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

nvq

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21333

Nuveen Multi-Strategy Income & Growth Fund 2

(Exact name of registrant as specified in charter)

333 West Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)

Kevin J. McCarthy—Vice President and Secretary
333 West Wacker Drive, Chicago, Illinois 60606
(Name and address of agent for service)

Registrant’s telephone number, including area code: 312-917-7700

Date of fiscal year end: 12/31

Date of reporting period: 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 2 (JQC)
(Currently known as Nuveen Multi-Strategy Income & Growth Fund 2)
March 31, 2007


Shares		Description (1)	Value


		Common Stocks – 10.0% (6.8% of Total Investments)

		Aerospace & Defense – 0.3%

	25,750	Boeing Company	$	2,289,433
	25,142	Lockheed Martin Corporation		2,439,277
	32,370	Orbital Sciences Corporation, (2)		606,614

		Total Aerospace & Defense		5,335,324


		Air Freight & Logistics – 0.1%

	12,192	FedEx Corporation		1,309,787


		Beverages – 0.1%

	34,460	Coca-Cola Company		1,654,080


		Biotechnology – 0.1%

	20,050	Biogen Idec Inc., (2)		889,819
	26,888	Genentech, Inc., (2)		2,208,043

		Total Biotechnology		3,097,862


		Capital Markets – 0.3%

	2,510	BlackRock Inc.		392,338
	66,850	JPMorgan Chase & Co.		3,234,203
	6,450	Marketaxess, (2)		107,973
	19,900	Morgan Stanley		1,567,324

		Total Capital Markets		5,301,838


		Chemicals – 0.2%

	17,190	Air Products & Chemicals Inc.		1,271,372
	24,668	Airgas, Inc.		1,039,756
	27,020	Ashland Inc.		1,772,512
	7,280	CF Industries Holdings, Inc.		280,644
	9,740	Sparetech Corporation		285,772
	16,150	Terra Industries, Inc., (2)		282,625

		Total Chemicals		4,932,681


		Commercial Banks – 0.3%

	3,030	Affiliated Managers Group Inc., (2)		328,301
	19,760	Colonial BancGroup Inc.		489,060
	7,180	Comerica Incorporated		424,482
	9,635	Greater Bay Bancorp.		259,085
	25,780	Mellon Financial Corporation		1,112,149
	12,890	Northern Trust Corporation		775,205
	42,320	PNC Financial Services Group, Inc.		3,045,770
	6,300	Umpqua Holdings Corporation		168,651

		Total Commercial Banks		6,602,703


		Commercial Services & Supplies – 0.4%

	2,690	Administaff, Inc.		94,688
	4,138	Consolidated Graphics Inc., (2)		306,419
	41,720	Corrections Corporation of America, (2)		2,203,233
	13,770	ITT Educational Services, Inc., (2)		1,122,117
	12,495	Republic Services, Inc.		347,611
	42,580	SEI Investments Company		2,564,593
	20,590	Steelcase Inc.		409,535

		Total Commercial Services & Supplies		7,048,196


		Communications Equipment – 0.2%

	112,580	Corning Incorporated, (2)		2,560,069
	4,789	Harris Corporation		244,000
	13,010	Polycom Inc., (2)		433,623
	32,410	QUALCOMM Inc.		1,382,611

		Total Communications Equipment		4,620,303


		Computers & Peripherals – 0.4%

	24,930	Apple, Inc., (2)		2,316,246
	51,560	Hewlett-Packard Company		2,069,618
	15,900	Lexmark International, Inc., Class A, (2)		929,514
	8,890	NCR Corporation, (2)		424,675
	49,504	Network Appliance, Inc., (2)		1,807,886
	10,140	Novatel Wireless, (2)		162,646

		Total Computers & Peripherals		7,710,585


		Construction Materials – 0.0%

	2,140	Texas Industries Inc.		161,634


		Consumer Finance – 0.1%

	17,760	Capital One Financial Corporation		1,340,170
	4,880	MasterCard, Inc.		518,451

		Total Consumer Finance		1,858,621


		Diversified Consumer Services – 0.0%

	12,390	INVESTools, Inc., (2)		172,221
	13,894	Jackson Hewitt Tax Services Inc.		447,109

		Total Diversified Consumer Services		619,330


		Diversified Financial Services – 0.0%

	2,260	Eaton Vance Corporation		80,546
	13,020	State Street Corporation		843,045

		Total Diversified Financial Services		923,591


		Diversified Telecommunication Services – 0.1%

	20,770	Alltel Corporation		1,287,740
	34,370	AT&T Inc.		1,355,209
	6,500	Cbeyond Inc., (2)		190,645
	7,420	CT Communications, Inc.		178,822
	19,260	Sprint Nextel Corporation		365,170

		Total Diversified Telecommunication Services		3,377,586


		Electric Utilities – 0.3%

	11,150	El Paso Electric Company, (2)		293,803
	14,520	Great Plains Energy Incorporated		471,174
	17,190	OGE Energy Corp.		666,972
	47,260	PG&E Corporation		2,281,240
	5,490	Pike Electric Corporation, (2)		99,259
	20,210	Progress Energy, Inc.		1,019,392
	59,020	Reliant Energy Inc., (2)		1,199,286
	21,950	Xcel Energy, Inc.		541,946

		Total Electric Utilities		6,573,072


		Electrical Equipment – 0.2%

	3,340	Acuity Brands Inc.		181,830
	85,374	Emerson Electric Co.		3,678,766

		Total Electrical Equipment		3,860,596


		Electronic Equipment & Instruments – 0.5%

	1,830	American Science & Engineering Inc., (2)		96,386
	6,284	Itron Inc., (2)		408,711
	72,810	MEMC Electronic Materials, (2)		4,410,830
	3,790	Mettler-Toledo International Inc., (2)		339,470
	7,621	Teledyne Technologies Inc., (2)		285,330
	62,160	Thermo Fisher Scientific, Inc., (2)		2,905,980
	21,435	Waters Corporation, (2)		1,243,230

		Total Electronic Equipment & Instruments		9,689,937


		Energy Equipment & Services – 0.3%

	9,570	Matrix Service Company, (2)		193,601
	39,830	National-Oilwell Varco Inc., (2)		3,098,376
	9,190	Oceaneering International Inc., (2)		387,083
	29,200	Tidewater Inc.		1,710,536

		Total Energy Equipment & Services		5,389,596


		Food & Staples Retailing – 0.1%

	50,130	Safeway Inc.		1,836,763
	17,740	Whole Foods Market, Inc.		795,639

		Total Food & Staples Retailing		2,632,402


		Food Products – 0.3%

	45,900	Campbell Soup Company		1,787,805
	109,860	ConAgra Foods, Inc.		2,736,613
	10,410	Flowers Foods Inc.		314,070
	19,330	H.J. Heinz Company		910,830
	17,900	McCormick & Company, Incorporated		689,508

		Total Food Products		6,438,826


		Gas Utilities – 0.3%

	104,533	Energen Corporation		5,319,684
	16,210	Questar Corporation		1,446,094

		Total Gas Utilities		6,765,778


		Health Care Equipment & Supplies – 0.3%

	15,700	American Medical Systems Holdings, Inc., (2)		332,369
	41,050	Baxter International Inc.		2,162,104
	9,727	Dade Behring Holdings Inc.		426,529
	13,224	Express Scripts, Inc., (2)		1,067,441
	53,230	Hospira Inc., (2)		2,177,107
	7,859	Surmodics Inc., (2)		282,924

		Total Health Care Equipment & Supplies		6,448,474


		Health Care Providers & Services – 0.3%

	7,380	Centene Corporation, (2)		154,906
	13,189	Healthways Inc., (2)		616,586
	20,410	Humana Inc., (2)		1,184,188
	13,860	Mentor Corporation		637,560
	8,850	Nighthawk Radiology Holdings Inc., (2)		160,982
	40,293	Wellcare Health Plans Inc., (2)		3,434,978

		Total Health Care Providers & Services		6,189,200


		Hotels, Restaurants & Leisure – 0.1%

	17,220	Choice Hotels International, Inc.		610,105
	9,400	P.F. Changs China Bistro, Inc., (2)		393,672
	15,297	Starbucks Corporation, (2)		479,714
	6,720	Town Sports International Holdings, Inc., (2)		146,496

		Total Hotels, Restaurants & Leisure		1,629,987


		Household Durables – 0.1%

	35,262	Newell Rubbermaid Inc.		1,096,296


		Household Products – 0.2%

	50,960	Colgate-Palmolive Company		3,403,618
	15,677	Kimberly-Clark Corporation		1,073,718

