3%

	2,180	Affiliated Managers Group Inc., (2)		236,203
	14,160	Colonial BancGroup Inc.		350,460
	5,170	Comerica Incorporated		305,650
	6,904	Greater Bay Bancorp.		185,649
	18,540	Mellon Financial Corporation		799,816
	9,270	Northern Trust Corporation		557,498
	30,440	PNC Financial Services Group, Inc.		2,190,767
	4,520	Umpqua Holdings Corporation		121,000

		Total Commercial Banks		4,747,043


		Commercial Services & Supplies – 0.4%

	1,930	Administaff, Inc.		67,936
	2,976	Consolidated Graphics Inc., (2)		220,373
	29,990	Corrections Corporation of America, (2)		1,583,772
	9,870	ITT Educational Services, Inc., (2)		804,306
	9,010	Republic Services, Inc.		250,658
	30,560	SEI Investments Company		1,840,629
	14,750	Steelcase Inc.		293,378

		Total Commercial Services & Supplies		5,061,052


		Communications Equipment – 0.2%

	81,110	Corning Incorporated, (2)		1,844,441
	3,433	Harris Corporation		174,911
	9,350	Polycom Inc., (2)		311,636
	23,360	QUALCOMM Inc.		996,538

		Total Communications Equipment		3,327,526


		Computers & Peripherals – 0.4%

	17,921	Apple, Inc., (2)		1,665,040
	37,090	Hewlett-Packard Company		1,488,793
	11,460	Lexmark International, Inc., Class A, (2)		669,952
	6,400	NCR Corporation, (2)		305,728
	35,623	Network Appliance, Inc., (2)		1,300,952
	7,270	Novatel Wireless, (2)		116,611

		Total Computers & Peripherals		5,547,076


		Construction Materials – 0.0%

	1,540	Texas Industries Inc.		116,316


		Consumer Finance – 0.1%

	12,770	Capital One Financial Corporation		963,624
	3,490	MasterCard, Inc.		370,778

		Total Consumer Finance		1,334,402


		Diversified Consumer Services – 0.0%

	8,880	INVESTools, Inc., (2)		123,432
	9,959	Jackson Hewitt Tax Services Inc.		320,481

		Total Diversified Consumer Services		443,913


		Diversified Financial Services – 0.0%

	1,620	Eaton Vance Corporation		57,737
	9,390	State Street Corporation		608,003

		Total Diversified Financial Services		665,740


		Diversified Telecommunication Services – 0.2%

	14,940	Alltel Corporation		926,280
	24,730	AT&T Inc.		975,104
	4,660	Cbeyond Inc., (2)		136,678
	5,320	CT Communications, Inc.		128,212
	13,850	Sprint Nextel Corporation		262,596

		Total Diversified Telecommunication Services		2,428,870


		Electric Utilities – 0.3%

	8,000	El Paso Electric Company, (2)		210,800
	10,420	Great Plains Energy Incorporated		338,129
	12,360	OGE Energy Corp.		479,568
	34,000	PG&E Corporation		1,641,180
	3,940	Pike Electric Corporation, (2)		71,235
	14,480	Progress Energy, Inc.		730,371
	42,350	Reliant Energy Inc., (2)		860,552
	15,770	Xcel Energy, Inc.		389,361

		Total Electric Utilities		4,721,196


		Electrical Equipment – 0.2%

	2,390	Acuity Brands Inc.		130,112
	61,220	Emerson Electric Co.		2,637,970

		Total Electrical Equipment		2,768,082


		Electronic Equipment & Instruments – 0.5%

	1,310	American Science & Engineering Inc., (2)		68,998
	4,504	Itron Inc., (2)		292,940
	52,390	MEMC Electronic Materials, (2)		3,173,786
	2,730	Mettler-Toledo International Inc., (2)		244,526
	5,457	Teledyne Technologies Inc., (2)		204,310
	44,750	Thermo Fisher Scientific, Inc., (2)		2,092,063
	15,454	Waters Corporation, (2)		896,332

		Total Electronic Equipment & Instruments		6,972,955


		Energy Equipment & Services – 0.3%

	6,860	Matrix Service Company, (2)		138,778
	28,680	National-Oilwell Varco Inc., (2)		2,231,017
	6,630	Oceaneering International Inc., (2)		279,256
	20,980	Tidewater Inc.		1,229,008

		Total Energy Equipment & Services		3,878,059


		Food & Staples Retailing – 0.1%

	36,060	Safeway Inc.		1,321,238
	12,710	Whole Foods Market, Inc.		570,044

		Total Food & Staples Retailing		1,891,282


		Food Products – 0.3%

	33,040	Campbell Soup Company		1,286,908
	78,860	ConAgra Foods, Inc.		1,964,403
	7,460	Flowers Foods Inc.		225,068
	13,910	H.J. Heinz Company		655,439
	12,880	McCormick & Company, Incorporated		496,138

		Total Food Products		4,627,956


		Gas Utilities – 0.3%

	75,080	Energen Corporation		3,820,821
	11,700	Questar Corporation		1,043,757

		Total Gas Utilities		4,864,578


		Health Care Equipment & Supplies – 0.3%

	11,276	American Medical Systems Holdings, Inc., (2)		238,713
	29,590	Baxter International Inc.		1,558,505
	6,970	Dade Behring Holdings Inc.		305,635
	9,532	Express Scripts, Inc., (2)		769,423
	38,320	Hospira Inc., (2)		1,567,288
	5,642	Surmodics Inc., (2)		203,112

		Total Health Care Equipment & Supplies		4,642,676


		Health Care Providers & Services – 0.3%

	5,280	Centene Corporation, (2)		110,827
	9,456	Healthways Inc., (2)		442,068
	14,720	Humana Inc., (2)		854,054
	9,930	Mentor Corporation		456,780
	6,340	Nighthawk Radiology Holdings Inc., (2)		115,325
	28,943	Wellcare Health Plans Inc., (2)		2,467,391

		Total Health Care Providers & Services		4,446,445


		Hotels, Restaurants & Leisure – 0.1%

	12,340	Choice Hotels International, Inc.		437,206
	6,730	P.F. Changs China Bistro, Inc., (2)		281,852
	11,024	Starbucks Corporation, (2)		345,713
	4,810	Town Sports International Holdings, Inc., (2)		104,858

		Total Hotels, Restaurants & Leisure		1,169,629


		Household Durables – 0.1%

	25,261	Newell Rubbermaid Inc.		785,364


		Household Products – 0.2%

	36,720	Colgate-Palmolive Company		2,452,529
	11,297	Kimberly-Clark Corporation		773,732

		Total Household Products		3,226,261


		Independent Power Producers & Energy Traders – 0.1%

	17,000	NRG Energy Inc., (2)		1,224,680


		Industrial Conglomerates – 0.1%

	20,550	General Electric Company		726,648
	2,680	Teleflex Inc.		182,428

		Total Industrial Conglomerates		909,076


		Insurance – 0.6%

	35,465	AFLAC Incorporated		1,668,983
	5,540	First American Corporation		280,989
	18,540	Genworth Financial Inc., Class A		647,788
	43,507	Philadelphia Consolidated Holding Corporation, (2)		1,913,873
	7,480	Seabright Insurance Holdings Inc., (2)		137,632
	4,904	Tower Group Inc.		158,007
	101,780	W.R. Berkley Corporation		3,370,954

		Total Insurance		8,178,226


		Internet Software & Services – 0.0%

	5,460	F5 Networks, Inc., (2)		364,073


		IT Services – 0.1%

	26,570	Convergys Corporation, (2)		675,144
	4,830	FactSet Research Systems Inc.		303,566
	7,380	Savvis Inc., (2)		353,354

		Total IT Services		1,332,064


		Leisure Equipment & Products – 0.1%

	13,380	Hasbro, Inc.		382,936
	15,060	Marvel Entertainment Inc., (2)		417,915

		Total Leisure Equipment & Products		800,851


		Life Sciences Tools & Services – 0.0%

	2,310	Illumina Inc., (2)		67,683


		Machinery – 0.2%

	5,250	Flow International Corporation, (2)		56,385
	20,806	Harsco Corporation		933,357
	6,100	Manitowoc Company Inc.		387,533
	5,560	PACCAR Inc.		408,104
	10,517	Parker Hannifin Corporation		907,722
	4,230	RBC Bearings Inc., (2)		141,409
	2,650	Robbins & Myers, Inc.		98,819

		Total Machinery		2,933,329


		Marine – 0.0%

	3,720	American Commercial Lines Inc., (2)		116,994


		Media – 0.5%

	10,180	Cablevision Systems Corporation		309,777
	32,760	DIRECTV Group, Inc., (2)		755,773
	19,690	Echostar Communications Corporation, (2)		855,137
	18,667	John Wiley and Sons Inc., Class A		704,866
	10,300	Liberty Global Inc., Class C, (2)		315,592
	5,491	Lodgenet Entertainment Corporation, (2)		168,684
	42,660	McGraw-Hill Companies, Inc.		2,682,461
	41,250	Time Warner Inc.		813,450

