Edgar Filing: NUVEEN PREFERRED CONVERTIBLE INCOME FUND

nvq

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21293

Nuveen 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: 9/30/2006

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

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

TABLE OF CONTENTS


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

Item 1. Schedule of Investments

Portfolio of Investments (Unaudited)

Nuveen Preferred and Convertible Income Fund (JPC)
September 30, 2006


Shares		Description (1)	Value


		Common Stocks – 9.6% (6.3% of Total Investments)

		Aerospace & Defense – 0.2%

	18,256	Lockheed Martin Corporation	$	1,571,111
	6,570	Orbital Sciences Corporation, (2)		123,319
	5,770	Precision Castparts Corporation		364,433

		Total Aerospace & Defense		2,058,863


		Air Freight & Logistics – 0.2%

	22,602	FedEx Corporation		2,456,385
	11,600	Ryder System Inc.		599,488

		Total Air Freight & Logistics		3,055,873


		Airlines – 0.0%

	19,084	Southwest Airlines Co.		317,939


		Beverages – 0.2%

	27,220	Coca-Cola Company		1,216,190
	35,646	Pepsi Bottling Group Inc.		1,265,433
	8,026	PepsiCo, Inc.		523,777

		Total Beverages		3,005,400


		Biotechnology – 0.2%

	12,923	Genentech, Inc., (2)		1,068,732
	21,448	Gilead Sciences, Inc., (2)		1,473,478

		Total Biotechnology		2,542,210


		Capital Markets – 0.2%

	9,305	Calamos Asset Management, Inc. Class A		272,823
	16,610	Lehman Brothers Holdings Inc.		1,226,815
	3,593	OptionsXpress Holdings Inc.		100,173

		Total Capital Markets		1,599,811


		Chemicals – 0.1%

	17,890	Airgas, Inc.		647,081
	5,080	Sparetech Corporation		135,992

		Total Chemicals		783,073


		Commercial Banks – 0.5%

	21,540	Bank of Hawaii Corporation		1,037,366
	14,310	Colonial BancGroup Inc.		350,595
	7,344	Greater Bay Bancorp.		207,174
	10,380	Marshall and Ilsley Corporation		500,108
	9,340	Northern Trust Corporation		545,736
	30,680	PNC Financial Services Group, Inc.		2,222,459
	2,370	Umpqua Holdings Corporation		67,782
	18,687	Washington Mutual, Inc.		812,324
	16,970	Whitney Holding Corporation		607,017
	11,630	Zions Bancorporation		928,190

		Total Commercial Banks		7,278,751


		Commercial Services & Supplies – 0.4%

	6,140	Administaff, Inc.		206,918
	4,313	American Ecology Corporation		85,139
	4,476	Consolidated Graphics Inc., (2)		269,321
	7,879	Corporate Executive Board Company		708,401
	32,839	Global Payments Inc.		1,445,244
	29,440	Republic Services, Inc.		1,183,782
	30,860	SEI Investments Company		1,734,023

		Total Commercial Services & Supplies		5,632,828


		Communications Equipment – 0.3%

	35,660	Comverse Technology, Inc., (2)		764,550
	81,700	Corning Incorporated, (2)		1,994,297
	3,473	Harris Corporation		154,514
	49,810	QUALCOMM Inc.		1,810,594

		Total Communications Equipment		4,723,955


		Computers & Peripherals – 0.3%

	21,061	Apple Computer, Inc., (2)		1,622,329
	37,370	Hewlett-Packard Company		1,371,105
	4,880	Lexmark International, Inc., (2)		281,381
	24,793	Network Appliance Inc., (2)		917,589

		Total Computers & Peripherals		4,192,404


		Consumer Finance – 0.3%

	153,125	Americredit Corp., (2)		3,826,594
	12,870	Capital One Financial Corporation		1,012,354

		Total Consumer Finance		4,838,948


		Containers & Packaging – 0.0%

	28,190	Packaging Corp. of America		654,008


		Distributors – 0.0%


	2,274	Keystone Automotive Industries Inc., (2)		86,457


		Diversified Consumer Services – 0.0%

	10,259	Jackson Hewitt Tax Services Inc.		307,873


		Diversified Financial Services – 0.1%

	9,930	CBOT Holdings, Inc. Class A, (2)		1,199,445


		Diversified Telecommunication Services – 0.2%

	24,920	AT&T Inc.		811,395
	2,510	Cbeyond Inc., (2)		68,900
	5,890	CT Communications, Inc.		127,931
	92,030	Sprint Nextel Corporation		1,578,315

		Total Diversified Telecommunication Services		2,586,541


		Electric Utilities – 0.4%

	34,260	PG&E Corporation		1,426,929
	59,614	TXU Corporation		3,727,067

		Total Electric Utilities		5,153,996


		Electrical Equipment – 0.2%

	20,450	Emerson Electric Co.		1,714,937
	4,184	Ormat Technologies Inc.		136,900
	6,093	Smith AO Corporation		240,247

		Total Electrical Equipment		2,092,084


		Electronic Equipment & Instruments – 0.2%

	4,674	Itron Inc., (2)		260,809
	9,108	Millipore Corporation, (2)		558,320
	10,627	Parker Hannifin Corporation		826,037
	10,124	Plexus Corporation, (2)		194,381
	10,197	Teledyne Technologies Inc., (2)		403,801
	15,564	Waters Corporation, (2)		704,738

		Total Electronic Equipment & Instruments		2,948,086


		Energy Equipment & Services – 0.0%

	6,985	Helix Energy Solutions Group, (2)		233,299
	7,589	Unit Corporation, (2)		348,866

		Total Energy Equipment & Services		582,165


		Food & Staples Retailing – 0.1%

	22,610	Whole Foods Market, Inc.		1,343,712


		Food Products – 0.3%

	77,060	Monsanto Company		3,622,591


		Gas Utilities – 0.2%

	75,840	Energen Corporation		3,175,421


		Health Care Equipment & Supplies – 0.4%

	11,756	American Medical Systems Holdings, Inc., (2)		216,663
	29,800	Baxter International Inc.		1,354,708
	15,960	Dade Behring Holdings Inc.		640,954
	6,932	Express Scripts, Inc., (2)		523,297
	8,310	Hillenbrand Industries		473,504
	46,840	Hospira Inc., (2)		1,792,567
	10,252	Surmodics Inc., (2)		360,050

		Total Health Care Equipment & Supplies		5,361,743


		Health Care Providers & Services – 0.4%

	10,096	Healthways Inc., (2)		450,282
	33,397	Quest Diagnostics Incorporated		2,042,561
	38,110	Sierra Health Services Inc., (2)		1,442,082
	26,063	Wellcare Health Plans Inc., (2)		1,475,948

		Total Health Care Providers & Services		5,410,873


		Hotels, Restaurants & Leisure – 0.1%

	17,416	Choice Hotels International, Inc.		712,314
	6,217	Panera Bread Company, (2)		362,140
	11,104	Starbucks Corporation, (2)		378,091

		Total Hotels, Restaurants & Leisure		1,452,545


		Household Durables – 0.2%

	101,151	Newell Rubbermaid Inc.		2,864,596
	6,230	Snap-on Incorporated		277,547
	4,570	Stanley Works		227,815

		Total Household Durables		3,369,958


		Household Products – 0.2%

	29,200	Colgate-Palmolive Company		1,813,320
	13,027	Kimberly-Clark Corporation		851,445

		Total Household Products		2,664,765


		Industrial Conglomerates – 0.2%

	15,730	3M Co.		1,170,627
	20,710	General Electric Company		731,063

		Total Industrial Conglomerates		1,901,690


		Insurance – 0.6%

	35,715	AFLAC Incorporated		1,634,318
	2,451	First American Corporation		103,775
	33,973	HCC Insurance Holdings Inc.		1,117,032
	20,377	Philadelphia Consolidated Holding Corporation, (2)		810,597
	5,034	Tower Group Inc.		167,884
	125,510	W.R. Berkley Corporation		4,441,799

		Total Insurance		8,275,405


		Internet & Catalog Retail – 0.1%

	13,296	Coldwater Creek Inc., (2)		382,393
	8,471	MSC Industrial Direct Inc., Class A		345,109

		Total Internet & Catalog Retail		727,502


		Internet Software & Services – 0.0%

	1,206	Google Inc., Class A, (2)		484,691
	5,098	j2 Global Communications, Inc., (2)		138,513

		Total Internet Software & Services		623,204


		IT Services – 0.0%

	8,602	Websense Inc., (2)		185,889


		Machinery – 0.2%

	5,410	Flow International Corporation, (2)		70,168
	10,300	Flowserve Corporation, (2)		521,077
	2,137	Freightcar America Inc.		113,261
	9,683	Harsco Corporation		751,885
	6,980	Joy Global Inc.		262,518
	5,610	Paccar Inc.		319,882
	2,630	Robbins & Myers, Inc.		81,320

