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   811-21407

Nuveen Diversified Dividend and 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.

 

 

Item 1. Schedule of Investments

Nuveen Diversified Dividend and Income Fund (JDD)
September 30, 2006

Shares				Description (1)								Value
				Common Stocks – 33.9% (23.4% of Total Investments)
				Aerospace & Defense – 2.3%
	50,000			Lockheed Martin Corporation								$	4,303,000
	85,000			Raytheon Company									4,080,850
				Total Aerospace & Defense									8,383,850
				Capital Markets – 1.1%
	85,000			JPMorgan Chase & Co.									3,991,600
				Commercial Banks – 2.0%
	69,200			Bank of America Corporation									3,707,044
	65,000			Wachovia Corporation									3,627,000
				Total Commercial Banks									7,334,044
				Commercial Services & Supplies – 1.3%
	105,000			Pitney Bowes Inc.									4,658,850
				Containers & Packaging – 0.9%
	146,300			Packaging Corp. of America									3,394,160
				Diversified Financial Services – 1.3%
	100,000			Citigroup Inc.									4,967,000
				Diversified Telecommunication Services – 3.8%
	175,500			AT&T Inc.									5,714,280
	90,000			KT Corporation, Sponsored ADR									1,932,300
	52,500			Telecom Italia S.p.A., Sponsored ADR									1,487,325
	131,100			Verizon Communications Inc.									4,867,743
				Total Diversified Telecommunication Services									14,001,648
				Electric Utilities – 1.4%
	67,100			EDP – Energias de Portugal, S.A., Sponsored ADR									2,896,707
	118,000			Korea Electric Power Corporation, Sponsored ADR									2,306,900
				Total Electric Utilities									5,203,607
				Household Durables – 0.9%
	112,000			Newell Rubbermaid Inc.									3,171,840
				Household Products – 1.3%
	73,000			Kimberly-Clark Corporation									4,771,280
				Insurance – 2.4%
	100,800			Aon Corporation									3,414,096
	65,400			Hartford Financial Services Group, Inc.									5,673,450
				Total Insurance									9,087,546
				Media – 1.3%
	55,000			CBS Corporation, Class B									1,549,350
	118,300			Clear Channel Communications, Inc.									3,412,955
				Total Media									4,962,305
				Metals & Mining – 1.6%
	84,900			Alumina Limited, Sponsored ADR									1,552,821
	33,000			POSCO, ADR									2,142,690
	12,100			Rio Tinto PLC, Sponsored ADR									2,294,523
				Total Metals & Mining									5,990,034
				Multi-Utilities – 1.4%
	37,800			Dominion Resources, Inc.									2,891,322
	82,800			United Utilities PLC, Sponsored ADR									2,192,544
				Total Multi-Utilities									5,083,866
				Oil, Gas & Consumable Fuels – 3.2%
	33,000			ChevronTexaco Corporation									2,140,380
	41,800			ConocoPhillips									2,488,354
	57,500			Eni S.p.A., Sponsored ADR									3,421,825
	60,000			Total SA, Sponsored ADR									3,956,400
				Total Oil, Gas & Consumable Fuels									12,006,959
				Paper & Forest Products – 1.4%
	105,500			International Paper Company									3,653,465
	97,000			Stora Enso Oyj, Sponsored ADR									1,466,640
				Total Paper & Forest Products									5,120,105
				Pharmaceuticals – 0.4%
	71,000			Pfizer Inc.									2,013,560
				Thrifts & Mortgage Finance – 2.6%
	81,600			Federal National Mortgage Association									4,562,256
	124,100			IndyMac Bancorp, Inc.									5,107,956
				Total Thrifts & Mortgage Finance									9,670,212
				Tobacco – 2.6%
	88,200			Altria Group, Inc.									6,751,708
	56,000			Loews Corp – Carolina Group									3,101,840
				Total Tobacco									9,853,548
				Wireless Telecommunication Services – 0.7%
	110,250			Vodafone Group PLC									2,520,315
				Total Common Stocks (cost $96,954,757)									126,186,329