		Total Media		6,605,740


		Metals & Mining – 0.0%

	3,280	Compass Minerals International, Inc.		109,552


		Multiline Retail – 0.3%

	8,980	99 Cents Only Stores, (2)		132,275
	20,500	Big Lots, Inc., (2)		641,240
	29,440	Dollar Tree Stores Inc., (2)		1,125,786
	33,850	Kohl’s Corporation, (2)		2,593,249

		Total Multiline Retail		4,492,550


		Oil, Gas & Consumable Fuels – 0.4%

	4,350	Bill Barnett Corporation, (2)		140,984
	8,240	Cabot Oil & Gas Corporation		554,717
	23,850	EOG Resources, Inc.		1,701,459
	24,980	Equitable Resources Inc.		1,207,034
	7,186	Pioneer Drilling Company, (2)		91,190
	6,450	St Mary Land and Exploration Company		236,586
	6,455	Sunoco, Inc.		454,690
	6,100	Tesoro Petroleum Corporation		612,623
	11,142	Valero Energy Corporation		718,548

		Total Oil, Gas & Consumable Fuels		5,717,831


		Personal Products – 0.1%

	4,990	NBTY Inc., (2)		264,670
	12,150	Nutri System Inc., (2)		636,782

		Total Personal Products		901,452


		Pharmaceuticals – 0.2%

	16,520	Abraxis Bioscience Inc., (2)		441,249
	46,270	Merck & Co. Inc.		2,043,746
	7,730	Pozen Inc., (2)		114,018

		Total Pharmaceuticals		2,599,013


		Real Estate – 0.3%

	1,990	Camden Property Trust		139,917
	8,671	Equity Inns Inc.		142,031
	7,940	Health Care Property Investors Inc.		286,078
	5,846	LaSalle Hotel Properties		271,021
	11,510	Northstar Realty Finance Corporation		175,067
	7,966	Public Storage, Inc.		754,141
	12,591	SL Green Realty Corporation		1,727,233
	10,211	Tanger Factory Outlet Centers		412,422
	7,503	Taubman Centers Inc.		435,099
	9,563	UDR Inc.		292,819

		Total Real Estate		4,635,828


		Road & Rail – 0.0%

	15,960	Hertz Global Holdings, Inc., (2)		378,252
	5,970	Landstar System		273,665

		Total Road & Rail		651,917


		Semiconductors & Equipment – 0.4%

	125,723	Cypress Semiconductor Corporation, (2)		2,332,162
	146,420	Micron Technology, Inc., (2)		1,768,754
	55,770	National Semiconductor Corporation		1,346,288
	19,130	Trident Microsystems Inc., (2)		383,748

		Total Semiconductors & Equipment		5,830,952


		Software – 0.4%

	2,980	Ansys Inc., (2)		151,295
	8,005	Aspen Technology Inc., (2)		104,065
	10,268	Blackbaud, Inc.		250,745
	65,020	BMC Software, Inc., (2)		2,001,966
	34,070	Intuit Inc., (2)		932,155
	36,580	Salesforce.com, Inc., (2)		1,566,356
	19,110	Synopsys Inc., (2)		501,255

		Total Software		5,507,837


		Specialty Retail – 0.3%

	3,830	Aeropostale, Inc., (2)		154,081
	59,900	American Eagle Outfitters, Inc.		1,796,401
	7,040	Dick’s Sporting Goods Inc., (2)		410,150
	4,500	Gymboree Corporation, (2)		180,315
	2,620	J Crew Group, Inc., (2)		105,245
	8,750	PetSmart Inc.		288,400
	31,610	RadioShack Corporation		854,418

		Total Specialty Retail		3,789,010


		Textiles, Apparel & Luxury Goods – 0.1%

	19,988	Guess Inc.		809,314


		Thrifts & Mortgage Finance – 0.0%

	13,960	Washington Federal Inc.		327,502


		Tobacco – 0.2%

	5,460	Altria Group, Inc.		479,443
	36,530	UST Inc.		2,118,009

		Total Tobacco		2,597,452


		Trading Companies & Distributors – 0.0%

	4,994	GATX Corporation		238,713

		Total Common Stocks (cost $132,920,322)		143,977,056


Shares		Description (1)	Coupon	Ratings (3)	Value


		Convertible Preferred Securities – 8.2% (5.5% of Total Investments)

		Automobiles – 1.0%

	296,150	General Motors Corporation, Series B	5.250%	B-	$	6,145,113
	343,000	General Motors Corporation	6.250%	B-		7,786,100

		Total Automobiles				13,931,213


		Capital Markets – 0.3%

	14,500	Affiliated Managers Group Inc.	5.100%	BB		795,688
	51,150	Affiliated Managers Group Inc.	5.100%	BB		2,806,856

		Total Capital Markets				3,602,544


		Chemicals – 0.1%

	36,215	Celanese Corporation	4.250%	N/R		1,490,247


		Commercial Banks – 0.8%

	4,875,000	Fortis Insurance NV, 144A	7.750%	Aa3		6,734,661
	91,035	Washington Mutual, Inc., Unit 1 Trust	5.375%	A3		4,897,683

		Total Commercial Banks				11,632,344


		Commercial Services & Supplies – 0.4%

	14,925	Allied Waste Industries Inc., Series D	6.250%	B		5,003,606


		Communications Equipment – 0.2%

	2,500	Lucent Technologies Capital Trust I	7.750%	B1		2,589,375


		Diversified Financial Services – 0.4%

	214,000	XL Capital Limited, Series X	7.000%	A-		5,559,720


		Electric Utilities – 0.4%

	87,035	Entergy Corporation	7.625%	BBB		5,656,405


		Food Products – 0.4%

	45,900	Bunge Limited	4.875%	N/R		5,284,238


		Gas Utilities – 0.2%

	48,625	Southern Union Company	5.000%	BBB-		2,721,541


		Household Durables – 0.1%

	2,400	Stanley Works	0.000%	A		2,477,400


		Independent Power Producers & Energy Traders – 0.4%

	250	NRG Energy Inc.	4.000%	B2		476,125
	16,225	NRG Energy Inc.	5.750%	B2		5,273,936

		Total Independent Power Producers & Energy Traders				5,750,061


		Insurance – 1.0% (0.6% of Total Investments)

	8,500	Alleghany Corporation	5.750%	BBB-		2,927,188
	56,250	Aspen Insurance Holdings Limited	5.625%	BBB-		3,051,563
	225,200	MetLife Inc., Convertible, Series B	6.375%	BBB+		7,206,400
	18,500	Travelers Property Casualty Corporation	4.500%	Baa1		471,380

		Total Insurance				13,656,531


		Metals & Mining – 0.7%

	50,900	Freeport McMoran Copper & Gold, Inc.	6.750%	B		5,441,719
	2,635	Freeport McMoran Copper & Gold, Inc.	5.500%	B-		4,019,693

		Total Metals & Mining				9,461,412


		Oil, Gas & Consumable Fuels – 0.3%

	11,220	Chesapeake Energy Corporation	6.250%	N/R		2,953,272
	14,540	Williams Companies Inc.	5.500%	B		1,944,725

		Total Oil, Gas & Consumable Fuels				4,897,997


		Pharmaceuticals – 0.5%

	129,750	Schering-Plough Corporation	6.000%	BBB		7,635,788


		Real Estate – 0.0%

	2,500	Simon Property Group, Inc., Series I	6.000%	BBB+		221,250


		U.S. Agency – 0.8%

	110	Federal National Mortgage Association	5.375%	AA-		11,060,597


		Wireless Telecommunication Services – 0.2%

	55,050	Crown Castle International Corporation	6.250%	N/R		3,151,613

		Total Convertible Preferred Securities (cost $106,518,262)				115,783,882


Shares		Description (1)	Coupon	Ratings (3)	Value


		$25 Par (or similar) Preferred Securities – 48.2% (32.5% of Total Investments)