		Total Machinery		2,120,111


		Media – 0.6%

	18,690	Cablevision Systems Corporation, (2)		424,450
	9,294	Comcast Corporation, Class A, (2)		342,484
	49,830	DIRECTV Group, Inc., (2)		980,654
	18,867	John Wiley and Sons Inc., Class A		679,401
	14,976	Liberty Global Inc, A Shares, (2)		385,482
	14,980	Liberty Global Inc., Class C, (2)		375,399
	5,701	Lodgenet Entertainment Corporation, (2)		107,635
	42,970	McGraw-Hill Companies, Inc.		2,493,549
	131,280	Time Warner Inc.		2,393,234

		Total Media		8,182,288


		Metals & Mining – 0.0%

	5,430	Compass Minerals International, Inc.		153,723
	2,290	Olympic Steel Inc.		56,929
	2,171	Phelps Dodge Corporation		183,884

		Total Metals & Mining		394,536


		Multiline Retail – 0.2%

	9,930	Big Lots Inc., (2)		196,713
	6,492	Casey’s General Stores, Inc.		144,577
	29,730	Dollar Tree Stores Inc., (2)		920,441
	34,090	Kohl’s Corporation, (2)		2,213,123

		Total Multiline Retail		3,474,854


		Oil, Gas & Consumable Fuels – 0.4%

	6,750	Cabot Oil & Gas Corporation		323,528
	24,030	EOG Resources, Inc.		1,563,152
	3,730	Frontier Oil Corporation		99,143
	4,460	Houston Exploration Company, (2)		245,969
	4,906	Parallel Petroleum Corporation, (2)		98,414
	7,396	Pioneer Drilling Company, (2)		94,965
	19,985	Sunoco, Inc.		1,242,867
	11,242	Valero Energy Corporation		578,626
	35,442	W&T Offshore Inc.		1,035,261

		Total Oil, Gas & Consumable Fuels		5,281,925


		Paper & Forest Products – 0.0%

	18,220	Plum Creek Timber Company		620,209


		Pharmaceuticals – 0.1%

	9,730	Allergan Inc.		1,095,695
	7,181	Alpharma Inc.		167,964
	3,900	New River Pharmaceuticals Inc., (2)		100,347

		Total Pharmaceuticals		1,364,006


		Real Estate – 0.3%

	2,990	American Home Mortgage Investment Corp.		104,261
	5,710	Camden Property Trust		434,017
	9,041	Equity Inns Inc.		143,933
	8,020	Health Care Property Investors Inc.		249,021
	19,520	Host Marriott Corporation		447,594
	6,246	LaSalle Hotel Properties		270,702
	8,026	Public Storage, Inc.		690,156
	5,861	SL Green Realty Corporation		654,674
	13,481	Tanger Factory Outlet Centers		480,193
	1,893	Taubman Centers Inc.		84,087
	9,513	United Dominion Realty Trust		287,293

		Total Real Estate		3,845,931


		Semiconductors & Equipment – 0.2%

	22,028	Advanced Micro Devices, Inc., (2)		547,396
	21,969	Entegris Inc., (2)		239,682
	24,670	Micron Technology, Inc., (2)		429,258
	67,550	National Semiconductor Corporation		1,589,452
	2,818	Netlogic Microsystems Inc., (2)		71,493
	29,420	QLogic Corporation, (2)		556,038
	2,870	Trident Microsystems Inc., (2)		66,756

		Total Semiconductors & Equipment		3,500,075


		Software – 0.4%

	7,955	Aspen Technology Inc., (2)		86,869
	33,229	Autodesk, Inc., (2)		1,155,705
	8,308	Blackbaud, Inc.		182,693
	65,580	BMC Software Inc., (2)		1,785,088
	34,310	Intuit Inc., (2)		1,101,008
	48,293	Salesforce.com, Inc., (2)		1,732,753

		Total Software		6,044,116


		Specialty Retail – 0.3%

	43,740	Ann Taylor Stores Corporation, (2)		1,830,956
	5,166	Build-A-Bear-Workshop, Inc., (2)		117,630
	3,866	Childrens Place Retail Stores Inc., (2)		247,540
	26,010	Circuit City Stores, Inc.		653,111
	12,206	Claire’s Stores, Inc.		355,927
	3,210	Gymboree Corporation, (2)		135,398
	17,980	Select Comfort Corporation, (2)		393,402
	24,744	Staples, Inc.		602,022

		Total Specialty Retail		4,335,986


		Textiles, Apparel & Luxury Goods – 0.0%

	10,349	Guess Inc., (2)		502,237


		Thrifts & Mortgage Finance – 0.0%

	14,070	Washington Federal Inc.		315,731


		Tobacco – 0.1%

	8,310	Loews Corp – Carolina Group		460,291
	9,340	UST Inc.		512,112

		Total Tobacco		972,403


		Trading Companies & Distributors – 0.0%

	5,194	GATX Corporation		214,876

		Total Common Stocks (cost $132,296,663)		134,925,292


Shares		Description (1)		Coupon	Ratings (3)	Value


		Convertible Preferred Securities – 8.8% (5.8% of Total Investments)

		Automobiles – 1.2%

	266,425	Ford Motor Company Capital Trust II		6.500%	Caa2	$	8,949,216
	249,950	General Motors Corporation, Convertible Notes, Senior Debentures, Series B		5.250%	B-		5,028,994
	152,700	General Motors Corporation		6.250%	B-		3,507,519

		Total Automobiles					17,485,729


		Capital Markets – 0.2%

	51,150	Affiliated Managers Group Inc.		5.100%	BB		2,659,800


		Chemicals – 0.3%

	154,175	Celanese Corporation		4.250%	N/R		4,267,564


		Commercial Banks – 0.7%

	6,975,000	Fortis Insurance NV, 144A		7.750%	A+		9,771,975


		Consumer Finance – 0.7%

	9,800,000	SLM Corporation		5.435%	A		9,872,520


		Electric Utilities – 0.5%

	77,660	Entergy Corporation		7.625%	BBB		4,226,257
	56,800	PNM Resources Inc.		6.750%	Baa3		2,842,272

		Total Electric Utilities					7,068,529


		Energy Equipment & Services – 0.1%

	38,400	Bristow Group Inc., Preferred Stock, Convertible		5.500%	N/R		1,883,520


		Gas Utilities – 0.1%

	27,000	Southern Union Company		5.000%	BBB		1,422,900


		Independent Power Producers & Energy Traders – 0.2%

	3,900	NRG Energy Inc., Preferred Convertible		5.750%	B2		920,595


		Insurance – 2.3%

	51,000	Aspen Insurance Holdings Limited		5.625%	BBB-		2,671,125
	368,765	Genworth Financial Inc.		6.000%	A		13,939,317
	334,000	MetLife Inc., Convertible, Series B		6.375%	BBB+		9,923,140
	253,890	Travelers Property Casualty Corporation, Subordinate Notes		4.500%	Baa1		6,250,772

		Total Insurance					32,784,354


		Media – 0.9%

	215,190	Comcast Corporation		2.000%	BBB		8,715,195
	96,750	Interpublic Group Companies Inc., Series A		5.375%	N/R		3,598,133

		Total Media					12,313,328


		Metals & Mining – 0.3%

	3,580	Freeport McMoran Copper & Gold, Inc.		5.500%	B-		4,506,325


		Oil, Gas & Consumable Fuels – 0.2%

	33,810	Chesapeake Energy Corporation		5.000%	B+		3,486,656


		Pharmaceuticals – 0.7%

	180,055	Schering-Plough Corporation (WI/DD Settling 10/02/06)		6.000%	BBB		10,009,257


		U.S. Agency – 0.4%

	54	Federal National Mortgage Association		5.375%	AA-		5,212,215

		Total Convertible Preferred Securities (cost $111,047,669)					123,665,267


Shares		Description (1)	Coupon		Ratings (3)	Value


		$25 Par (or similar) Preferred Securities – 48.6% (32.1% of Total Investments)