Shares				Description (1)								Value
				Real Estate Investment Trust Common Stocks – 39.4% (27.2% of Total Investments)
				Diversified – 0.9%
	212,200			Newkirk Realty Trust Inc.								$	3,497,056
				Industrial – 1.3%
	106,000			First Industrial Realty Trust, Inc.									4,664,000
				Mortgage – 0.4%
	45,000			American Home Mortgage Investment Corp.									1,569,150
				Office – 13.1%
	200,300			Brandywine Realty Trust									6,519,765
	219,100			Equity Office Properties Trust									8,711,413
	178,700			Glenborough Realty Trust Incorporated									4,597,951
	435,600			HRPT Properties Trust									5,205,420
	158,900			Mack-Cali Realty Corporation									8,231,018
	146,800			Maguire Properties, Inc.									5,980,632
	115,400			Reckson Associates Realty Corporation									4,939,120
	416,000			Republic Property Trust									4,584,320
				Total Office									48,769,639
				Residential – 7.4%
	114,900			Archstone-Smith Trust									6,255,156
	57,500			AvalonBay Communities, Inc.									6,922,998
	86,200			Camden Property Trust									6,552,062
	164,400			Post Properties, Inc.									7,812,286
				Total Residential									27,542,502
				Retail – 6.2%
	252,900			Cedar Shopping Centers Inc.									4,089,393
	73,500			Federal Realty Investment Trust									5,461,050
	221,000			Kite Realty Group Trust									3,765,840
	49,900			Macerich Company									3,810,364
	107,100			New Plan Excel Realty Trust									2,897,055
	32,400			Simon Property Group, Inc.									2,936,088
				Total Retail									22,959,790
				Specialized – 10.1%
	376,300			Ashford Hospitality Trust Inc.									4,489,259
	78,500			Cogdell Spencer Inc.									1,628,875
	350,000			DiamondRock Hospitality Company									5,813,500
	172,300			Extra Space Storage Inc.									2,982,513
	148,700			Hersha Hospitality Trust									1,427,520
	166,000			Nationwide Health Properties, Inc.									4,438,840
	74,374			Public Storage, Inc.									6,395,420
	293,800			Senior Housing Properties Trust									6,269,692
	190,400			U-Store-It Trust									4,085,984
				Total Specialized									37,531,603
				Total Real Estate Investment Trust Common Stocks (Cost $103,927,978)									146,533,740

Shares

Description (1)

Coupon

Ratings (2)

Value

Real Estate Investment Trust $25 Par (or similar) Preferred Securities – 0.2% (0.1% of Total Investments)

30,000

BRE Properties, Series D

6.750%

BBB-

$

733,200

Total Real Estate Investment Trust $25 Par (or similar) Preferred Securities (cost $701,100)