		Total Household Products		4,477,336


		Independent Power Producers & Energy Traders – 0.1%

	23,630	NRG Energy Inc., (2)		1,702,305


		Industrial Conglomerates – 0.1%

	28,570	General Electric Company		1,010,235
	3,740	Teleflex Inc.		254,582

		Total Industrial Conglomerates		1,264,817


		Insurance – 0.6%

	49,208	AFLAC Incorporated		2,315,728
	7,700	First American Corporation		390,544
	25,780	Genworth Financial Inc., Class A		900,753
	60,604	Philadelphia Consolidated Holding Corporation, (2)		2,665,970
	10,440	Seabright Insurance Holdings Inc., (2)		192,096
	6,850	Tower Group Inc.		220,707
	141,650	W.R. Berkley Corporation		4,691,448

		Total Insurance		11,377,246


		Internet Software & Services – 0.0%

	7,570	F5 Networks, Inc., (2)		504,768


		IT Services – 0.1%

	36,940	Convergys Corporation, (2)		938,645
	6,740	FactSet Research Systems Inc.		423,609
	10,300	Savvis Inc., (2)		493,164

		Total IT Services		1,855,418


		Leisure Equipment & Products – 0.1%

	18,600	Hasbro, Inc.		532,332
	21,010	Marvel Entertainment Inc., (2)		583,028

		Total Leisure Equipment & Products		1,115,360


		Life Sciences Tools & Services – 0.0%

	3,220	Illumina Inc., (2)		94,346


		Machinery – 0.2%

	7,330	Flow International Corporation, (2)		78,724
	28,968	Harsco Corporation		1,299,504
	8,510	Manitowoc Company Inc.		540,640
	7,730	PACCAR Inc.		567,382
	14,675	Parker Hannifin Corporation		1,266,599
	5,900	RBC Bearings Inc., (2)		197,237
	3,690	Robbins & Myers, Inc.		137,600

		Total Machinery		4,087,686


		Marine – 0.0%

	5,200	American Commercial Lines Inc., (2)		163,540


		Media – 0.5%

	14,150	Cablevision Systems Corporation		430,585
	45,440	DIRECTV Group, Inc., (2)		1,048,301
	27,380	Echostar Communications Corporation, (2)		1,189,113
	26,054	John Wiley and Sons Inc., Class A		983,799
	14,368	Liberty Global Inc., Class C, (2)		440,236
	7,664	Lodgenet Entertainment Corporation, (2)		235,438
	59,240	McGraw-Hill Companies, Inc.		3,725,011
	57,260	Time Warner Inc.		1,129,167

		Total Media		9,181,650


		Metals & Mining – 0.0%

	4,570	Compass Minerals International, Inc.		152,638


		Multiline Retail – 0.3%

	12,530	99 Cents Only Stores, (2)		184,567
	28,620	Big Lots, Inc., (2)		895,234
	41,040	Dollar Tree Stores Inc., (2)		1,569,370
	46,960	Kohl’s Corporation, (2)		3,597,606

		Total Multiline Retail		6,246,777


		Oil, Gas & Consumable Fuels – 0.4%

	6,070	Bill Barnett Corporation, (2)		196,729
	11,460	Cabot Oil & Gas Corporation		771,487
	33,160	EOG Resources, Inc.		2,365,634
	34,790	Equitable Resources Inc.		1,681,053
	10,027	Pioneer Drilling Company, (2)		127,243
	8,990	St Mary Land and Exploration Company		329,753
	9,001	Sunoco, Inc.		634,030
	8,480	Tesoro Petroleum Corporation		851,646
	15,512	Valero Energy Corporation		1,000,369

		Total Oil, Gas & Consumable Fuels		7,957,944


		Personal Products – 0.1%

	6,970	NBTY Inc., (2)		369,689
	16,850	Nutri System Inc., (2)		883,109

		Total Personal Products		1,252,798


		Pharmaceuticals – 0.2%

	22,970	Abraxis Bioscience Inc., (2)		613,529
	64,320	Merck & Co. Inc.		2,841,014
	10,790	Pozen Inc., (2)		159,153

		Total Pharmaceuticals		3,613,696


		Real Estate – 0.3%

	2,780	Camden Property Trust		195,462
	12,103	Equity Inns Inc.		198,247
	11,080	Health Care Property Investors Inc.		399,212
	8,167	LaSalle Hotel Properties		378,622
	16,070	Northstar Realty Finance Corporation		244,425
	11,061	Public Storage, Inc.		1,047,145
	17,524	SL Green Realty Corporation		2,403,942
	14,217	Tanger Factory Outlet Centers		574,225
	10,474	Taubman Centers Inc.		607,387
	13,254	UDR Inc.		405,837

		Total Real Estate		6,454,504


		Road & Rail – 0.0%

	22,270	Hertz Global Holdings, Inc., (2)		527,799
	8,330	Landstar System		381,847

		Total Road & Rail		909,646


		Semiconductors & Equipment – 0.4%

	178,195	Cypress Semiconductor Corporation, (2)		3,305,514
	203,710	Micron Technology, Inc., (2)		2,460,817
	77,520	National Semiconductor Corporation		1,871,333
	26,700	Trident Microsystems Inc., (2)		535,602

		Total Semiconductors & Equipment		8,173,266


		Software – 0.4%

	4,150	Ansys Inc., (2)		210,696
	11,135	Aspen Technology Inc., (2)		144,755
	14,334	Blackbaud, Inc.		350,036
	90,450	BMC Software, Inc., (2)		2,784,956
	47,260	Intuit Inc., (2)		1,293,034
	50,740	Salesforce.com, Inc., (2)		2,172,687
	26,510	Synopsys Inc., (2)		695,357

		Total Software		7,651,521


		Specialty Retail – 0.3%

	5,340	Aeropostale, Inc., (2)		214,828
	83,300	American Eagle Outfitters, Inc.		2,498,167
	9,790	Dick’s Sporting Goods Inc., (2)		570,365
	6,290	Gymboree Corporation, (2)		252,040
	3,650	J Crew Group, Inc., (2)		146,621
	12,120	PetSmart Inc.		399,475
	43,890	RadioShack Corporation		1,186,347

		Total Specialty Retail		5,267,843


		Textiles, Apparel & Luxury Goods – 0.1%

	27,898	Guess Inc.		1,129,590


		Thrifts & Mortgage Finance – 0.0%

	19,410	Washington Federal Inc.		455,359


		Tobacco – 0.2%

	7,570	Altria Group, Inc.		664,722
	50,840	UST Inc.		2,947,703

		Total Tobacco		3,612,425


		Trading Companies & Distributors – 0.0%

	6,974	GATX Corporation		333,357

		Total Common Stocks (cost $184,722,224)		200,304,121


Shares		Description (1)	Coupon	Ratings (3)	Value


		Convertible Preferred Securities – 8.1% (5.5% of Total Investments)

		Automobiles – 1.0%

	419,570	General Motors Corporation, Series B	5.250%	B-	$	8,706,078
	486,000	General Motors Corporation	6.250%	B-		11,032,200

		Total Automobiles				19,738,278


		Capital Markets – 0.2%

	18,750	Affiliated Managers Group Inc.	5.100%	BB		1,028,906
	72,000	Affiliated Managers Group Inc.	5.100%	BB		3,951,000

		Total Capital Markets				4,979,906


		Chemicals – 0.1%

	51,100	Celanese Corporation	4.250%	N/R		2,102,765


		Commercial Banks – 0.8%

	6,920,000	Fortis Insurance NV, 144A	7.750%	Aa3		9,559,765
	126,895	Washington Mutual, Inc., Unit 1 Trust	5.375%	A3		6,826,951

		Total Commercial Banks				16,386,716


		Commercial Services & Supplies – 0.4%

	21,145	Allied Waste Industries Inc., Series D	6.250%	B		7,088,861


		Communications Equipment – 0.1%

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


		Diversified Financial Services – 0.4%

	303,000	XL Capital Limited, Series X	7.000%	A-		7,871,940


		Electric Utilities – 0.4%

	123,025	Entergy Corporation	7.625%	BBB		7,995,395


		Food Products – 0.4%

	65,025	Bunge Limited	4.875%	N/R		7,486,003


		Gas Utilities – 0.2%

	68,750	Southern Union Company	5.000%	BBB-		3,847,938


		Household Durables – 0.2%

	3,400	Stanley Works	0.000%	A		3,509,650


		Independent Power Producers & Energy Traders – 0.4%

	250	NRG Energy Inc.	4.000%	B2		476,125
	22,975	NRG Energy Inc.	5.750%	B2		7,468,024

		Total Independent Power Producers & Energy Traders				7,944,149


		Insurance – 1.0%

	12,000	Alleghany Corporation	5.750%	BBB-		4,132,500
	80,000	Aspen Insurance Holdings Limited	5.625%	BBB-		4,340,000
	319,100	MetLife Inc., Series B	6.375%	BBB+		10,211,200
	18,500	Travelers Property Casualty Corporation	4.500%	Baa1		471,380