		Capital Markets – 5.1%

	270,987	BNY Capital Trust V, Series F		5.950%	A-	$	6,530,787
	148,300	Compass Capital Trust III		7.350%	A3		3,717,881
	11,300	CSFB USA, Series 2002-10 (SATURNS)		7.000%	AA-		289,845
	41,500	First Union Institutional Capital II (CORTS)		8.200%	A1		1,130,875
	4,600	Goldman Sachs Capital I, Series A (CORTS)		6.000%	A1		106,950
	4,800	Goldman Sachs Group Inc., Series 2004-06 (SATURNS)		6.000%	A1		110,976
	39,600	Goldman Sachs Group Inc., Series 2004-4 (CORTS)		6.000%	A1		939,312
	6,000	Goldman Sachs Group Inc., Series GSC-3 (PPLUS)		6.000%	A1		139,320
	3,400	Goldman Sachs Group Incorporated (SATURNS)		5.750%	Aa3		77,112
	527,188	Lehman Brothers Holdings Capital Trust III, Series K		6.375%	A2		13,074,262
	2,400	Lehman Brothers Holdings Capital Trust IV, Series L		6.375%	A2		60,600
	28,100	Merrill Lynch Capital Trust II		8.000%	A1		722,451
	153,700	Merrill Lynch Preferred Capital Trust III		7.000%	A1		3,897,832
	124,400	Merrill Lynch Preferred Capital Trust IV		7.120%	A1		3,169,712
	358,400	Merrill Lynch Preferred Capital Trust V		7.280%	A-		9,185,792
	27,000	Merrill Lynch Preferred Capital Trust		7.750%	A1		683,910
	71,100	Morgan Stanley Capital Trust II		7.250%	A1		1,805,940
	333,722	Morgan Stanley Capital Trust III		6.250%	A1		8,229,585
	717,800	Morgan Stanley Capital Trust IV		6.250%	A1		17,586,100
	18,200	Morgan Stanley Capital Trust V		5.750%	A+		423,696
	2,200	Washington Mutual Capital Trust I, Series 2001-22, Class A-1 (CORTS)		7.650%	Baa1		56,342

		Total Capital Markets					71,939,280


		Commercial Banks – 9.1%

	102,800	Abbey National PLC, Series B		7.375%	A		2,697,472
	63,400	Abbey National PLC, Series B		7.250%	A1		1,600,850
	173,100	Abbey National PLC, Series C		7.375%	A2		4,414,050
	83,300	ABN AMRO Capital Fund Trust V		5.900%	A		1,982,540
	10,000	ABN AMRO Capital Trust Fund VII		6.080%	A		245,200
	73,500	ASBC Capital I		7.625%	Baa1		1,857,345
	43,785	BAC Capital Trust I		7.000%	Aa3		1,102,068
	111,055	BAC Capital Trust II		7.000%	Aa3		2,818,576
	284,700	BAC Capital Trust III		7.000%	A		7,242,768
	49,169	Banco Santander		6.410%	A2		1,258,726
	63,400	Banco Totta & Acores Finance, Series A		8.875%	A3		1,583,022
	9,100	BancorpSouth Capital Trust I		8.150%	Baa2		229,047
	231,600	Banesto Holdings, Series A, 144A		10.500%	A2		7,121,700
	381,700	Bank of America Corporation, Series D		6.204%	A1		9,740,984
	81,700	Bank One Capital Trust VI		7.200%	A1		2,075,180
	35,700	BankNorth Capital Trust II		8.000%	A3		902,853
	62,300	Chittenden Capital Trust I		8.000%	Baa1		1,588,650
	94,000	Citizens Funding Trust I		7.500%	Baa2		2,366,920
	107,000	Cobank ABC, 144A, (6)		7.000%	N/R		5,850,974
	85,900	Comerica Capital Trust I		7.600%	A3		2,157,808
	338,700	Fleet Capital Trust VIII		7.200%	Aa3		8,548,788
	772,120	HSBC Finance Corporation		6.875%	AA-		19,804,878
	164,700	National Commerce Capital Trust II		7.700%	A1		4,140,558
	43,550	PNC Capital Trust		6.125%	BBB+		1,056,088
	115,938	Royal Bank of Scotland Group PLC, Series L		5.750%	A1		2,777,874
	91,395	Royal Bank of Scotland Group PLC, Series N		6.350%	A1		2,312,294
	87,500	SunTrust Capital Trust IV		7.125%	A1		2,200,625
	71,000	SunTrust Capital Trust V		7.050%	A1		1,785,650
	199,300	USB Capital Trust IV		7.350%	Aa3		5,052,255
	81,200	USB Capital Trust V		7.250%	Aa3		2,043,804
	392,100	USB Capital Trust VI		5.750%	Aa3		8,990,853
	36,050	USB Capital Trust VII		5.875%	Aa3		842,489
	33,400	VNB Capital Trust I		7.750%	Baa1		840,344
	7,400	Wells Fargo Capital Trust IV		7.000%	Aa2		187,146
	44,000	Wells Fargo Capital Trust IX		5.625%	Aa2		1,010,240
	80,735	Wells Fargo Capital Trust V		7.000%	Aa2		2,034,522
	127,369	Wells Fargo Capital Trust VII		5.850%	Aa2		3,045,393
	80,700	Zions Capital Trust B		8.000%	BBB-		2,077,218

		Total Commercial Banks					127,587,752


		Computers & Peripherals – 0.1%

	22,700	IBM Inc., Series 2001-1 (SATURNS)		7.125%	A+		581,007
	4,600	IBM Inc., Trust Certificates, Series 2001-2		7.100%	A+		117,668
	2,600	IBM Trust II (CORTS)		7.125%	A+		66,612
	9,400	IBM Trust III (CORTS)		7.200%	A+		240,358
	1,000	IBM Trust IV (CORTS)		7.000%	A+		26,010

		Total Computers & Peripherals					1,031,655


		Consumer Finance – 0.1%

	39,600	Household Capital Trust VII		7.500%	A1		1,001,088
	39,700	SLM Corporation		6.000%	A		957,564

		Total Consumer Finance					1,958,652


		Diversified Financial Services – 3.7%

	50,700	BAC Capital Trust XII		6.875%	Aa3		1,307,553
	16,500	CIT Group Incorporated (CORTS)		7.750%	A3		433,043
	12,960	Citigroup Capital Trust IX		6.000%	Aa2		315,835
	86,500	Citigroup Capital Trust VII		7.125%	Aa2		2,184,990
	241,654	Citigroup Capital Trust VIII		6.950%	Aa2		6,070,348
	400	Citigroup Capital X		6.100%	A		9,792
	62,510	Citigroup Capital XV		6.500%	Aa3		1,594,005
	13,100	Citigroup, Series CIT (CORTS)		6.750%	A3		326,190
	4,100	General Electric Capital Corporation (CORTS)		6.000%	AAA		99,015
	33,100	General Electric Capital Corporation		6.625%	AAA		837,430
	570,518	ING Group N.V.		7.200%	A		14,639,492
	786,475	ING Group N.V.		7.050%	A		19,960,736
	16,800	ING Group N.V.		6.200%	A		420,168
	32,700	JPM Capital Trust (CORTS)		7.200%	A1		833,523
	54,000	JPMorgan Chase & Company (PCARS)		7.125%	A2		1,373,760
	48,200	JPMorgan Chase Trust, Series 2002-6, Class A (SATURNS)		7.125%	A1		1,218,978

		Total Diversified Financial Services					51,624,858


		Diversified Telecommunication Services – 0.4%

	21,400	BellSouth Capital Funding (CORTS)		7.100%	A		538,210
	18,100	BellSouth Corporation (CORTS)		7.000%	Aa3		458,473
	33,200	BellSouth Corporation, Series 2001-3 (SATURNS)		7.125%	A		834,482
	2,400	BellSouth Corporation, Series BLS (CORTS)		7.000%	A		60,216
	12,300	BellSouth Corporation		7.125%	A		309,345
	10,000	BellSouth Inc. (CORTS)		7.000%	A		253,700
	18,300	BellSouth Telecommunications (PPLUS)		7.300%	A		463,905
	17,500	Verizon Communications (CORTS)		7.625%	A		455,000
	22,200	Verizon Communications (CORTS)		7.375%	A		569,208
	4,700	Verizon Communications, Series 2004-1 (SATURNS)		6.125%	A+		112,941
	1,300	Verizon Global Funding Corporation Trust III, Series III (CORTS)		6.250%	A		31,720
	13,900	Verizon New England Inc., Series B		7.000%	A3		353,199
	45,155	Verizon South Inc., Series F		7.000%	A		1,144,228

		Total Diversified Telecommunication Services					5,584,627


		Electric Utilities – 0.8%

	7,000	Consolidated Edison Company of New York Inc.		7.500%	A1		175,280
	10,000	Consolidated Edison, Inc.		7.250%	A-		253,000
	22,200	DTE Energy Trust I		7.800%	BB+		565,878
	40,670	Entergy Louisiana LLC		7.600%	A-		1,026,918
	44,570	Georgia Power Capital Trust V		7.125%	BBB+		1,123,164
	153,100	Georgia Power Company		5.900%	A		3,705,020
	1,700	Georgia Power Company		5.750%	A		39,627
	1,100	National Rural Utilities Cooperative Finance Corporation		7.400%	A3		27,885
	6,600	National Rural Utilities Cooperative Finance Corporation		6.100%	A3		161,040
	4,900	National Rural Utilities Cooperative Finance Corporation		5.950%	A3		113,484
	2,100	Southern Company Capital Trust I (CORTS)		7.375%	BBB+		53,172
	2,800	Southern Company Capital Trust VI		7.125%	BBB+		71,008
	134,400	Virginia Power Capital Trust		7.375%	BB+		3,427,200