733,200

						Weighted
Principal						Average
Amount (000)				Description (1)		Coupon		Maturity (3)		Ratings (2)		Value
				Variable Rate Senior Loan Interests – 26.5% (18.3% of Total Investments) (4)
				Aerospace & Defense – 1.7%
$	2,454			Hexcel Corporation, Term Loan B		7.226%		3/01/12		BB-		$	2,460,344
	1,758			K&F Industries, Inc., Term Loan C		7.330%		11/18/12		B+			1,763,004
	1,609			Vought Aircraft Industries, Inc., Term Loan		7.880%		12/22/11		B+			1,622,991
	364			Vought Aircraft Industries, Inc., Tranche B, Letter of Credit		7.834%		12/22/10		B+			365,795
	6,185			Total Aerospace & Defense									6,212,134
				Auto Components – 1.6%
	2,500			Federal Mogul Corporation, Term Loan A, (5)		7.580%		2/24/04		N/R			2,416,666
	1,874			Gen Tek Inc., Term Loan B		7.416%		12/31/10		B+			1,883,724
	1,217			Tenneco Automotive Inc., Term Loan B		7.400%		12/12/10		BB-			1,224,019
	534			Tenneco Automotive Inc., Term Loan B-1		7.330%		12/12/10		BB-			537,690
	6,125			Total Auto Components									6,062,099
				Building Products – 1.0%
	1,960			Nortek, Inc., Term Loan B		7.360%		8/27/11		B			1,955,101
	984			Stile Acquisition Corporation, Canadian Term Loan		7.489%		4/05/13		BB-			967,021
	986			Stile Acquisition Corporation, Term Loan B		7.489%		4/05/13		BB-			968,668
	3,930			Total Building Products									3,890,790
				Chemicals – 1.6%
	2,000			Georgia Gulf Corporation, Term Loan B, WI/DD		TBD		TBD		BB			2,006,500
	2,000			Lyondell Citgo Refining LP, Term Loan, WI/DD		TBD		TBD		BB			2,008,750
	1,970			Rockwood Specialties Group, Inc., Term Loan E		7.485%		7/30/12		B+			1,980,589
	5,970			Total Chemicals									5,995,839
				Commercial Services & Supplies – 0.6%
	663			Allied Waste North America, Inc., Letter of Credit		7.084%		1/15/12		Ba3			661,811
	1,669			Allied Waste North America, Inc., Term Loan B		7.210%		1/15/12		Ba3			1,665,030
	2,332			Total Commercial Services & Supplies									2,326,841
				Containers & Packaging – 1.6%
	1,500			Berry Plastics Corporation, Term Loan		7.080%		8/31/13		B+			1,502,063
	2,948			Graham Packaging Company, L.P., Term Loan B		7.765%		10/07/11		B			2,958,860
	175			Smurfit-Stone Container Corporation, Deposit-Funded Commitment		7.572%		11/01/11		B+			175,836
	833			Smurfit-Stone Container Corporation, Term Loan B		7.657%		11/01/11		B+			838,340
	423			Smurfit-Stone Container Corporation, Term Loan C		7.667%		11/01/11		B+			425,899
	133			Smurfit-Stone Container Corporation, Tranche C-1		7.625%		11/01/11		B+			133,649
	6,012			Total Containers & Packaging									6,034,647
				Diversified Telecommunication Services – 0.8%
	1,000			Cebridge III LLC., Term Loan B		7.739%		11/01/14		B+			992,657
	1,975			Intelsat Ltd., Term Loan		7.758%		7/01/13		B1			1,988,578
	2,975			Total Diversified Telecommunication Services									2,981,235
				Electric Utilities – 0.5%
	1,985			Mirant Corporation, Term Loan		7.074%		1/03/13		BB-			1,981,631
				Electrical Equipment – 0.5%
	1,583			Sensus Metering Systems Inc., Term Loan B-1		6.483%		12/17/10		B+			1,582,609
	210			Sensus Metering Systems Inc., Term Loan B-2		7.086%		12/17/10		B+			210,217
	1,793			Total Electrical Equipment									1,792,826
				Electronic Equipment & Instruments – 0.3%
	998			Sensata Technologies B.V., Term Loan		7.239%		4/27/13		BB-			991,967
				Food Products – 0.8%
	2,918			Michael Foods, Inc., Term Loan B		7.541%		11/21/10		B+			2,925,128
				Health Care Equipment & Supplies – 0.3%
	666			Kinteic Concepts, Inc., Term Loan B-2		7.120%		8/11/10		BB			668,723
				Health Care Providers & Services – 1.6%
	1,710			Davita Inc., Term Loan B		7.501%		10/05/12		BB-			1,718,280
	2,085			LifePoint Hospitals Holdings, Inc., Term Loan B		6.949%		4/15/12		Ba3			2,073,285
	1,990			Quintiles Transnational Corporation, Term Loan B		7.370%		3/31/13		B1			1,989,690
	5,785			Total Health Care Providers & Services									5,781,255
				Hotels, Restaurants & Leisure – 3.0%