		Total Insurance				19,155,080


		Metals & Mining – 0.7%

	72,140	Freeport McMoran Copper & Gold, Inc.	6.750%	B		7,712,487
	3,630	Freeport McMoran Copper & Gold, Inc.	5.500%	B-		5,537,565

		Total Metals & Mining				13,250,052


		Oil, Gas & Consumable Fuels – 0.3%

	15,910	Chesapeake Energy Corporation	6.250%	N/R		4,187,751
	20,535	Williams Companies Inc.	5.500%	B		2,746,556

		Total Oil, Gas & Consumable Fuels				6,934,307


		Pharmaceuticals – 0.5%

	183,825	Schering-Plough Corporation	6.000%	BBB		10,818,101


		Real Estate – 0.0%

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


		U.S. Agency – 0.8%

	151	Federal National Mortgage Association	5.375%	AA-		15,183,183


		Wireless Telecommunication Services – 0.2%

	78,725	Crown Castle International Corporation	6.250%	N/R		4,507,006

		Total Convertible Preferred Securities (cost $148,234,010)				161,609,955


Shares		Description (1)	Coupon	Ratings (3)	Value


		$25 Par (or similar) Preferred Securities – 44.7%

		Automobiles – 0.0%

	3,000	DaimlerChrysler AG (CORTS)	7.875%	Baa1	$	74,970


		Capital Markets – 3.0%

	269,511	BNY Capital Trust V, Series F	5.950%	A1		6,700,043
	220,000	Compass Capital Trust III	7.350%	A3		5,506,600
	31,200	CSFB USA, Series 2002-10 (SATURNS)	7.000%	AA-		791,544
	22,600	First Union Institutional Capital II (CORTS)	8.200%	A1		622,178
	9,600	Goldman Sachs Capital I (CORTS)	6.000%	A1		232,032
	7,700	Goldman Sachs Capital I, Series A (CORTS)	6.000%	A1		187,726
	6,900	Goldman Sachs Group Inc., Series 2004-04 (SATURNS)	6.000%	A1		166,014
	2,900	Goldman Sachs Group Inc., Series 2004-06 (SATURNS)	6.000%	A1		69,774
	2,900	Goldman Sachs Group Inc., Series 2004-4 (CORTS)	6.000%	A1		69,803
	16,500	Goldman Sachs Group Inc., Series GSC-3 (PPLUS)	6.000%	A1		397,155
	11,200	Goldman Sachs Group Inc., Series GSG-1 (PPLUS)	6.000%	AA-		270,816
	4,000	Goldman Sachs Group Inc., Series GSG-2 (PPLUS)	5.750%	AA-		94,160
	423,200	Merrill Lynch Preferred Capital Trust III	7.000%	A1		10,711,192
	189,600	Merrill Lynch Preferred Capital Trust IV	7.120%	A1		4,827,216
	283,400	Merrill Lynch Preferred Capital Trust V	7.280%	A1		7,331,558
	211,850	Morgan Stanley Capital Trust II	7.250%	A1		5,389,464
	174,392	Morgan Stanley Capital Trust III	6.250%	A1		4,340,617
	98,695	Morgan Stanley Capital Trust IV	6.250%	A1		2,448,623
	310,300	Morgan Stanley Capital Trust VI	6.600%	A1		7,977,813
	45,458	Morgan Stanley Capital Trust VII	6.600%	A2		1,150,542

		Total Capital Markets				59,284,870


		Commercial Banks – 8.3%

	303,200	Abbey National PLC, Series C	7.375%	A2		7,689,152
	730,000	ABN AMRO Capital Fund Trust V	5.900%	Aa3		17,870,400
	14,979	ABN AMRO Capital Fund Trust VI	6.250%	Aa3		377,920
	17,021	ABN AMRO Capital Trust Fund VII	6.080%	Aa3		428,248
	115,200	ASBC Capital I	7.625%	A3		2,897,280
	128,410	BAC Capital Trust I	7.000%	Aa2		3,241,068
	565,500	BAC Capital Trust II	7.000%	Aa2		14,318,460
	151,300	BAC Capital Trust III	7.000%	Aa2		3,833,942
	1,000	BAC Capital Trust X	6.250%	Aa2		25,050
	108,627	Banco Santander, 144A	6.800%	A		2,749,621
	254,700	Banco Santander, 144A	6.500%	A		6,486,903
	766,556	Banco Santander	6.410%	A2		19,516,516
	6,700	BancorpSouth Capital Trust I	8.150%	Baa1		168,773
	28,800	Banesto Holdings, Series A, 144A	10.500%	A2		871,200
	167,700	Bank One Capital Trust VI	7.200%	Aa3		4,266,288
	52,800	BankNorth Capital Trust II	8.000%	A1		1,327,920
	61,042	Barclays Bank PLC, (6)	6.625%	Aa3		1,620,665
	34,800	Capital One Capital II Corporation	7.500%	Baa1		916,764
	166,100	Chittenden Capital Trust I	8.000%	A3		4,170,771
	142,300	Citizens Funding Trust I	7.500%	Baa2		3,686,466
	146,500	Cobank ABC, 144A, (6)	7.000%	N/R		7,555,005
	430,300	Fleet Capital Trust VIII	7.200%	Aa2		10,804,833
	61,600	HSBC Finance Corporation	6.875%	AA-		1,569,568
	85,867	KeyCorp Capital Trust V	5.875%	A3		2,078,840
	4,200	KeyCorp Capital VIII	7.000%	A3		108,938
	723,905	National City Capital Trust II	6.625%	A3		18,188,113
	21,700	ONB Capital Trust II	8.000%	A3		550,312
	27,300	PNC Capital Trust	6.125%	A2		673,218
	60,050	Royal Bank of Scotland Group PLC, Series L	5.750%	A1		1,458,014
	124,740	Royal Bank of Scotland Group PLC, Series N	6.350%	A1		3,188,354
	14,300	SunAmerica CORTS	6.700%	AA		361,218
	5,961	USB Capital Trust VI	5.750%	Aa3		141,872
	44,900	USB Capital Trust XI	6.600%	A1		1,142,256
	39,300	VNB Capital Trust I	7.750%	A3		1,000,578
	483,400	Wells Fargo Capital Trust V	7.000%	Aa2		12,234,854
	114,700	Wells Fargo Capital Trust VI	6.950%	Aa2		2,862,912
	126,509	Wells Fargo Capital Trust VII	5.850%	Aa2		3,099,471
	117,800	Zions Capital Trust B	8.000%	BBB-		2,998,010

		Total Commercial Banks				166,479,773


		Computers & Peripherals – 0.0%

	19,000	IBM Trust IV (CORTS)	7.000%	A+		487,540


		Consumer Finance – 0.0%

	13,300	SLM Corporation	6.000%	A		323,456


		Diversified Financial Services – 4.4%

	101,500	BAC Capital Trust XII	6.875%	Aa3		2,648,643
	27,700	CIT Group Incorporated (CORTS)	7.750%	A3		724,632
	197,400	Citigroup Capital Trust VII	7.125%	Aa2		4,994,220
	754,422	Citigroup Capital Trust VIII	6.950%	Aa2		18,981,258
	26,600	Citigroup Capital XIV	6.875%	Aa2		695,058
	298,921	Citigroup Capital XV	6.500%	Aa3		7,566,438
	42,100	Citigroup Capital XVI	6.450%	Aa2		1,055,447
	6,500	Citigroup, Series CIT (CORTS)	6.750%	A3		163,540
	2,000	Deutsche Bank Capital Funding Trust VIII	6.375%	A		52,125
	41,800	General Electric Capital Corporation	6.625%	AAA		1,055,450
	592,320	ING Group N.V.	7.200%	A1		15,074,544
	755,475	ING Group N.V.	7.050%	A		19,128,627
	598,100	Merrill Lynch Capital Trust I	6.450%	A1		15,091,558
	29,500	Royal Bank of Scotland Public Limited Company, Series 2006Q	6.750%	A1		770,835

		Total Diversified Financial Services				88,002,375


		Diversified Telecommunication Services – 1.0%

	617,100	AT&T Inc.	6.375%	A		15,543,206
	38,500	BellSouth Capital Funding (CORTS)	7.100%	A		968,518
	30,500	BellSouth Corporation (CORTS)	7.000%	Aa3		758,688
	28,000	Verizon Communications (CORTS)	7.625%	A		720,860
	48,100	Verizon Communications (CORTS)	7.375%	A		1,232,322
	50,700	Verizon New England Inc., Series B	7.000%	A3		1,280,175