		Capital Markets – 5.2%

	270,487	BNY Capital Trust V, Series F	5.950%	A1	$	6,724,307
	148,300	Compass Capital Trust III	7.350%	A3		3,711,949
	11,300	CSFB USA, Series 2002-10 (SATURNS)	7.000%	AA-		286,681
	41,500	First Union Institutional Capital II (CORTS)	8.200%	A1		1,142,495
	5,900	Goldman Sachs Capital I, Series A (CORTS)	6.000%	A1		143,842
	4,800	Goldman Sachs Group Inc., Series 2004-06 (SATURNS)	6.000%	A1		115,488
	42,500	Goldman Sachs Group Inc., Series 2004-4 (CORTS)	6.000%	A1		1,022,975
	7,000	Goldman Sachs Group Inc., Series GSC-3 (PPLUS)	6.000%	A1		168,490
	4,400	Goldman Sachs Group Inc. (SATURNS)	5.750%	AA-		103,796
	527,188	Lehman Brothers Holdings Capital Trust III, Series K	6.375%	A2		13,179,700
	3,300	Lehman Brothers Holdings Capital Trust IV, Series L	6.375%	A2		82,830
	153,700	Merrill Lynch Preferred Capital Trust III	7.000%	A1		3,890,147
	124,400	Merrill Lynch Preferred Capital Trust IV	7.120%	A1		3,167,224
	358,400	Merrill Lynch Preferred Capital Trust V	7.280%	A1		9,271,808
	71,100	Morgan Stanley Capital Trust II	7.250%	A1		1,808,784
	314,334	Morgan Stanley Capital Trust III	6.250%	A1		7,823,773
	507,674	Morgan Stanley Capital Trust IV	6.250%	A1		12,595,392
	305,429	Morgan Stanley Capital Trust VII	6.600%	A2		7,730,408
	3,000	Washington Mutual Capital Trust I, Series 2001-22, Class A-1 (CORTS)	7.650%	Baa1		76,980

		Total Capital Markets				73,047,069


		Commercial Banks – 8.3%

	171,500	Abbey National PLC, Series C	7.375%	A2		4,349,240
	83,300	ABN AMRO Capital Fund Trust V	5.900%	Aa3		2,039,184
	10,000	ABN AMRO Capital Trust Fund VII	6.080%	Aa3		251,600
	73,600	ASBC Capital I	7.625%	A3		1,851,040
	43,785	BAC Capital Trust I	7.000%	Aa2		1,105,133
	111,055	BAC Capital Trust II	7.000%	Aa2		2,811,913
	284,700	BAC Capital Trust III	7.000%	Aa2		7,214,298
	317,222	Banco Santander, 144A	6.800%	A		8,029,682
	46,700	Banco Santander, 144A	6.500%	A		1,189,393
	45,182	Banco Santander	6.410%	A2		1,150,334
	9,100	BancorpSouth Capital Trust I	8.150%	Baa1		229,229
	231,600	Banesto Holdings, Series A, 144A	10.500%	A2		7,005,900
	81,700	Bank One Capital Trust VI	7.200%	Aa3		2,078,448
	35,700	BankNorth Capital Trust II	8.000%	A1		897,855
	300	Capital One Capital II Corporation	7.500%	Baa1		7,903
	62,300	Chittenden Capital Trust I	8.000%	A3		1,564,353
	232,200	Citizens Funding Trust I	7.500%	Baa2		6,015,443
	107,000	Cobank ABC, 144A, (6)	7.000%	N/R		5,517,990
	338,700	Fleet Capital Trust VIII	7.200%	Aa2		8,504,757
	771,620	HSBC Finance Corporation	6.875%	AA-		19,660,878
	22,360	HSBC Holdings PLC, Series A	6.200%	A1		564,366
	137,400	KeyCorp Capital Trust IX	6.750%	Baa1		3,477,938
	539,400	National City Capital Trust II	6.625%	A3		13,552,425
	43,550	PNC Capital Trust	6.125%	A2		1,073,943
	38,705	Royal Bank of Scotland Group PLC, Series L	5.750%	A1		939,757
	91,395	Royal Bank of Scotland Group PLC, Series N	6.350%	A1		2,336,056
	73,305	USB Capital Trust VI	5.750%	Aa3		1,744,659
	198,427	USB Capital Trust XI	6.600%	A1		5,047,983
	33,400	VNB Capital Trust I	7.750%	A3		850,364
	80,735	Wells Fargo Capital Trust V	7.000%	Aa2		2,043,403
	114,669	Wells Fargo Capital Trust VII	5.850%	Aa2		2,809,391
	80,700	Zions Capital Trust B	8.000%	BBB-		2,053,815

		Total Commercial Banks				117,968,673


		Computers & Peripherals – 0.0%

	4,600	IBM Inc., Trust Certificates, Series 2001-2	7.100%	A+		117,622


		Consumer Finance – 0.1%

	39,700	SLM Corporation	6.000%	A		965,504


		Diversified Financial Services – 3.6%

	63,130	BAC Capital Trust XII	6.875%	Aa3		1,647,377
	16,500	CIT Group Incorporated (CORTS)	7.750%	A3		431,640
	86,500	Citigroup Capital Trust VII	7.125%	Aa2		2,188,450
	241,654	Citigroup Capital Trust VIII	6.950%	Aa2		6,080,015
	32,000	Citigroup Capital XIV	6.875%	Aa2		836,160
	68,255	Citigroup Capital XV	6.500%	Aa3		1,727,705
	57,300	Citigroup Capital XVI	6.450%	Aa2		1,436,511
	18,200	Citigroup Capital XVII	6.350%	Aa2		455,046
	13,400	Citigroup, Series CIT (CORTS)	6.750%	A3		337,144
	33,100	General Electric Capital Corporation	6.625%	AAA		835,775
	22,700	General Electric Capital Corporation	6.050%	AAA		573,175
	570,518	ING Group N.V.	7.200%	A1		14,519,683
	786,475	ING Group N.V.	7.050%	A		19,913,547
	16,800	ING Group N.V.	6.200%	A1		424,200

		Total Diversified Financial Services				51,406,428


		Diversified Telecommunication Services – 0.3%

	67,000	AT&T Inc.	6.375%	A		1,687,563
	21,900	BellSouth Capital Funding (CORTS)	7.100%	A		550,923
	18,300	BellSouth Corporation (CORTS)	7.000%	Aa3		455,213
	17,500	Verizon Communications (CORTS)	7.625%	A		450,538
	22,200	Verizon Communications (CORTS)	7.375%	A		568,764
	3,700	Verizon Communications, Series 2004-1 (SATURNS)	6.125%	A+		91,945
	2,300	Verizon Global Funding Corporation Trust III, Series III (CORTS)	6.250%	A		57,753
	13,900	Verizon New England Inc., Series B	7.000%	A3		350,975

		Total Diversified Telecommunication Services				4,213,674


		Electric Utilities – 0.7%

	9,800	Consolidated Edison, Inc.	7.250%	A2		246,666
	22,200	DTE Energy Trust I	7.800%	Baa3		564,990
	40,670	Entergy Louisiana LLC	7.600%	A-		1,022,851
	135,100	FPL Group Capital Inc.	6.600%	A3		3,472,070
	44,570	Georgia Power Capital Trust V	7.125%	A3		1,119,153
	500	Georgia Power Company	5.750%	A		11,990
	1,100	National Rural Utilities Cooperative Finance Corporation	7.400%	A3		27,995
	6,600	National Rural Utilities Cooperative Finance Corporation	6.100%	A3		161,964
	4,900	National Rural Utilities Cooperative Finance Corporation	5.950%	A3		115,934
	2,800	Southern Company Capital Trust VI	7.125%	BBB+		70,364
	134,400	Virginia Power Capital Trust	7.375%	Baa2		3,433,920

		Total Electric Utilities				10,247,897


		Food Products – 0.1%

	27,100	Dairy Farmers of America Inc., 144A, (6)	7.875%	BBB-		2,827,717


		Insurance – 10.5%

	556,210	Ace Ltd., Series C	7.800%	Baa2		14,289,035
	11,556	Aegon N.V.	6.875%	A-		304,847
	976,600	Aegon N.V., (6)	6.375%	A-		25,215,812
	8,867	AMBAC Financial Group Inc.	5.950%	AA		216,798
	25,700	Arch Capital Group Limited, Series B	7.785%	Baa3		674,368
	408,100	Arch Capital Group Limited	8.000%	Baa3		10,949,323
	1,221,100	Delphi Financial Group, Inc.	8.000%	BBB		31,687,545
	322,955	EverestRe Capital Trust II	6.200%	Baa1		7,750,920
	110,400	EverestRe Group Limited	7.850%	Baa1		2,819,616
	82,200	Financial Security Assurance Holdings	6.250%	AA		2,050,068
	3,500	Lincoln National Capital Trust VI	6.750%	A-		88,900
	6,000	Markel Corporation	7.500%	BBB-		155,640
	809,050	PartnerRe Limited, Series C	6.750%	BBB+		20,436,603
	82,200	PLC Capital Trust III	7.500%	BBB+		2,078,016
	32,900	PLC Capital Trust IV	7.250%	BBB+		827,106
	7,600	PLC Capital Trust V	6.125%	BBB+		183,996
	47,900	Protective Life Corporation	7.250%	BBB		1,242,526
	37,400	Prudential PLC	6.750%	A		963,050
	325,410	RenaissanceRe Holdings Limited, Series B	7.300%	BBB		8,265,414
	27,800	RenaissanceRe Holdings Ltd	6.600%	BBB		679,710
	27,300	Safeco Capital Trust I (CORTS)	8.750%	Baa2		781,872
	39,100	Safeco Capital Trust III (CORTS)	8.072%	Baa2		993,140
	7,500	Safeco Capital Trust IV (CORTS)	8.375%	Baa2		206,288
	47,400	Safeco Corporation, Series 2001-7 (SATURNS)	8.250%	Baa2		1,212,492
	44,900	Safeco Corporation, Series 2002-5 (SATURNS)	8.250%	Baa2		1,148,318
	14,700	W.R. Berkley Corporation	6.750%	BBB-		373,380
	151,100	XL Capital Ltd, Series A	8.000%	Baa1		3,825,852
	340,500	XL Capital Ltd, Series B	7.625%	Baa1		8,641,890

