Form N-Q

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 Preferred and Convertible Income Fund         
(Exact name of registrant as specified in charter)


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


Jessica R. Droeger—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:          09/30/05         

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

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

Item 1. Schedule of Investments

  Nuveen Preferred and Convertible Income Fund (JPC)
Portfolio of Investments (Unaudited)
September 30, 2005

                    Market 
Shares    Description(1)                Value 
    COMMON STOCKS - 0.3% (0.2% of Total Investments)                 
    IT Services - 0.1%                 
54,275    Acxiom Corporation              $  1,016,028 
    Software - 0.2%                 
102,711    Computer Associates International Inc.                2,856,393 
    Total Common Stocks (cost $3,706,175)                3,872,421 
                    Market 
 Value 
  Ratings*
 
Shares    Description(1)    Coupon     Moody's    S&P   
    $25 Par (or similar) SECURITIES - 51.2% (34.8% of Total Investments)                 
    Automobiles - 0.1%                 
88,694    Ford Motor Company, Series F (CORTS)    8.000 %    Ba1    BB+    1,812,018 
    Capital Markets - 4.9%                 
17,900    Bear Stearns Capital Trust III    7.800 %    A2    BBB    460,925 
500    BNY Capital Trust IV, Series E    6.875 %    A1    A-    12,680 
301,800    BNY Capital Trust V, Series F    5.950 %    A1    A-    7,484,640 
129,800    Compass Capital Trust III    7.350 %    A3    BBB-    3,322,880 
9,900    CSFB USA, Series 2002-10 (SATURNS)    7.000 %    Aa3    A+    258,489 
29,000    First Union Capital II, Series II (CORTS)    7.500 %    A1    A-    742,400 
41,500    First Union Institutional Capital II (CORTS)    8.200 %    A1    A-    1,163,453 
13,100    Goldman Sachs Group Inc., Series 2003-06 (SATURNS)    6.000 %    Aa3    A+    319,640 
39,600    Goldman Sachs Group Inc., Series 2004-4 (CORTS)    6.000 %    A1    A-    958,320 
526,388    Lehman Brothers Holdings Capital Trust III, Series K    6.375 %    A2    BBB+    13,133,381 
2,400    Lehman Brothers Holdings Capital Trust IV, Series L    6.375 %    A2    BBB+    60,384 
109,800    Merrill Lynch Capital Trust    7.000 %    A1    A-    2,842,722 
29,900    Merrill Lynch Capital Trust II    8.000 %    A1    A-    786,370 
29,000    Merrill Lynch Preferred Capital Trust    7.750 %    A1    A-    749,360 
119,200    Merrill Lynch Preferred Capital Trust IV    7.120 %    A1    A-    3,123,040 
228,800    Merrill Lynch Preferred Capital Trust V    7.280 %    A1    A-    6,017,440 
23,300    Morgan Stanley (PPLUS)    7.050 %    Aa3    A+    595,548 
67,100    Morgan Stanley Capital Trust II    7.250 %    A1    A-    1,721,786 
365,739    Morgan Stanley Capital Trust III    6.250 %    A1    A-    9,158,105 
717,800    Morgan Stanley Capital Trust IV    6.250 %    A1    A-    17,909,110 
22,400    Washington Mutual Capital Trust I, Series 2001-22, Class A-1 (CORTS)    7.650 %    Baa1    BBB    578,592 
    Commercial Banks - 8.8%                 
170,000    Abbey National plc    7.375 %    A2    A-    4,430,200 
92,400    Abbey National plc, Series B    7.250 %    A1    A-    2,369,136 
16,600    Abbey National plc, Series B    7.375 %    A2    A    443,220 
37,900    ABN AMRO Capital Fund Trust V    5.900 %    A2    A    926,276 
2,500    ABN AMRO North America, Series L, 144A (a)    6.460 %    A3    N/R    2,564,063 
69,900    ASBC Capital I    7.625 %    Baa1    BBB-    1,824,390 
68,185    BAC Capital Trust I    7.000 %    Aa3    A    1,747,582 
136,755    BAC Capital Trust II    7.000 %    Aa3    A    3,531,014 
284,700    BAC Capital Trust III    7.000 %    Aa3    A    7,368,036 
59,750    Banco Santander    6.410 %    A2    BBB+    1,541,550 
63,400    Banco Totta & Acores Finance, Series A    8.875 %    A3    N/R    1,632,550 
207,400    Banesto Holdings, Series A, 144A    10.500 %    A2    N/R    6,280,342 
81,700    Bank One Capital Trust VI    7.200 %    A1    A-    2,114,396 
35,200    BankNorth Capital Trust II    8.000 %    A3    BB+    918,720 
15,100    BBVA Preferred Capital Ltd., Series B    7.750 %    A1    A-    386,107 
62,200    Chittenden Capital Trust I    8.000 %    Baa1    BB+    1,648,300 
107,000    Cobank ABC, 144A (a)    7.000 %    N/R    N/R    5,526,015 
84,400    Comerica Capital Trust I    7.600 %    A3    BBB+    2,149,668 
306,079    Fleet Capital Trust VII    7.200 %    Aa3    A    7,805,015 
337,300    Fleet Capital Trust VIII    7.200 %    Aa3    A    8,651,745 
773,900    HSBC Finance Corporation    6.875 %    A1    A    20,252,963 
15,500    KeyCorp, Series 2001-7 (CORTS)    7.750 %    A3    BBB    399,048 
25,400    KeyCorp, Series B (CORTS)    8.250 %    A3    BBB    656,590 
156,700    National Commerce Capital Trust II    7.700 %    A1    A-    4,041,293 
32,900    National Westminster Bank plc, Series A    7.875 %    Aa2    A+    858,361 
32,200    PNC Capital Trust    6.125 %    A3    BBB    801,458 
21,400    Regions Finance Trust I    8.000 %    A2    BBB+    542,704 
175,000    Royal Bank of Scotland Group plc, Series L    5.750 %    A1    A    4,235,000 
91,395    Royal Bank of Scotland Group plc, Series N    6.350 %    A1    A    2,322,347 
77,700    SunTrust Capital Trust IV    7.125 %    A1    A-    1,990,674 
58,200    SunTrust Capital Trust V    7.050 %    A1    A-    1,486,428 
71,100    USB Capital Trust III    7.750 %    Aa3    A-    1,825,137 
189,300    USB Capital Trust IV    7.350 %    Aa3    A-    4,893,405 
70,300    USB Capital Trust V    7.250 %    Aa3    A-    1,808,116 
344,300    USB Capital Trust VI    5.750 %    Aa3    A-    8,166,796 
33,400    VNB Capital Trust I    7.750 %    Baa1    BBB    862,054 
9,100    Wells Fargo Capital Trust IV    7.000 %    Aa2    A    232,869 
77,235    Wells Fargo Capital Trust V    7.000 %    Aa2    A    1,967,948 
14,700    Wells Fargo Capital Trust VI    6.950 %    Aa2    A-    376,173 
225,700    Wells Fargo Capital Trust VII    5.850 %    Aa2    A    5,552,220 
80,200    Zions Capital Trust B    8.000 %    Baa1    BBB-    2,129,310 
    Computers & Peripherals - 0.1%                 
14,100    IBM Inc. (CORTS)    7.125 %    A1    A+    362,652 
21,000    IBM Inc., Series 2001-1 (SATURNS)    7.125 %    A1    A+    542,010 
3,900    IBM Inc., Trust Certificates, Series 2001-2    7.100 %    A1    A+    100,776 
5,300    IBM Trust III (CORTS)    7.200 %    A1    A+    137,482 
    Consumer Finance - 0.1%                 
27,800    Household Capital Trust VI    8.250 %    A2    BBB+    711,402 
39,200    Household Capital Trust VII    7.500 %    A2    BBB+    1,011,360 
    Diversified Financial Services - 5.8%                 
190,000    CIT Group Incorporated, Series A (a)    6.350 %    Baa1    BBB+    4,820,300 
15,200    CIT Group Incorporated (CORTS)    7.750 %    A3    BBB+    405,688 
215,900    Citigroup Capital Trust IX    6.000 %    Aa2    A    5,397,500 
79,500    Citigroup Capital Trust VII    7.125 %    Aa2    A    2,032,020 
355,200    Citigroup Capital Trust VIII    6.950 %    Aa2    A    9,022,080 
4,800    Citigroup Capital Trust XI    6.000 %    Aa2    A    119,232 
4,700    Citigroup Capital X    6.100 %    Aa2    A    116,748 
33,200    Citigroup Inc., Series F (a)    6.365 %    Aa3    A    1,709,800 
94,000    Citigroup Inc., Series G (a)    6.213 %    Aa3    A    4,842,880 
59,300    Citigroup Inc., Series H (a)    6.231 %    Aa3    N/R    3,098,425 
