Nuveen Preferred and Convertible Income Fund

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q


QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number         811-21293         

        Nuveen 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:          03/31/05         

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

Portfolio of Investments (Unaudited)
Nuveen Preferred and Convertible Income Fund (JPC)
March 31, 2005

Market

Shares

Description(1)

Value

COMMON STOCKS - 0.7% (0.5% of Total Investments)

Communications Equipment - 0.1%

 

136,330

Corning Inc.orporated #

$    1,517,353

Diversified Financial Services - 0.2%

 

81,600

Gabelli Asset Management Inc.

3,643,458

IT Services - 0.1%

 

62,025

Acxiom Corporation

1,298,183

Office Electronics - 0.1%

 

84,875

Xerox Corporation  

1,285,856

Software - 0.2%

 

102,712

Computer Associates International, Inc

2,783,484

Total Common Stock (cost $10,406,222)

10,528,334

Ratings*

Market

Shares

Description(1)

Coupon

Moody's

S&P

Value

$25 PAR (or similar) SECURITIES - 49.7% (33.6% of Total Investments)

Auto Components - 0.1%

 

61,925

Delphi Trust I

8.250%

Ba3

B+

1,151,805

Automobiles - 0.7%

 

130,100

Ford Motor Company, Series F (CORTS)

8.000%

Baa1

BBB-

3,175,741

273,300

Ford Motor Company (CORTS)

8.000%

Baa1

BBB-

6,515,472

Capital Markets - 5.1%

 

2,500

ABN AMRO North America, 144A Series L (a)

6.460%

A3

NA

2,596,875

22,600

BCH Capital Ltd., Series B

9.430%

A2

BBB+

574,944

17,900

Bear Stearns Capital Trust III

7.800%

A2

BBB

465,042

500

BNY Capital Trust IV, Series E

6.875%

A1

A-

12,595

300,000

BNY Capital Trust V, Series F

5.950%

A1

A-

7,350,000

55,750

BSCH Finance Ltd., Series Q

8.625%

A2

BBB+

1,424,413

129,800

Compass Capital Trust III

7.350%

A3

BBB-

3,352,734

9,900

CSFB USA, Series 2002-10 (SATURNS)

7.000%

Aa3

A+

258,390

27,700

First Union Capital II, Series II (CORTS)

7.500%

A1

BBB+

714,660

41,500

First Union Institutional Capital II (CORTS)

8.200%

A1

BBB+

1,168,018

13,100

Goldman Sachs Group Inc., Series 2003-06 (SATURNS)

6.000%

Aa3

A+

309,422

526,388

Lehman Brothers Holdings Capital Trust III, Series K

6.375%

A2

BBB+

12,933,353

2,400

Lehman Brothers Holdings Capital Trust IV, Series L

6.375%

A2

BBB+

59,064

1,000,000

Mellon Capital II, Series B

7.995%

A2

A-

1,093,471

100,000

Merrill Lynch Capital Trust

7.000%

A1

A-

2,570,000

29,000

Merrill Lynch Preferred Capital Trust

7.750%

A1

A-

757,770

113,600

Merrill Lynch Preferred Capital Trust IV

7.120%

A1

A-

2,936,560

225,000

Merrill Lynch Preferred Capital Trust V

7.280%

A1

A-

5,906,250

23,300

Morgan Stanley (PPLUS)

7.050%

Aa3

A+

589,490

67,100

Morgan Stanley Capital Trust II

7.250%

A1

A-

1,731,851

365,739

Morgan Stanley Capital Trust III

6.250%

A1

A-

8,993,522

717,800

Morgan Stanley Capital Trust IV

6.250%

A1

A-

17,679,414

15,400

Safeco Capital Trust I (CORTS)

8.750%

Baa2

BBB-

454,377

13,000

Safeco Capital Trust IV (CORTS)

8.375%

Baa2

BBB-

344,630

Commercial Banks - 8.0%

 

107,000

Cobank ABC, 144A (a)

7.000%

NR

NR

5,718,187

69,300

ASBC Capital I

7.625%

Baa1

BBB-

1,815,660

3,000

Abbey National plc, Series B

7.250%

A1

A-

77,130

14,000

Abbey National plc, Series B

7.375%

A2

A

373,800

170,000

Abbey National plc

7.375%

A2

A-

4,454,000

37,900

ABN AMRO Capital Fund Trust V

5.900%

A2

A

897,472

66,185

BAC Capital Trust I

7.000%

Aa3

A

1,700,955

135,755

BAC Capital Trust II

7.000%

Aa3

A

3,506,552

284,700

BAC Capital Trust III

7.000%

Aa3

A

7,399,353

63,400

Banco Totta & Acores Finance, Series A

8.875%

A3

NR

1,701,897

205,514

Banesto Holdings, Series A, 144A

10.500%

A2

NR

6,268,177

22,800

Bank One Capital V

8.000%

A1

A-

592,800

81,700

Bank One Capital Trust VI

7.200%

A1

A-

2,116,030

35,200

BankNorth Capital Trust II

8.000%

A3

BB+

914,144

15

BBVA Privanza International Gibraltar, 144A

7.764%

A1

NR

15,937,500

62,200

Chittenden Capital Trust I

8.000%

Baa1

BB+

1,615,956

80,100

Comerica Capital Trust I

7.600%

A3

BBB+

2,054,565

25,200

KeyCorp, Series B (CORTS)

8.250%

A3

BBB

658,224

15,500

KeyCorp, Series 2001-7 (CORTS)

7.750%

A3

BBB

398,505

306,079

Fleet Capital Trust VII

7.200%

Aa3

A

7,866,230

337,000

Fleet Capital Trust VIII

7.200%

Aa3

A

8,697,970

154,500

National Commerce Capital Trust II

7.700%

A1

A-

4,018,545

32,900

National Westminster Bank plc, Series A

7.875%

Aa2

A+

844,872

32,200

PNC Capital Trust

6.125%

A3

BBB

777,308

21,400

Regions Finance Trust I

8.000%

A2

BBB+

550,194

175,000

RoyalBank of Scotland Group plc, Series L

5.750%

A1

A

4,168,500

75,300

SunTrust Capital Trust IV

7.125%

A1

A-

1,917,138

54,300

SunTrust Capital Trust V

7.050%

A1

A-

1,388,451

344,200

USB Capital Trust VI

5.750%

A1

A-

8,112,794

186,900

USB Capital Trust IV

7.350%

Aa3

A-

4,868,745

69,800

USB Capital Trust III

7.750%

Aa3

A-

1,818,290

67,700

USB Capital Trust V

7.250%

Aa3

A-

1,733,120

33,400

VNB Capital Trust I

7.750%

Baa1

BBB

864,392

20,800

Washington Mutual Capital Trust I, Series 2001-22, Class A-1 (CORTS)