		Total Diversified Telecommunication Services				20,503,769


		Electric Utilities – 0.4%

	5,500	Consolidated Edison, Inc.	7.250%	A2		138,435
	21,100	DTE Energy Trust I	7.800%	Baa3		536,995
	28,900	Entergy Louisiana LLC	7.600%	A-		726,835
	8,300	Entergy Mississippi Inc.	7.250%	A-		211,152
	51,600	FPL Group Capital Inc.	6.600%	A3		1,326,120
	3,000	Georgia Power Capital Trust V	7.125%	A3		75,330
	11,700	Mississippi Power, Capital Trust II	7.200%	A2		295,425
	5,200	National Rural Utilities Cooperative Finance Corporation	7.400%	A3		132,340
	1,500	National Rural Utilities Cooperative Finance Corporation	6.100%	A3		36,810
	1,600	National Rural Utilities Cooperative Finance Corporation	5.950%	A3		37,856
	33,600	Northern States Power Company	8.000%	A3		865,200
	10,700	PPL Energy Supply LLC	7.000%	BBB		279,204
	13,100	Southern Company Capital Trust VI	7.125%	BBB+		329,203
	122,500	Virginia Power Capital Trust	7.375%	Baa2		3,129,875

		Total Electric Utilities				8,120,780


		Food Products – 0.1%

	35,100	Dairy Farmers of America Inc., 144A, (6)	7.875%	BBB-		3,662,467


		Household Durables – 0.1%

	72,700	Pulte Homes Inc.	7.375%	BBB		1,840,219


		Industrial Conglomerates – 0.0%

	5,400	General Electric Company, Series GE (CORTS)	6.800%	AAA		136,080


		Insurance – 10.6%

	1,210,933	Ace Ltd., Series C	7.800%	Baa2		31,108,869
	2,100	Aegon N.V.	6.875%	A-		55,398
	1,402,000	Aegon N.V., (6)	6.375%	A-		36,199,640
	12,233	AMBAC Financial Group Inc.	5.950%	AA		299,097
	236,713	Arch Capital Group Limited, Series B	7.785%	Baa3		6,211,349
	389,973	Arch Capital Group Limited	8.000%	Baa3		10,462,976
	677,101	Delphi Financial Group, Inc.	8.000%	BBB		17,570,771
	200,456	EverestRe Capital Trust II	6.200%	Baa1		4,810,944
	97,100	EverestRe Group Limited	7.850%	Baa1		2,479,934
	1,401,100	Lincoln National Capital Trust VI	6.750%	A-		35,587,940
	123,800	Markel Corporation	7.500%	BBB-		3,211,372
	903,702	PartnerRe Limited, Series C	6.750%	BBB+		22,827,513
	80,900	PLC Capital Trust III	7.500%	BBB+		2,045,152
	71,200	PLC Capital Trust IV	7.250%	BBB+		1,789,968
	24,100	PLC Capital Trust V	6.125%	BBB+		583,461
	37,500	Protective Life Corporation	7.250%	BBB		972,750
	39,200	Prudential PLC	6.750%	A		1,009,400
	124,700	RenaissanceRe Holdings Limited, Series B	7.300%	BBB		3,167,380
	1,534	RenaissanceRe Holdings Limited, Series C	6.080%	BBB+		36,509
	18,600	RenaissanceRe Holdings Ltd	6.600%	BBB		454,770
	24,600	Safeco Capital Trust I (CORTS)	8.750%	Baa2		704,544
	48,300	Safeco Capital Trust III (CORTS)	8.072%	Baa2		1,226,820
	17,400	Safeco Capital Trust IV (CORTS)	8.375%	Baa2		478,587
	40,200	Safeco Corporation, Series 2001-7 (SATURNS)	8.250%	Baa2		1,028,316
	38,800	Safeco Corporation, Series 2002-5 (SATURNS)	8.250%	Baa2		992,310
	709,600	W.R. Berkley Corporation	6.750%	BBB-		18,023,840
	68,800	XL Capital Ltd, Series A	8.000%	Baa1		1,742,016
	248,540	XL Capital Ltd, Series B	7.625%	Baa1		6,307,945

		Total Insurance				211,389,571


		IT Services – 0.0%

	2,500	Vertex Industries Inc. (PPLUS)	7.625%	A		64,350


		Media – 2.8%

	52,700	CBS Corporation	7.250%	BBB		1,326,459
	481,000	CBS Corporation	6.750%	BBB		12,040,055
	1,031,100	Comcast Corporation	7.000%	BBB+		26,518,655
	644,700	Viacom Inc.	6.850%	BBB		16,198,088
	2,900	Walt Disney Company (CORTS)	6.875%	A-		73,921

		Total Media				56,157,178


		Multi-Utilities – 0.1%

	52,400	Dominion CNG Capital Trust I	7.800%	Baa2		1,332,532


		Oil, Gas & Consumable Fuels – 0.9%

	680,300	Nexen Inc.	7.350%	Baa3		17,442,892


		Pharmaceuticals – 0.1%

	49,000	Bristol Myers Squibb Company (CORTS)	6.250%	A+		1,215,200


		Real Estate – 11.0%

	30,600	AMB Property Corporation, Series P	6.850%	Baa2		776,475
	77,100	AvalonBay Communities, Inc., Series H	8.700%	BBB		2,096,349
	166,283	BRE Properties, Series B	8.080%	BBB-		4,190,332
	104,300	Developers Diversified Realty Corporation, Series G	8.000%	BBB-		2,655,478
	1,264,845	Developers Diversified Realty Corporation, Series H	7.375%	BBB-		32,696,243
	125,600	Duke Realty Corporation, Series L	6.600%	BBB		3,152,560
	31,700	Duke Realty Corporation, Series N	7.250%	BBB		819,248
	100,400	Duke-Weeks Realty Corporation	6.950%	BBB		2,540,120
	96,000	Duke-Weeks Realty Corporation	6.625%	BBB		2,406,720
	25,000	Duke-Weeks Realty Corporation, Series B	7.990%	BBB		1,244,533
	15,400	Equity Residential Properties Trust, Series D	8.600%	BBB		386,694
	312,323	Equity Residential Properties Trust, Series N	6.480%	BBB		7,745,610
	4,900	First Industrial Realty Trust, Inc., Series C	8.625%	BBB-		124,681
	688,600	HRPT Properties Trust, Series B	8.750%	BBB-		17,669,476
	532,700	HRPT Properties Trust, Series C	7.125%	BBB-		13,770,295
	99,800	New Plan Excel Realty Trust, Series E	7.625%	BBB-		2,496,996
	3,997	Prologis Trust, Series C	8.540%	BBB		239,945
	95,275	Prologis Trust, Series G	6.750%	BBB		2,417,127
	407,588	PS Business Parks, Inc.	7.000%	BBB-		10,254,914
	4,200	PS Business Parks, Inc., Series I	6.875%	BBB-		104,370
	700	PS Business Parks, Inc., Series K	7.950%	BBB-		18,571
	243,000	PS Business Parks, Inc., Series L	7.600%	BBB-		6,220,800
	130,700	PS Business Parks, Inc., Series O	7.375%	BBB-		3,324,681
	249,836	Public Storage, Inc.	6.750%	BBB+		6,355,203
	149,000	Public Storage, Inc., Series E	6.750%	BBB+		3,762,250
	18,400	Public Storage, Inc., Series F	6.450%	BBB+		456,320
	15,911	Public Storage, Inc., Series H	6.950%	BBB+		407,322
	13,600	Public Storage, Inc., Series I	7.250%	BBB+		351,152
	35,000	Public Storage, Inc., Series K	7.250%	BBB+		915,471
	657,538	Public Storage, Inc., Series M	6.625%	BBB+		16,315,162
	31,500	Public Storage, Inc., Series V	7.500%	BBB+		794,430
	30,303	Realty Income Corporation, Series E	6.750%	BBB-		758,523
	166,100	Regency Centers Corporation	7.450%	BBB-		4,195,686
	20,650	Simon Property Group, Inc., Series G	7.890%	BBB		1,056,764
	2,600	United Dominion Realty Trust	8.600%	BBB-		65,858
	1,200	Vornado Realty Trust, Series F	6.750%	BBB-		30,228
	165,000	Vornado Realty Trust, Series G	6.625%	BBB-		4,101,900
	183,000	Vornado Realty Trust, Series H	6.750%	BBB-		4,595,130
	1,987,734	Wachovia Preferred Funding Corporation	7.250%	A2		55,159,619
	127,800	Weingarten Realty Trust, Series E	6.950%	A-		3,239,730