64,600    Citigroup Inc., Series M (a)    5.864 %    Aa3    A    3,310,104 
5,400    General Electric Capital Corporation    5.875 %    N/R    AAA    135,540 
33,100    General Electric Capital Corporation    6.625 %    Aaa    AAA    850,670 
3,800    General Electric Capital Corporation (CORTS)    6.000 %    Aaa    AAA    95,000 
769,075    ING Group NV    7.050 %    N/R    A    19,919,043 
560,618    ING Group NV    7.200 %    A2    A    14,637,736 
16,800    ING Group NV    6.200 %    A2    A    422,856 
30,000    JPM Capital Trust (CORTS)    7.200 %    A2    A-    766,500 
52,200    JPMorgan Chase & Company (PCARS)    7.125 %    A2    A-    1,343,628 
395,367    JPMorgan Chase Capital Trust X    7.000 %    A1    N/R    10,164,886 
22,800    JPMorgan Chase Capital Trust XVI    6.350 %    A1    A-    573,192 
47,200    JPMorgan Chase Trust, Series 2002-6, Class A (SATURNS)    7.125 %    A1    A-    1,215,636 
    Diversified Telecommunication Services - 0.4%                 
3,400    BellSouth Capital Funding (CORTS)    7.100 %    A1    A    86,938 
11,900    BellSouth Corporation    7.125 %    A2    A    308,984 
2,900    BellSouth Corporation (CORTS)    7.000 %    Aa3    A    74,530 
29,900    BellSouth Corporation, Series 2001-3 (SATURNS)    7.125 %    A2    A    765,739 
10,000    BellSouth Inc. (CORTS)    7.000 %    A2    A    261,000 
17,700    BellSouth Telecommunications (PPLUS)    7.300 %    Aa3    A    458,253 
44,750    Deutsche Telekom International Finance B.V., Series 2001-24, Class A-1 (CORTS)    7.875 %    A3    A-    1,162,381 
16,900    SBC Communications Inc.    7.000 %    A2    A    428,246 
17,300    Verizon Communications (CORTS)    7.625 %    A2    A+    458,537 
22,200    Verizon Communications (CORTS)    7.375 %    A2    A+    590,520 
13,900    Verizon New England Inc., Series B    7.000 %    A2    N/R    358,203 
41,755    Verizon South Inc., Series F    7.000 %    A2    A+    1,065,170 
    Electric Utilities - 1.4%                 
10,000    Consolidated Edison Company    7.250 %    A2    A-    256,700 
7,000    Consolidated Edison Company of New York Inc.    7.500 %    A1    A    178,290 
22,200    DTE Energy Trust I    7.800 %    Baa3    BB+    584,970 
35,470    Entergy Louisiana Inc.    7.600 %    Baa1    A-    901,647 
43,670    Georgia Power Capital Trust V    7.125 %    A3    BBB+    1,124,939 
6,600    Georgia Power Company    5.700 %    Aaa    AAA    164,274 
228,700    Georgia Power Company    5.900 %    A2    A    5,674,047 
4,100    National Rural Utilities Cooperative Finance Corporation    7.600 %    A3    BBB+    104,550 
80,000    National Rural Utilities Cooperative Finance Corporation    6.100 %    A3    BBB+    1,995,200 
117,000    National Rural Utilities Cooperative Finance Corporation    5.950 %    A3    BBB+    2,857,140 
113,432    Tennessee Valley Authority, Series D    6.750 %    Aaa    AAA    2,858,486 
128,000    Virginia Power Capital Trust    7.375 %    Baa1    BBB-    3,343,360 
    Food Products - 0.4%                 
58,000    Dairy Farmers of America Inc., 144A (a)    7.875 %    Ba1    BBB-    6,010,250 
    Gas Utilities - 0.0%                 
23,000    AGL Capital Trust II    8.000 %    Baa2    BBB    587,650 
    Health Care Providers & Services - 0.5%                 
274,000    Aetna Incorporated    8.500 %    Baa1    BBB+    7,071,940 
    Insurance - 10.5%                 
5,500    ACE Capital Trust I, Series 1999    8.875 %    Baa1    BBB-    140,745 
538,010    Ace Ltd., Series C    7.800 %    Baa2    BBB-    14,176,564 
777,700    Aegon NV    6.375 %    A3    A-    19,823,573 
12,800    Allstate Insurance Company (CORTS)    8.000 %    A2    A-    349,312 
4,400    AMBAC Financial Group Inc.    7.000 %    Aa2    AA    112,288 
53,200    AMBAC Financial Group Inc.    5.950 %    Aa2    AA    1,300,208 
5,000    AMBAC Financial Group Inc.    5.875 %    Aa2    AA    121,700 
1,218,700    Delphi Financial Group Inc.    8.000 %    Baa3    BBB    32,307,737 
158,005    EverestRe Capital Trust II    6.200 %    Baa1    BBB    3,679,936 
99,400    EverestRe Group Limited    7.850 %    Baa1    BBB    2,589,370 
8,600    Financial Security Assurance Holdings    6.875 %    Aa2    AA    219,644 
18,300    Financial Security Assurance Holdings    6.250 %    Aa2    AA    464,820 
208,400    Hartford Capital Trust III, Series C    7.450 %    Baa1    BBB    5,307,948 
37,900    Hartford Life Capital Trust II, Series B    7.625 %    Baa1    BBB    971,377 
38,400    Lincoln National Capital Trust V, Series E    7.650 %    Baa1    BBB    988,032 
4,600    Lincoln National Capital Trust VI    6.750 %    Baa1    BBB    118,358 
557,500    MetLife Inc., Series B (a)    6.500 %    Baa1    BBB    14,132,625 
962,000    PartnerRe Limited, Series C    6.750 %    Baa1    BBB+    24,117,340 
2,600    PartnerRe Limited, Series D    6.500 %    Baa1    BBB+    64,610 
81,300    PLC Capital Trust III    7.500 %    Baa1    BBB+    2,091,036 
35,700    PLC Capital Trust IV    7.250 %    Baa1    BBB+    926,415 
6,700    PLC Capital Trust V    6.125 %    Baa1    BBB+    165,155 
37,400    Prudential plc    6.750 %    Baa1    A    962,676 
96,100    RenaissanceRe Holdings Ltd., Series A    8.100 %    Baa2    BBB+    2,431,330 
325,410    RenaissanceRe Holdings Limited, Series B    7.300 %    Baa2    BBB+    8,219,857 
12,000    RenaissanceRe Holdings Limited, Series C    6.080 %    Baa2    BBB+    269,400 
23,500    Safeco Capital Trust I (CORTS)    8.700 %    Baa2    BBB-    609,590 
25,000    Safeco Capital Trust I (CORTS)    8.750 %    Baa2    BBB-    740,375 
11,300    Safeco Capital Trust I, Series 2001-4 (CORTS)    8.750 %    Baa2    BBB-    289,958 
33,700    Safeco Capital Trust III (CORTS)    8.072 %    Baa2    BBB-    880,918 
13,200    Safeco Capital Trust IV (CORTS)    8.375 %    Baa2    BBB-    351,252 
47,400    Safeco Corporation, Series 2001-7 (SATURNS)    8.250 %    Baa2    BBB-    1,255,152 
41,000    Safeco Corporation, Series 2002-5 (SATURNS)    8.250 %    Baa2    BBB-    1,078,300 
34,100    Torchmark Capital Trust I    7.750 %    Baa1    A-    886,600 
74,000    W.R. Berkley Capital Trust, Series 2002-1, (CBTCS)    8.125 %    Baa3    BBB-    778,850 
86,700    XL Capital Ltd, Series A    8.000 %    Baa1    BBB+    2,262,870 
292,100    XL Capital Ltd, Series B    7.625 %    Baa1    BBB+    7,506,970 
    Media - 0.1%                 
43,700    Viacom Inc.    7.300 %    A3    BBB+    1,104,736 
    Multi-Utilities - 0.2%                 
49,100    Dominion CNG Capital Trust I    7.800 %    Baa1    BBB-    1,275,127 
56,900    Energy East Capital Trust I    8.250 %    Baa3    BBB-    1,473,710 
    Oil, Gas & Consumable Fuels - 0.9%                 
477,200    Nexen Inc.    7.350 %    Baa3    BB+    12,507,412 
1,000    TransCanada Pipeline    8.250 %    A3    BBB    25,970 
    Real Estate - 12.3%                 
10,700    AvalonBay Communities, Inc., Series H    8.700 %    Baa2    BBB    297,246 
3,000    BRE Properties, Series B    8.080 %    Baa3    BBB-    78,075 
22,500    BRE Properties, Series C    6.750 %    Baa3    BBB-    562,050 
345,825    CarrAmerica Realty Corporation, Series E    7.500 %    Baa3    BBB-    8,946,493 
20,600    Developers Diversified Realty Corporation, Series F    8.600 %    Ba1    BBB-    533,540 
657,885    Developers Diversified Realty Corporation, Series G    8.000 %    Ba1    BBB-    17,052,379 
73,200    Developers Diversified Realty Corporation, Series H    7.375 %    Ba1    BBB-    1,859,280 