7.650%

Baa1

BBB

536,848

9,100

Wells Fargo Capital Trust IV

7.000%

Aa2

A

234,325

60,935

Wells Fargo Capital Trust V

7.000%

Aa2

A

1,559,936

14,700

Wells Fargo Capital Trust VI

6.950%

Aa2

A-

375,144

225,000

Wells Fargo Capital Trust VII

5.850%

Aa2

A

5,440,500

3,800

Wells Fargo Capital Trust VIII

5.625%

Aa2

A

90,896

80,200

Zions Capital Trust B

8.000%

Baa1

BB+

2,118,082

Computers & Peripherals - 0.1%

 

13,100

IBM Inc. (CORTS)

7.125%

A1

A+

340,993

20,400

IBM Inc., Series 2001-1 (SATURNS)

7.125%

A1

A+

526,320

Consumer Finance - 1.5%

 

773,900

HSBC Finance Corporation

6.875%

A1

A

20,214,268

6,900

Household Capital Trust V, Series X

10.00%

A2

BBB+

174,570

27,800

Household Capital Trust VI

8.250%

A2

BBB+

726,414

39,200

Household Capital Trust VII

7.500%

A2

BBB+

1,019,200

Diversified Financial Services - 5.3%

 

15,100

BBVA Preferred Capital Ltd., Series B

7.750%

A1

A-

386,560

14,900

CIT Group Incorporated (CORTS)

7.750%

A3

BBB+

406,472

215,900

Citigroup Capital Trust IX

6.000%

Aa2

A

5,265,801

51,600

Citigroup Capital Trust VII

7.125%

Aa2

A

1,330,248

331,300

Citigroup Capital Trust VIII

6.950%

Aa2

A

8,481,280

4,800

Citigroup Capital Trust XI

6.000%

Aa2

A

117,120

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

4,888,000

59,300

Citigroup Inc., Series H (a)

6.231%

Aa3

NR

3,068,775

64,600

Citigroup Inc., Series M (a)

5.864%

Aa3

A

3,391,500

33,100

General Electric Capital Corporation

6.625%

Aaa

AAA

854,311

756,975

ING Group NV

7.050%

NR

A-

19,423,979

511,518

ING Group NV

7.200%

A2

A-

13,217,625

16,800

ING Group NV

6.200%

A2

A-

414,120

29,500

JPM Capital Trust (CORTS)

7.200%

A2

A-

754,020

52,200

JPMorgan Chase & Compamy (PCARS)

7.125%

A2

A-

1,341,801

395,067

JPMorgan Chase Capital Trust X

7.000%

A1

NR

10,192,729

47,200

JPMorgan Chase Trust, Series 2002-6, Class A (SATURNS)

7.125%

A1

A-

1,211,624

26,900

Merrill Lynch Capital Trust II

8.000%

A1

A-

712,312

Diversified Telecommunication Services - 0.4%

 

4,200

BellSouth Corporation

7.125%

Aa2

A

108,990

29,000

BellSouth Corporation, Series 2001-3 (SATURNS)

7.125%

A2

A

738,050

9,800

BellSouth Inc. (CORTS)

7.000%

A2

A

253,820

16,100

BellSouth Telecommunications (PPLUS)

7.300%

Aa3

A

412,482

44,750

Deutsche Telekom International Finance B.V., Series 2001-24, Class A-1 (CORTS)

7.875%

Baa1

A-

1,178,268

15,900

SBC Communications Inc.

7.000%

A2

A

404,973

16,100

Verizon Communications (CORTS)

7.625%

A2

A+

433,090

19,900

Verizon Communications (CORTS)

7.375%

A2

A+

522,375

11,900

Verizon New England Inc., Series B

7.000%

A2

NR

306,782

40,955

Verizon South Inc., Series F

7.000%

A2

A+

1,042,714

Electric Utilities - 1.2%

 

7,000

Consolidated Edison Company of New York Inc.

7.500%

A1

A

180,320

10,000

Consolidated Edison Company

7.250%

A2

A-

258,700

22,200

DTE Energy Trust I

7.800%

Baa3

BB+

592,518

33,470

Entergy Louisiana Inc.

7.600%

Baa1

A-

873,567

227,200

Georgia Power Company

5.900%

A2

A

5,573,216

43,670

Georgia Power Capital Trust V

7.125%

A3

BBB+

1,126,686

80,000

National Rural Utilities Cooperative Finance Corporation

6.100%

A3

BBB+

1,926,400

48,100

National Rural Utilities Cooperative Finance Corporation

5.950%

A3

BBB+

1,117,363

113,432

Tennessee Valley Authority, Series D

6.750%

Aaa

AAA

2,796,099

128,000

Virginia Power Capital Trust

7.375%

Baa1

BBB-

3,347,200

Food Products - 0.4%

 

60,000

Dairy Farmers of America Inc., 144A (a)

7.875%

Baa3

BBB-

6,307,500

Gas Utilities - 0.0%

 

23,000

AGL Capital Trust II

8.000%

Baa2

BBB

597,080

Health Care Providers & Services - 0.5%

 

274,000

Aetna Incorporated

8.500%

Baa1

BBB+

7,151,400

Insurance - 8.1%

 

5,500

ACE Capital Trust I, Series 1999

8.875%

Baa1

BBB-

139,425

538,010

Ace Ltd., Series C

7.800%

Baa2

BBB-

13,993,640

52,700

AMBAC Financial Group Inc.

5.950%

Aa2

AA

1,301,163

1,216,900

Delphi Financial Group Inc.

8.000%

Baa3

BBB

31,554,217

132,305

Everest RE Capital Trust II

6.200%

Baa1

BBB

3,031,108

95,600

EverestRe Group Limited

7.850%

Baa1

BBB

2,485,600

8,000

Financial Security Assurance Holdings

6.875%

Aa2

AA

204,000

18,300

Financial Security Assurance Holdings

6.250%

Aa2

AA

461,160

188,900

Hartford Capital Trust III, Series C

7.450%

Baa1

BBB

4,845,285

31,700

Hartford Life Capital Trust II, Series B

7.625%

Baa1

BBB

819,445

36,800

Lincoln National Capital Trust V, Series E

7.650%

Baa1

BBB

945,024

1,100,000

PartnerRe Limited, Series C

6.750%

Baa1

BBB+

27,500,000

81,100

PLC Capital Trust III

7.500%

Baa1

BBB+

2,094,002

34,300

PLC Capital Trust IV

7.250%

Baa1

BBB+

891,800

5,900

PLC Capital Trust V

6.125%

Baa1

BBB+

143,370

37,400

Prudential plc

6.750%

Baa1

A

951,456

89,000

RenaissanceRe Holdings Ltd., Series A

8.100%

Baa2

BBB+

2,321,120

325,310

RenaissanceRe Holdings Ltd., Series B

7.300%

Baa2

BBB+

8,392,998

22,500

Safeco Capital Trust I (CORTS)

8.700%

Baa2

BBB-

595,350

9,000

Safeco Capital Trust I, Series 2001-4 (CORTS)

8.750%

Baa2

BBB-

235,350

33,700

Safeco Capital Trust III (CORTS)

8.072%

Baa2

BBB-

891,702

46,200

SafeCo Corporation, Series 2001-7 (SATURNS)

8.250%

Baa2

BBB-

1,228,920

39,100

SAFECO Corporation, Series 2002-5 (SATURNS)

8.250%

Baa2

BBB-

1,043,188

30,800

Torchmark Capital Trust I

7.750%

Baa1

A-

800,492

73,900

W.R. Berkley Capital Trust, Series 2002-1 (CBTCS)

8.125%

Baa3

BBB-

774,842

86,700

XL Capital Ltd., Series A

8.000%

Baa1

BBB+

2,288,880

287,500

XL Capital Ltd., Series B

7.625%

Baa1

BBB+

7,475,000

Media - 0.1%

 

41,100

Viacom Inc.