		Total Insurance				148,062,525


		Media – 2.9%

	43,700	CBS Corporation	7.250%	BBB		1,099,929
	415,800	CBS Corporation	6.750%	BBB		10,408,015
	580,200	Comcast Corporation	7.000%	BBB+		14,922,048
	605,900	Viacom Inc.	6.850%	BBB		15,223,238

		Total Media				41,653,230


		Multi-Utilities – 0.1%

	55,600	Dominion CNG Capital Trust I	7.800%	Baa2		1,413,908


		Oil, Gas & Consumable Fuels – 0.9%

	477,800	Nexen Inc.	7.350%	Baa3		12,250,792


		Real Estate – 12.9%

	10,500	AvalonBay Communities, Inc., Series H	8.700%	BBB		285,495
	3,000	BRE Properties, Series B	8.080%	BBB-		75,600
	15,266	BRE Properties, Series C	6.750%	BBB-		383,940
	658,185	Developers Diversified Realty Corporation, Series G	8.000%	BBB-		16,757,390
	74,900	Developers Diversified Realty Corporation, Series H	7.375%	BBB-		1,936,165
	81,100	Duke Realty Corporation, Series L	6.600%	BBB		2,035,610
	36,828	Duke-Weeks Realty Corporation	6.950%	BBB		931,748
	11,800	Equity Residential Properties Trust, Series D	8.600%	BBB		296,298
	393,070	Equity Residential Properties Trust, Series N	6.480%	BBB		9,748,136
	267,400	First Industrial Realty Trust, Inc., Series J	7.250%	BBB-		6,781,264
	232,400	HRPT Properties Trust, Series B	8.750%	BBB-		5,963,384
	652,100	HRPT Properties Trust, Series C	7.125%	BBB-		16,856,785
	458,887	Kimco Realty Corporation, Series F	6.650%	BBB+		11,467,586
	13,693	New Plan Excel Realty Trust, Series D	7.800%	BBB-		681,655
	876,975	New Plan Excel Realty Trust, Series E	7.625%	BBB-		21,941,915
	32,982	Prologis Trust, Series C	8.540%	BBB		1,979,952
	12,500	Prologis Trust, Series G	6.750%	BBB		317,125
	2,000	PS Business Parks, Inc., Series K	7.950%	BBB-		53,060
	110,000	Public Storage, Inc.	6.750%	BBB+		2,798,125
	51,900	Public Storage, Inc., Series E	6.750%	BBB+		1,310,475
	15,000	Public Storage, Inc., Series F	6.450%	BBB+		372,000
	7,859	Public Storage, Inc., Series H	6.950%	BBB+		201,190
	149,400	Public Storage, Inc., Series I	7.250%	BBB+		3,857,508
	89,741	Public Storage, Inc., Series M	6.625%	BBB+		2,226,699
	32,300	Public Storage, Inc., Series V	7.500%	BBB+		814,606
	2,200	Public Storage, Inc., Series X	6.450%	BBB+		54,758
	323,900	Realty Income Corporation, Series E	6.750%	BBB-		8,107,638
	216,495	Regency Centers Corporation	7.450%	BBB-		5,468,664
	9,100	Regency Centers Corporation	7.250%	BBB-		230,139
	7,000	Simon Property Group, Inc., Series G	7.890%	BBB		358,225
	2,800	Vornado Realty Trust, Series F	6.750%	BBB-		70,532
	16,800	Vornado Realty Trust, Series G	6.625%	BBB-		417,648
	3,400	Vornado Realty Trust, Series H	6.750%	BBB-		85,374
	54,200	Vornado Realty Trust, Series I	6.625%	BBB-		1,354,458
	1,442,545	Wachovia Preferred Funding Corporation	7.250%	A2		40,030,624
	628,830	Weingarten Realty Trust	6.750%	A-		15,764,768

		Total Real Estate				182,016,539


		Thrifts & Mortgage Finance – 2.3%

	99,500	Countrywide Capital Trust III (PPLUS)	8.050%	BBB+		2,639,238
	1,112,335	Countrywide Capital Trust IV	6.750%	BBB+		26,985,247
	121,978	Countrywide Capital Trust V	7.000%	BBB+		2,988,461

		Total Thrifts & Mortgage Finance				32,612,946


		Wireless Telecommunication Services – 0.3%

	33,900	United States Cellular Corporation	8.750%	A-		873,264
	118,026	United States Cellular Corporation	7.500%	BBB-		2,991,959

		Total Wireless Telecommunication Services				3,865,223

		Total $25 Par (or similar) Preferred Securities (cost $682,938,163)				682,669,747


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


		Variable Rate Senior Loan Interests – 2.9% (1.9% of Total Investments) (4)


		Building Products – 0.1%

$	995	TFS Acquisition, Term Loan	8.850%	8/11/13	B+	$	1,002,463


		Commercial Services & Supplies – 0.1%

	66	Aramark Corporation, LC Facility	7.445%	1/26/14	Ba3		66,107
	921	Aramark Corporation, Term Loan	7.475%	1/26/14	Ba3		925,005

	987	Total Commercial Services & Supplies					991,112


		Containers & Packaging – 0.1%

	344	Bluegrass Container Company, LLC, 1st Lien Term Loan	7.589%	6/30/13	BB-		348,147
	1,149	Bluegrass Container Company, LLC, Term Loan B	7.591%	6/30/13	BB-		1,163,543

	1,493	Total Containers & Packaging					1,511,690


		Health Care Providers & Services – 0.5%

	4,988	HCA, Inc., Term Loan	7.600%	11/17/13	BB		5,035,816
	1,000	Health Management Associates, Inc. Term Loan	7.100%	2/28/14	Ba2		1,004,219
	1,454	LifePoint Hospitals Holdings, Inc., Term Loan B	6.985%	4/15/14	BB-		1,452,111

	7,442	Total Health Care Providers & Services					7,492,146


		Hotels, Restaurants & Leisure – 0.2%

	993	Cedar Fair LP, Term Loan	7.320%	8/30/12	BB-		1,003,107
	134	TDS Investor Corp., LC Facility	7.850%	8/23/13	Ba3		135,548
	1,362	TDS Investor Corp., Term Loan	7.850%	8/23/13	Ba3		1,376,760

	2,489	Total Hotels, Restaurants & Leisure					2,515,415


		Machinery – 0.1%

	1,995	Oshkosh Truck Corporation, Term Loan	7.350%	12/06/13	BB		2,004,975


		Media – 0.8%

	3,000	Charter Communications Operating, LLC, Incremental Term Loan, WI/DD	TBD	TBD	B1		2,997,813
	1,000	Charter Communications Operating, LLC, Term Loan B	7.985%	4/28/13	B1		999,657
	1,990	Neilsen Finance LLC, Term Loan B	7.610%	8/09/13	Ba3		2,009,175
	1,517	Panamsat Corporation, Term Loan	7.860%	7/03/13	BB		1,532,919
	974	Philadelphia Newspapers, Term Loan	8.080%	6/29/13	N/R		984,812
	3,289	Univision Communications, Inc. Term Loan, WI/DD	TBD	TBD	Ba3		3,290,086

	11,770	Total Media					11,814,462


		Paper & Forest Products – 0.1%

	992	Georgia-Pacific Corporation, Term Loan B	7.091%	12/20/10	Ba2		998,738


		Real Estate Management & Development – 0.1%

	1,000	LNR Property Corporation, Term Loan B	8.110%	7/12/11	B+		1,008,036


		Semiconductors & Equipment – 0.1%

	1,319	Advanced Micro Devices, Term Loan B	7.570%	12/31/13	BB-		1,327,833


		Software – 0.3%

	2,985	Dealer Computer Service, Term Loan	7.350%	10/26/12	Ba2		3,002,325
	1,496	Intergraph Corporation, Term Loan	7.860%	5/29/13	B1		1,505,602