81,100    Duke Realty Corporation, Series L    6.600 %    Baa2    BBB    2,032,366 
208,656    Equity Office Properties Trust, Series G    7.750 %    Baa3    BBB    5,502,259 
6,100    Equity Residential Properties Trust    9.125 %    Baa2    BBB    152,195 
19,200    Equity Residential Properties Trust, Series C    9.125 %    Baa2    BBB    495,936 
9,900    Equity Residential Properties Trust, Series D    8.600 %    Baa2    BBB    264,330 
424,173    Equity Residential Properties Trust, Series N    6.480 %    Baa2    BBB    10,557,666 
7,000    HRPT Properties Trust, Series A    9.875 %    Baa3    BBB-    180,040 
309,400    HRPT Properties Trust, Series B    8.750 %    Baa3    BBB-    8,202,194 
755,483    Kimco Realty Corporation, Series F    6.650 %    Baa2    BBB+    19,279,926 
13,693    New Plan Excel Realty Trust, Series D    7.800 %    Baa3    BBB-    689,358 
974,075    New Plan Excel Realty Trust, Series E    7.625 %    N/R    BBB-    25,910,395 
32,982    Prologis Trust, Series C    8.540 %    Baa2    BBB    1,931,508 
13,600    Prologis Trust, Series G    6.750 %    Baa2    BBB    343,128 
37,500    Public Storage, Inc., Series E    6.750 %    Baa2    BBB+    945,000 
159,800    Public Storage, Inc., Series R    8.000 %    Baa2    BBB+    4,084,488 
34,900    Public Storage, Inc., Series S    7.875 %    Baa2    BBB+    896,581 
28,200    Public Storage, Inc., Series T    7.625 %    Baa2    BBB+    723,048 
29,200    Public Storage, Inc., Series U    7.625 %    Baa2    BBB+    758,032 
32,300    Public Storage, Inc., Series V    7.500 %    Baa2    BBB+    841,415 
186,500    Regency Centers Corporation    7.450 %    Baa3    BBB-    4,774,400 
31,600    Regency Centers Corporation    6.700 %    Baa3    BBB-    774,200 
7,000    Simon Property Group, Inc., Series G    7.890 %    Baa2    BBB    366,450 
16,800    Vornado Realty Trust, Series G    6.625 %    Baa3    BBB-    407,232 
1,200    Vornado Realty Trust, Series H    6.750 %    Baa3    BBB-    29,400 
1,462,445    Wachovia Preferred Funding Corporation    7.250 %    A2    BBB+    41,240,949 
707,700    Weingarten Realty Trust, Preferred Securities    6.750 %    Baa1    A-    18,746,973 
    Specialty Retail - 0.0%                 
11,900    Sherwin Williams Company, Series III (CORTS)    7.250 %    A2    A    308,924 
    Thrifts & Mortgage Finance - 2.3%                 
97,100    Countrywide Capital Trust III (PPLUS)    8.050 %    Baa1    BBB+    2,608,592 
1,201,200    Countrywide Capital Trust IV    6.750 %    Baa1    BBB+    30,522,492 
    U.S. Agency - 1.6%                 
94,000    Fannie Mae (a)    0.000 %    Aa3    AA-    5,175,875 
143,300    Fannie Mae (a)    5.125 %    Aa3    AA-    6,068,755 
48,300    Fannie Mae (a)    5.100 %    Aa3    AA-    2,057,281 
90,200    Federal Home Loan Mortgage Corporation (a)    6.000 %    Aa3    AA-    4,546,080 
20,600    Federal Home Loan Mortgage Corporation (a)    6.140 %    Aa3    N/R    1,033,090 
47,300    Federal Home Loan Mortgage Corporation (a)    5.100 %    Aa3    AA-    2,082,146 
8,000    Federal Home Loan Mortgage Corporation (a)    5.000 %    Aa3    AA-    340,000 
23,200    Federal Home Loan Mortgage Corporation (a)    5.810 %    Aa3    N/R    1,099,100 
12,000    Federal Home Loan Mortgage Corporation (a)    5.100 %    Aa3    AA-    525,376 
17,000    Federal Home Loan Mortgage Corporation (a)    5.300 %    Aa3    AA-    753,845 
    Wireless Telecommunication Services - 0.8%                 
18,300    AT&T Wireless Services Equity, Series 2002-B (SATURNS)    9.250 %    Baa2    A    490,440 
34,100    AT&T Wireless, Series 2002-7 (CORTS)    8.000 %    Baa2    A    883,190 
84,500    Telephone and Data Systems Inc.    7.600 %    Baa2    A-    2,158,975 
35,800    United States Cellular Corporation    8.750 %    Baa2    A-    989,154 
272,100    United States Cellular Corporation    7.500 %    Baa2    A-    7,156,230 
    Total $25 Par (Or Similar) Securities (cost $745,778,044)                747,405,515 
    CONVERTIBLE PREFERRED SECURITIES - 13.3% (9.0% of Total Investments)                 
    Automobiles - 0.4%                 
152,050    Ford Motor Company Capital Trust II    6.500 %    A2    A-    5,542,223 
    Capital Markets - 1.2%                 
53,200    State Street Corporation    6.750 %    A1    N/R    11,459,280 
105,800    Washington Mutual Inc., Unit 1 Trust    5.375 %    A1    A    5,513,238 
  Chemicals - 0.6%                   
133,290   Celanese Corporation    4.250 %      Baa1    BBB    3,518,856 
112,625   Huntsman Corporation    5.000 %      A2    A-    5,008,434 
  Commercial Banks - 1.6%                   
10,730,000   Fortis Insurance NV, 144A    7.750 %      A2    A-    12,044,425 
97,950   HSBC Finance Corporation    8.875 %      A2    A-    3,839,640 
164,000   Sovereign Capital Trust IV, Convertible Security    4.375 %      A1    A    7,277,500 
  Commercial Services & Supplies - 0.2%                   
62,750   Allied Waste Industries Inc.    6.250 %      Aa2    A    3,062,828 
  Construction Materials - 0.2%                   
45,200   TXI Capital Trust I    6.500 %      A2    BBB+    2,486,000 
  Electric Utilities - 1.3%                   
217,900   FPL Group Inc.    8.000 %      A1    AA-    15,503,585 
56,800   PNM Resources Inc.    6.750 %      Aa3    AA-    2,958,144 
  Energy Equipment & Services - 0.1%                   
25,000   Hanover Compressor Capital Trust    7.250 %      A2    A-    1,275,000 
  Gas Utilities - 0.2%                   
39,750   Southern Union Company, Series B    5.750 %      N/R    N/R    3,128,524 
  Health Care Providers & Services - 0.4%                   
80,300   Omnicare Capital Trust II, Series B    4.000 %      A1    A-    5,861,900 
  Household Durables - 0.3%                   
106,675   Newell Financial Trust I    5.250 %      Aa3    A    4,707,034 
  Insurance - 3.6%                   
398,965   Genworth Financial Inc.    6.000 %      Aa3    A    14,322,844 
61,200   Hartford Financial Services Group, Inc.    7.000 %      Baa1    BBB-    4,293,180 
418,700   MetLife Inc., Convertible, Series B    6.375 %      Aa3    A+    11,752,909 
90,000   Phoenix Companies Inc.    7.000 %      A2    BBB+    3,285,000 
166,000   Reinsurance Group of America Inc.    5.750 %      A1    A-    9,773,250 
100,000   The Chubb Corporation    7.000 %      A1    N/R    3,269,000 
256,250   XL Capital Ltd    6.500 %      Baa1    BBB    5,850,188 
  Media - 0.7%                   
185,000   Emmis Communications Corporation, Series A    6.250 %      Baa2    BBB-    8,042,875 
53,375   Interpublic Group Companies Inc., Series A    5.375 %      A1    A    2,292,456 
  Multi-Utilities - 0.5%                   
133,155   Dominion Resources Inc.    8.750 %      A1    A-    7,569,862 
  Oil, Gas & Consumable Fuels - 0.9%                   
25,925   Amerada Hess Corporation    7.000 %      A1    A-    3,035,818 
67,725   Chesapeake Energy Corporation    4.500 %      A2    A-    7,559,803 
1,050   Chesapeake Energy Corporation, 144A    4.125 %      A3    BBB    2,414,606 
  Pharmaceuticals - 0.5%                   
126,150   Schering-Plough Corporation    6.000 %      A3    BBB    6,841,115 
  U.S. Agency - 0.5%                   
81   Fannie Mae    5.375 %      Aa2    A+    7,439,840 
  Thrifts & Mortgage Finance - 0.1%                   
87,475   PMI Group Inc.    5.875 %      Aa3    A    2,167,631 
  Total Convertible Preferred Securities (cost $178,183,087)                  193,096,988 
Principal 
Amount(000)/ 
 Shares 		                      
                    Market 
Value 
Ratings* 
         