7.300%

A3

A-

1,043,529

Multi-Utilities & Unregulated Power - 0.2%

 

49,100

Dominion CNG Capital Trust I

7.800%

Baa1

BBB-

1,281,510

56,100

Energy East Capital Trust I

8.250%

Baa3

BBB-

1,469,820

Oil & Gas - 0.9%

 

476,200

Nexen Inc.

7.350%

Baa3

BB+

12,362,152

1,000

TransCanada Pipeline

8.250%

A3

BBB

25,800

Real Estate - 12.2%

 

10,700

AvalonBay Communities, Inc., Series H

8.700%

Baa2

BBB

293,822

3,000

BRE Properties, Series B

8.080%

Baa3

BBB-

77,430

22,500

BRE Properties, Series C

6.750%

Baa3

BBB-

556,875

347,125

CarrAmerica Realty Corporation, Series E

7.500%

Baa3

BBB-

8,941,940

72,000

Developers Diversified Realty Corporation, Series H

7.375%

Ba1

BBB-

1,812,240

656,985

Developers Diversified Realty Corporation, Series G

8.000%

Ba1

BBB-

16,969,923

20,600

Developers Diversified Realty Corporation, Series F

8.600%

Ba1

BBB-

541,574

80,400

Duke Realty Corporation, Series L

6.600%

Baa2

BBB

1,927,188

185,156

Equity Office Properties Trust, Series G

7.750%

Baa3

BBB

4,730,736

6,100

Equity Residential Properties Trust

9.125%

Baa2

BBB

155,428

19,200

Equity Residential Properties Trust, Series C

9.125%

Baa2

BBB

499,584

609,900

Equity Residential Properties Trust, Series N

6.480%

Baa2

BBB

14,747,382

9,900

Equity Residential Properties Trust, Series D

8.600%

Baa2

BBB

261,855

303,600

HRPT Properties Trust, Series B

8.750%

Baa3

BBB-

8,115,228

755,483

Kimco Realty Corporation, Series F

6.650%

Baa2

BBB+

18,887,075

13,693

New Plan Excel Realty Trust, Series D

7.800%

Baa3

BBB-

685,506

972,775

New Plan Excel Realty Trust, Series E

7.625%

NR

BBB-

25,428,339

32,982

Prologis Trust, Series C

8.540%

Baa2

BBB

1,992,321

13,600

Prologis Trust, Series G

6.750%

Baa2

BBB

340,000

32,000

Public Storage Inc., Series V

7.500%

Baa2

BBB+

820,160

27,500

Public Storage Inc., Series U

7.625%

Baa2

BBB+

697,125

28,200

Public Storage Inc., Series T

7.625%

Baa2

BBB+

719,382

28,900

Public Storage Inc., Series S

7.875%

Baa2

BBB+

740,707

159,800

Public Storage Inc., Series R

8.000%

Baa2

BBB+

4,124,438

186,500

Regency Centers Corporation

7.450%

Baa3

BBB-

4,690,475

7,000

Simon Property Group, Inc., Series G

7.890%

Baa2

BBB

371,700

13,800

Vornado Realty Trust

6.625%

Baa3

BBB-

328,440

1,457,345

Wachovia Preferred Funding Corporation

7.250%

A2

BBB+

40,805,660

707,700

Weingarten Realty Trust, Preferred Securities

6.750%

Baa1

A-

17,972,042

Specialty Retail - 0.0%

 

11,900

Sherwin Williams Company, Series III (CORTS)

7.250%

A2

A

309,400

Thrifts & Mortgage Finance - 4.2%

 

102,900

Federal Home Loan Mortgage Corporation (a)

6.000%

Aa3

AA-

5,150,145

24,000

Federal Home Loan Mortgage Corporation (a)

5.100%

Aa3

AA-

1,050,000

8,000

Federal Home Loan Mortgage Corporation (a)

5.000%

Aa3

AA-

336,400

288,800

Fannie Mae (a)

0.000%

Aa3

AA-

16,046,450

143,300

Fannie Mae (a)

5.125%

Aa3

AA-

5,985,641

1,200,200

Countrywide Capital Trust IV

6.750%

Baa1

BBB+

30,149,024

95,900

Countrywide Capital III (PPLUS)

8.050%

Baa1

BBB+

2,596,972

Wireless Telecommunication Services - 0.7%

 

30,200

AT&T Wireless, Series 2002-7 (CORTS)

8.000%

Baa2

A

806,491

18,000

AT&T Wireless Services Equity, Series 2002-B (SATURNS)

9.250%

Baa2

A

485,100

73,100

Telephone and Data Systems Inc.

7.600%

Baa1

A-

1,869,892

34,500

United States Cellular Corporation

8.750%

Baa1

A-

938,745

254,800

United States Cellular Corporation

7.500%

Baa1

A-

6,670,664

Total $25 Par (or similar) Securities (cost $725,063,109)

722,943,332

CONVERTIBLE PREFERRED SECURITIES - 19.3% (13.0% of Total Investments)

Automobiles - 0.8%

 

155,000

Ford Motor Company Capital Trust II

6.500%

Baa2

BB

7,027,700

204,000

General Motors Corporation

6.250%

Baa2

BBB-

4,243,200

Capital Markets - 1.0%

 

296,250

Goldmand Sachs Group Inc., Series EMC

6.125%

Aa3

NR

3,704,606

53,200

State Street Corporation

6.750%

NR

BB+

10,586,800

Chemicals - 0.7%

 

133,290

Celanese Corporation

4.250%

NR

NR

3,698,798

112,625

Huntsman Corporation

5.000%

NR

NR

5,743,875

Commercial Banks - 2.0%

 

10,730,000

Fortis Insurance NV, 144A

7.750%

A1

A+

11,455,992

164,000

Sovereign Capital Trust IV, Convertible Security

4.375%

Ba1

BB

7,769,500

105,800

Washington Mutual Inc., Unit 1 Trust

5.375%

Baa1

BBB

5,604,120

97,950

HSBC Finance Corporation

8.875%

A1

A

4,236,338

Commercial Services & Supplies - 0.3%

 

97,375

Allied Waste Industries Inc.