	4,481	Total Software					4,507,927


		Specialty Retail – 0.4%

	1,500	Burlington Coat Factory Warehouse Corporation, Term Loan	7.610%	5/28/11	B		1,492,125
	2,477	Michaels Stores Inc., Term Loan	8.125%	10/31/13	B2		2,502,752
	1,500	TRU 2005 RE Holding Co I LLC Term Loan	8.320%	12/09/08	B3		1,512,422

	5,477	Total Specialty Retail					5,507,299

$	40,440	Total Variable Rate Senior Loan Interests (cost $40,468,469)					40,682,096


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


		Convertible Bonds – 37.0% (24.9% of Total Investments)

		Aerospace & Defense – 1.5%

$	500	Alliant Techsystems Inc., 144A	2.750%	9/15/11	B+	$	543,125
	500	Armor Holdings Inc.	2.000%	11/01/24	B+		701,875
	3,990	DRS Technologies, Inc., 144A	2.000%	2/01/26	B+		4,219,425
	5,325	L-3 Communications Corporation	3.000%	8/01/35	BB+		5,711,063
	4,475	Lockheed Martin Corporation	5.110%	8/15/33	BBB+		6,225,307
	3,145	Triumph Group Inc.	2.625%	10/01/26	N/R		3,770,069

	17,935	Total Aerospace & Defense					21,170,864


		Airlines – 0.4%

	700	AMR Corporation	4.500%	2/15/24	CCC+		1,064,000
	1,000	Continental Airlines, Inc.	5.000%	6/15/23	B3		1,996,250
	2,300	UAL Corporation, 144A	4.500%	6/30/21	N/R		3,055,826

	4,000	Total Airlines					6,116,076


		Automobiles – 0.7%

	9,450	Ford Motor Company	4.250%	12/15/36	CCC+		10,465,875


		Biotechnology – 3.3%

	6,650	Amgen Inc., 144A	0.125%	2/01/11	A+		6,109,688
	500	Amgen Inc., 144A	0.375%	2/01/13	A+		452,500
	1,000	Amgen Inc.	0.375%	2/01/13	A+		905,000
	250	Cephalon, Inc.	2.000%	6/01/15	B-		414,375
	2,350	Cephalon, Inc., Series B	0.000%	6/15/33	B-		3,149,000
	9,895	Genzyme Corporation	1.250%	12/01/23	BBB		10,216,588
	7,550	Gilead Sciences Inc., 144A	0.625%	5/01/13	N/R		8,559,813
	5,440	Gilead Sciences Inc.	0.500%	5/01/11	N/R		6,174,400
	4,530	Invitrogen Corporation	2.000%	8/01/23	N/R		4,881,075
	4,600	Medimmune Inc.	1.375%	7/15/11	BBB		5,669,500

	42,765	Total Biotechnology					46,531,939


		Capital Markets – 0.6%

	250	BlackRock Inc.	2.625%	2/15/35	A+		398,750
	6,600	Goldman Sachs Group, Inc.	0.125%	6/28/11	AA-		7,415,232

	6,850	Total Capital Markets					7,813,982


		Commercial Banks – 0.6%

	5,500	U.S. Bancorp, 144A	3.600%	9/20/36	Aa2		5,536,300
	2,135	U.S. Bancorp	3.600%	9/20/36	AA		2,149,091
	1,000	Wells Fargo & Company	5.610%	5/01/33	AA+		1,002,540

	8,635	Total Commercial Banks					8,687,931


		Commercial Services & Supplies – 0.1%

	1,300	Fair Isaac & Company	1.500%	8/15/23	N/R		1,350,375


		Communications Equipment – 1.6%

	2,000	Ciena Corporation	3.750%	2/01/08	B		1,972,500
	5,950	Juniper Networks Inc.	0.000%	6/15/08	BB		6,589,625
	6,880	Lucent Technologies Inc., Series B	2.750%	6/15/25	Ba2		7,120,800
	6,515	Lucent Technologies Inc.	2.750%	6/15/23	Ba2		6,531,288
	500	Nortel Networks Corp.	4.250%	9/01/08	B-		496,250

	21,845	Total Communications Equipment					22,710,463


		Computers & Peripherals – 1.3%

	7,640	EMC Corporation, 144A	1.750%	12/01/11	BBB+		8,241,650
	6,880	EMC Corporation, 144A	1.750%	12/01/13	BBB+		7,421,800
	1,875	M Systems Financial, Inc.	1.000%	3/15/35	N/R		2,456,250
	250	Sandisk Corporation	1.000%	5/15/13	BB-		220,000

	16,645	Total Computers & Peripherals					18,339,700


		Construction & Engineering – 0.2%

	2,530	Quanta Services Inc., 144A	3.750%	4/30/26	N/R		3,317,463


		Consumer Finance – 0.2%

	750	SLM Corporation	5.310%	7/25/35	A		750,750


		Containers & Packaging – 0.2%

	2,900	Sealed Air Corporation, 144A	3.000%	6/30/33	BBB		2,950,750


		Diversified Financial Services – 0.5%

	6,325	Merrill Lynch & Co. Inc.	0.000%	3/13/32	Aa3		7,703,218


		Diversified Telecommunication Services – 1.0%

	1,400	Level 3 Communications Inc.	3.500%	6/15/12	CCC		1,834,000
	4,725	Level 3 Communications Inc.	2.875%	7/15/10	CCC		5,303,813
	3,390	Qwest Communications International Inc.	3.500%	11/15/25	B+		5,623,163
	1,500	Time Warner Telecom Inc.	2.375%	4/01/26	CCC+		1,968,750

	11,015	Total Diversified Telecommunication Services					14,729,726


		Electric Utilities – 0.4%

	1,125	Centerpoint Energy Inc.	3.750%	5/15/23	BBB-		1,797,188
	3,950	Covanta Holding Corporation	1.000%	2/01/27	B1		3,900,625

	5,075	Total Electric Utilities					5,697,813


		Electrical Equipment – 0.2%

	1,800	General Cable Corporation	0.875%	11/15/13	B+		2,209,500


		Energy Equipment & Services – 1.9%

	4,600	Cameron International Corporation, 144A	2.500%	6/15/26	BBB+		5,318,750
	3,095	Core Laboratories LP, 144A	0.250%	10/31/11	N/R		3,265,225
	3,750	Halliburton Company	3.125%	7/15/23	BBB+		6,440,625
	4,775	Nabors Industries Inc., 144A	0.940%	5/15/11	A-		4,554,156
	1,100	Nabors Industries Inc., 144A	0.940%	5/15/11	A-		1,049,125
	4,850	Nabors Industries Inc.	0.000%	6/15/23	N/R		5,007,625
	500	Pride International Inc.	3.250%	5/01/33	Ba2		633,125
	250	Schlumberger Limited	2.125%	6/01/23	A+		441,875
	250	Transocean Inc.	1.500%	5/15/21	A-		293,750

	23,170	Total Energy Equipment & Services					27,004,256


		Food Products – 0.5%

	6,355	Archer Daniels Midland Company, 144A	0.875%	2/15/14	A		6,577,425


		Health Care Equipment & Supplies – 1.6%

	500	Advanced Medical Optics	3.250%	8/01/26	N/R		471,875
	6,700	Beckman Coulter Inc., 144A	2.500%	12/15/36	BBB		7,085,250
	12,725	Medtronic, Inc.	1.500%	4/15/11	AA-		13,074,938
	1,700	Medtronic, Inc.	1.625%	4/15/13	AA-		1,746,750
	250	Medtronic, Inc.	1.500%	4/15/11	AA-		256,875

	21,875	Total Health Care Equipment & Supplies					22,635,688


		Health Care Providers & Services – 0.5%

	500	Genesis Healthcare Corporation	2.500%	3/15/25	B-		651,250
	500	LifePoint Hospitals Inc.	3.250%	8/15/25	B		474,375
	250	Manor Care, Inc.	2.125%	8/01/35	BBB		318,750
	6,210	Roche Holdings Inc., 144A	0.000%	7/25/21	N/R		5,849,261

	7,460	Total Health Care Providers & Services					7,293,636


		Hotels, Restaurants & Leisure – 1.3%

	1,000	Caesars Entertainment Inc.	5.360%	4/15/24	Baa3		1,344,900
	13,715	Carnival Corporation	1.132%	4/29/33	A-		9,617,644
	500	Hilton Hotels Corporation	3.375%	4/15/23	BB+		815,625
	7,475	International Game Technology, 144A	2.600%	12/15/36	BBB		7,297,469