  Description(1)    Coupon   Maturity    Moody's    S&P   
    CONVERTIBLE BONDS - 33.1% (22.5% of Total Investments)                   
    Aerospace & Defense - 0.9%                   
2,900    AAR Corporation, 144A    2.875 %  2/01/24    A3    BBB-    3,059,500 
2,500    EDO Corporation, Convertible Subordinate Note    5.250 %  4/15/07    A3    BBB-    2,571,875 
6,900    L-3 Communications Corporation, 144A    3.000 %  8/01/35    Baa1    BBB-    7,089,750 
    Airlines - 0.2%                   
2,740    Continental Airlines Inc.    5.000 %  6/15/23    A1    A    1,894,025 
780    JetBlue Airways Corporation    3.750 %  3/15/35    N/R    N/R    736,125 
    Automobiles - 0.4%                   
785    Fleetwood Enterprises Inc., 144A    5.000 %  12/15/23    A1    A    996,950 
185,250    General Motors Corporation, Convertible Notes, Senior Debentures, Series A    4.500 %  3/06/32    Baa1    N/R    4,414,508 
    Biotechnology - 1.5%                   
8,700    Amgen Inc.    0.000 %  3/01/32    Baa1    N/R    6,927,375 
1,320    CV Therapeutics Inc.    2.750 %  5/16/12    A2    BBB+    2,133,450 
1,645    CV Therapeutics Inc.    3.250 %  8/16/13    A1    A    1,959,606 
9,075    Genzyme Corporation    1.250 %  12/01/23    A2    BBB+    10,447,594 
    Commercial Services & Supplies - 0.8%                   
4,015    DST Systems Inc.    4.125 %  8/15/23    A1    A-    5,063,919 
6,435    Electronic Data Systems, Convertible Senior Notes, 144A    3.875 %  7/15/23    Baa1    BBB    6,378,694 
    Communications Equipment - 1.9%                   
5,565    Comverse Technology Inc.    0.000 %  5/15/23    Baa1    BBB    8,354,456 
6,735    JDS Uniphase Corporation    0.000 %  11/15/10    A1    A+    5,724,750 
4,095    Lucent Technologies Inc.    2.750 %  6/15/23    A1    A    4,699,013 
2,985    Nortel Networks Corp    4.250 %  9/01/08    Baa2    N/R    2,824,556 
3,355    Powerwave Technologies Inc.    1.825 %  11/15/24    Baa1    BBB+    4,428,600 
1,240    Powerwave Technologies Inc.    1.875 %  11/15/24    A2    A-    1,636,800 
    Computers & Peripherals - 0.4%                   
2,810    Maxtor Corporation, 144A    2.375 %  8/15/12    Aa3    A+    2,546,563 
2,500    Mercury Computer Systems Inc., 144A    2.000 %  5/01/24    Baa3    BBB-    2,631,250 
    Containers & Packaging - 0.4%                   
6,700    Sealed Air Corporation, 144A    3.000 %  6/30/33    Baa1    BBB+    6,473,875 
    Diversified Financial Services - 0.5%                   
7,500    CapitalSource Inc.    3.500 %  7/15/34    A1    A+    7,078,125 
    Diversified Telecommunication Services - 0.2%                   
2,425    CenturyTel Inc.    4.750 %  8/01/32    Baa1    A    2,540,188 
    Electric Utilities - 0.4%                   
1,835    PG&E Corporation    9.500 %  6/30/10    A1    A+    5,424,719 
755    Unisource Energy Corporation, 144A    4.500 %  3/01/35    Baa2    A-    794,638 
    Electronic Equipment & Instruments - 0.7%                   
13,125    Roper Industries Inc.    1.481 %  1/15/34    Baa3    BB+    7,235,156 
2,720    Vishay Intertechnology Inc.    3.625 %  8/01/23    Baa3    BB+    2,624,800 
    Energy Equipment & Services - 1.6%                   
2,600    Cal Dive International Inc.    3.250 %  12/15/25    Baa1    BBB    3,285,750 
3,135    Diamond Offshore Drilling Inc.    1.500 %  4/15/31    Baa1    BBB    4,138,200 
2,325    Oil States International Inc., 144A    2.375 %  7/01/25    B2    BB-    3,100,969 
5,265    Pride International Inc.    3.250 %  5/01/33    N/R    N/R    6,647,063 
4,300    Schlumberger Limited    2.125 %  6/01/23    Ba3    BB+    5,090,125 
510    Willbros Group Inc., 144A    2.750 %  3/15/24    Caa2    CCC+    501,075 
    Health Care Equipment & Supplies - 1.8%                   
4,315    Advanced Medical Optics    2.500 %  7/15/24    B2    B    4,228,700 
8,835    Fisher Scientific International Inc.    3.250 %  3/01/24    B2    B-    9,011,700 
13,680    Medtronic Inc.    1.250 %  9/15/21    Ba2    BB    13,731,300 
    Health Care Providers & Services - 0.5%                   
3,100    Health Management Associates Inc.    1.500 %  8/01/23    A2    A+    3,216,250 
6,210    Roche Holdings Inc., 144A    0.000 %  7/25/21    N/R    N/R    4,695,381 
    Hotels, Restaurants & Leisure - 2.9%                   
4,015    Caesars Entertainment Inc.    3.550 %  4/15/24    N/R    N/R    4,853,934 
11,300    Carnival Corporation    1.132 %  4/29/33    N/R    BBB    8,446,750 
3,315    Hilton Hotels Corporation    3.375 %  4/15/23    N/R    N/R    3,799,819 
5,400    Kerzner International Limited, 144A    2.375 %  4/15/24    Ba1    BBB-    5,933,250 
11,488    Royal Caribbean Cruises Limited, Senior Convertible Liquid Yield Option Notes    0.000 %  2/02/21    N/R    BB-    6,031,200 
6,305    Scientific Games Corporation    0.750 %  12/01/24    N/R    N/R    7,416,256 
2,495    Six Flags Inc.    4.500 %  5/15/15    Ba1    BB+    3,159,294 
2,915    Starwood Hotels and Resorts Worldwide Inc.    3.500 %  5/16/23    B1    B    3,443,344 
    Industrial Conglomerates - 0.8%                   
5,600    Tyco International Group    2.750 %  1/15/18    B3    B-    6,909,000 
3,350    Tyco International Group SA, Convertible Notes, 144A    3.125 %  1/15/23    N/R    N/R    4,451,313 
    Insurance - 0.5%                   
5,075    American Equity Investment Life Holding Company    5.250 %  12/06/24    N/R    N/R    5,525,406 
2,300    American International Group Inc.    0.500 %  5/15/07    N/R    N/R    2,170,625 
    Internet Software & Services - 0.7%                   
5,845    Open Solutions Inc., 144A    1.467 %  2/02/35    N/R    N/R    3,083,238 
6,600    WebMD Corporation, 144A    3.125 %  9/01/25    Baa3    BBB    6,426,750 
    IT Services - 0.4%                   
5,390    Digital River Inc., 144A    1.250 %  1/01/24    N/R    BBB-    5,619,075 
    Leisure Equipment & Products - 0.7%                   
440    Collegiate Pacific Inc.    5.750 %  12/01/09    Baa2    BBB+    454,850 
3,155    Eastman Kodak Company    3.375 %  10/15/33    N/R    N/R    3,099,788 
6,195    K2 Corporation, Convertible Notes, 144A    5.000 %  6/15/10    N/R    N/R    6,946,144 
    Machinery - 0.3%                   
4,180    AGCO Corporation, Series B    1.750 %  12/31/33    B1    BB-    4,446,475 
    Media - 4.7%                   
325,000    Comcast Corporation    2.000 %  10/15/29    B3    B+    13,113,750 
4,000    Echostar Communications Corporation, Convertible Subordinated Notes    5.750 %  5/15/08    N/R    N/R    3,980,000 
3,400    Interpublic Group Companies Inc.    4.500 %  3/15/23    N/R    A-    3,982,250 
6,365    Liberty Media Corporation    0.750 %  3/30/23    N/R    N/R    7,096,975 