		Total Real Estate				219,912,966


		Thrifts & Mortgage Finance – 1.7%

	70,800	Countrywide Capital Trust III (PPLUS)	8.050%	BBB+		1,877,970
	679,090	Countrywide Capital Trust IV	6.750%	BBB+		16,474,723
	639,070	Countrywide Capital Trust V	7.000%	BBB+		15,657,215

		Total Thrifts & Mortgage Finance				34,009,908


		Wireless Telecommunication Services – 0.2%

	50,600	United States Cellular Corporation	8.750%	A-		1,303,456
	155,311	United States Cellular Corporation	7.500%	BBB-		3,937,134

		Total Wireless Telecommunication Services				5,240,590

		Total $25 Par (or similar) Preferred Securities (cost $896,928,280)				895,681,486


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


		Variable Rate Senior Loan Interests – 2.0% (4)

		Building Products – 0.1%

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


		Commercial Services & Supplies – 0.0%

	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 – 0.4%

	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 – 0.1%

	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 – 0.6%

	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	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 – 0.0%

	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 – 0.1%

	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 – 0.3%

	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 $40,484,425)					40,682,096


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


		Convertible Bonds – 36.9% (25.1% of Total Investments)

		Aerospace & Defense – 1.4%

$	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
	5,650	DRS Technologies, Inc., 144A	2.000%	2/01/26	B+		5,974,875
	7,340	L-3 Communications Corporation	3.000%	8/01/35	BB+		7,872,150
	6,125	Lockheed Martin Corporation	5.110%	8/15/33	BBB+		8,520,671
	4,445	Triumph Group Inc.	2.625%	10/01/26	N/R		5,328,444

	24,560	Total Aerospace & Defense					28,941,140


		Airlines – 0.4%

	1,000	AMR Corporation	4.500%	2/15/24	CCC+		1,520,000
	1,400	Continental Airlines, Inc.	5.000%	6/15/23	B3		2,794,750
	3,250	UAL Corporation, 144A	4.500%	6/30/21	N/R		4,318,015

	5,650	Total Airlines					8,632,765


		Automobiles – 0.7%

	13,400	Ford Motor Company	4.250%	12/15/36	CCC+		14,840,500


		Biotechnology – 3.2%

	9,435	Amgen Inc., 144A	0.125%	2/01/11	A+		8,668,406
	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
	3,300	Cephalon, Inc., Series B	0.000%	6/15/33	B-		4,422,000
	13,815	Genzyme Corporation	1.250%	12/01/23	BBB		14,263,988
	10,725	Gilead Sciences Inc., 144A	0.625%	5/01/13	N/R		12,159,469
	7,710	Gilead Sciences Inc.	0.500%	5/01/11	N/R		8,750,850
	6,425	Invitrogen Corporation	2.000%	8/01/23	N/R		6,922,938
	6,525	Medimmune Inc.	1.375%	7/15/11	BBB		8,042,063

	59,685	Total Biotechnology					65,001,589


		Capital Markets – 0.5%

	250	BlackRock Inc.	2.625%	2/15/35	A+		398,750
	9,300	Goldman Sachs Group, Inc.	0.125%	6/28/11	AA-		10,448,736

	9,550	Total Capital Markets					10,847,486


		Commercial Banks – 0.7%

	10,260	U.S. Bancorp, Series 144A	3.600%	9/20/36	Aa2		10,327,716
	4,000	Wells Fargo & Company	5.610%	5/01/33	AA+		4,010,160

	14,260	Total Commercial Banks					14,337,876


		Commercial Services & Supplies – 0.1%

	1,850	Fair Isaac & Company	1.500%	8/15/23	N/R		1,921,688


		Communications Equipment – 1.5%

	2,000	Ciena Corporation	3.750%	2/01/08	B		1,972,500
	8,425	Juniper Networks Inc.	0.000%	6/15/08	BB		9,330,688
	9,560	Lucent Technologies Inc., Series B	2.750%	6/15/25	Ba2		9,894,600
	9,240	Lucent Technologies Inc.	2.750%	6/15/23	Ba2		9,263,100
	500	Nortel Networks Corp.	4.250%	9/01/08	B-		496,250

	29,725	Total Communications Equipment					30,957,138


		Computers & Peripherals – 1.3%

	10,485	EMC Corporation, 144A	1.750%	12/01/11	BBB+		11,310,694
	9,750	EMC Corporation, 144A	1.750%	12/01/13	BBB+		10,517,813
	2,650	M Systems Financial, Inc.	1.000%	3/15/35	N/R		3,471,500
	250	Sandisk Corporation	1.000%	5/15/13	BB-		220,000

	23,135	Total Computers & Peripherals					25,520,007


		Construction & Engineering – 0.2%

	3,580	Quanta Services Inc., 144A	3.750%	4/30/26	N/R		4,694,275


		Consumer Finance – 0.2%

	3,750	SLM Corporation	5.310%	7/25/35	A		3,753,750


		Containers & Packaging – 0.2%

	4,095	Sealed Air Corporation, 144A	3.000%	6/30/33	BBB		4,166,663


		Diversified Financial Services – 0.5%

	8,750	Merrill Lynch & Co. Inc.	0.000%	3/13/32	Aa3		10,656,625


		Diversified Telecommunication Services – 1.0%

	2,150	Level 3 Communications Inc.	3.500%	6/15/12	CCC		2,816,500
	6,725	Level 3 Communications Inc.	2.875%	7/15/10	CCC		7,548,813
	4,600	Qwest Communications International Inc.	3.500%	11/15/25	B+		7,630,250
	2,105	Time Warner Telecom Inc.	2.375%	4/01/26	CCC+		2,762,813

	15,580	Total Diversified Telecommunication Services					20,758,376


		Electric Utilities – 0.4%

	1,475	Centerpoint Energy Inc.	3.750%	5/15/23	BBB-		2,356,313
	5,600	Covanta Holding Corporation	1.000%	2/01/27	B1		5,530,000

	7,075	Total Electric Utilities					7,886,313


		Electrical Equipment – 0.2%

	2,600	General Cable Corporation	0.875%	11/15/13	B+		3,191,500


		Energy Equipment & Services – 1.9%

	6,500	Cameron International Corporation, 144A	2.500%	6/15/26	BBB+		7,515,625
	4,415	Core Laboratories LP, 144A	0.250%	10/31/11	N/R		4,657,825
	5,125	Halliburton Company	3.125%	7/15/23	BBB+		8,802,188
	6,600	Nabors Industries Inc., 144A	0.940%	5/15/11	A-		6,294,750
	1,500	Nabors Industries Inc., 144A	0.940%	5/15/11	A-		1,430,625
	6,900	Nabors Industries Inc.	0.000%	6/15/23	N/R		7,124,250
	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

	32,040	Total Energy Equipment & Services					37,194,013


		Food Products – 0.5%

	9,020	Archer Daniels Midland Company, 144A	0.875%	2/15/14	A		9,335,700


		Health Care Equipment & Supplies – 1.6%

	500	Advanced Medical Optics	3.250%	8/01/26	N/R		471,875
	9,500	Beckman Coulter Inc., 144A	2.500%	12/15/36	BBB		10,046,250
	17,550	Medtronic, Inc.	1.500%	4/15/11	AA-		18,032,625
	2,550	Medtronic, Inc.	1.625%	4/15/13	AA-		2,620,125
	250	Medtronic, Inc.	1.500%	4/15/11	AA-		256,875

	30,350	Total Health Care Equipment & Supplies					31,427,750


		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
	8,510	Roche Holdings Inc., 144A	0.000%	7/25/21	N/R		8,015,654

	9,760	Total Health Care Providers & Services					9,460,029


		Hotels, Restaurants & Leisure – 1.3%

	1,000	Caesars Entertainment Inc.	5.360%	4/15/24	Baa3		1,344,900
	19,650	Carnival Corporation	1.132%	4/29/33	A-		13,779,563
	500	Hilton Hotels Corporation	3.375%	4/15/23	BB+		815,625
	10,485	International Game Technology, 144A	2.600%	12/15/36	BBB		10,235,981

	31,635	Total Hotels, Restaurants & Leisure					26,176,069


		Independent Power Producers & Energy Traders – 0.3%

	5,870	SunPower Corporation	1.250%	2/15/27	N/R		6,119,475


		Industrial Conglomerates – 0.2%

	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 – 1.4%

	8,015	American Financial Group Inc.	1.486%	6/02/33	BBB		4,748,888
	7,180	Berkshire Hathaway Inc.	0.000%	5/15/07	N/R		8,744,436
	14,700	Prudential Financial Inc.	2.613%	11/15/35	A		15,189,951