	22,690	Total Hotels, Restaurants & Leisure					19,075,638


		Independent Power Producers & Energy Traders – 0.3%

	4,125	SunPower Corporation	1.250%	2/15/27	N/R		4,300,313


		Industrial Conglomerates – 0.1%

	500	3M Company	0.000%	11/21/32	Aa1		451,875
	500	Tyco International Group SA	3.125%	1/15/23	BBB+		737,500

	1,000	Total Industrial Conglomerates					1,189,375


		Insurance – 1.5%

	5,655	American Financial Group Inc.	1.486%	6/02/33	BBB		3,350,588
	5,030	Berkshire Hathaway Inc.	0.000%	5/15/07	N/R		6,125,977
	10,725	Prudential Financial Inc.	2.613%	11/15/35	A		11,082,464

	21,410	Total Insurance					20,559,029


		Internet & Catalog Retail – 0.0%

	254	Amazon.com Inc.	4.750%	2/01/09	Ba3		253,365


		Internet Software & Services – 0.2%

	1,875	Yahoo! Inc.	0.000%	4/01/08	BBB-		2,901,563


		IT Services – 0.4%

	2,500	Digital River Inc.	1.250%	1/01/24	N/R		3,343,750
	1,375	DST Systems Inc.	4.125%	8/15/23	N/R		2,239,531

	3,875	Total IT Services					5,583,281


		Leisure Equipment & Products – 0.5%

	7,025	Eastman Kodak Company	3.375%	10/15/33	B1		7,051,344


		Life Sciences Tools & Services – 0.5%

	6,205	Millipore Corporation	3.750%	6/01/26	N/R		6,685,888


		Machinery – 0.8%

	2,230	Barnes Group, Inc., 144A	3.750%	8/01/25	N/R		2,790,288
	2,355	Barnes Group, Inc., 144A	3.375%	3/15/27	N/R		2,469,806
	250	Danaher Corporation	0.000%	1/22/21	A+		260,938
	5,000	Trinity Industries Inc.	3.875%	6/01/36	Ba3		5,525,000

	9,835	Total Machinery					11,046,032


		Media – 2.4%

	2,700	ELF Special Financing Limited, 144A	5.705%	6/15/09	Ba3		3,297,240
	250	Lamar Advertising Company	2.875%	12/31/10	B1		344,375
	3,460	Liberty Media Corporation	3.500%	1/15/31	BB+		2,848,960
	8,340	Liberty Media Corporation	0.750%	3/30/23	BB+		9,809,925
	9,675	Omnicom Group Inc.	0.000%	7/01/38	A-		10,424,813
	6,330	Walt Disney Company	2.125%	4/15/23	A-		7,683,038

	30,755	Total Media					34,408,351


		Metals & Mining – 0.2%

	2,400	Placer Dome Inc.	2.750%	10/15/23	A-		3,066,000


		Multi-Utilities – 0.3%

	3,025	Dominion Resources Inc., Series C	2.125%	12/15/23	BBB		3,679,156


		Oil, Gas & Consumable Fuels – 1.3%

	5,350	Chesapeake Energy Corporation, 144A	2.750%	11/15/35	BB		5,597,438
	3,965	Devon Energy Corporation	4.900%	8/15/08	BBB		5,546,044
	1,765	Goodrich Petroleum Corporation, 144A	3.250%	12/01/26	N/R		1,652,481
	5,250	Peabody Energy Corp.	4.750%	12/15/66	Ba3		5,217,188

	16,330	Total Oil, Gas & Consumable Fuels					18,013,151


		Pharmaceuticals – 1.8%

	3,545	Allergan Inc., 144A	1.500%	4/01/26	A		3,731,113
	3,650	Allergan Inc.	1.500%	4/01/26	A		3,841,625
	500	Bristol-Myers Squibb Company	4.855%	9/15/23	A+		506,250
	250	Teva Pharmaceutical Finance Company B.V., Series D	1.750%	2/01/26	BBB		244,375
	2,970	Teva Pharmaceutical Finance, Series A	0.500%	2/01/24	BBB		3,229,875
	3,255	Teva Pharmaceutical Finance, Series B	0.250%	2/01/24	BBB		3,726,975
	6,400	Wyeth, 144A	1.000%	1/15/24	A		6,855,680
	3,500	Wyeth	4.883%	1/15/24	A		3,749,200

	24,070	Total Pharmaceuticals					25,885,093


		Real Estate – 2.2%

	2,860	Archstone-Smith Trust	4.000%	7/15/36	BBB+		2,995,850
	7,825	Boston Properties Limited Partnership, 144A	2.875%	2/15/37	BBB+		7,717,406
	2,285	CapitalSource Inc., WI/DD	3.500%	7/15/34	BBB-		2,704,663
	500	Developers Diversified Realty Corporation, 144A	3.500%	8/15/11	BBB		536,875
	2,815	Host Hotels & Resorts Inc., 144A	2.625%	4/15/27	BB		2,755,181
	3,125	Prologis, 144A	2.250%	4/01/37	N/R		3,089,844
	2,635	Vornado Realty	3.875%	4/15/25	BBB		3,649,475
	7,430	Vornado Realty	3.625%	11/15/26	BBB		7,541,450

	29,475	Total Real Estate					30,990,744


		Real Estate Management & Development – 0.2%

	2,675	Tanger Properties Limited Partnership	3.750%	8/15/26	BBB-		3,179,906


		Road & Rail – 0.3%

	1,175	CSX Corporation	0.000%	10/30/21	BBB		1,681,719
	2,000	Yellow Roadway Corporation	5.000%	8/08/23	BBB-		2,607,500

	3,175	Total Road & Rail					4,289,219


		Semiconductors & Equipment – 1.6%

	5,545	Cypress Semiconductor Corporation, 144A	1.000%	9/15/09	B-		5,621,244
	1,050	Intel Corporation, 144A	2.950%	12/15/35	A-		913,500
	7,600	Intel Corporation	2.950%	12/15/35	A-		6,612,000
	2,700	ON Semiconductor Corporation	0.000%	4/15/24	B-		2,936,250
	5,125	PMC-Sierra Inc.	2.250%	10/15/25	N/R		5,541,406
	735	Skyworks Solutions, Inc.	1.250%	3/01/10	N/R		704,681
	875	Skyworks Solutions, Inc.	1.500%	3/01/12	N/R		817,031

	23,630	Total Semiconductors & Equipment					23,146,112


		Software – 3.0%

	7,350	Amdocs Limited	0.500%	3/15/24	BBB-		7,405,125
	3,065	Cadence Design Systems, Inc.	1.500%	12/15/13	N/R		3,509,425
	500	Computer Associates International Inc., 144A	1.625%	12/15/09	Ba1		676,250
	6,650	Red Hat Inc.	0.500%	1/15/24	B+		7,165,375
	6,890	Sybase, Inc.	1.750%	2/22/25	N/R		7,854,600
	7,500	Symantec Corporation, 144A	0.750%	6/15/11	N/R		8,071,875
	7,250	Symantec Corporation, 144A	1.000%	6/15/13	N/R		7,793,750

	39,205	Total Software					42,476,400


		Specialty Retail – 0.2%

	250	TJX Companies, Inc.	0.000%	2/13/21	A-		226,250
	2,250	United Auto Group, Inc.	3.500%	4/01/26	B		2,396,250

	2,500	Total Specialty Retail					2,622,500


		Trading Companies & Distributors – 0.2%

	1,640	GATX Corporation	5.000%	8/15/23	BBB+		3,202,100


		Wireless Telecommunication Services – 0.4%

	2,535	NII Holdings Inc., 144A	2.750%	8/15/25	N/R		4,090,856
	1,510	SBA Communications Corporation, 144A	0.375%	12/01/10	N/R		1,557,188

	4,045	Total Wireless Telecommunication Services					5,648,044

$	479,899	Total Convertible Bonds (cost $501,829,789)					523,310,034


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


		Corporate Bonds – 9.4% (6.3% of Total Investments)

		Aerospace & Defense – 0.3%

$	1,000	Hexcel Corporation	6.750%	2/01/15	B+	$	992,834
	2,500	K&F Acquisition Inc.	7.750%	11/15/14	B-		2,668,750

	3,500	Total Aerospace & Defense					3,661,584


		Auto Components – 0.2%

	1,000	Keystone Automotive Operations Inc.	9.750%	11/01/13	CCC+		977,500


		Chemicals – 0.2%

	1,000	Nell AF Sarl	8.375%	8/15/15	B2		1,047,500
	1,500	Rockwood Specialties Group Inc., Series WI	7.500%	11/15/14	B-		1,530,000

	2,500	Total Chemicals					2,577,500


		Commercial Services & Supplies – 0.0%

	600	Williams Scotsman Inc.	8.500%	10/01/15	B+		631,500


		Containers & Packaging – 0.3%

	2,000	Owens-Brockway Glass Containers	8.250%	5/15/13	B		2,095,000
	2,000	Owens-Illinois Inc.	7.800%	5/15/18	B		2,055,000