8,250    Liberty Media Corporation, Senior Debentures, Exchangeable for Class B Viacom Common Stock    3.250 %  3/15/31    Ba2    BB-    6,435,000 
10,850    Liberty Media Corporation, Senior Debentures Exchangeable for Motorola Common Stock    3.500 %  1/15/31    A1    A-    10,809,313 
1,775    Lions Gate Entertainment Corporation, 144A    2.938 %  10/15/24    A1    A+    1,834,906 
2,500    Lions Gate Entertainment Corporation, 144A    3.625 %  3/15/25    N/R    N/R    2,409,375 
3,425    Sinclair Broadcast Group, Convertible Senior Subordinated Notes, 144A    4.875 %  7/15/18    B3    B    3,078,219 
2,600    Sirius Satellite Radio Inc.    3.250 %  10/15/11    Ba3    BB+    3,679,000 
6,100    The Walt Disney Company, Convertible Senior Notes    2.125 %  4/15/23    A1    AA-    6,229,625 
96,000    Tribune Company, Exchangeable Subordinated Debentures    2.000 %  5/15/29    Baa3    BBB+    7,848,960 
    Oil, Gas & Consumable Fuels - 1.2%                   
11,270    Devon Energy Corporation    4.900 %  8/15/08    N/R    N/R    13,918,450 
2,075    McMoran Exploration Corporation, Notes, 144A    6.000 %  7/02/08    Baa3    BBB-    3,065,813 
    Pharmaceuticals - 3.1%                   
3,390    Alexion Pharmaceuticals Inc., 144A    1.375 %  2/01/12    A3    A-    3,567,975 
9,550    Allergan Inc., Convertible Senior Notes    0.000 %  11/06/22    Baa3    BBB-    10,123,000 
7,050    Alza Corporation    0.000 %  7/28/20    B2    B    6,159,938 
3,275    Sepracor Inc.    0.000 %  10/15/24    Ba1    BB+    3,344,594 
2,350    Teva Pharmaceutical Finance B.V    0.375 %  11/15/22    B2    B+    3,674,813 
6,575    Teva Pharmaceutical Finance, Series B    0.250 %  2/01/24    Caa1    CCC    6,813,344 
3,295    Valeant Pharmaceuticals International, 144A    3.000 %  8/16/10    Ba1    BB+    3,010,806 
1,940    Valeant Pharmaceuticals International, 144A    4.000 %  11/15/13    Baa3    BBB+    1,767,825 
6,400    Wyeth, 144A    1.000 %  11/15/24    Ba1    BBB+    6,635,136 
    Real Estate - 0.2%                   
2,725    Avatar Holdings Inc., 144A    4.500 %  4/01/24    N/R    BB+    3,293,844 
    Road & Rail - 0.5%                   
7,700    CSX Corporation    0.000 %  10/30/21    Aa2    AA    7,055,125 
585    Yellow Roadway Corporation    3.375 %  11/25/23    N/R    N/R    706,388 
    Semiconductors & Semiconductor Equipment - 2.0%                   
3,100    Agere Systems Inc.    6.500 %  12/15/09    N/R    N/R    3,115,500 
5,875    ASM International NV    4.250 %  12/06/11    N/R    N/R    5,485,781 
4,890    ASM Lithography Holding NV    5.750 %  10/15/06    N/R    N/R    5,220,075 
4,000    FEI Company, Convertible Notes    5.500 %  8/15/08    Ba3    B+    3,995,000 
6,475    LSI Logic Corporation    4.000 %  5/15/10    N/R    N/R    6,863,500 
3,360    Micron Technology Inc.    2.500 %  2/01/10    B1    BB-    3,956,400 
    Software - 0.8%                   
6,600    Mentor Graphics Corporation, Convertible Subordinated Notes    6.875 %  6/15/07    Ba1    BBB    6,591,750 
1,100    Sybase Inc.    1.750 %  2/22/25    B2    B    1,192,125 
3,350    Sybase Inc., 144A    1.750 %  2/22/25    Ba1    B+    3,630,563 
    Specialty Retail - 1.4%                   
4,510    Dick's Sporting Goods Inc.    1.606 %  2/18/24    Ba1    BB+    3,089,350 
6,710    Lowe's Companies Inc.    0.861 %  10/19/21    Ba1    BB+    7,624,238 
3,545    Sonic Automotive Inc., Convertible Senior Subordinated Notes    5.250 %  5/07/09    N/R    N/R    3,487,394 
8,775    The TJX Companies, Inc.    0.000 %  2/13/21    N/R    N/R    6,756,750 
    Wireless Telecommunication Services - 0.7%                   
3,495    American Tower Corporation    3.000 %  8/15/12    B3    B    4,726,988 
3,125    NII Holdings Inc., 144A    2.875 %  2/01/34    N/R    CCC    5,273,438 
    Total Convertible Bonds (cost $459,202,490)                  483,197,160 
    CORPORATE BONDS - 15.0% (10.5% of Total Investments)                   
    Aerospace & Defense - 0.2%                   
3,500    K&F Acquisition Inc.    7.750 %  11/15/14    Baa1    A-    3,552,500 
    Auto Components - 0.3%                   
1,600    Affinia Group Inc.    9.000 %  11/30/14    Baa1    A-    1,256,000 
2,500    Tenneco Auto, Inc.    10.250 %  7/15/13    N/R    N/R    2,806,250 
    Automobiles - 0.7%                   
3,500    Ford Motor Company, Debentures    7.700 %  5/15/97    N/R    N/R    2,537,500 
5,590    Ford Motor Company, Debentures    9.980 %  2/15/47    A3    A    5,072,925 
2,575    Keystone Automotive Operations Inc.    9.750 %  11/01/13    Baa2    BBB    2,575,000 
    Chemicals - 0.6%                   
2,000    Freeport McMoran Resources Inc.    7.000 %  2/15/08    Aa1    AAA    2,055,000 
1,000    Nell AF Sarl    8.375 %  8/15/15    N/R    CCC+    982,500 
1,335    OM Group Inc.    9.250 %  12/15/11    N/R    BBB    1,365,038 
3,000    Resolution Performance Products LLC    8.000 %  12/15/09    N/R    BBB    3,105,000 
1,500    Rockwood Specialties Group    7.500 %  11/15/14    N/R    B    1,462,500 
    Commercial Services & Supplies - 0.2%                   
1,000    Allied Waste North America    7.875 %  4/15/13    N/R    B    1,025,000 
667    Allied Waste North America, Series B    9.250 %  9/01/12    Baa1    A    725,363 
1,000    National Mentor Inc., 144A    9.625 %  12/01/12    N/R    N/R    1,050,000 
    Communications Equipment - 0.4%                   
7,057    Ciena Corporation    3.750 %  2/01/08    Baa2    BBB    6,483,619 
    Containers & Packaging - 0.5%                   
1,520    Berry Plastics Corporation    10.750 %  7/15/12    Ba1    BBB-    1,641,600 
2,000    MDP Acquisitions plc, Senior Notes    9.625 %  10/01/12    B3    B    2,020,000 
2,000    Owens-Brockway Glass Containers, Guaranteed Senior Note    8.250 %  5/15/13    N/R    B-    2,090,000 
2,000    Owens-Illinois Inc.    7.800 %  5/15/18    B2    N/R    2,020,000 
    Diversified Telecommunication Services - 0.2%                   
2,000    INTELSAT Bermuda Limited, 144A    8.250 %  1/15/13    N/R    B-    2,022,500 
1,500    Valor Telecommunications Enterprises LLC    7.750 %  2/15/15    Ba3    B    1,462,500 
    Electric Utilities - 0.4%                   
3,000    Midwest Generation LLC    8.750 %  5/01/34    B2    B-    3,356,250 
3,000    Sierra Pacific Resources, 144A    6.750 %  8/15/17    N/R    N/R    3,022,500 
    Energy Equipment & Services - 0.2%                   
1,000    Lone Star Technologies Inc.    9.000 %  6/01/11    N/R    N/R    1,065,000 
1,500    Pride International Inc.    7.375 %  7/15/14    N/R    N/R    1,636,875 
    Food & Staples Retailing - 0.1%                   
2,000    Stater Brothers Holdings Inc.    8.125 %  6/15/12    N/R    B    1,985,000 