		Total Electric Utilities					10,742,676


		Food Products – 0.3%

	41,900	Dairy Farmers of America Inc., 144A, (6)		7.875%	BBB-		4,158,575


		Insurance – 11.3%

	556,210	Ace Ltd., Series C		7.800%	Baa2		14,433,650
	19,280	Aegon N.V.		6.500%	A-		489,134
	982,000	Aegon N.V.		6.375%	A-		24,834,780
	18,000	Allstate Insurance Company (CORTS)		8.000%	A2		481,410
	26,600	AMBAC Financial Group Inc.		5.950%	AA		644,252
	408,100	Arch Capital Group Limited		8.000%	Baa3		10,855,460
	1,221,100	Delphi Financial Group, Inc.		8.000%	BBB		31,986,715
	322,955	EverestRe Capital Trust II		6.200%	Baa1		7,318,160
	110,400	EverestRe Group Limited		7.850%	Baa1		2,841,696
	82,200	Financial Security Assurance Holdings		6.250%	AA		2,050,068
	225,500	Hartford Capital Trust III, Series C		7.450%	A3		5,646,520
	38,400	Lincoln National Capital Trust V, Series E		7.650%	A-		966,912
	3,500	Lincoln National Capital Trust VI		6.750%	A-		88,725
	5,000	Markel Corporation		7.500%	BBB-		127,350
	809,050	PartnerRe Limited, Series C		6.750%	BBB+		20,339,517
	4,300	PartnerRe Limited		7.900%	A3		107,801
	82,200	PLC Capital Trust III		7.500%	BBB+		2,080,482
	32,900	PLC Capital Trust IV		7.250%	BBB+		829,409
	8,300	PLC Capital Trust V		6.125%	BBB+		196,710
	37,400	Prudential PLC		6.750%	A		952,578
	96,100	RenaissanceRe Holdings Limited, Series A		8.100%	BBB+		2,427,486
	325,410	RenaissanceRe Holdings Limited, Series B		7.300%	BBB		8,219,857
	4,700	RenaissanceRe Holdings Limited, Series C		6.080%	BBB+		104,434
	27,300	Safeco Capital Trust I (CORTS)		8.750%	Baa2		790,745
	39,100	Safeco Capital Trust III (CORTS)		8.072%	Baa2		1,001,156
	7,500	Safeco Capital Trust IV (CORTS)		8.375%	Baa2		208,125
	47,400	Safeco Corporation, Series 2001-7 (SATURNS)		8.250%	Baa2		1,218,654
	44,900	Safeco Corporation, Series 2002-5 (SATURNS)		8.250%	Baa2		1,159,543
	75,500	Saint Paul Capital Trust I		7.600%	Baa1		1,919,965
	34,100	Torchmark Capital Trust I		7.750%	A-		852,500
	72,200	W.R. Berkley Capital Trust, Series 2002-1 (CBTCS)		8.125%	BBB-		737,884
	14,700	W.R. Berkley Corporation		6.750%	BBB-		364,413
	151,100	XL Capital Ltd, Series A		8.000%	Baa1		3,847,006
	340,500	XL Capital Ltd, Series B		7.625%	Baa1		8,703,180

		Total Insurance					158,826,277


		Media – 0.8%

	43,700	CBS Corporation		7.250%	BBB		1,096,870
	404,600	Comcast Corporation		7.000%	BBB+		10,292,013
	900	Walt Disney Company		7.000%	A-		22,842

		Total Media					11,411,725


		Multi-Utilities – 0.1%

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


		Oil, Gas & Consumable Fuels – 0.9%

	477,200	Nexen Inc.		7.350%	Baa3		12,264,040


		Real Estate – 12.9%

	10,700	AvalonBay Communities, Inc., Series H		8.700%	BBB		293,073
	3,000	BRE Properties, Series B		8.080%	BBB-		76,980
	22,500	BRE Properties, Series C		6.750%	BBB-		555,300
	20,600	Developers Diversified Realty Corporation, Series F		8.600%	BBB-		523,858
	658,185	Developers Diversified Realty Corporation, Series G		8.000%	BBB-		16,882,445
	74,900	Developers Diversified Realty Corporation, Series H		7.375%	BBB-		1,897,966
	81,100	Duke Realty Corporation, Series L		6.600%	BBB		2,027,500
	15,700	Duke-Weeks Realty Corporation		6.950%	BBB		400,036
	208,656	Equity Office Properties Trust, Series G		7.750%	BBB-		5,299,862
	11,800	Equity Residential Properties Trust, Series D		8.600%	BBB		300,074
	417,673	Equity Residential Properties Trust, Series N		6.480%	BBB		10,416,765
	268,200	First Industrial Realty Trust, Inc., Series J		7.250%	BBB-		6,745,230
	232,400	HRPT Properties Trust, Series B		8.750%	BBB-		6,019,160
	652,100	HRPT Properties Trust, Series C		7.125%	BBB-		16,667,676
	458,887	Kimco Realty Corporation, Series F		6.650%	BBB+		11,619,019
	13,693	New Plan Excel Realty Trust, Series D		7.800%	BBB-		695,348
	876,975	New Plan Excel Realty Trust, Series E		7.625%	BBB-		22,397,942
	32,982	Prologis Trust, Series C		8.540%	BBB		1,901,620
	13,600	Prologis Trust, Series G		6.750%	BBB		340,000
	13,000	PS Business Parks, Inc., Series F		8.750%	BBB-		329,160
	2,000	PS Business Parks, Inc., Series K		7.950%	BBB-		52,400
	149,400	Public Storage, Inc., Series I		7.250%	BBB+		3,872,448
	51,900	Public Storage, Inc., Series E		6.750%	BBB+		1,305,804
	15,000	Public Storage, Inc., Series F		6.450%	BBB+		365,250
	97,600	Public Storage, Inc., Series H		6.950%	BBB+		2,472,208
	34,900	Public Storage, Inc., Series S		7.875%	BBB+		874,245
	28,200	Public Storage, Inc., Series T		7.625%	BBB+		708,948
	30,200	Public Storage, Inc., Series U		7.625%	BBB+		761,342
	32,300	Public Storage, Inc., Series V		7.500%	BBB+		820,097
	2,600	Public Storage, Inc., Series X		6.450%	BBB+		63,830
	216,495	Regency Centers Corporation		7.450%	BBB-		5,559,592
	9,100	Regency Centers Corporation		7.250%	BBB-		230,685
	7,000	Simon Property Group, Inc., Series G		7.890%	BBB+		361,200
	2,800	Vornado Realty Trust, Series F		6.750%	BBB-		69,188
	16,800	Vornado Realty Trust, Series G		6.625%	BBB-		408,240
	3,400	Vornado Realty Trust, Series H		6.750%	BBB-		84,184
	54,200	Vornado Realty Trust, Series I		6.625%	BBB-		1,319,770
	1,446,545	Wachovia Preferred Funding Corporation		7.250%	A2		40,402,002
	628,830	Weingarten Realty Trust, Preferred Securities		6.750%	A-		16,569,671

		Total Real Estate					181,690,118


		Thrifts & Mortgage Finance – 2.3%

	4,300	Countrywide Capital Trust II, Series II (CORTS)		8.000%	BBB+		109,865
	99,500	Countrywide Capital Trust III (PPLUS)		8.050%	BBB+		2,636,253
	1,201,200	Countrywide Capital Trust IV		6.750%	BBB+		30,138,108

		Total Thrifts & Mortgage Finance					32,884,226


		Wireless Telecommunication Services – 0.7%

	34,100	AT&T Wireless (CORTS)		8.000%	A		865,288
	18,200	AT&T Wireless, Series 2002-B (SATURNS)		9.250%	A		488,670
	33,900	United States Cellular Corporation		8.750%	A-		904,791
	269,100	United States Cellular Corporation		7.500%	A-		6,940,089

		Total Wireless Telecommunication Services					9,198,838

		Total $25 Par (or similar) Preferred Securities (cost $684,361,905)					682,317,207


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

		Variable Rate Senior Loan Interests – 0.8% (0.6% of Total Investments) (5)

		Building Products – 0.1%

$	1,000	Textron Inc. Term Loan	8.921%	8/01/13	B2	$	1,007,500


		Hotels, Restaurants & Leisure – 0.1%

	998	Cedar Fair LP, Term Loan, WI/DD	TBD	TBD	BB-		1,003,824


		Media – 0.4%

	1,000	Charter Communications Inc., Term Loan B	8.125%	4/28/13	B		1,005,332
	2,000	Neilsen Finance LLC, Term Loan B	8.190%	8/09/13	B+		1,995,556
	1,521	Panamsat Corporation, Term Loan	8.008%	1/03/14	B1		1,533,042
	998	Philadelphia Newspapers, Term Loan	8.120%	6/29/13	N/R		1,003,111