	29,895	Total Insurance					28,683,275


		Internet & Catalog Retail – 0.0%

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


		Internet Software & Services – 0.2%

	2,550	Yahoo! Inc.	0.000%	4/01/08	BBB-		3,946,125


		IT Services – 0.4%

	3,575	Digital River Inc.	1.250%	1/01/24	N/R		4,781,563
	1,945	DST Systems Inc.	4.125%	8/15/23	N/R		3,167,919

	5,520	Total IT Services					7,949,482


		Leisure Equipment & Products – 0.5%

	9,975	Eastman Kodak Company	3.375%	10/15/33	B1		10,012,406


		Life Sciences Tools & Services – 0.5%

	8,785	Millipore Corporation	3.750%	6/01/26	N/R		9,465,838


		Machinery – 0.8%

	3,145	Barnes Group, Inc., 144A	3.750%	8/01/25	N/R		3,935,181
	3,340	Barnes Group, Inc., 144A	3.375%	3/15/27	N/R		3,502,825
	250	Danaher Corporation	0.000%	1/22/21	A+		260,938
	7,100	Trinity Industries Inc.	3.875%	6/01/36	Ba3		7,845,500

	13,835	Total Machinery					15,544,444


		Media – 2.4%

	3,800	ELF Special Financing Limited, 144A	5.705%	6/15/09	Ba3		4,640,560
	250	Lamar Advertising Company	2.875%	12/31/10	B1		344,375
	4,900	Liberty Media Corporation	3.500%	1/15/31	BB+		4,034,654
	11,600	Liberty Media Corporation	0.750%	3/30/23	BB+		13,644,500
	13,500	Omnicom Group Inc.	0.000%	7/01/38	A-		14,546,250
	8,865	Walt Disney Company	2.125%	4/15/23	A-		10,759,894

	42,915	Total Media					47,970,233


		Metals & Mining – 0.2%

	3,375	Placer Dome Inc.	2.750%	10/15/23	A-		4,311,563


		Multi-Utilities – 0.3%

	4,325	Dominion Resources Inc., Series C	2.125%	12/15/23	BBB		5,260,281


		Oil, Gas & Consumable Fuels – 1.3%

	7,450	Chesapeake Energy Corporation, 144A	2.750%	11/15/35	BB		7,794,563
	5,615	Devon Energy Corporation	4.900%	8/15/08	BBB		7,853,981
	2,500	Goodrich Petroleum Corporation, 144A	3.250%	12/01/26	N/R		2,340,625
	7,450	Peabody Energy Corp.	4.750%	12/15/66	Ba3		7,403,438

	23,015	Total Oil, Gas & Consumable Fuels					25,392,607


		Pharmaceuticals – 1.9%

	5,110	Allergan Inc., 144A	1.500%	4/01/26	A		5,378,275
	5,140	Allergan Inc.	1.500%	4/01/26	A		5,409,850
	3,000	Bristol-Myers Squibb Company	4.855%	9/15/23	A+		3,037,500
	250	Teva Pharmaceutical Finance Company B.V., Series D	1.750%	2/01/26	BBB		244,375
	4,175	Teva Pharmaceutical Finance, Series A	0.500%	2/01/24	BBB		4,540,313
	4,630	Teva Pharmaceutical Finance, Series B	0.250%	2/01/24	BBB		5,301,350
	8,500	Wyeth, 144A	1.000%	1/15/24	A		9,105,200
	5,300	Wyeth	4.883%	1/15/24	A		5,677,360

	36,105	Total Pharmaceuticals					38,694,223


		Real Estate – 2.2%

	4,060	Archstone-Smith Trust	4.000%	7/15/36	BBB+		4,252,850
	11,100	Boston Properties Limited Partnership, 144A	2.875%	2/15/37	BBB+		10,947,375
	3,245	CapitalSource Inc., WI/DD	3.500%	7/15/34	BBB-		3,840,977
	500	Developers Diversified Realty Corporation, 144A	3.500%	8/15/11	BBB		536,875
	3,990	Host Hotels & Resorts Inc, 144A	2.625%	4/15/27	BB		3,905,213
	4,425	Prologis, 144A	2.250%	4/01/37	N/R		4,375,219
	3,730	Vornado Realty	3.875%	4/15/25	BBB		5,166,050
	10,310	Vornado Realty	3.625%	11/15/26	BBB		10,464,650

	41,360	Total Real Estate					43,489,209


		Real Estate Management & Development – 0.2%

	3,785	Tanger Properties Limited Partnership	3.750%	8/15/26	BBB-		4,499,419


		Road & Rail – 0.3%

	1,575	CSX Corporation	0.000%	10/30/21	BBB		2,254,219
	2,625	Yellow Roadway Corporation	5.000%	8/08/23	BBB-		3,422,344

	4,200	Total Road & Rail					5,676,563


		Semiconductors & Equipment – 1.6%

	7,860	Cypress Semiconductor Corporation, 144A	1.000%	9/15/09	B-		7,968,075
	1,550	Intel Corporation, 144A	2.950%	12/15/35	A-		1,348,500
	10,485	Intel Corporation	2.950%	12/15/35	A-		9,121,950
	3,810	ON Semiconductor Corporation	0.000%	4/15/24	B-		4,143,375
	7,275	PMC-Sierra Inc.	2.250%	10/15/25	N/R		7,866,094
	1,040	Skyworks Solutions, Inc.	1.250%	3/01/10	N/R		997,100
	1,275	Skyworks Solutions, Inc.	1.500%	3/01/12	N/R		1,190,531

	33,295	Total Semiconductors & Equipment					32,635,625


		Software – 3.0%

	10,400	Amdocs Limited	0.500%	3/15/24	BBB-		10,478,000
	4,340	Cadence Design Systems, Inc.	1.500%	12/15/13	N/R		4,969,300
	500	Computer Associates International Inc., 144A	1.625%	12/15/09	Ba1		676,250
	9,435	Red Hat Inc.	0.500%	1/15/24	B+		10,166,213
	9,550	Sybase, Inc.	1.750%	2/22/25	N/R		10,887,000
	10,675	Symantec Corporation, 144A	0.750%	6/15/11	N/R		11,488,969
	10,290	Symantec Corporation, 144A	1.000%	6/15/13	N/R		11,061,750

	55,190	Total Software					59,727,482


		Specialty Retail – 0.2%

	250	TJX Companies, Inc.	0.000%	2/13/21	A-		226,250
	3,190	United Auto Group, Inc.	3.500%	4/01/26	B		3,397,350

	3,440	Total Specialty Retail					3,623,600


		Trading Companies & Distributors – 0.2%

	2,304	GATX Corporation	5.000%	8/15/23	BBB+		4,498,560


		Wireless Telecommunication Services – 0.5%

	2,000	Nextel Communications, Inc.	5.250%	1/15/10	BBB		1,995,000
	3,515	NII Holdings Inc., 144A	2.750%	8/15/25	N/R		5,672,331
	2,145	SBA Communications Corporation, 144A	0.375%	12/01/10	N/R		2,212,031

	7,660	Total Wireless Telecommunication Services					9,879,362

$	678,703	Total Convertible Bonds (cost $707,785,443)					738,523,764


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


		Corporate Bonds – 10.0% (6.8% of Total Investments)

		Aerospace & Defense – 0.2%

$	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 – 0.1%

	1,300	Keystone Automotive Operations Inc.	9.750%	11/01/13	CCC+		1,270,750


		Chemicals – 0.2%

	1,000	Nell AF Sarl	8.375%	8/15/15	B2		1,047,500
	3,000	Rockwood Specialties Group Inc., Series WI	7.500%	11/15/14	B-		3,060,000

	4,000	Total Chemicals					4,107,500


		Commercial Services & Supplies – 0.0%

	900	Williams Scotsman Inc.	8.500%	10/01/15	B+		947,250


		Containers & Packaging – 0.4%

	900	MDP Acquisitions PLC, Senior Notes	9.625%	10/01/12	B		960,750
	3,000	Owens-Brockway Glass Containers	8.250%	5/15/13	B		3,142,500
	3,000	Owens-Illinois Inc.	7.500%	5/15/10	B		3,060,000

	6,900	Total Containers & Packaging					7,163,250


		Diversified Consumer Services – 0.1%

	2,000	Service Corporation International	7.700%	4/15/09	BB-		2,090,000


		Diversified Telecommunication Services – 0.1%

	2,000	Intelsat Subsidiary Holding Company Limited	8.500%	1/15/13	B+		2,095,000
	750	Syniverse Technologies Inc., Series B	7.750%	8/15/13	B1		740,625

	2,750	Total Diversified Telecommunication Services					2,835,625


		Electric Utilities – 0.2%

	2,000	Midwest Generation LLC	8.750%	5/01/34	Ba2		2,180,000
	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