    Food Products - 0.5%                   
5,943    Dole Foods Company    7.875 %  7/15/13    A2    A+    6,388,725 
356    Dole Foods Company    8.875 %  3/15/11    B3    B    371,130 
    Health Care Providers & Services - 0.5%                   
1,500    Quintiles Transnational Corporation    10.000 %  10/01/13    Baa1    A-    1,695,000 
1,300    Select Medical Corporation    7.625 %  2/01/15    B1    BB-    1,251,250 
1,000    US Oncology Inc.    9.000 %  8/15/12    N/R    N/R    1,085,000 
2,500    US Oncology Inc.    10.750 %  8/15/14    Ba2    B+    2,812,500 
    Hotels, Restaurants & Leisure - 2.6%                   
2,000    Boyd Gaming Corporation    8.750 %  4/15/12    N/R    BB+    2,165,000 
2,000    Boyd Gaming Corporation    7.750 %  12/15/12    N/R    N/R    2,112,500 
2,552    Dominos Inc.    8.250 %  7/01/11    N/R    N/R    2,692,360 
1,500    Herbst Gaming Inc.    7.000 %  11/15/14    A1    A+    1,505,625 
2,900    Intrawest Corporation    7.500 %  10/15/13    A1    A    2,983,375 
2,000    Landry's Restaurants Inc., Series B    7.500 %  12/15/14    Ba1    BB    1,910,000 
4,040    Park Place Entertainment    7.875 %  12/15/05    Baa1    BBB    4,075,350 
1,600    Park Place Entertainment    8.125 %  5/15/11    Caa3    B    1,790,000 
2,500    Park Place Entertainment    7.000 %  4/15/13    B2    B-    2,715,413 
6,000    Penn National Gaming Inc., Senior Subordinated Notes    8.875 %  3/15/10    N/R    A-    6,360,000 
750    Pinnacle Entertainment Inc.    8.750 %  10/01/13    Baa3    N/R    776,250 
2,000    Pinnacle Entertainment Inc.    8.250 %  3/15/12    Caa1    B-    2,010,000 
2,000    Town Sports International Inc.    9.625 %  4/15/11    Baa3    N/R    2,087,500 
4,000    Universal City Development Partners    11.750 %  4/01/10    Ba3    BB    4,540,000 
    Household Durables - 0.7%                   
2,000    K. Hovnanian Enterprises Inc., Senior Subordinated Notes    8.875 %  4/01/12    Baa3    BBB-    2,120,000 
3,000    KB Home    8.625 %  12/15/08    A2    A    3,203,832 
5,175    Technical Olympic USA Inc., Senior Subordinated Notes    10.375 %  7/01/12    N/R    A-    5,472,563 
    Household Products - 0.1%                   
1,650    Central Garden & Pet Company    9.125 %  2/01/13    N/R    BBB+    1,773,750 
    Independent Power Producers & Energy Traders - 0.1%                   
1,239    NRG Energy Inc., Series WI    8.000 %  12/15/13    N/R    N/R    1,325,730 
    Insurance - 0.1%                   
2,000    Fairfax Financial Holdings Ltd    7.750 %  4/26/12    Baa2    BBB    1,930,000 
    IT Services - 0.5%                   
2,500    Global Cash Access LLC    8.750 %  3/15/12    N/R    A    2,700,000 
4,750    SunGuard Data Systems Inc., 144A    9.125 %  8/15/13    A2    A    4,945,936 
    Machinery - 0.5%                   
1,220    Terex Corporation, Senior Subordinated Notes    10.375 %  4/01/11    Caa1    CCC+    1,311,500 
6,095    Terex Corporation, Senior Subordinated Notes    9.250 %  7/15/11    N/R    N/R    6,582,600 
    Media - 2.9%                   
4,000    Allbritton Communications Company, Series B    7.750 %  12/15/12    Ba3    BB    3,990,000 
2,000    American Media Operations Inc.    8.875 %  1/15/11    N/R    B+    1,780,000 
4,180    American Media Operations Inc., Series B    10.250 %  5/01/09    N/R    N/R    4,085,950 
5,000    Cablevision Systems Corporation    7.250 %  7/15/08    Baa3    BBB    5,043,750 
1,000    Cablevision Systems Corporation, Series B    8.125 %  8/15/09    Aa3    AA-    1,012,500 
2,750    Canwest Media Incorporated    7.625 %  4/15/13    A1    A    3,007,813 
2,000    Charter Communications Operating LLC, 144A    8.000 %  4/30/12    Caa1    B-    2,025,000 
1,500    Loews Cineplex Entertainment Corporation, Series WI    9.000 %  8/01/14    Caa1    CCC+    1,466,250 
2,800    Mail-Well I Corporation, Senior Unsecured Note, 144A    9.625 %  3/15/12    B3    B-    3,017,000 
1,950    Panamsat Corporation    9.000 %  8/15/14    B2    B-    2,067,000 
6,000    Primedia Inc., Senior Notes    8.875 %  5/15/11    Ba1    BB+    6,315,000 
4,550    Vertis Inc.    9.750 %  4/01/09    Ba1    BB+    4,720,625 
4,000    Young Broadcasting Inc., Senior Subordinated Note    10.000 %  3/01/11    Ba3    B+    3,800,000 
    Metals & Mining - 0.1%                   
2,000    Chaparral Steel Company, 144A    10.000 %  7/15/13    B2    B-    2,120,000 
    Oil, Gas & Consumable Fuels - 0.5%                   
2,400    Baytex Energy Ltd    9.625 %  7/15/10    Caa1    B-    2,526,000 
2,345    Chesapeake Energy Corporation    7.750 %  1/15/15    B2    B+    2,509,150 
250    Tesoro Petroleum Corporation    8.000 %  4/15/08    B3    B-    261,870 
2,000    Tesoro Petroleum Corporation, Senior Subordinated Notes, Series B    9.625 %  11/01/08    B2    BB-    2,103,500 
250    Whiting Petroleum Corporation, 144A    7.000 %  2/01/14    B2    BB-    254,688 
    Paper & Forest Products - 0.5%                   
2,000    Georgia Pacific Corporation, Debentures    7.700 %  6/15/15    B3    B-    2,217,500 
5,000    Georgia Pacific Corporation, Notes    8.125 %  5/15/11    B2    B    5,550,000 
    Personal Products - 0.1%                   
1,500    Prestige Brands Inc.    9.250 %  4/15/12    B3    B-    1,545,000 
    Pharmaceuticals - 0.1%                   
2,000    Alpharma Inc., Reg S    8.625 %  5/01/11    B3    B-    2,070,000 
    Real Estate - 0.2%                   
1,625    CB Richard Ellis Services Inc.    9.750 %  5/15/10    B2    B    1,799,688 
1,000    TruStreet Properties Inc.    7.500 %  4/01/15    B3    B    1,027,500 
500    Ventas Realty LP, 144A    7.125 %  6/01/15    B2    B+    520,000 
    Road & Rail - 0.1%                   
1,000    Greenbrier Companies, Inc.    8.375 %  5/15/15    Baa1    BBB+    1,045,000 
    Specialty Retail - 0.8%                   
4,100    Asbury Automotive Group Inc.    9.000 %  6/15/12    B1    B    4,141,000 
1,670    Movie Gallery Inc., Series WI    11.000 %  5/01/12    B1    B    1,486,300 
5,000    Warnaco Inc., Senior Notes    8.875 %  6/15/13    B1    B-    5,425,000 
    Textiles, Apparel & Luxury Goods - 0.2%                   
3,000    Jostens IH Corporation    7.625 %  10/01/12    B3    B    3,045,000 
    Trading Companies & Distributors - 0.1%                   
2,000    United Rentals North America Inc.    6.500 %  2/15/12    Ba2    BB-    1,940,000 
    Total Corporate Bonds (cost $224,217,184)                  224,987,393 
    CAPITAL PREFERRED SECURITIES - 32.4% (22.0% of Total Investments)                   
    Capital Markets - 4.1%                   
2,500    Ahmanson Capital Trust I, 144A    8.360 %  12/01/26    B2    B+    2,686,818 
1,000    BT Capital Trust, Series B1    7.900 %  1/15/27    B3    B    1,065,803 