	5,519	Total Media					5,537,041


		Paper & Forest Products – 0.1%

	345	Bluegrass Container Company, LLC, Delayed Draw Term Loan	7.601%	6/30/13	BB-		347,283
	1,155	Bluegrass Container Company, LLC, Term Loan B	7.580%	6/30/13	BB-		1,163,565
	997	Georgia-Pacific Corporation, Term Loan B	7.390%	12/20/12	BB-		1,000,570

	2,497	Total Paper & Forest Products					2,511,418


		Real Estate Management & Development – 0.1%

	1,000	LNR Property Corporation, Term Loan B	8.220%	7/12/11	B2		1,007,625

$	11,014	Total Variable Rate Senior Loan Interests (cost $11,018,495)					11,067,408


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


		Convertible Bonds – 34.8% (23.0% of Total Investments)

		Aerospace & Defense – 1.7%

$	4,500	AAR Corporation, 144A (7)	1.750%	2/01/26	BB	$	4,663,125
	2,155	Armor Holdings Inc.	2.000%	11/01/24	B+		2,674,894
	3,075	L-3 Communications Corporation, Convertible Bond	3.000%	8/01/35	BB+		3,144,188
	3,410	L-3 Communications Corporation, Series 144A	3.000%	8/01/35	BB+		3,486,725
	6,460	Lockheed Martin Corporation	5.155%	8/15/33	BBB+		8,211,306
	2,170	Triumph Group Inc, Convertible Bond	2.625%	10/01/26	N/R		2,256,800

	21,770	Total Aerospace & Defense					24,437,038


		Airlines – 0.4%

	1,225	AMR Corporation, Convertible Bonds	4.500%	2/15/24	CCC+		1,551,156
	1,000	Continental Airlines, Inc.	5.000%	6/15/23	CCC+		1,627,500
	2,020	UAL Corporation, Convertible Bond, 144A	4.500%	6/30/21	N/R		2,107,466

	4,245	Total Airlines					5,286,122


		Biotechnology – 3.1%

	7,760	Amgen Inc., 144A	0.125%	2/01/11	A+		7,876,400
	8,950	Amgen Inc., 144A	0.375%	2/01/13	A+		9,095,438
	4,625	Cephalon, Inc.	0.000%	6/15/33	B-		5,555,781
	9,200	Genzyme Corporation	1.250%	12/01/23	BBB		10,120,000
	9,550	Gilead Sciences Inc., 144A	0.625%	5/01/13	N/R		10,242,375

	40,085	Total Biotechnology					42,889,994


		Capital Markets – 0.5%

	6,600	Goldman Sachs Group, Inc.	0.125%	6/28/11	Aa3		6,970,260


		Commercial Banks – 0.5%

	7,000	Wells Fargo & Company, Convertible Bond	5.718%	5/01/33	Aa1		7,107,100


		Communications Equipment – 2.4%

	7,057	Ciena Corporation	3.750%	2/01/08	B		6,845,290
	3,675	CommScope Inc.	1.000%	3/15/24	B+		5,824,875
	5,565	Comverse Technology, Inc.	0.000%	5/15/23	BB-		7,178,850
	975	Finisar Corporation, Series 144A	2.500%	10/15/10	N/R		1,233,375
	6,500	Lucent Technologies Inc., Series B	2.750%	6/15/25	B1		6,516,250
	6,550	Lucent Technologies Inc.	2.750%	6/15/23	B1		6,509,063

	30,322	Total Communications Equipment					34,107,703


		Computers & Peripherals – 0.7%

	9,775	Sandisk Corporation, Convertible Bond	1.000%	5/15/13	BB-		9,359,563


		Construction & Engineering – 0.2%

	3,250	Quanta Services Inc., Series 144A	3.750%	4/30/26	N/R		3,384,063


		Consumer Finance – 0.7%

	9,550	American Express Company, Convertible Bond	1.850%	12/01/33	A+		9,705,188


		Diversified Financial Services – 1.4%

	2,475	CapitalSource Inc.	3.500%	7/15/34	BBB-		2,663,719
	10,525	Citigroup Funding Inc, Convertible Bond	0.125%	9/07/11	Aa1		9,933,495
	5,700	Merrill Lynch & Co. Inc., Convertible Bond	0.000%	3/13/32	Aa3		6,689,520

	18,700	Total Diversified Financial Services					19,286,734


		Diversified Telecommunication Services – 0.8%

	2,660	CenturyTel Inc.	4.750%	8/01/32	BBB		2,819,600
	2,170	Level 3 Communications Inc., Convertible Bond	2.875%	7/15/10	Caa2		2,199,838
	1,575	Qwest Communications International Inc., Convertible Bond	3.500%	11/15/25	B		2,571,188
	3,000	Time Warner Telecom Inc.	2.375%	4/01/26	CCC+		3,727,500

	9,405	Total Diversified Telecommunication Services					11,318,126


		Electric Utilities – 0.1%

	725	PPL Energy Supply LLC, Convertible Bond	2.625%	5/15/23	BBB		961,531


		Electronic Equipment & Instruments – 1.0%

	4,250	Coherent Inc., 144A	2.750%	3/01/11	N/R		4,807,813
	13,125	Roper Industries Inc.	1.481%	1/15/34	BB-		7,792,969
	2,000	SCI Systems Inc.	3.000%	3/15/07	B1		1,970,000

	19,375	Total Electronic Equipment & Instruments					14,570,782


		Energy Equipment & Services – 2.0%

	6,350	Cameron International Corporation, 144A Convertible Bonds	2.500%	6/15/26	BBB+		6,619,875
	500	Halliburton Company, Convertible Bond	3.125%	7/15/23	BBB+		790,000
	3,125	Hanover Compressor Company	4.750%	1/15/14	B		4,375,000
	9,610	Nabors Industries Inc., Convertible Bond Series 144A	0.940%	5/15/11	A-		9,201,575
	3,100	Nabors Industries Inc.	0.000%	6/15/23	N/R		3,247,250
	2,440	Schlumberger Limited	2.125%	6/01/23	A+		3,971,100

	25,125	Total Energy Equipment & Services					28,204,800


		Health Care Equipment & Supplies – 1.4%

	2,875	American Medical Systems Holdings, Convertible Bond	3.250%	7/01/36	B		3,370,938
	16,650	Medtronic Inc., Convertible Bond	1.500%	4/15/11	AA-		16,379,438
	250	Medtronic, Inc.	1.500%	4/15/11	AA-		245,938

	19,775	Total Health Care Equipment & Supplies					19,996,314


		Health Care Providers & Services – 1.2%

	250	Health Management Associates Inc.	1.500%	8/01/23	BBB		255,937
	3,575	Laboratory Corporation of America Holdings	0.000%	9/11/21	BBB-		3,181,750
	500	LifePoint Hospitals Inc., Convertible Bond	3.250%	8/15/25	B+		455,000
	2,625	Manor Care, Inc.	2.125%	8/01/35	BBB		3,232,031
	325	Polymedica Corporation, Convertible Bond, 144A	1.000%	9/15/11	N/R		335,766
	2,525	PSS World Medical Inc., Convertible Bond	2.250%	3/15/24	B+		3,209,906
	6,210	Roche Holdings Inc., 144A	0.000%	7/25/21	N/R		5,741,766

	16,010	Total Health Care Providers & Services					16,412,156


		Hotels, Restaurants & Leisure – 1.3%

	4,540	Caesars Entertainment Inc.	5.510%	4/15/24	Baa3		5,450,724
	5,680	Carnival Corporation	2.000%	4/15/21	A-		7,057,400
	1,560	Four Seasons Hotel Inc.	1.875%	7/30/24	BBB-		1,737,450
	2,575	Hilton Hotels Corporation	3.375%	4/15/23	BB		3,379,688
	1,075	Scientific Games Corporation	0.750%	12/01/24	B+		1,287,313

	15,430	Total Hotels, Restaurants & Leisure					18,912,575


		Insurance – 1.2%

	15	Alleghany Corporation, Convertible Bond	5.750%	6/15/09	BBB-		4,165,841
	4,940	American Financial Group Inc.	1.486%	6/02/33	BBB		2,735,525
	10,225	Prudential Financial Inc.	2.666%	11/15/35	A		10,188,190

	15,180	Total Insurance					17,089,556


		Internet & Catalog Retail – 0.1%

	1,680	Priceline.com Inc., Convertible Bond 144A	0.500%	9/30/11	B		1,799,700


		IT Services – 0.4%

	1,515	Digital River Inc.	1.250%	1/01/24	N/R		1,986,544
	2,740	DST Systems Inc.	4.125%	8/15/23	N/R		3,788,050