	1,990			24 Hour Fitness Worldwide, Inc., Term Loan B		8.055%		6/08/12		B			2,004,510
	2,452			Burger King Corporation, Term Loan B		6.875%		6/30/12		BB-			2,452,802
	122			Cracker Barrel, Delayed Draw Term Loan B-2, (6) (7)		0.750%		4/28/13		BB			(916	)
	876			Cracker Barrel, Term Loan B-1		6.959%		4/28/13		BB			873,430
	1,980			Penn National Gaming, Inc., Term Loan B		7.194%		10/03/12		BB			1,989,962
	1,000			Sonic Corporation, Term Loan, WI/DD		TBD		TBD		BB-			1,006,042
	513			Venetian Casino Resort, LLC, Delayed Draw Term Loan		7.120%		6/15/11		BB-			513,782
	2,487			Venetian Casino Resort, LLC, Term Loan		7.120%		6/15/11		BB-			2,491,843
	11,420			Total Hotels, Restaurants & Leisure									11,331,455
				Insurance – 0.3%
	1,180			Conseco, Inc., Term Loan		7.080%		6/22/10		BB-			1,180,731
				IT Services – 1.0%
	1,730			Fidelity National Information Services, Term Loan B		7.080%		3/09/13		BB+			1,734,715
	1,980			SunGard Data Systems Inc., Term Loan B		7.999%		2/11/13		B+			1,996,264
	3,710			Total IT Services									3,730,979
				Media – 5.1%
	1,990			Cablevision Systems Corporation, Incremental Term Loan		7.183%		3/30/13		BB			1,984,003
	2,000			Charter Communications Inc., Term Loan B		8.125%		4/28/13		B			2,010,663
	1,313			Dex Media West, LLC, Term Loan B		6.871%		3/09/10		BB			1,307,786
	1,995			Metro-Goldwyn-Mayer Studios, Inc., Term Loan B		8.617%		4/08/12		N/R			1,978,167
	2,000			Neilsen Finance LLC, Term Loan B		8.190%		8/09/13		B+			1,995,556
	1,717			R. H. Donnelley Inc., Tranche D		6.885%		6/30/11		Ba3			1,706,247
	1,891			Regal Cinemas Corporation, Term Loan		7.117%		11/10/10		BB-			1,886,239
	1,000			UPC Broadband Holding BV, Term Loan J2		7.640%		3/29/13		B			999,241
	1,000			UPC Broadband Holding BV, Term Loan K2		7.640%		12/31/13		B			999,241
	1,945			WMG Acquisition Corp., Term Loan		7.389%		2/28/11		B+			1,953,771
	2,000			Yell Group, Term Loan		7.324%		2/09/13		Ba3			2,009,437
	18,851			Total Media									18,830,351
				Metals & Mining – 0.3%
	684			Amsted Industries Incorporated, Delayed Draw Term Loan, (6)(7)		0.500%		4/05/11		BB-			(9,399	)
	948			Amsted Industries Incorporated, Term Loan B		7.465%		4/05/13		BB-			948,211
	1,632			Total Metals & Mining									938,812
				Multiline Retail – 0.3%
	949			Neiman Marcus Group Inc., Term Loan		7.891%		3/28/13		B+			956,846
				Multi-Utilities – 0.5%
	371			NRG Energy Inc., Credit-Linked Deposit		7.367%		2/01/13		BB-			372,928
	1,621			NRG Energy Inc., Term Loan		7.367%		2/01/13		BB-			1,628,920
	1,992			Total Multi-Utilities									2,001,848
				Oil, Gas & Consumable Fuels – 0.5%
	387			Targa Resources Inc., Synthetic Letter of Credit		7.624%		10/31/12		B+			389,101
	1,597			Targa Resources Inc., Term Loan B		7.644%		10/31/12		B+			1,605,043
	1,984			Total Oil, Gas & Consumable Fuels									1,994,144
				Paper & Forest Products – 0.5%
	1,985			Georgia-Pacific Corporation, Term Loan B		7.390%		12/20/12		BB-			1,991,134
				Real Estate Management & Development – 0.4%
	1,500			LNR Property Corporation, Term Loan B		8.220%		7/12/11		B2			1,511,438
				Road & Rail – 0.3%
	111			Hertz Corporation, Synthetic Term Loan		7.640%		12/21/12		BB+			111,893
	885			Hertz Corporation, Term Loan B		7.670%		12/21/12		BB			891,238
	996			Total Road & Rail									1,003,131
				Specialty Retail – 0.4%
	1,500			Toys “R” Us, Inc., Term Loan WI/DD		TBD		TBD		B			1,499,375
				Textiles, Apparel & Luxury Goods – 0.5%
	2,000			HanesBrands Inc., Term Loan		7.625%		8/15/13		BB-			2,015,208
				Trading Companies & Distributors – 0.5%
	1,000			Ashtead Group Public Limited Company, Term Loan B		1.750%		8/01/11		B3			1,000,000
	196			Brenntag Holding GmbH and Company KG, Acquisition Facility Term Loan		8.080%		1/20/14		B			199,309
	804			Brenntag Holdings, Term Loan B2		8.080%		1/20/14		B			810,669
	2,000			Total Trading Companies & Distributors									2,009,978
$	99,373			Total Variable Rate Senior Loan Interests (cost $98,511,099)									98,640,545