4,850    BT Institutional Capital Trust A, 144A    8.090 %  12/01/26    B3    B-    5,194,903 
3,000    BT Institutional Capital Trust B, 144A    7.750 %  12/01/26    B2    B-    3,197,244 
1,250    C.A. Preferred Fund Trust II    7.000 %  10/30/49    B3    B-    1,302,496 
27,500    C.A. Preferred Funding Trust    7.000 %  1/30/49    B1    B+    28,548,135 
3,000    First Security Capital I    8.410 %  12/15/26    B1    B+    3,233,106 
1,000    Mellon Capital II, Series B    7.995 %  1/15/27    B1    BB-    1,074,259 
8,000    UBS Preferred Funding Trust I    8.622 %  10/29/49    B3    B-    9,277,272 
3,800    Washington Mutual Capital Trust I    8.375 %  6/01/27    Caa1    CCC    4,095,389 
    Commercial Banks - 20.2%                   
3,000    AB Svensk Exportkredit, 144A    6.375 %  10/27/49    B1    B+    3,077,673 
9,500    Abbey National Capital Trust I    8.963 %  12/30/49    B2    B    13,269,448 
6,500    AgFirst Farm Credit Bank    7.300 %  12/15/53    Ba1    BB+    6,529,218 
3,000    Bank One Capital III    8.750 %  9/01/30    Ba1    BB+    4,062,216 
1,000    BankAmerica Capital II, Series 2    8.000 %  12/15/26    Baa3    BBB-    1,071,705 
6,000    BankBoston Capital Trust I, Series B    8.250 %  12/15/26    B2    B    6,451,080 
2,000    BanPonce Trust I, Series A    8.327 %  2/01/27    Caa1    B-    2,138,636 
13,030    Barclays Bank plc, 144A    8.550 %  6/15/49    Caa1    B-    15,289,415 
15    BBVA Privanza International Gibraltar, 144A    7.764 %  9/30/47    B2    B+    15,750,000 
3,000    Centura Capital Trust I, 144A    8.845 %  6/01/27    B2    B-    3,297,855 
1,500    DBS Capital Funding Corporation, 144A    7.657 %  3/15/49    B2    B-    1,680,614 
1,000    First Chicago NBD Institutional Capital, 144A    7.950 %  12/01/26    Ba2    B+    1,067,140 
6,200    First Empire Capital Trust I    8.234 %  2/01/27    Ba2    BB-    6,647,987 
2,000    First Midwest Bancorp Inc.    6.950 %  12/01/33    B2    B-    2,228,880 
31,000    HBOS Capital Funding LP, Notes    6.850 %  3/23/49    Ba2    BBB-    31,912,423 
2,500    HBOS Public Limited Company, 144A    6.413 %  9/29/49    B1    B+    2,499,468 
2,400    HSBC Capital Funding LP, 144A    9.547 %  12/31/49    B1    B    2,849,378 
5,750    HSBC Capital Funding LP, Debt    10.176 %  6/30/50    Ba3    BB    8,933,499 
11,000    KBC Bank Fund Trust III, 144A    9.860 %  11/02/49    Caa1    B-    12,939,894 
1,000    KeyCorp Capital II    6.875 %  3/17/29    B3    B-    1,103,416 
6,300    KeyCorp Institutional Capital Trust A    7.826 %  12/01/26    Caa1    B    6,721,546 
18,600    Lloyds TSB Bank plc, Subordinated Note    6.900 %  11/22/49    Caa1    B    19,189,769 
20,000    M&I Capital Trust A    7.650 %  12/01/26    B2    B-    21,325,620 
5,000    NB Capital Trust IV    8.250 %  4/15/27    B1    B+    5,407,425 
1,000    North Fork Capital Trust I, Capital Securities    8.700 %  12/15/26    B3    B-    1,079,707 
12,000    North Fork Capital Trust II    8.000 %  12/15/27    Caa1    CCC+    13,108,308 
1,000    Popular North American Capital Trust I    6.564 %  9/15/34    Caa1    CCC+    1,052,251 
16,500    RBS Capital Trust B    6.800 %  12/31/49    B1    BB-    16,837,673 
100    Reliance Capital Trust I, Series B    8.170 %  5/01/28    B1    BB-    110,064 
2,365    SocGen Real Estate Company LLC, 144A    7.640 %  12/29/49    Ba3    B-    2,490,593 
8,000    Sparebanken Rogaland, Notes, 144A    6.443 %  5/01/49    B2    B-    8,095,320 
10,500    St. George Funding Company LLC    8.485 %  6/30/17    B3    CCC+    11,541,138 
1,650    Swedbank Forenings Sparbanken AB, 144A    9.000 %  12/29/49    B1    B+    1,906,892 
2,000    Unicredito Italiano Capital Trust, 144A    9.200 %  10/05/49    B1    B+    2,353,186 
300    Union Planters Preferred Fund, 144A    7.750 %  7/15/53    B2    B    35,081,250 
100    Wachovia Capital Trust I, Capital Securities, 144A    7.640 %  1/15/27    B3    CCC    106,674 
5,000    Zions Institutional Capital Trust, Series A    8.536 %  12/15/26    B1    B    5,392,915 
    Diversified Financial Services - 2.1%                 
7,750    BNP Paribas Capital Trust    7.200 %  12/31/49    B3    B-    7,995,174 
18,125    Chase Capital Trust I, Series A    7.670 %  12/01/26    Ba2    BB    19,284,203 
2,800    Old Mutual Capital Funding, Notes    8.000 %  6/22/53    B2    BB-    2,931,860 
    Diversified Telecommunication Services - 0.9%                 
9,957    Centaur Funding Corporation, Series B, 144A    9.080 %  4/21/20    B2    B-    13,012,554 
    Insurance - 3.5%                 
250    Allstate Financing II    7.830 %  12/01/45    Ba2    BB+    265,814 
2,300    American General Capital II    8.500 %  7/01/30    Ba2    BB+    3,104,821 
18,596    Berkeley Capital Trust    8.197 %  12/15/45    B3    B-    19,097,051 
4,000    Mangrove Bay, Class 3, 144A    6.102 %  7/15/33    B3    B-    4,013,380 
1,000    MIC Financing Trust I    8.375 %  2/01/27    Ba3    BB-    1,034,043 
7,250    Prudential plc    6.500 %  6/29/49    B1    B+    7,313,372 
9,500    Sun Life Canada Capital Trust, Capital Securities, 144A    8.526 %  5/06/47    Ba3    BB    10,338,708 
5,000    Zurich Capital Trust I, 144A    8.376 %  6/01/37    B3    B    5,357,915 
    Oil, Gas & Consumable Fuels - 0.6%                 
1,200    KN Capital Trust I, Preferred Securities    8.560 %  4/15/27    B3    CCC+    1,297,249 
6,110    KN Capital Trust III    7.630 %  4/15/28    B1    BB-    6,925,318 
    Thrifts & Mortgage Finance - 1.0%                 
12,250    Dime Capital Trust I, Series A    9.330 %  5/06/27    B3    B-    13,564,592 
1,000    Great Western Financial Trust II, Series A    8.206 %  2/01/27    B3    BB-    1,077,231 
    Total Capital Preferred Securities (cost $474,051,059)                  470,888,986 
Principal                      Market
Amount (000)    Description(1)                  Value
    REPURCHASE AGREEMENTS - 1.4% (1.0% of Total Investments)                 
$ 20,643    State Street Bank, 3.150%, dated 9/30/05, due 10/03/05, repurchase price                  20,642,872
    $20,648,291, collateralized by $11,220,000 U.S. Treasury Bonds, 7.125%, due 2/15/23, value $14,719,238,               
     and $4,985,000 U.S. Treasury Bonds, 6.250%, due 5/15/30, value $6,337,181                 
    Total Repurchase Agreements (cost $20,642,872)                  20,642,872
    Total Investments (cost $2,105,780,911) - 146.7%                  2,144,091,335
    Other Assets Less Liabilities - 1.8%                  24,989,890
    FundPreferred Shares, at Liquidation Value - (48.5)%                  (708,000,000)
  Net Assets Applicable to Common Shares - 100%            $  1,461,081,225 