	4,255	Total IT Services					5,774,594


		Leisure Equipment & Products – 0.5%

	6,195	K2 Corporation, Convertible Notes, 144A	5.000%	6/15/10	N/R		6,675,113


		Media – 2.7%

	3,700	Grey Global Group Inc.	5.000%	10/15/33	N/R		4,666,625
	10,850	Liberty Media Corporation, Senior Debentures Exchangeable for Motorola Common Stock	3.500%	1/15/31	BB+		12,029,938
	1,725	Liberty Media Corporation	0.750%	3/30/23	BB+		1,908,281
	1,775	Lions Gate Entertainment Corporation, 144A	2.938%	10/15/24	N/R		1,857,094
	2,500	Lions Gate Entertainment Corporation, 144A	3.625%	3/15/25	N/R		2,421,875
	3,340	Omnicom Group Inc.	0.000%	7/01/38	A-		3,410,975
	1,100	Shuffle Master Inc.	1.250%	4/15/24	N/R		1,238,875
	2,265	Sirius Satellite Radio Inc.	3.250%	10/15/11	CCC		2,341,444
	7,275	Walt Disney Company, Convertible Senior Notes	2.125%	4/15/23	A-		8,220,750

	34,530	Total Media					38,095,857


		Metals & Mining – 0.3%

	500	Coeur d’Alene Mines Corporation, Convertible Bond	1.250%	1/15/24	B-		467,500
	2,400	Placer Dome Inc.	2.750%	10/15/23	A-		3,324,000

	2,900	Total Metals & Mining					3,791,500


		Multi-Utilities – 0.6%

	1,200	Centerpoint Energy Inc., Convertible Bond	2.875%	1/15/24	BBB-		1,378,500
	6,325	Dominion Resources Inc., Series C	2.125%	12/15/23	BBB		6,744,031

	7,525	Total Multi-Utilities					8,122,531


		Oil, Gas & Consumable Fuels – 0.6%

	1,600	Chesapeake Energy Corporation, 144A	2.750%	11/15/35	BB		1,644,000
	4,850	Devon Energy Corporation	4.900%	8/15/08	BBB		6,117,063

	6,450	Total Oil, Gas & Consumable Fuels					7,761,063


		Pharmaceuticals – 1.8%

	8,500	Allergan Inc., Convertible Bond, 144A	1.500%	4/01/26	A		8,988,750
	3,650	Allergan Inc., Convertible Bond	1.500%	4/01/26	A		3,859,875
	3,415	Teva Pharmaceutical Finance, Series A	0.500%	2/01/24	BBB		3,615,631
	1,500	Teva Pharmaceutical Finance, Series B	0.250%	2/01/24	BBB		1,633,125
	6,400	Wyeth, 144A	5.109%	1/15/24	A		7,004,160

	23,465	Total Pharmaceuticals					25,101,541


		Real Estate – 0.9%

	5,515	Archstone-Smith Trust, Corporate Bond Convertible	4.000%	7/15/36	BBB+		5,749,388
	5,275	Vornado Realty, Convertible Bond	3.875%	4/15/25	BBB		6,659,688

	10,790	Total Real Estate					12,409,076


		Real Estate Management & Development – 0.7%

	9,200	EOP Operating LP, Convertible Bond 144A	4.000%	7/15/26	BBB		9,855,500


		Semiconductors & Equipment – 2.0%

	8,050	Cypress Semiconductor Corporation, Convertible Notes, Series 144A	1.250%	6/15/08	B-		10,424,750
	4,000	Intel Corporation, 144A	2.950%	12/15/35	A-		3,595,000
	7,100	Intel Corporation, Convertible Bond	2.950%	12/15/35	A-		6,381,125
	1,775	Photronics Inc., Convertible Notes	2.250%	4/15/08	B		1,932,531
	1,545	PMC-Sierra Inc., Convertible Subordinate Notes	2.250%	10/15/25	N/R		1,579,763
	3,000	RF Micro Devices, Inc.	1.500%	7/01/10	B-		3,483,750
	500	Teradyne Inc., Convertible Senior Notes	3.750%	10/15/06	B+		501,250

	25,970	Total Semiconductors & Equipment					27,898,169


		Software – 2.2%

	3,050	Amdocs Limited	0.500%	3/15/24	BBB-		3,259,688
	2,975	Cadence Design Systems, Inc.	0.000%	8/15/23	N/R		3,424,969
	1,125	Computer Associates International Inc., Convertible Bond, Series 144A	1.625%	12/15/09	Ba1		1,407,656
	3,375	Informatica Corporation, 144A	3.000%	3/15/26	N/R		3,455,156
	865	Macrovision Corporation, Convertible Bonds, 144A	2.625%	8/15/11	N/R		954,744
	2,850	Red Hat Inc., Convertible Bond	0.500%	1/15/24	B+		2,996,063
	1,095	Sybase, Inc., 144A	1.750%	2/22/25	N/R		1,215,450
	3,505	Sybase, Inc.	1.750%	2/22/25	N/R		3,890,550
	8,800	Symantec Corporation, Convertible Bond, 144A	0.750%	6/15/11	N/R		10,747,000

	27,640	Total Software					31,351,276


		Specialty Retail – 1.0%

	4,600	Lowes Companies, Inc.	0.861%	10/19/21	A+		4,542,500
	1,840	Sonic Automotive Inc., Convertible Senior Subordinated Notes	5.250%	5/07/09	B		1,745,700
	8,775	TJX Companies, Inc.	0.000%	2/13/21	A-		8,226,563

	15,215	Total Specialty Retail					14,514,763


		Wireless Telecommunication Services – 0.4%

	900	American Tower Corporation	3.000%	8/15/12	BB-		1,692,000
	2,535	NII Holdings Inc., 144A	2.750%	8/15/25	N/R		3,596,531

	3,435	Total Wireless Telecommunication Services					5,288,531

$	451,572	Total Convertible Bonds (cost $460,516,449)					488,438,819


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


		Corporate Bonds – 13.1% (8.7% of Total Investments)

		Aerospace & Defense – 0.2%

$	1,000	Hexcel Corporation, Term Loan	6.750%	2/01/15	B	$	960,000
	2,500	K&F Acquisition Inc.	7.750%	11/15/14	B-		2,518,750

	3,500	Total Aerospace & Defense					3,478,750


		Auto Components – 0.3%

	1,600	Affinia Group Inc.	9.000%	11/30/14	CCC+		1,500,000
	2,575	Keystone Automotive Operations Inc.	9.750%	11/01/13	B-		2,433,375

	4,175	Total Auto Components					3,933,375


		Chemicals – 0.6%

	2,000	Freeport-McMoran Resources	7.000%	2/15/08	B+		2,025,000
	2,000	Ineos Group Holdings PLC, 144A	8.500%	2/15/16	B2		1,915,000
	1,000	Nell AF Sarl	8.375%	8/15/15	B2		997,500
	1,335	OM Group Inc.	9.250%	12/15/11	B-		1,395,075
	1,500	Rockwood Specialties Group Inc., Series WI	7.500%	11/15/14	B-		1,485,000

	7,835	Total Chemicals					7,817,575


		Commercial Services & Supplies – 0.2%

	667	Allied Waste North America, Series B	9.250%	9/01/12	BB-		714,524
	1,000	Allied Waste North America	7.875%	4/15/13	BB-		1,027,500
	600	Williams Scotsman Inc.	8.500%	10/01/15	B+		616,500

	2,267	Total Commercial Services & Supplies					2,358,524


		Computers & Peripherals – 0.1%

	1,000	GSC Holdings Corporation, 144A	8.000%	10/01/12	B+		1,035,000


		Containers & Packaging – 0.4%

	2,000	MDP Acquisitions PLC, Senior Notes	9.625%	10/01/12	B-		2,120,000
	2,000	Owens-Brockway Glass Containers, Guaranteed Senior Note	8.250%	5/15/13	B		2,060,000
	2,000	Owens-Illinois Inc.	7.800%	5/15/18	B		1,910,000

	6,000	Total Containers & Packaging					6,090,000


		Diversified Telecommunication Services – 0.3%

	2,000	Intelsat Subsidiary Holding Company Limited	8.500%	1/15/13	B+		2,035,000
	1,500	Valor Telecommunications Enterprises LLC	7.750%	2/15/15	BBB-		1,605,000

	3,500	Total Diversified Telecommunication Services					3,640,000


		Electric Utilities – 0.5%

	3,000	Midwest Generation LLC	8.750%	5/01/34	Ba2		3,217,500
	500	Mirant North America LLC	7.375%	12/31/13	B2		503,125
	3,000	Sierra Pacific Resources, Series 2006	6.750%	8/15/17	B1		3,016,266

	6,500	Total Electric Utilities					6,736,891


		Energy Equipment & Services – 0.2%

	1,200	Hanover Compressor Company	7.500%	4/15/13	B		1,206,000
	1,500	Pride International Inc.	7.375%	7/15/14	Ba2		1,552,500