6.250%

Caa3

B

4,212,443

Communications Equipment - 0.3%

 

88

Nortel Networks Corp

7.000%

NR

NR

4,141,401

Construction Materials - 0.3%

 

85,800

TXI Capital Trust I

6.500%

B3

B-

4,088,370

Consumer Finance - 0.3%

 

73,000

Capital One Financial Corporation

6.250%

Baa3

BBB-

3,690,880

Containers & Packaging - 0.4%

 

112,500

Temple Inland Inc.

7.500%

Baa3

BBB

6,531,750

Diversified Financial Services - 0.6%

 

217,900

Citigroup Global Markets

2.000%

Aa1

AA-

8,876,157

Diversified Telecommunication Services - 0.5%

 

131,000

Alltel Corporation

7.750%

A2

NR

6,614,190

Electric Utilities - 1.7%

 

1,835,000

PG&E Corporation

9.500%

NR

NR

4,949,913

28,400

PNM Resources Inc.

6.750%

NR

NR

1,414,320

213,350

DTE Energy Company

8.750%

Baa2

BBB-

5,419,090

217,900

FPL Group Inc.

8.000%

NR

A-

13,511,979

Electrical Equipment - 1.0%

 

46,475

General Cable Corporation, 144A

5.750%

NR

NR

3,334,581

175,000

Pioneer-Standard Financial Trust

6.750%

B2

NR

11,178,125

Energy Equipment & Services - 0.1%

 

25,000

Hanover Compressor Capital Trust

7.250%

Caa1

B-

1,221,875

Food & Staples Retailing - 0.1%

 

90,465

Albertsons Inc.

7.250%

Baa2

BBB

2,046,318

Hotels Restaurants & Leisure - 1.0%

 

250,000

Host Marriott Financial Trust

6.750%

B2

CCC+

13,875,000

Household Durables - 0.3%

 

106,675

Newell Financial Trust I

5.250%

Baa3

BBB-

4,973,722

Insurance - 2.7%

 

66,550

Conseco Inc., Series B

5.500%

Caa2

B-

1,763,575

326,590

Genworth Financial Inc.

6.000%

A2

A

10,483,539

90,000

Phoenix Companies Inc.

7.000%

NR

NR

3,177,000

166,000

Reinsurance Group of America Inc.

5.750%

Baa2

BBB

9,669,500

100,000

Chubb Corporation

7.000%

NR

A

2,965,000

61,200

Hartford Financial Services Group, Inc.

7.000%

NR

A-

3,944,340

65,000

UnumProvident Corporation

8.250%

Ba1

BB+

2,206,750

256,250

XL Capital Limited

6.500%

A2

A

6,137,188

Media - 0.8%

 

185,000

Emmis Communications Corporation, Series A

6.250%

Caa1

CCC+

8,121,500

10,000

Sinclair Broadcast Group Inc., Series D

6.000%

Caa1

B-

418,750

53,375

Interpublic Group, Series A

5.375%

NR

NR

2,426,961

Metals & Mining - 0.4%

 

39,200

United States Steel Corporation, Series B

7.000%

NR

B

6,477,408

Multi-Utilities & Unregulated Power - 1.4%

 

64,400

Aquila Inc.

6.750%

B2

B-

2,237,256

133,155

Dominion Resources Inc.

8.750%

Baa1

BBB+

7,467,332

334,150

Sempra Energy

8.500%

NR

BBB+

11,046,999

Oil & Gas - 0.9%

 

6,725

Chesapeake Energy Corporation, 144A

4.125%

NR

NR

9,710,059

40,125

Amerada Hess Corporation

7.000%

Ba3

BB

3,366,086

Pharmaceuticals - 0.4%

 

126,150

Schering-Plough Corporation

6.000%

Baa3

BBB

6,345,345

Real Estate - 0.6%

 

165,000

Equity Office Properties Trust, Series B

5.250%

Baa2

BBB

8,393,550

Thrifts & Mortgage Finance - 0.7%

 

81

Fannie Mae

5.375%

Aa3

AA-

7,614,000

87,475

PMI Group Inc.

5.875%

A1

A

2,125,641

Total Convertible Preferred Securities (cost $255,997,371)

280,248,822

Principal

Ratings*

Amount (000)/

Market

Shares

Description(1)

Coupon

Maturity

Moody's

S&P

Value

CONVERTIBLE BONDS - 27.5% (18.6% of Total Investments)

Aerospace & Defense - 0.4%

 

2,900

AAR Corporation, 144A

2.875%

2/01/24

B2

BB-

2,765,875

2,500

EDO Corporation, Convertible Subordinate Note

5.250%

4/15/07

NR

NR

2,575,000

Airlines - 0.2%

 

2,625

Pinnacle Airlines Corporation, 144A

3.250%

2/15/25

NR

NR

2,592,188

Automobiles - 0.6%

 

785

Fleetwood Enterprises Inc., 144A

5.000%

12/15/23

B2

B

807,569

185,100

General Motors Corporation, Series B

5.250%

3/03/32

Baa2

BBB-

3,457,668

185,250

General Motors Corporation, Convertible Notes, Senior Debentures, Series A

4.500%

3/06/32

Baa2

BBB-

4,353,375

Biotechnology - 0.9%

 

2,850

Imclone Systems Inc., 144A

1.375%

5/15/24

NR

NR

2,429,625

6,500

Ivax Corporation, Convertible Senior Subordinated Notes

4.500%

5/15/08

NR

NR

6,540,625

4,500

Ivax Corporation, Convertible Bonds, 144A

1.500%

3/01/24

NR

NR

4,618,125

Capital Markets - 0.2%

 

89,675

Lehman Brothers Holdings Inc., Series GIS

6.250%

10/15/07

A1

A

2,367,420

Chemicals - 0.4%

 

52,800

The Mosaic Company

7.500%

7/01/06

Caa1

NR

5,966,400

Commercial Services & Supplies - 0.4%

 

6,435

Electronic Data Systems, Convertible Senior Notes, 144A

3.875%

7/15/23

Ba1

BBB-

6,386,738

Communications Equipment - 1.9%

 

7,057

Ciena Corporation

3.750%

2/01/08

B2

B

6,060,199

5,565

Comverse Technology Inc.

5/15/23

NR

BB-

8,152,725

2,601

Corning Inc.

3.500%

11/01/08

Ba2

BB+

2,981,396

7,925

Liberty Media Corporation, Senior Debentures, Exchangeable for

3.500%

1/15/31

Baa3

BB+

6,201,313

Motorola Common Stock

625

Lucent Technologies Inc.

2.750%

6/15/23

B2

B

669,531

3,355

Powerwave Technologies Inc.

1.825%

11/15/24

NR

NR

3,174,669

Computers & Peripherals - 0.2%

 

2,500

Mercury Computer Systems Inc., 144A

2.000%

5/01/24

NR

NR

2,709,375

Consumer Finance - 0.5%

 

6,900

Providian Financial Corporation, Convertible Senior Notes

3.250%

8/15/05

B2

B

6,925,875

Containers & Packaging - 0.2%

 

3,400

Sealed Air Corporation, 144A

3.000%

6/30/33

Baa3

BBB

3,425,500

Diversified Financial Services - 0.1%

 

1,990

Leucadia National Corporation, 144A

3.750%

4/15/14

Ba3

B+

1,975,075

Electric Utilities - 0.1%

 

755

Unisource Energy Corporation, Convertible Bonds, 144A

4.500%

3/01/35

NR

NR

796,525

Electronic Equipment & Instruments - 0.2%

 

2,720

Vishay Intertechnology Inc.