	4,000	Total Containers & Packaging					4,150,000


		Diversified Telecommunication Services – 0.1%

	2,000	Intelsat Subsidiary Holding Company Limited	8.500%	1/15/13	B+		2,095,000


		Electric Utilities – 0.3%

	3,000	Midwest Generation LLC	8.750%	5/01/34	Ba2		3,270,000
	500	Mirant North America LLC	7.375%	12/31/13	B2		515,000
	1,000	Sierra Pacific Resources, Series 2006	6.750%	8/15/17	B1		1,025,801

	4,500	Total Electric Utilities					4,810,801


		Electronic Equipment & Instruments – 0.1%

	2,000	NXP BV	8.110%	10/15/13	BB+		2,067,500


		Energy Equipment & Services – 0.2%

	1,200	Hanover Compressor Company	7.500%	4/15/13	B		1,236,000
	1,500	Pride International Inc.	7.375%	7/15/14	Ba2		1,545,000

	2,700	Total Energy Equipment & Services					2,781,000


		Food & Staples Retailing – 0.1%

	2,000	Stater Brothers Holdings Inc.	8.125%	6/15/12	B+		2,070,000


		Food Products – 0.2%

	2,243	Dole Foods Company	7.875%	7/15/13	B-		2,170,103


		Health Care Providers & Services – 0.3%

	700	HCA The Health Care Corporation Inc, 144A	9.125%	11/15/14	BB-		749,875
	700	HCA The Health Care Corporation Inc., 144A	9.250%	11/15/16	BB-		756,875
	2,500	US Oncology Inc.	10.750%	8/15/14	B2		2,800,000

	3,900	Total Health Care Providers & Services					4,306,750


		Hotels, Restaurants & Leisure – 1.5%

	2,000	Boyd Gaming Corporation	8.750%	4/15/12	Ba3		2,097,500
	2,000	Boyd Gaming Corporation	7.750%	12/15/12	Ba3		2,075,000
	1,500	Herbst Gaming Inc.	7.000%	11/15/14	B-		1,455,000
	700	Jacobs Entertainment Inc.	9.750%	6/15/14	B-		719,250
	2,000	Landry’s Restaurants Inc., Series B	7.500%	12/15/14	B1		1,980,000
	1,600	Park Place Entertainment	8.125%	5/15/11	Ba1		1,702,000
	2,500	Park Place Entertainment	7.000%	4/15/13	Baa3		2,659,553
	2,000	Pinnacle Entertainment Inc.	8.250%	3/15/12	B-		2,070,000
	750	Pinnacle Entertainment Inc.	8.750%	10/01/13	B-		800,625
	1,750	Seminole Hard Rock Entertainment, Inc.	7.830%	3/15/14	BB		1,793,750
	4,000	Universal City Development Partners	11.750%	4/01/10	B2		4,255,000

	20,800	Total Hotels, Restaurants & Leisure					21,607,678


		Household Products – 0.1%

	1,650	Central Garden & Pet Company	9.125%	2/01/13	B		1,728,375


		Independent Power Producers & Energy Traders – 0.2%

	400	NRG Energy Inc.	7.250%	2/01/14	B1		411,000
	400	NRG Energy Inc.	7.375%	2/01/16	B1		412,000

	800	Total Independent Power Producers & Energy Traders					823,000


		IT Services – 0.5%

	1,625	Global Cash Access LLC	8.750%	3/15/12	B-		1,710,313
	4,750	Sungard Data Systems Inc.	9.125%	8/15/13	B-		5,118,125

	6,375	Total IT Services					6,828,438


		Machinery – 0.1%

	2,000	Greenbrier Companies, Inc.	8.375%	5/15/15	B+		2,040,000


		Media – 2.2%

	4,000	Allbritton Communications Company, Series B	7.750%	12/15/12	B1		4,120,000
	880	American Media Operations Inc., Series B	10.250%	5/01/09	Caa2		836,000
	1,000	Cablevision Systems Corporation, Series B	8.125%	8/15/09	B+		1,040,000
	5,000	Cablevision Systems Corporation	7.250%	7/15/08	B+		5,093,750
	2,000	Charter Communications Operating LLC, 144A	8.000%	4/30/12	B-		2,092,500
	1,975	Medianews Group Inc.	6.375%	4/01/14	B		1,742,938
	1,950	Panamsat Corporation	9.000%	8/15/14	B		2,120,625
	5,000	Primedia Inc.	8.875%	5/15/11	B		5,162,500
	4,550	Vertis Inc.	9.750%	4/01/09	B1		4,652,375
	4,000	Young Broadcasting Inc.	10.000%	3/01/11	Caa1		3,960,000

	30,355	Total Media					30,820,688


		Metals & Mining – 0.2%

	2,000	Chaparral Steel Company	10.000%	7/15/13	B+		2,240,000


		Multi-Utilities – 0.2%

	1,400	Bon-Ton Department Stores Inc.	10.250%	3/15/14	B-		1,510,250
	1,600	Dynegy Holdings Inc.	8.375%	5/01/16	B2		1,672,000

	3,000	Total Multi-Utilities					3,182,250


		Oil, Gas & Consumable Fuels – 0.7%

	2,400	Baytex Energy Ltd	9.625%	7/15/10	B-		2,532,000
	400	Chaparral Energy Inc.	8.500%	12/01/15	CCC+		397,000
	2,345	Chesapeake Energy Corporation	7.750%	1/15/15	BB		2,456,388
	2,000	Hilcorp Energy I LP/Hilcorp Finance Company, 144A	7.750%	11/01/15	B		1,975,000
	2,000	SemGroup LP, 144A	8.750%	11/15/15	B1		2,040,000
	1,000	Whiting Petroleum Corporation	7.000%	2/01/14	B1		980,000

	10,145	Total Oil, Gas & Consumable Fuels					10,380,388


		Paper & Forest Products – 0.5%

	2,000	Georgia Pacific Corporation	7.700%	6/15/15	B		2,060,000
	5,000	Georgia Pacific Corporation	8.125%	5/15/11	B		5,275,000

	7,000	Total Paper & Forest Products					7,335,000


		Personal Products – 0.1%

	1,500	Prestige Brands Inc.	9.250%	4/15/12	B-		1,560,000


		Real Estate – 0.3%

	3,000	Felcor Lodging Trust Inc., 144A	7.263%	12/01/11	Ba3		3,045,000
	1,000	Trustreet Properties, Inc.	7.500%	4/01/15	Aa1		1,089,999
	500	Ventas Realty LP, Series WI	7.125%	6/01/15	BB+		526,250

	4,500	Total Real Estate					4,661,249


		Semiconductors & Equipment – 0.1%

	1,600	Avago Technologies Finance Pte Limited	10.375%	12/01/13	B		1,740,000


		Specialty Retail – 0.2%

	3,000	Warnaco Inc.	8.875%	6/15/13	B+		3,198,750


		Textiles, Apparel & Luxury Goods – 0.2%

	3,000	Jostens IH Corporation	7.625%	10/01/12	B2		3,067,500

$	128,668	Total Corporate Bonds (cost $131,702,482)					133,512,554


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


		Capital Preferred Securities – 28.9% (19.5% of Total Investments)

		Capital Markets – 4.0%

	1,250	C.A. Preferred Fund Trust II	7.000%	10/30/49	A1	$	1,269,291
	27,500	C.A. Preferred Funding Trust	7.000%	1/30/49	A1		27,853,238
	8,300	Dresdner Funding Trust I, 144A	8.151%	6/30/31	A-		9,906,598
	1,600	Kleinwort Benson Group PLC	5.812%	12/31/99	N/R		1,335,069
	1,600	MUFG Capital Finance 2	4.850%	7/25/56	BBB		2,088,412
	8,000	UBS Preferred Funding Trust I	8.622%	10/29/49	AA-		8,849,352
	4,800	Washington Mutual Capital Trust I	8.375%	6/01/27	A3		5,011,694