Interest Rate Swaps outstanding at September 30, 2005:                   
      Notional            Termination      Unrealized 
 Counterparty      Amount    Fixed Rate     Floating Rate**     Date      Appreciation 
 JPMorgan    $   71,000,000    1.9735 %    3.8188 %    1/22/06    $   508,972 
 JPMorgan      71,000,000    3.3950     3.6800     7/06/06      515,863 
 JPMorgan      71,000,000    2.9935     3.8188     1/22/08      2,424,317 
 Morgan Stanley      71,000,000    2.5670     3.8188     1/22/07      1,734,909 
 Morgan Stanley      71,000,000    3.4060     3.8188     1/22/09      2,541,710 
                      $   7,725,771 

(1 )    All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares 
    unless otherwise noted. 
*     Ratings below Baa by Moody’s Investor Service, Inc. or BBB by Standard & Poor’s Group are considered to 
    be below investment grade. 
**     Based on LIBOR (London Interbank Offered Rate) 
(a)     Security is eligible for the Dividends Received Deduction. 
144 A    144A securities are those which are exempt from registration under Rule 144A of the Securities Act of 1933, 
    as amended. These securities may only be resold in transactions exempt from registration which are normally 
    those transactions with qualified institutional buyers. 
(CBTCS)     Corporate Backed Trust Certificates. 
(CORTS)     Corporate Backed Trust Securities. 
(PCARS)     Public Credit and Repackaged Securities. 
(PPLUS)     PreferredPlus Trust. 
(SATURNS)     Structured Asset Trust Unit Repackaging. 
N/R     Security is not rated. 

Income Tax Information

The following information is presented on an income tax basis based on the information currently available to the Fund. Differences between amounts for financial statement and federal income tax purposes are primarily due to the recognition of income on certain securities which are treated as debt securities for income tax purposes and equity securities for financial statement purposes.

At September 30, 2005, the cost of investments was $2,127,533,169.

Gross unrealized appreciation and gross unrealized depreciation of investments at September 30, 2005, were as follows:
Gross unrealized:       
   Appreciation    $   77,532,246  
   Depreciation      (60,974,080 ) 
Net unrealized appreciation of investments    $   16,558,166  

Item 2. Controls and Procedures.

  1. 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)).
  2. 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 Preferred and Convertible Income Fund        

By (Signature and Title)*          /s/ Jessica R. Droeger                     
                                                    Jessica R. Droeger
                                                    Vice President and Secretary

Date         11/29/05        

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         11/29/05        

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

Date         11/29/05        

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