3.625%

8/01/23

B3

B+

2,665,600

Energy Equipment & Services - 1.7%

 

2,600

Cal Dive International Inc.

3.250%

12/15/25

NR

NR

2,671,500

6,275

Diamond Offshore Drillling Inc.

1.500%

4/15/31

NR

A-

7,380,969

5,265

Pride International Inc.

3.250%

5/01/33

Ba2

BB-

6,219,281

7,000

Schlumberger Limited

2.125%

6/01/23

A1

A+

7,551,250

510

Willbros Group Inc., 144A

2.750%

3/15/24

NR

NR

606,263

Gas Utilities - 0.2%

 

39,750

Southern Union Company, Series B

5.750%

8/16/06

Baa3

NR

2,964,555

Health Care Equipment & Supplies - 1.2%

 

4,315

Advanced Medical Optics

2.500%

7/15/24

B3

B

4,304,213

8,835

Fisher Scientific International Inc.

3.250%

3/01/24

Ba3

BB+

9,000,656

3,100

Health Management Associates Inc.

1.500%

8/01/23

Baa3

BBB+

3,402,250

Hotels Restaurants & Leisure - 2.9%

 

11,300

Carnival Corporation

1.132%

4/29/33

A3

A-

8,828,125

2,550

Hilton Hotels Corporation

3.375%

4/15/23

Baa3

BBB-

2,964,375

5,400

Kerzner International Limited, 144A

2.375%

4/15/24

B2

B

6,567,750

15,500

Royal Caribbean Cruises Limited, Senior Convertible Liquid Yield Option Notes

0.000%

2/02/21

Ba1

BB+

8,215,000

6,305

Scientific Games Corporation

0.750%

12/01/24

B2

B+

6,147,375

3,525

Six Flags Inc.

4.500%

5/15/15

Caa1

CCC

3,282,656

5,830

Starwood Hotels and Resorts Worldwide Inc.

3.500%

5/16/23

Ba1

BB+

7,309,363

Industrial Conglomerates - 0.4%

 

3,350

Tyco International Group Limited, Convertible Notes, 144A

3.125%

1/15/23

Ba1

BBB

5,318,125

Insurance - 0.1%

 

2,300

American International Group Inc.

0.500%

5/15/07

Aa1

AA+

2,127,500

Internet & Catalog Retail - 0.4%

 

1,795

Overstock.com Inc.

3.750%

12/01/11

NR

NR

1,653,644

2,030

Overstock.com, Inc.

3.750%

12/01/11

NR

NR

1,870,138

5,845

Open Solutions Inc., 144A

1.467%

2/02/35

NR

NR

3,002,869

IT Services - 0.4%

 

5,390

Digital River Inc., 144A

1.250%

1/01/24

NR

NR

5,255,250

Leisure Equipment & Products - 1.2%

 

3,675

Collegiate Pacific Inc.

5.750%

12/01/09

NR

NR

3,794,438

5,300

Hasbro Inc.

2.750%

12/01/21

Baa3

BBB-

5,750,500

6,195

K2 Corporation, Convertible Notes, 144A

5.000%

6/15/10

NR

NR

8,084,475

Machinery - 0.3%

 

4,180

AGCO Corporation

1.750%

12/31/33

B1

BB-

4,143,425

Media - 4.0%

 

795

Charter Communications Inc.

5.875%

11/16/09

Ca

CCC-

688,669

325,000

Comcast Corporation

2.000%

10/15/29

Ba2

BBB-

13,650,000

6,100

Walt Disney Company, Convertible Senior Notes

2.125%

4/15/23

Baa1

BBB+

6,732,875

4,000

Echostar Communications Corporation, Convertible Subordinated Notes

5.750%

5/15/08

B2

B

3,985,000

3,400

Interpublic Group Companies Inc

4.500%

3/15/23

Baa3

BB-

4,199,000

8,250

Liberty Media Corporation, Senior Debentures, Exchangeable for

3.250%

3/15/31

Baa3

BB+

7,084,688

Class B Viacom Common Stock

5,275

Liberty Media Corporation

0.750%

3/30/23

Baa3

BB+

5,802,500

2,625

Lions Gate Entertainment Corportaion, 144A

2.938%

10/15/24

NR

NR

3,025,313

2,500

Lions Gate Entertainment Corporation, 144A

3.625%

3/15/25

NR

NR

2,662,500

3,425

Sinclair Broadcast Group, Convertible Senior Subordinated Note, 144A

4.875%

7/15/18

B3

B

3,005,438

96,000

Tribune Company, Exchangeable Subordinated Debentures

2.000%

5/15/29

Baa1

A-

8,568,480

Metals & Mining - 0.2%

 

3,355

Trizec Hahn Corporation

3.000%

1/29/21

Ba1

NR

2,654,644

Oil & Gas - 0.8%

 

3,925

Devon Energy Corporation

4.900%

8/15/08

Baa2

BBB

4,523,563

4,150

McMoran Exploration Corporation, Notes, 144A

6.000%

7/02/08

NR

NR

6,608,875

Pharmaceuticals - 2.4%

 

1,380

Abgenix Inc., Senior Convertible Notes, 144A

1.750%

12/15/11

NR

NR

1,150,575

3,390

Alexion Pharmaceuticals Inc., 144A

1.375%

2/01/12

NR

NR

3,148,463

7,125

Allergan Inc., Convertible Zero Coupon Senior Notes

11/06/22

A3

A

6,243,281

7,050

Alza Corporation

7/28/20

Aa1

AAA

6,538,875

4,005

OSI Pharmaceuticals Inc.

3.250%

9/08/23

NR

NR

4,575,713

1,475

Teva Pharmaceutical Finance, Series B

0.250%

2/01/24

NR

BBB

1,486,063

3,295

Valeant Pharmaceuticals International, 144A

3.000%

8/16/10

NR

B

3,175,556

1,940

Valeant Pharmaceuticals International, 144A

4.000%

11/15/13

NR

B

1,874,525

6,400

Wyeth, 144A

1.000%

1/15/24

Baa1

A

6,593,472

Real Estate - 0.2%

 

2,725

Avatar Holdings Inc., 144A

4.500%

4/01/24

NR

NR

2,915,750

Road & Rail - 0.1%

 

585

Yellow Roadway Corporation

3.375%

11/25/23

Ba1

BBB-

892,856

Semiconductors & Equipment - 1.8%

 

5,875

ASM International NV

4.250%

12/06/11

NR

B-

6,036,563

4,890

ASM Lithography Holding NV

5.750%

10/15/06

B2

NR

5,453,328

4,620

Advanced Micro Devices Inc.