		Total Capital Markets					56,313,654


		Commercial Banks – 18.4%

	3,000	AB Svensk Exportkredit, 144A	6.375%	10/27/49	AA-		2,986,800
	9,500	Abbey National Capital Trust I	8.963%	6/30/50	A+		12,713,394
	2,155	AgFirst Farm Credit Bank	8.393%	12/15/16	N/R		2,386,727
	6,500	AgFirst Farm Credit Bank, 144A	7.300%	12/15/53	N/R		6,484,543
	3,000	Bank One Capital III	8.750%	9/01/30	Aa3		3,944,421
	2,000	BanPonce Trust I, Series A	8.327%	2/01/27	A3		2,085,580
	13,030	Barclays Bank PLC, 144A	8.550%	6/15/49	Aa3		14,603,842
	3,400	BBVA International Perferred SA, WI/DD, 144A	5.919%	10/18/49	A1		3,368,952
	700	Capital One Capital IV Corporation	6.745%	2/17/37	Baa1		673,028
	3,000	Centura Capital Trust I, 144A	8.845%	6/01/27	A2		3,146,256
	1,500	DBS Capital Funding Corporation, 144A	7.657%	3/15/49	A1		1,625,549
	1,400	Den Norske Bank, 144A	7.729%	6/29/49	Aa2		1,520,446
	500	Fifth Third Capital Trust IV	6.500%	4/15/37	A1		497,987
	6,200	First Empire Capital Trust I	8.234%	2/01/27	Baa1		6,463,791
	2,000	First Midwest Bancorp Inc.	6.950%	12/01/33	Baa1		2,108,860
	19,000	HBOS Capital Funding LP	6.850%	3/23/49	A1		19,221,749
	2,400	HSBC Capital Funding LP, 144A	9.547%	12/31/49	A1		2,700,569
	5,750	HSBC Capital Funding LP, 144A	10.176%	6/30/50	A1		8,388,054
	11,000	KBC Bank Fund Trust III, 144A	9.860%	5/02/50	Aa3		12,201,827
	16,600	Lloyds TSB Bank PLC	6.900%	11/22/49	Aa2		16,622,792
	20,000	M&I Capital Trust A	7.650%	12/01/26	A2		20,676,000
	5,000	NB Capital Trust IV	8.250%	4/15/27	Aa3		5,200,695
	1,000	North Fork Capital Trust I	8.700%	12/15/26	Baa1		1,043,030
	8,000	North Fork Capital Trust II	8.000%	12/15/27	Baa1		8,422,480
	1,000	Popular North American Capital Trust I	6.564%	9/15/34	A3		993,407
	14,000	RBS Capital Trust B	6.800%	12/31/49	A1		14,055,874
	600	Reliance Capital Trust I, Series B	8.170%	5/01/28	N/R		637,756
	2,500	Shinsei Finance II Cayman Limited, Perpetual Maturity, 144A	7.160%	7/25/49	Baa2		2,579,688
	8,000	Sparebanken Rogaland, 144A	6.443%	5/01/49	A1		8,006,360
	10,500	St. George Funding Company LLC, Reg S	8.485%	6/30/17	Baa1		10,985,625
	9,450	Swedbank ForeningsSparbanken AB, 144A	9.000%	9/17/50	Aa3		10,357,776
	4,000	Unicredito Italiano Capital Trust, 144A	9.200%	4/05/51	A-		4,490,880
	800	Union Bank of Norway	7.068%	11/19/49	A2		1,194,998
	300	Union Planters Preferred Fund, 144A	7.750%	7/15/53	A2		32,868,750
	14,200	Washington Mutual Preferred Funding Cayman, Series A-1, 144A	7.250%	3/15/49	BBB		13,756,932
	1,200	Wells Fargo Capital Trust X	5.950%	12/15/86	Aa2		1,160,026

		Total Commercial Banks					260,175,444


		Diversified Financial Services – 1.4%

	2,500	BNP Paribas Capital Trust	7.200%	12/31/49	A+		2,507,618
	3,100	Fulton Capital Trust I	6.290%	2/01/36	A3		3,036,676
	10,400	JPMorgan Chase Capital Trust XVIII	6.950%	8/17/36	Aa3		10,874,042
	2,800	Old Mutual Capital Funding	8.000%	6/22/53	Baa2		2,919,000

		Total Diversified Financial Services					19,337,336


		Diversified Telecommunication Services – 0.8%

	9,957	Centaur Funding Corporation, Series B, 144A	9.080%	4/21/20	BBB		11,690,140


		Insurance – 2.8%

	2,300	American General Capital II	8.500%	7/01/30	Aa3		2,999,345
	4,000	Mangrove Bay, Class 3, 144A	6.102%	7/15/33	BBB+		3,939,248
	12,200	MetLife Inc.	6.400%	12/15/66	A3		11,950,937
	1,150	Nationwide Financial Services Capital Trust	7.899%	3/01/37	Baa1		1,361,560
	5,500	Oil Insurance Limited, 144A	7.550%	12/30/49	Baa1		5,807,698
	6,750	Prudential PLC	6.500%	6/29/49	A		6,775,029
	6,600	XL Capital, Limited	6.500%	10/15/57	BBB		6,413,002

		Total Insurance					39,246,819


		Oil, Gas & Consumable Fuels – 0.3%

	6,110	KN Capital Trust III	7.630%	4/15/28	Baa3		5,913,948


		Road & Rail – 0.4%

	6,400	Burlington Northern Santa Fe Funding Trust I	6.613%	12/15/55	BBB		5,964,941


		Thrifts & Mortgage Finance – 0.8%

	500	Caisse Nationale Des Caisses d’Epargne et de Prevoyance	6.750%	1/27/49	A+		511,570
	10,000	Dime Capital Trust I, Series A	9.330%	5/06/27	A3		10,496,310

		Total Thrifts & Mortgage Finance					11,007,880

		Total Capital Preferred Securities (cost $421,799,973)					409,650,162


Shares		Description (1)	Value


		Investment Companies – 1.9% (1.3% of Total Investments)

	65,094	Blackrock Preferred and Corporate Income Strategies Fund	$	1,439,879
	369,443	Blackrock Preferred Income Strategies Fund		7,699,192
	334,392	Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.		7,456,942
	110,991	Flaherty and Crumrine/Claymore Total Return Fund Inc.		2,480,649
	3,300	John Hancock Preferred Income Fund		83,218
	5,700	John Hancock Preferred Income Fund II		142,956
	315,516	John Hancock Preferred Income Fund III		7,285,264

		Total Investment Companies (cost $24,598,575)		26,588,100

Principal

Amount (000)

Description (1)

Coupon

Maturity

Value

Short-Term Investments – 1.9% (1.3% of Total Investments)

18,027

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/07, repurchase price $18,034,371, collateralized by $4,000,000 U.S. Treasury Bonds, 7.875%, due 2/15/21, value $5,240,000 and $9,665,000 U.S. Treasury Bonds, 8.125%, due 5/15/21, value $13,151,832

4.900%

4/02/07

18,027,010

8,478

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/07, repurchase price $8,481,275, collateralized by $8,760,000 U.S. Treasury Notes, 3.375%, due 12/15/08, value $8,650,500

4.900%

4/02/07

8,477,813

26,505

Total Short-Term Investments (cost $26,504,823)

26,504,823

Total Investments (cost $2,069,060,294) – 148.6%

2,102,678,454

Other Assets Less Liabilities – 1.4%

20,372,280

Preferred Shares, at Liquidation Value – (50.0)%

(708,000,000

)

Net Assets Applicable to Common Shares – 100%

1,415,050,734

Interest Rate Swaps outstanding at March 31, 2007:

Fund

Fixed Rate

Unrealized

Notional

Pay/Receive

Floating Rate

Fixed Rate

Payment

Termination

Appreciation

Counterparty

Amount

Floating Rate

Index

(Annualized)

Frequency

Date

(Depreciation)

JPMorgan Chase

71,000,000

Receive

1-Month USD-LIBOR

2.994%

Monthly

1/22/08

1,313,136

Morgan Stanley

71,000,000

Receive

1-Month USD-LIBOR

3.406

Monthly

1/22/09

1,962,977

3,276,113

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

Futures Contracts outstanding at March 31, 2007:


							Unrealized
	Contract	Number of		Contract	Value at		Appreciation
Type	Position	Contracts		Expiration	March 31, 2007		(Depreciation)

U.S. Treasury Bonds	Long		1,173	6/07	$	130,496,250	$	(828,742	)
U.S. 10-Year Treasury Notes	Long		2,009	6/07		217,223,125		(307,547	)

							$	(1,136,289	)


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

(2)		Non-income producing.

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

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


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

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

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

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.

CORTS		Corporate Backed Trust Securities.

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 outside the United states.

SATURNS		Structured Asset Trust Unit Repackaging.

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

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, recognition of premium amortization, recognition of income on REIT investments, timing differences in the recognition of income and timing differences in recognizing certain gains and losses on investment transactions.

At March 31, 2007, the cost of investments was $2,089,197,293.

Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2007, were as follows:




Gross unrealized:
Appreciation	$	67,415,189
Depreciation		(53,934,028	)



Net unrealized appreciation (depreciation) of investments	$	13,481,161

Item 2. Controls and Procedures.

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

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

Item 3. Exhibits.

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

SIGNATURES

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

(Registrant) Nuveen Multi-Strategy Income & Growth Fund



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

Date May 30, 2007

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



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

Date May 30, 2007



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

Date May 30, 2007


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