	2,700	Total Energy Equipment & Services					2,758,500


		Food & Staples Retailing – 0.1%

	2,000	Stater Brothers Holdings Inc.	8.125%	6/15/12	B+		2,020,000


		Food Products – 0.2%

	356	Dole Foods Company	8.875%	3/15/11	B		342,650
	2,243	Dole Foods Company	7.875%	7/15/13	B		2,108,420

	2,599	Total Food Products					2,451,070


		Health Care Equipment & Supplies – 0.1%

	1,300	Select Medical Corporation	7.625%	2/01/15	B2		1,101,750


		Health Care Providers & Services – 0.3%

	1,000	US Oncology Inc.	9.000%	8/15/12	B2		1,040,000
	2,500	US Oncology Inc.	10.750%	8/15/14	B-		2,750,000

	3,500	Total Health Care Providers & Services					3,790,000


		Hotels, Restaurants & Leisure – 1.7%

	2,000	Boyd Gaming Corporation	8.750%	4/15/12	Ba3		2,110,000
	2,000	Boyd Gaming Corporation	7.750%	12/15/12	Ba3		2,062,500
	1,500	Herbst Gaming Inc.	7.000%	11/15/14	B-		1,462,500
	2,900	Intrawest Corporation	7.500%	10/15/13	B+		3,128,375
	700	Jacob’s Entertainment Inc., 144A	9.750%	6/15/14	B-		696,500
	2,000	Landry’s Restaurants Inc., Series B	7.500%	12/15/14	B1		1,925,000
	1,600	Park Place Entertainment	8.125%	5/15/11	Ba1		1,696,000
	2,500	Park Place Entertainment	7.000%	4/15/13	Baa3		2,573,432
	2,000	Pinnacle Entertainment Inc.	8.250%	3/15/12	B-		2,035,000
	750	Pinnacle Entertainment Inc.	8.750%	10/01/13	B-		799,687
	1,283	Town Sports International Inc.	9.625%	4/15/11	B		1,353,565
	4,000	Universal City Development Partners	11.750%	4/01/10	B2		4,330,000

	23,233	Total Hotels, Restaurants & Leisure					24,172,559


		Household Durables – 0.7%

	2,000	K. Hovnanian Enterprises Inc., Senior Subordinated Notes	8.875%	4/01/12	Ba2		1,970,000
	3,000	KB Home	8.625%	12/15/08	Ba2		3,089,610
	4,675	Technical Olympic USA Inc., Senior Subordinated Notes	10.375%	7/01/12	B2		4,067,250

	9,675	Total Household Durables					9,126,860


		Household Products – 0.1%

	1,650	Central Garden & Pet Company	9.125%	2/01/13	B		1,720,125


		Independent Power Producers & Energy Traders – 0.1%

	400	NRG Energy Inc.	7.250%	2/01/14	B1		398,000
	400	NRG Energy Inc.	7.375%	2/01/16	B1		398,500

	800	Total Independent Power Producers & Energy Traders					796,500


		IT Services – 0.5%

	1,625	Global Cash Access LLC	8.750%	3/15/12	B-		1,714,375
	4,750	Sungard Data Systems Inc.	9.125%	8/15/13	B-		4,940,000

	6,375	Total IT Services					6,654,375


		Machinery – 0.6%

	2,000	Greenbrier Companies, Inc.	8.375%	5/15/15	B+		2,040,000
	6,095	Terex Corporation, Senior Subordinated Notes	9.250%	7/15/11	B+		6,453,081

	8,095	Total Machinery					8,493,081


		Media – 2.5%

	4,000	Allbritton Communications Company, Series B	7.750%	12/15/12	B1		4,050,000
	2,880	American Media Operations Inc., Series B	10.250%	5/01/09	Caa2		2,692,800
	2,000	American Media Operations Inc.	8.875%	1/15/11	Caa2		1,765,000
	1,000	Cablevision Systems Corporation, Series B	8.125%	8/15/09	B+		1,041,250
	5,000	Cablevision Systems Corporation	7.250%	7/15/08	B+		5,075,000
	2,000	Charter Communications Operating LLC, 144A	8.000%	4/30/12	B-		2,025,000
	1,975	Medianews Group Inc.	6.375%	4/01/14	B		1,752,813
	1,950	Panamsat Corporation	9.000%	8/15/14	B		2,023,125
	6,000	Primedia Inc., Senior Notes	8.875%	5/15/11	B		5,895,000
	4,550	Vertis Inc.	9.750%	4/01/09	B1		4,612,563
	4,000	Young Broadcasting Inc., Senior Subordinated Note	10.000%	3/01/11	Caa1		3,755,000

	35,355	Total Media					34,687,551


		Metals & Mining – 0.1%

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


		Multi-Utilities – 0.3%

	2,400	Bon-Ton Department Stores Inc.	10.250%	3/15/14	B-		2,346,000
	1,600	Dynegy Holdings Inc., 144A	8.375%	5/01/16	B2		1,636,000

	4,000	Total Multi-Utilities					3,982,000


		Oil, Gas & Consumable Fuels – 0.7%

	2,400	Baytex Energy Ltd	9.625%	7/15/10	B-		2,514,000
	400	Chaparral Energy Inc.	8.500%	12/01/15	B3		399,000
	2,345	Chesapeake Energy Corporation	7.750%	1/15/15	BB		2,403,625
	200	Copano Energy LLC	8.125%	3/01/16	B		203,500
	2,000	Hilcorp Energy I LP/Hilcorp Finance Company, Series 144A	7.750%	11/01/15	B		1,945,000
	2,000	SemGroup LP, 144A	8.750%	11/15/15	B1		2,027,500
	1,000	Whiting Petroleum Corporation	7.000%	2/01/14	B1		980,000

	10,345	Total Oil, Gas & Consumable Fuels					10,472,625


		Paper & Forest Products – 0.5%

	2,000	Georgia Pacific Corporation, Debentures	7.700%	6/15/15	B		2,000,000
	5,000	Georgia Pacific Corporation, Notes	8.125%	5/15/11	B		5,150,000

	7,000	Total Paper & Forest Products					7,150,000


		Personal Products – 0.1%

	1,500	Prestige Brands Inc.	9.250%	4/15/12	B-		1,515,000


		Pharmaceuticals – 0.2%

	3,100	Wyeth, Convertible Bond	5.109%	1/15/24	A		3,392,640


		Real Estate – 0.2%

	600	Saxon Capital Inc., 144A	12.000%	5/01/14	B		834,976
	1,000	Trustreet Properties, Inc.	7.500%	4/01/15	B+		997,500
	500	Ventas Realty LP, Series WI	7.125%	6/01/15	BB+		516,875

	2,100	Total Real Estate					2,349,351


		Real Estate Management & Development – 0.1%

	1,625	CB Richard Ellis Services Inc.	9.750%	5/15/10	BB+		1,742,813


		Semiconductors & Equipment – 0.1%

	1,600	Avago Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus three-month LIBOR, 144A	10.125%	12/01/13	B		1,704,000


		Specialty Retail – 0.8%

	4,100	Asbury Automotive Group Inc.	9.000%	6/15/12	B		4,217,875
	2,000	Stripes Acquisition/Susser Finance Corporation, Series 144A	10.625%	12/15/13	B		2,140,000
	5,000	Warnaco Inc., Senior Notes	8.875%	6/15/13	B+		5,200,000

	11,100	Total Specialty Retail					11,557,875


		Textiles, Apparel & Luxury Goods – 0.2%

	3,000	Jostens IH Corporation	7.625%	10/01/12	B2		3,030,000


		Trading Companies & Distributors – 0.1%

	2,000	United Rentals North America Inc.	6.500%	2/15/12	B+		1,940,000

$	181,429	Total Corporate Bonds (cost $186,717,973)					183,938,790


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


		Capital Preferred Securities – 30.1% (19.8% of Total Investments)

		Capital Markets – 4.0%

	1,000	BT Capital Trust, Series B1	7.900%	1/15/27	A2	$	1,039,315
	4,850	BT Institutional Capital Trust A, 144A	8.090%	12/01/26	A2		5,062,289
	3,000	BT Institutional Capital Trust B, 144A	7.750%	12/01/26	A2		3,124,437
	1,250	C.A. Preferred Fund Trust II	7.000%	10/30/49	A1		1,267,896
	27,500	C.A. Preferred Funding Trust	7.000%	1/30/49	A1		27,822,603
	3,000	First Security Capital I	8.410%	12/15/26	Aa2		3,138,984
	1,600	MUFG Capital Finance 2	4.850%	7/25/56	BBB		1,994,834
	8,000	UBS Preferred Funding Trust I	8.622%	10/29/49	AA-		8,910,224
	3,800	Washington Mutual Capital Trust I	8.375%	6/01/27	Baa1		4,007,727