2/01/22

B3

B-

4,591,125

3,100

Agere Systems Inc.

6.500%

12/15/09

B3

B

3,189,125

4,000

FEI Company, Convertible Notes

5.500%

8/15/08

NR

B-

4,065,000

2,500

LSI Logic Corporation

4.000%

5/15/10

Ba3

B

2,256,250

Software - 0.7%

 

6,600

Mentor Graphics Corporation, Convertible Subordinate Notes

6.875%

6/15/07

NR

NR

6,831,000

3,350

Sybase Inc., 144A

1.750%

2/22/25

NR

NR

3,262,063

Specialty Retail - 1.3%

 

7,500

Lowes Companies Inc.

0.861%

10/19/21

A2

A+

7,706,250

6,000

Sonic Automotive Inc., Convertible Senior Subordinated Notes

5.250%

5/07/09

B3

B+

5,992,500

6,000

TJX Companies Inc.

2/13/21

Baa1

A-

5,077,500

Textiles & Apparel - 0.3%

 

4,575

Reebok International Limited, Series B

2.000%

5/01/24

Baa3

BBB

4,900,969

Wireless Telecommunication Services - 0.6%

 

2,225

NII Holdings Inc., 144A

3.500%

9/15/33

NR

NR

4,981,210

3,125

NII Holdings Inc., 144A

2.875%

2/01/34

NR

NR

3,949,219

Total Convertible Bonds (cost $381,632,836)

399,093,112

CORPORATE BONDS - 16.5% (11.1% of Total Investments)

Aerospace & Defense - 0.2%

 

3,500

K&F Aquisition Inc.

7.750%

11/15/14

Caa1

B-

3,412,500

Auto Components - 0.5%

 

3,000

Affinia Group Inc.

9.000%

11/30/14

Caa1

B

2,790,000

3,500

Tenneco Auto, Inc.

10.25%

7/15/13

B2

B-

3,920,000

Automobiles - 1.8%

 

5,000

Ford Motor Company, Debentures

7.700%

5/15/97

Baa1

BBB-

4,318,055

5,590

Ford Motor Company, Debentures

9.980%

2/15/47

Baa1

BBB-

6,158,978

16,100

General Motors Acceptance Corporation, Notes

8.000%

11/01/31

Baa1

BBB-

14,055,719

1,093

General Motors Corporation, Senior Debentures

8.375%

7/15/33

Baa2

BBB-

937,578

Chemicals - 0.6%

 

2,000

Freeport McMoran Resources Inc.

7.000%

2/15/08

Ba3

B+

2,070,000

1,335

OM Group Inc.

9.250%

12/15/11

Caa1

B-

1,381,725

3,000

Resolution Performance Products LLC

8.000%

12/15/09

B2

B

3,165,000

1,500

Rockwood Specialties Group

7.500%

11/15/14

B3

B-

1,507,500

Commercial Services & Supplies - 0.1%

 

1,000

Allied Waste North America, Series B

9.250%

9/01/12

B2

BB-

1,075,000

1,000

Allied Waste North America

7.875%

4/15/13

B2

BB-

1,002,500

Construction Materials - 0.2%

 

2,500

Texas Industries, Inc.

10.250%

6/15/11

B1

BB-

2,843,750

Containers & Packaging - 0.6%

 

1,520

Berry Plastics Corporation

10.75%

7/15/12

B3

B-

1,721,400

2,000

MDP Acquisitions plc, Senior Notes

9.625%

10/01/12

B3

B-

2,160,000

2,000

Owens-Brockway Glass Containers, Guaranteed Senior Notes

8.250%

5/15/13

B2

B

2,125,000

2,000

Owens-Illinois Inc.

7.800%

5/15/18

B3

B

2,045,000

Diversified Telecommunication Services - 0.1%

 

1,500

Valor Telecommunications Enterprises LLC, 144A

7.750%

2/15/15

B1

B

1,500,000

Electric Utilities - 0.2%

 

3,000

Midwest Generation LLC

8.750%

5/01/34

B1

B

3,360,000

Food & Staples Retailing - 0.1%

 

2,000

Stater Brothers Holdings Inc.

8.125%

6/15/12

B1

BB-

1,940,000

Food Products - 0.8%

 

5,943

Dole Foods Company

7.875%

7/15/13

B2

B+

6,388,725

1,000

Dole Foods Company

8.625%

5/01/09

B2

B+

1,080,000

3,000

Seminis Vegetable Seeds Inc.

10.250%

10/01/13

B3

B-

3,555,000

Health Care Equipment & Supplies - 0.3%

 

4,000

Fisher Scientific International Inc.

8.000%

9/01/13

Ba3

BB+

4,370,000

Health Care Providers & Services - 0.5%

 

1,500

Quintiles Transitional Corporation

10.00%

10/01/13

B3

B

1,695,000

2,000

Select Medical Corporation, 144A

7.625%

2/01/15

B3

B-

2,010,000

1,000

US Oncology Inc., 144A

9.000%

8/15/12

B2

B-

1,060,000

2,500

US Oncology Inc., 144A

10.75%

8/15/14

B3

B-

2,762,500

Hotels Restaurants & Leisure - 2.6%

 

2,000

Boyd Gaming Corporation

8.750%

4/15/12

B1

B+

2,175,000

2,000

Boyd Gaming Corporation

7.750%

12/15/12

B1

B+

2,105,000

2,552

Dominos Inc.

8.250%

7/01/11

B2

B-

2,679,600

1,500

Herbst Gaming Inc.

7.000%

11/15/14

B3

B-

1,500,000

2,900

Intrawest Corporation

7.500%

10/15/13

B1

B+

2,921,750

2,000

Landry's Restaurants Inc., 144A

7.500%

12/15/14

B2

B

1,950,000

4,040

Park Place Entertainment

7.875%

12/15/05

Ba2

BB-

4,135,950

1,600

Park Place Entertainment

8.125%

5/15/11

Ba2

BB-

1,780,000

2,500

Park Place Entertainment

7.000%

4/15/13

Ba1

BB+

2,693,750

6,000

Penn National Gaming Inc., Senior Subordinated Notes

8.875%

3/15/10

B2

B

6,390,000

750

Pinnacle Entertainment Inc.