	3,500	Total Electric Utilities					3,720,801


		Electronic Equipment & Instruments – 0.1%

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


		Energy Equipment & Services – 0.2%

	1,800	Hanover Compressor Company	7.500%	4/15/13	B		1,854,000
	2,500	Pride International Inc.	7.375%	7/15/14	Ba2		2,575,000

	4,300	Total Energy Equipment & Services					4,429,000


		Food & Staples Retailing – 0.1%

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


		Food Products – 0.4%

	4,610	Del Monte Corporation	8.625%	12/15/12	B		4,817,450
	1,096	Dole Foods Company	8.625%	5/01/09	B-		1,098,740
	2,700	Dole Foods Company	7.875%	7/15/13	B-		2,612,250

	8,406	Total Food Products					8,528,440


		Health Care Providers & Services – 0.2%

	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
	3,000	US Oncology Inc.	10.750%	8/15/14	B2		3,360,000

	4,400	Total Health Care Providers & Services					4,866,750


		Hotels, Restaurants & Leisure – 1.2%

	2,345	Boyd Gaming Corporation	8.750%	4/15/12	Ba3		2,459,319
	4,075	Boyd Gaming Corporation	7.750%	12/15/12	Ba3		4,227,813
	1,500	Herbst Gaming Inc.	7.000%	11/15/14	B-		1,455,000
	800	Jacobs Entertainment Inc.	9.750%	6/15/14	B-		822,000
	2,000	Landry’s Restaurants Inc., Series B	7.500%	12/15/14	B1		1,980,000
	1,000	Park Place Entertainment	7.875%	3/15/10	Ba1		1,050,000
	2,000	Pinnacle Entertainment Inc.	8.250%	3/15/12	B-		2,070,000
	3,000	Pinnacle Entertainment Inc.	8.750%	10/01/13	B-		3,202,500
	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

	22,470	Total Hotels, Restaurants & Leisure					23,315,382


		Independent Power Producers & Energy Traders – 0.1%

	600	NRG Energy Inc.	7.250%	2/01/14	B1		616,500
	600	NRG Energy Inc.	7.375%	2/01/16	B1		618,000

	1,200	Total Independent Power Producers & Energy Traders					1,234,500


		Insurance – 0.1%

	3,000	AXA SA, 144A	6.463%	12/14/49	Baa1		2,941,452


		IT Services – 0.4%

	1,950	Global Cash Access LLC	8.750%	3/15/12	B-		2,052,375
	4,750	Sungard Data Systems Inc.	9.125%	8/15/13	B-		5,118,125

	6,700	Total IT Services					7,170,500


		Machinery – 0.2%

	3,000	Greenbrier Companies, Inc.	8.375%	5/15/15	B+		3,060,000


		Media – 2.9%

	6,900	Allbritton Communications Company, Series B	7.750%	12/15/12	B1		7,107,000
	2,000	AMC Entertainment Inc.	8.000%	3/01/14	B3		2,045,000
	4,200	American Media Operations Inc., Series B	10.250%	5/01/09	Caa2		3,990,000
	5,000	Cablevision Systems Corporation, Series B	8.125%	8/15/09	B+		5,200,000
	3,000	Cablevision Systems Corporation	7.250%	7/15/08	B+		3,056,250
	2,000	Cablevision Systems Corporation	8.125%	7/15/09	B+		2,080,000
	2,000	Charter Communications Operating LLC, 144A	8.000%	4/30/12	B-		2,092,500
	1,000	Dex Media West LLC	8.500%	8/15/10	B1		1,048,750
	2,198	Dex Media West LLC	9.875%	8/15/13	B		2,409,558
	4,000	Medianews Group Inc.	6.375%	4/01/14	B		3,530,000
	1,950	Panamsat Corporation	9.000%	8/15/14	B		2,120,625
	6,000	Primedia Inc.	8.875%	5/15/11	B		6,195,000
	2,000	R. H. Donnelley Finance Corp 1	10.875%	12/15/12	B		2,170,000
	2,000	Sun Media Corporation	7.625%	2/15/13	Ba2		2,040,000
	6,200	Vertis Inc.	9.750%	4/01/09	B1		6,339,500
	5,500	Young Broadcasting Inc.	10.000%	3/01/11	Caa1		5,445,000
	2,000	Young Broadcasting Inc.	8.750%	1/15/14	Caa1		1,875,000

	57,948	Total Media					58,744,183


		Metals & Mining – 0.3%

	3,000	Chaparral Steel Company	10.000%	7/15/13	B+		3,360,000
	1,682	United States Steel Corporation	9.750%	5/15/10	Baa3		1,774,510

	4,682	Total Metals & Mining					5,134,510


		Multi-Utilities – 0.3%

	2,600	Bon-Ton Department Stores Inc.	10.250%	3/15/14	B-		2,804,750
	2,400	Dynegy Holdings Inc.	8.375%	5/01/16	B2		2,508,000
	500	Northwestern Corporation	5.875%	11/01/14	BBB-		493,972

	5,500	Total Multi-Utilities					5,806,722


		Oil, Gas & Consumable Fuels – 0.7%

	600	Chaparral Energy Inc.	8.500%	12/01/15	CCC+		595,500
	4,345	Chesapeake Energy Corporation	7.750%	1/15/15	BB		4,551,388
	2,000	Hilcorp Energy I LP/Hilcorp Finance Company 144A	7.750%	11/01/15	B		1,975,000
	2,000	Premcor Refining Group Inc.	7.500%	6/15/15	BBB		2,066,852
	3,000	SemGroup LP, 144A	8.750%	11/15/15	B1		3,060,000
	1,500	Whiting Petroleum Corporation	7.000%	2/01/14	B1		1,470,000

	13,445	Total Oil, Gas & Consumable Fuels					13,718,740


		Paper & Forest Products – 0.4%

	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%

	1,600	Prestige Brands Inc.	9.250%	4/15/12	B-		1,664,000


		Real Estate – 0.2%

	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%

	2,400	Avago Technologies Finance Pte Limited	10.375%	12/01/13	B		2,610,000


		Specialty Retail – 0.4%

	1,000	Quiksilver Inc.	6.875%	4/15/15	BB-		947,500
	7,000	Warnaco Inc.	8.875%	6/15/13	B+		7,463,750

	8,000	Total Specialty Retail					8,411,250


		Textiles, Apparel & Luxury Goods – 0.2%

	4,000	Jostens IH Corporation	7.625%	10/01/12	B2		4,090,000


		Trading Companies & Distributors – 0.1%

	2,000	United Rentals North America Inc.	6.500%	2/15/12	B+		2,005,000

$	193,401	Total Corporate Bonds (cost $198,510,131)					199,660,938


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


		Capital Preferred Securities – 31.4% (21.4% of Total Investments)

		Capital Markets – 5.3%

	1,250	C.A. Preferred Fund Trust II	7.000%	10/30/49	A1	$	1,269,291
	32,750	C.A. Preferred Funding Trust	7.000%	1/30/49	A1		33,170,674
	3,000	Compass Trust I, Series A	8.230%	1/15/27	A3		3,131,823
	12,400	Dresdner Funding Trust I, 144A	8.151%	6/30/31	A-		14,800,218
	2,000	First Hawaiian Capital Trust I, Series B	8.343%	7/01/27	A-		2,092,088
	3,500	First Union Capital Trust II, Series A	7.950%	11/15/29	A1		4,241,136
	6,700	Kleinwort Benson Group PLC	5.812%	12/31/99	N/R		5,590,601
	15,500	Mellon Capital Trust I, Series A	7.720%	12/01/26	A1		16,112,018
	2,200	MUFG Capital Finance 2	4.850%	7/25/56	BBB		2,871,567
	9,000	State Street Institutional Capital Trust, 144A	8.035%	3/15/27	A1		9,381,204
	13,419	Washington Mutual Capital Trust I	8.375%	6/01/27	A3		14,010,818