		Total Capital Markets					56,368,309


		Commercial Banks – 19.5%

	3,000	AB Svensk Exportkredit, 144A	6.375%	10/27/49	AA-		2,985,414
	9,500	Abbey National Capital Trust I	8.963%	6/30/50	A		12,591,547
	6,500	AgFirst Farm Credit Bank	7.300%	12/15/53	N/R		6,640,940
	3,000	Bank One Capital III	8.750%	9/01/30	A1		3,937,368
	6,000	BankBoston Capital Trust I, Series B	8.250%	12/15/26	Aa3		6,269,754
	2,000	BanPonce Trust I, Series A	8.327%	2/01/27	Baa1		2,093,672
	13,030	Barclays Bank PLC, 144A	8.550%	6/15/49	Aa3		14,659,884
	200	Barclays Bank PLC	6.278%	12/15/55	Aa3		191,000
	11,000	BOI Capital Funding 3, 144A	6.107%	8/04/56	A2		10,754,161
	3,000	Centura Capital Trust I, 144A	8.845%	6/01/27	A2		3,188,847
	1,500	DBS Capital Funding Corporation, 144A	7.657%	3/15/49	A1		1,627,316
	6,200	First Empire Capital Trust I	8.234%	2/01/27	Baa1		6,492,900
	2,000	First Midwest Bancorp Inc.	6.950%	12/01/33	Baa2		2,121,548
	19,000	HBOS Capital Funding LP, Notes	6.850%	3/23/49	A1		19,056,088
	4,500	HBOS PLC, Series 144A	6.413%	9/29/49	A1		4,357,148
	2,400	HSBC Capital Funding LP, 144A	9.547%	12/31/49	A1		2,726,114
	5,750	HSBC Capital Funding LP, Debt	10.176%	6/30/50	A1		8,474,166
	11,000	KBC Bank Fund Trust III, 144A	9.860%	5/02/50	A2		12,309,946
	6,300	KeyCorp Institutional Capital Trust A	7.826%	12/01/26	A3		6,564,417
	18,600	Lloyds TSB Bank PLC, Subordinated Note	6.900%	11/22/49	Aa2		18,697,055
	20,000	M&I Capital Trust A	7.650%	12/01/26	A2		20,773,760
	5,000	NB Capital Trust IV	8.250%	4/15/27	Aa3		5,246,225
	1,000	North Fork Capital Trust I, Capital Securities	8.700%	12/15/26	A3		1,046,370
	8,000	North Fork Capital Trust II	8.000%	12/15/27	A3		8,495,272
	1,000	Popular North American Capital Trust I	6.564%	9/15/34	Baa1		975,355
	14,000	RBS Capital Trust B	6.800%	12/31/49	A1		14,057,148
	100	Reliance Capital Trust I, Series B	8.170%	5/01/28	N/R		107,147
	8,000	Sparebanken Rogaland, Notes, 144A	6.443%	5/01/49	Baa1		7,937,432
	10,500	St. George Funding Company LLC	8.485%	6/30/17	Baa1		11,372,204
	1,650	Swedbank ForeningsSparbanken AB, 144A	9.000%	9/17/50	A2		1,828,022
	2,000	Unicredito Italiano Capital Trust, 144A	9.200%	4/05/51	A-		2,260,810
	300	Union Planters Preferred Fund, 144A	7.750%	7/15/53	A2		33,187,500
	12,800	Washington Mutual Preferred Funding Cayman, Series A-1, 144A	7.250%	3/15/49	BBB		12,842,035
	3,000	Washington Mutual Preferred Funding Delaware, Series A-1, 144A	6.534%	3/15/49	BBB		2,957,685
	5,000	Zions Institutional Capital Trust, Series A	8.536%	12/15/26	Baa1		5,233,970

		Total Commercial Banks					274,060,220


		Consumer Finance – 0.0%

	500	American Express Company	6.800%	9/01/66	A		528,828


		Diversified Financial Services – 1.8%

	4,000	BNP Paribas Capital Trust	7.200%	12/31/49	A+		4,030,576
	5,000	Chase Capital Trust I, Series A	7.670%	12/01/26	A1		5,203,625
	1,700	Fulton Capital Trust I	6.290%	2/01/36	A3		1,640,160
	10,400	JPMorgan Chase Capital Trust XVIII	6.950%	8/17/36	A2		11,082,614
	2,800	Old Mutual Capital Funding, Notes	8.000%	6/22/53	Baa2		2,923,824

		Total Diversified Financial Services					24,880,799


		Diversified Telecommunication Services – 0.8%

	9,957	Centaur Funding Corporation, Series B, 144A	9.080%	4/21/20	BBB		11,556,343


		Household Durables – 0.2%

	1,800	Stanley Works Capital Trust I	5.902%	12/01/45	Baa1		1,692,293


		Insurance – 2.3%

	2,300	American General Capital II	8.500%	7/01/30	Aa3		2,966,068
	4,000	Mangrove Bay, Class 3, 144A	6.102%	7/15/33	BBB+		3,876,996
	3,000	Oil Insurance Limited, 144A	7.550%	12/30/49	Baa1		3,076,239
	7,250	Prudential PLC	6.500%	6/29/49	A		7,076,181
	9,500	Sun Life Canada Capital Trust, Capital Securities, 144A	8.526%	5/06/47	A+		10,039,201
	4,750	Zurich Capital Trust I, 144A	8.376%	6/01/37	A-		4,999,271

		Total Insurance					32,033,956


		Oil, Gas & Consumable Fuels – 0.5%

	1,200	KN Capital Trust I, Preferred Securities	8.560%	4/15/27	Baa3		1,207,921
	6,110	KN Capital Trust III	7.630%	4/15/28	Baa3		5,736,337

		Total Oil, Gas & Consumable Fuels					6,944,258


		Thrifts & Mortgage Finance – 1.0%

	2,500	Caisse Nationale Des Caisses d’Epargne et de Prevoyance	6.750%	1/27/49	A+		2,481,348
	10,000	Dime Capital Trust I, Series A	9.330%	5/06/27	Baa1		10,664,140
	1,000	Great Western Financial Trust II, Series A	8.206%	2/01/27	Baa1		1,048,175

		Total Thrifts & Mortgage Finance					14,193,663

		Total Capital Preferred Securities (cost $435,554,650)					422,258,669


Shares		Description (1)	Value


		Investment Companies – 1.0% (0.7% of Total Investments)

	152,715	Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.	$	3,156,593
	108,463	Flaherty and Crumrine/Claymore Total Return Fund Inc.		2,192,037
	202,046	John Hancock Preferred Income Fund III		4,362,173
	65,094	Preferred and Corporate Strategies Fund Inc.		1,331,172
	182,783	Preferred Income Strategies Fund Inc.		3,655,660

		Total Investment Companies (cost $13,980,292)		14,697,635

Principal

Amount (000)

Description (1)

Coupon

Maturity

Value

Short-Term Investments – 4.6% (3.0% of Total Investments)

64,654

Repurchase Agreement with State Street Bank, dated 9/29/06, repurchase price
$64,679,711, collateralized by:
$58,165,000 U.S. Treasury Notes, 4.000%, due 2/15/15, value $56,129,225
$6,985,000 U.S. Treasury Bonds, 8.750%, due 8/15/20, value $9,818,815

4.800%

10/02/06

64,653,849

Total Short-Term Investments (cost $64,653,849)

64,653,849

Total Investments (cost $2,100,147,945) – 151.4%

2,125,962,936

Other Assets Less Liabilities – (1.0)%

(14,051,509

)

Preferred Shares, at Liquidation Value – (50.4)%

(708,000,000

)

Net Assets Applicable to Common Shares – 100%

1,403,911,427

Interest Rate Swaps outstanding at September 30, 2006:

Fixed Rate

Paid

Fixed Rate

Floating Rate

Unrealized

Notional

by the Fund

Payment

Received

Payment

Termination

Appreciation

Counterparty

Amount

(annualized)

Frequency

by the Fund (8)

Frequency

Date

(Depreciation)

JPMorgan Chase

71,000,000

2.994

Monthly

5.330

Monthly

1/22/08

1,969,261

Morgan Stanley

71,000,000

2.567

Monthly

5.330

Monthly

1/22/07

658,950

Morgan Stanley

71,000,000

3.406

Monthly

5.330

Monthly

1/22/09

2,546,695

5,174,906


(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 the Fund’s portfolio 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 in the Fund’s portfolio may occur. As a result, the actual remaining maturity of Senior Loans held in the Fund’s portfolio may be substantially less than the stated maturities shown.

(5)		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.

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

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

(8)		Based on USD-LIBOR (United States Dollar-London Interbank Offered Rate).

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.

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.

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 timing differences in the recognition of income and timing differences in recognizing certain gains and losses on investment transactions.

At September 30, 2006, the cost of investments was $2,120,469,882.

Gross unrealized appreciation and gross unrealized depreciation of investments at September 30, 2006, were as follows:




Gross unrealized:
Appreciation	$	68,998,383
Depreciation		(63,505,329	)



Net unrealized appreciation (depreciation) of investments	$	5,493,054

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 Preferred and Convertible Income Fund



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

Date November 28, 2006

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



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

Date November 28, 2006



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

Date November 28, 2006


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

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