8.750%

10/01/13

Caa1

B-

780,000

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

B2

B-

2,110,000

4,000

Universal City Development Partners

11.750%

4/01/10

B2

B-

4,580,000

Household Durables - 0.8%

 

2,000

K. Hovnanian Enterprises Inc., Senior Subordinate Notes

8.875%

4/01/12

Ba2

B+

2,150,000

3,000

KB Home

8.625%

12/15/08

Ba2

BB-

3,273,816

5,175

Technical Olympic USA Inc., Senior Subordinate Notes

10.375%

7/01/12

B2

B-

5,692,500

Household Products - 0.1%

 

1,650

Central Garden & Pet Company

9.125%

2/01/13

B2

B+

1,782,000

Insurance - 0.1%

 

2,000

Fairfax Financial Holdings Ltd

7.750%

4/26/12

Ba3

BB

1,940,000

IT Services - 0.2%

 

2,500

Global Cash Access LLC

8.750%

3/15/12

Caa1

B-

2,662,500

Machinery - 0.6%

 

1,220

Terex Corporation, Senior Subordinated Notes

10.375%

4/01/11

B3

B

1,332,850

6,095

Terex Corporation, Senior Subordinated Notes

9.250%

7/15/11

B3

B

6,674,025

Media - 3.0%

 

4,000

Allbritton Communications Company, Series B

7.750%

12/15/12

B3

B-

3,960,000

4,180

American Media Operations Inc., Series B

10.250%

5/01/09

B3

B-

4,326,300

2,000

American Media Operations Inc.

8.875%

1/15/11

B3

B-

2,070,000

1,000

Cablevision Systems Corporation, Series B

8.125%

8/15/09

B1

BB-

1,060,000

5,000

Cablevision Systems Corporation

7.250%

7/15/08

B1

BB-

5,150,000

2,750

Canwest Media Incorporated

7.625%

4/15/13

Ba3

B-

2,915,000

2,000

Charter Communications Operating LLC, 144A

8.000%

4/30/12

B2

B-

2,000,000

1,500

Lowes Cineplex Entertainment Corporation, 144A

9.000%

8/01/14

B3

CCC+

1,500,000

2,800

Mail-Well I Corporation, Senior Unsecured Notes, 144A

9.625%

3/15/12

B1

B+

2,996,000

1,950

Panamsat Corporation

9.000%

8/15/14

B1

B+

2,067,000

6,000

Primedia Inc., Senior Notes

8.875%

5/15/11

B3

B

6,285,000

5,550

Vertis Inc.

9.750%

4/01/09

B3

CCC+

5,827,500

4,000

Young Broadcasting Inc., Senior Subordinate Notes

10.00%

3/01/11

Caa1

CCC+

4,110,000

Multiline Retail - 0.3%

 

500

Saks Inc.

7.375%

2/15/19

Ba3

BB

450,000

2,000

Saks Inc., Notes

9.875%

10/01/11

Ba3

BB

2,170,000

1,195

Saks Inc.

7.000%

12/01/13

Ba3

BB

1,087,450

Multi-Utilities & Unregulated Power - 0.1%

 

1,500

NRG Energy Inc., 144A

8.000%

12/15/13

B1

B

1,593,750

Oil & Gas - 0.6%

 

2,400

Baytex Energy Ltd

9.625%

7/15/10

B3

B-

2,556,000

1,000

Chesapeake Energy Corporation

9.000%

8/15/12

Ba3

BB-

1,108,750

2,345

Chesapeake Energy Corporation

7.750%

1/15/15

Ba3

BB-

2,491,563

2,000

Tesoro Petroleum Corporation, Senior Subordinate Notes, Series B

9.625%

11/01/08

B2

BB-

2,155,000

250

Tesoro Petroleum Corporation

8.000%

4/15/08

Ba2

BBB-

262,500

Paper & Forest Products - 0.5%

 

2,000

Georgia Pacific Corporation, Debentures

7.700%

6/15/15

Ba3

BB+

2,202,500

5,000

Georgia Pacific Corporation, Notes

8.125%

5/15/11

Ba3

BB+

5,537,500

Real Estate - 0.2%

 

1,625

CB Richard Ellis Services Inc.

9.750%

5/15/10

B1

B+

1,844,374

1,000

Truststreet Properties Inc., 144A

7.500%

4/01/15

B1

BB-

1,000,000

Road & Rail - 0.2%

 

3,000

Laidlaw International Inc.

10.750%

6/15/11

B2

B+

3,412,500

Specialty Retail - 0.7%

 

4,100

Asbury Automotive Group Inc.

9.000%

6/15/12

B3

B

4,202,500

5,000

Warnaco Inc., Senior Notes

8.875%

6/15/13

B1

B

5,387,500

Textiles & Apparel - 0.2%

 

3,000

Jostens IH Corporation

7.625%

10/01/12

B3

B-

2,985,000

Trading Companies & Distributors - 0.3%

 

2,575

Keystone Automotive Operations Inc.

9.750%

11/01/13

B3

B-

2,600,750

2,000

United Rentals North America Inc.

6.500%

2/15/12

B1

BB-

1,955,000

Total Corporate Bonds (cost $237,318,655)

238,999,108

CAPITAL PREFERRED SECURITIES - 32.0% (21.6% of Total Investments)

Capital Markets - 5.0%

 

2,500

Ahmanson Capital Trust I, 144A

8.360%

12/01/26

Baa1

BBB

2,773,788

4,850

BT Institutional Capital Trust A, 144A

8.090%

12/01/26

A2

A-

5,296,045

3,000

BT Institutional Capital Trust B, 144A

7.750%

12/01/26

A2

A-

3,234,153

1,000

BT Capital Trust, Series B1

7.900%

1/15/27

A2

A-

1,100,742

20,000

M&I Capital Trust A

7.650%

12/01/26

A2

BBB+

21,573,980

27,500

C.A. Preferred Funding Trust

7.000%

1/30/49

A1

A

28,152,025

1,250

C.A. Preferred Fund Trust II

7.000%

10/30/49

A1

A

1,286,156

8,300

UBS Preferred Funding Trust I

8.622%

10/29/49

A1

AA-

9,801,213

Commercial Banks - 16.2%

 

3,000

AB Svensk Exportkredit, 144A

6.375%

10/27/49

Aa3

AA-

3,109,353

11,500

Abbey National Capital Trust I

8.963%

12/30/49

A2

A-

16,226,903

6,500

AgFirst Farm Credit Bank

7.300%

12/15/53

NR

NR

6,825,754

3,000

Bank One Capital III

8.750%

9/01/30

A1

A-

4,048,419

1,000

BankAmerica Capital II, Series 2

8.000%

12/15/26

Aa3

A

1,089,201

6,000

BankBoston Capital Trust I, Series B

8.250%

12/15/26

Aa3

A

6,628,236

2,000

BanPonce Trust I, Series A

8.327%

2/01/27

Baa1

BBB-

2,178,004

13,030

Barclays Bank plc, 144A

8.550%

6/15/49

Aa3

A+

15,414,829

3,000

Centura Capital Trust I, 144A

8.845%

6/01/27

A2

BBB+

3,347,784

1,500

DBS Capital Funding Corporation, 144A

7.657%

3/15/49

A1

A-

1,701,234

1,000

First Chicago NBD Institutional Capital, 144A

7.950%

12/01/26

A1

NA

1,076,779

6,200

First Empire Capital Trust I

8.234%

2/01/27

Baa1

BBB

6,796,756

2,000

First Midwest Bancorp Inc.