		Total Capital Markets					106,671,438


		Commercial Banks – 17.6%

	2,000	AB Svensk Exportkredit, 144A	6.375%	10/27/49	AA-		1,991,200
	8,000	Abbey National Capital Trust I	8.963%	6/30/50	A+		10,706,016
	43,100	AgFirst Farm Credit Bank, 144A	7.300%	12/15/53	N/R		42,997,508
	13,070	Bank One Capital III	8.750%	9/01/30	Aa3		17,184,527
	2,600	BankAmerica Institutional Capital Trust, Series B, 144A	7.700%	12/31/26	Aa2		2,699,544
	1,000	BanPonce Trust I, Series A	8.327%	2/01/27	A3		1,042,790
	4,000	Barclays Bank PLC, 144A	8.550%	6/15/49	Aa3		4,483,144
	4,000	BBVA International Perferred SA, WI/DD, 144A	5.919%	10/18/49	A1		3,963,472
	1,000	Capital One Capital IV Corporation	6.745%	2/17/37	Baa1		961,468
	10,100	DBS Capital Funding Corporation, 144A	7.657%	3/15/49	A1		10,945,360
	2,400	Den Norske Bank, 144A	7.729%	6/29/49	Aa2		2,606,479
	5,750	First Empire Capital Trust I	8.234%	2/01/27	Baa1		5,994,645
	11,000	First Empire Capital Trust II	8.277%	6/01/27	Baa1		11,487,894
	4,250	First Midwest Bancorp Inc.	6.950%	12/01/33	Baa1		4,481,328
	27,850	HBOS Capital Funding LP	6.850%	3/23/49	A1		28,175,037
	6,000	HBOS PLC, Series 144A	6.413%	4/01/49	A1		5,881,920
	12,838	HSBC Capital Funding LP, 144A	9.547%	12/31/49	A1		14,445,793
	14,000	HSBC Capital Funding LP, 144A	10.176%	6/30/50	A1		20,423,088
	19,605	KBC Bank Fund Trust III, 144A	9.860%	5/02/50	Aa3		21,746,983
	4,000	KeyCorp Capital III	7.750%	7/15/29	A3		4,728,744
	17,000	Lloyds TSB Bank PLC	6.900%	11/22/49	Aa2		17,023,341
	1,000	Nordbanken AB, 144A	8.950%	11/29/49	Aa3		1,083,519
	10,000	North Fork Capital Trust II	8.000%	12/15/27	Baa1		10,528,100
	6,000	PNC Preferred Funding Trust, 144A	6.517%	3/15/49	A2		6,190,692
	2,000	Popular North American Capital Trust I	6.564%	9/15/34	A3		1,986,814
	14,750	RBS Capital Trust B	6.800%	12/31/49	A1		14,808,867
	2,000	Reliance Capital Trust I, Series B	8.170%	5/01/28	N/R		2,125,854
	1,202	Republic New York Capital II	7.530%	12/04/26	A1		1,249,757
	6,200	Royal Bank of Scotland Group PLC	9.118%	3/31/49	A1		6,856,468
	3,500	Shinsei Finance II Cayman Limited, Perpetual Maturity, 144A	7.160%	7/25/49	Baa2		3,611,563
	4,472	St. George Funding Company LLC, Reg S	8.485%	12/31/47	A3		4,678,589
	3,100	Standard Chartered PLC, 144A	6.409%	1/30/57	BBB+		3,062,912
	14,700	Swedbank ForeningsSparbanken AB, 144A	9.000%	9/17/50	Aa3		16,112,097
	15,290	Unicredito Italiano Capital Trust, 144A	9.200%	4/05/51	A-		17,166,389
	600	Union Bank of Norway	7.068%	11/19/49	A2		896,249
	3,800	Union Planters Capital Trust A	8.200%	12/15/26	A2		3,949,845
	25,600	Washington Mutual Preferred Funding Cayman, Series A-1, 144A	7.250%	3/15/49	BBB		24,801,229

		Total Commercial Banks					353,079,225


		Diversified Financial Services – 2.9%

	4,200	BNP Paribas Capital Trust	7.200%	12/31/49	A+		4,212,797
	1,000	Citigroup Capital III	7.625%	12/01/36	Aa2		1,200,556
	4,800	Fulton Capital Trust I	6.290%	2/01/36	A3		4,701,950
	18,600	JPMorgan Chase Capital Trust XVIII	6.950%	8/17/36	Aa3		19,447,807
	4,100	MM Community Funding Trust I Limited, 144A	8.030%	6/15/31	Aaa		4,583,800
	23,600	Old Mutual Capital Funding, Notes	8.000%	6/22/53	Baa2		24,603,000

		Total Diversified Financial Services					58,749,910


		Diversified Telecommunication Services – 1.1%

	19,080	Centaur Funding Corporation, Series B, 144A	9.080%	4/21/20	BBB		22,401,113


		Insurance – 3.4%

	10,000	American General Capital II	8.500%	7/01/30	Aa3		13,040,630
	4,980	American General Institutional Capital, 144A	8.125%	3/15/46	Aa3		6,323,544
	1,000	Great West Life and Annuity Insurance Company, 144A	7.153%	5/16/46	A-		1,045,337
	14,250	Mangrove Bay, Class 3, 144A	6.102%	7/15/33	BBB+		14,033,571
	7,300	MetLife Inc.	6.400%	12/15/66	A3		7,150,971
	1,550	Nationwide Financial Services Capital Trust	7.899%	3/01/37	Baa1		1,835,146
	7,600	Oil Insurance Limited, 144A	7.550%	12/30/49	Baa1		8,025,182
	3,750	Prudential PLC	6.500%	6/29/49	A		3,763,905
	9,300	XL Capital, Limited	6.500%	10/15/57	BBB		9,036,503
	3,544	Zurich Capital Trust I, 144A	8.376%	6/01/37	A-		3,700,829

		Total Insurance					67,955,618


		Oil, Gas & Consumable Fuels – 0.5%

	10,355	KN Capital Trust III	7.630%	4/15/28	Baa3		10,022,739


		Real Estate – 0.0%

	3,500	PS Business Parks Inc., Series M	7.200%	3/30/55	BBB-		88,498


		Road & Rail – 0.4%

	7,600	Burlington Northern Santa Fe Funding Trust I	6.613%	12/15/55	BBB		7,083,367


		Thrifts & Mortgage Finance – 0.2%

	2,000	Caisse Nationale Des Caisses d’Epargne et de Prevoyance	6.750%	1/27/49	A+		2,046,278
	1,000	Washington Mutual Preferred Funding Trust II	6.665%	3/15/57	Baa1		983,140

		Total Thrifts & Mortgage Finance					3,029,418

		Total Capital Preferred Securities (cost $648,637,621)					629,081,326


Shares		Description (1)	Value


		Investment Companies – 1.8% (1.2% of Total Investments)

	99,306	Blackrock Preferred and Corporate Income Strategies Fund	$	2,196,649
	514,354	Blackrock Preferred Income Strategies Fund		10,719,137
	478,078	Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.		10,661,139
	148,090	Flaherty and Crumrine/Claymore Total Return Fund Inc.		3,309,812
	4,600	John Hancock Preferred Income Fund		116,034
	3,400	John Hancock Preferred Income Fund II		85,272
	424,116	John Hancock Preferred Income Fund III		9,792,838

		Total Investment Companies (cost $33,782,643)		36,880,881

Principal

Amount (000)

Description (1)

Coupon

Maturity

Value

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

20,349

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/07, repurchase price $20,357,661, collateralized by $14,025,000 U.S. Treasury Bonds, 8.875%, due 215/19, value $19,340,195 and $1,085,000 U.S. Treasury Bonds, 7.875%, due 2/15/21, value $1,421,350

4.900%

4/02/07

20,349,352

16,883

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/07, repurchase price $16,889,672, collateralized by $17,440,000 U.S. Treasury Notes, 3.375%, due 12/15/08, value $17,222,000

4.900%

4/02/07

16,882,778

37,232

Total Short-Term Investments (cost $37,232,130)

37,232,130

Total Investments (cost $2,896,316,907) – 146.8%

2,939,656,697

Other Assets Less Liabilities – 1.4%

28,018,028

Preferred Shares, at Liquidation Value – (48.2)%

(965,000,000

)

Net Assets Applicable to Common Shares – 100%

2,002,674,725

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)

Morgan Stanley

97,000,000

Receive

1-Month USD-LIBOR

3.048%

Monthly

1/23/08

1,749,817

JPMorgan Chase

97,000,000

Receive

1-Month USD-LIBOR

3.360

Monthly

1/23/09

2,758,348

4,508,165

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		1,437	6/07	$	159,866,250	$	(1,022,172	)
U.S. 10-Year Treasury Notes	Long		2,461	6/07		266,095,625		(422,440	)

							$	(1,444,612	)


(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.

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.

PPLUS		PreferredPlus Trust.

SATURNS		Structured Asset Trust Unit Repackaging.

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

Income Tax Information

The following information is presented on an income tax basis. 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 $2,922,072,608.

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




Gross unrealized:
Appreciation	$	91,179,995
Depreciation		(73,595,906	)



Net unrealized appreciation (depreciation) of investments	$	17,584,089

Item 2. Controls and Procedures.

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

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

Item 3. Exhibits.

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

SIGNATURES

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

(Registrant) Nuveen Multi-Strategy Income & Growth Fund 2



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

Date 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.