6.950%

12/01/33

Baa2

BBB-

2,216,692

18,600

Lloyds TSB Bank plc, Subordinate Note

6.900%

11/22/49

Aa2

A+

19,083,953

2,400

HSBC Capital Funding LP, 144A

9.547%

12/31/49

A1

A-

2,898,067

5,750

HSBC Capital Funding LP, Debt

10.176%

6/30/50

A1

A-

8,860,060

11,000

KBC Bank Fund Trust III, 144A

9.860%

11/02/49

A2

A-

13,220,823

6,300

KeyCorp Institutional Capital Trust A

7.826%

12/01/26

A3

BBB

6,881,648

1,000

KeyCorp Capital II

6.875%

3/17/29

A3

BBB

1,098,081

5,000

NB Capital Trust IV

8.250%

4/15/27

Aa3

A

5,551,125

1,000

North Fork Capital Trust I, Capital Securities

8.700%

12/15/26

A3

BBB-

1,094,250

12,000

North Fork Capital Trust II

8.000%

12/15/27

A3

BBB-

13,292,568

1,000

Popular North American Capital Trust I

6.564%

9/15/34

Baa1

BBB-

1,057,228

16,500

RBS Capital Trust B

6.800%

12/31/49

A1

A

16,778,685

100

Reliance Capital Trust I, Series B

8.170%

5/01/28

NR

NR

111,546

6,350

Royal Bank of Scotland Group plc

7.648%

8/31/49

A1

A

7,826,419

2,365

SocGen Real Estate Company LLC, 144A

7.640%

12/29/49

A1

A

2,534,592

8,000

Sparebanken Rogaland, Notes, 144A

6.443%

5/01/49

Baa1

NR

8,035,328

10,500

St. George Funding Company LLC

8.485%

6/30/17

Baa1

NR

11,453,190

2,000

Unicredito Italiano Capital Trust, 144A

9.200%

10/05/49

A1

A

2,381,494

300

Union Planters Preferred Fund, 144A

7.750%

7/15/53

A2

BBB-

32,418,750

100

Wachovia Capital Trust I, Capital Securities, 144A

7.640%

1/15/27

A1

BBB+

107,189

3,800

Washington Mutual Capital Trust I

8.375%

6/01/27

Baa1

BBB

4,203,963

5,000

Zions Institutional Capital Trust, Series A

8.536%

12/15/26

Baa1

BBB-

5,441,530

Diversified Financial Services - 4.6%

 

18,125

Chase Capital Trust I, Series A

7.670%

12/01/26

A1

A-

19,485,318

7,750

BNP Paribas Capital Trust

7.200%

12/31/49

A1

A+

7,963,342

36,000

HBOS Capital Funding LP, Notes

6.850%

3/01/49

A1

A

36,727,560

2,800

Old Mutual Capital Funding, Notes

8.000%

6/22/53

Baa2

NR

2,893,192

Diversified Telecommunication Services - 1.0%

 

10,957

Centaur Funding Corporation, Series B, 144A

9.080%

4/21/20

Baa1

BBB+

14,480,360

Insurance - 3.5%

 

250

Allstate Financing II

7.830%

12/01/45

A2

A-

265,727

2,300

American General Capital II

8.500%

7/01/30

Aa2

AA-

2,991,187

18,596

Berkeley Capital Trust

8.197%

12/15/45

Baa3

BBB-

19,282,694

1,000

MIC Financing Trust I

8.375%

2/01/27

A1

A+

1,049,820

7,250

Prudential plc

6.500%

6/29/49

Baa1

A

7,076,181

4,000

Mangrove Bay, Class 3, 144A

6.102%

7/15/33

Baa1

BBB+

3,980,060

9,500

Sun Life Canada Capital Trust, Capital Securities, 144A

8.526%

5/06/47

A1

A+

10,442,828

5,000

Zurich Capital Trust I, 144A

8.376%

6/01/37

Baa2

A-

5,469,115

Oil & Gas - 0.7%

 

1,200

KN Capital Trust I, Preferred Securities

8.560%

4/15/27

Baa3

BB+

1,344,314

7,110

KN Capital Tr'ust III

7.630%

4/15/28

Baa3

BB+

8,211,815

Thrifts & Mortgage Finance - 1.0%

 

12,250

Dime Capital Trust I, Series A

9.330%

5/06/27

Baa1

BBB

13,730,425

1,000

Great Western Financial Trust II, Series A

8.206%

2/01/27

Baa1

BBB

1,093,227

Total Capital Preferred Securities (cost $467,751,361)

464,695,700

REPURCHASE AGREEMENTS - 2.4% (1.6% of Total Investments)
$

16,957

State Street Bank, 2.400%, dated 3/31/05, due 4/01/05, repurchase price

16,957,623

   $16,958,754, collateralized by $9,050,000 U.S. Treasury Bonds, 7.500%

   due 11/15/16, value $11,582,617

17,415

State Street Bank, 2.400%, dated 3/31/05, due 4/01/05, repurchase price

17,415,512

   $17,416,673, collateralized by $23,750,000 U.S. Treasury Notes 2.500%

   due 5/31/06, value $23,481,613

Total Repurchase Agreements (cost $34,373,135)

34,373,135

Total Investments (cost $2,112,542,689) - 148.1%

2,150,881,543

COMMON STOCKS SOLD SHORT - (0.4)%

Consumer Finance - (0.1)%

 

(18,526)

Capital One Financial Corporation

(1,385,189)

Multi-Utilities & Unregulated Power - (0.3)%

 

(113,131)

Sempra Energy

(4,507,139)

Total Common Stocks Sold Short (proceeds $4,474,474)

(5,892,328)

Other Assets Less Liabilities - 1.1%

14,927,051

FundPreferred Shares, at Liquidation Value - (48.8)%

(708,000,000)

Net Assets Applicable to Common Shares - 100%

$   1,451,916,266

  

Interest Rate Swap Contracts outstanding at March 31, 2005:

Notional  

Termination

Unrealized

Counterparty

Amount

Fixed Rate

Floating Rate**

Date

Appreciation

JPMorgan

$71,000,000

1.9735%

2.8500%

1/22/06

$996,241

JPMorgan

71,000,000

3.3950

2.7456

7/06/06

434,429

Morgan Stanley

71,000,000

2.5670

2.8500

1/22/07

1,913,002

JPMorgan

71,000,000

2.9935

2.8500

1/22/08

2,509,058

Morgan Stanley

71,000,000

3.4060

2.8500

1/22/09

2,631,229

$8,483,959

(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 and 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.

144A  

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.

NR  

Security is not rated.

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial

statement and federal income tax purposes are primarily due to the recognition of income on certian securities

which are treated as debt securities for income tax purposes and equity securities for financial statement

purposes, and timing differences in recognizing certain gains and losses on security transactions.

At March 31, 2005, the cost of investments was $2,111,013,429.

Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2005,

were as follows:

Gross unrealized:

   Appreciation

$88,573,265

   Depreciation

(54,597,479)

Net unrealized appreciation of investments

$33,975,786

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--Vice President and Secretary        

Date         05/27/05        

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--Chief Administrative Officer (principal executive officer)        

Date         05/27/05        

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

Date         05/27/05        

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