Principal
Amount (000)				Description (1)		Coupon		Maturity		Ratings (2)		Value
				Emerging Markets Sovereign Debt and Foreign Corporate Bonds – 32.2% (22.2% of Total Investments)
				Argentina – 2.8%
$	885			Argentine Beverages Financial Trust, 144A		7.375%		3/22/12		N/R		$	902,700
	555			Pan American Energy LLC, 144A		7.750%		2/09/12		Baa3			556,388
	234			Republic of Argentina		2.000%		2/03/07		B			17,502
	1,855			Republic of Argentina		11.417%		2/20/08		B			606,241
	355			Republic of Argentina		7.000%		3/28/11		B			341,510
	4,305			Republic of Argentina		3.010%		8/03/12		B+			3,032,873
	779			Republic of Argentina		8.280%		12/31/33		B+			751,490
	1,525			Republic of Argentina		5.830%		12/31/33		B			620,810
	4,524			Republic of Argentina		1.330%		12/31/38		B+			1,979,250
	1,200			Republic of Argentina		1.200%		12/31/38		B			625,403
	545			Transportadora de Gas del Sur SA, Series B-A, Reg S		7.500%		12/15/13		CCC+			554,538
	16,762			Total Argentina									9,988,705
				Brazil – 1.9%
	510			Banco Bradesco S.A.		8.750%		10/24/13		A2			580,125
	405			Centrais Eletricas Brasileiras S.A., 144A		7.750%		11/30/15		BB			421,200
	400			Cia Brasileira de Bebidas		10.500%		12/15/11		BBB			484,000
	595			Companhia Energetica de Sao Paulo, 144A		9.250%		8/11/13		B2			633,675
	685			Cospipa Commercial Limited, 144A		8.250%		6/14/16		Baa2			726,100
	1,075			Federative Republic of Brazil		8.000%		1/15/18		BB			1,183,575
	585			Federative Republic of Brazil		8.875%		10/14/19		BB			695,272
	1,005			Federative Republic of Brazil		8.250%		1/20/34		BB			1,158,263
	760			JBS S.A., 144A		10.500%		8/04/16		B+			771,400
	6,020			Total Brazil									6,653,610
				Bulgaria – 0.3%
	1,100			Republic of Bulgaria, Reg S		8.250%		1/15/15		BBB			1,296,570
				Chile – 1.7%
	565			Celulosa Arauco Y Constitucion		5.625%		4/20/15		BBB+			550,499
	600			Coldelco Inc., Reg S		6.375%		11/30/12		A2			627,960
	450			Coporacion Nacional del Cobre de Chile, Reg S		5.625%		9/21/35		Aa3			433,618
	430			Corporacion Nacional del Cobre, 144A		5.500%		10/15/13		Aa3			428,926
	1,765			Corporacion Nacional del Cobre, 144A		4.750%		10/15/14		Aa3			1,668,668
	245			Empresa Nacional del Petroleo, Reg S		6.750%		11/15/12		A			259,835
	1,100			Empresa Nacional del Petroleo, 144A		4.875%		3/15/14		A			1,040,852
	550			Enersis SA		7.375%		1/15/14		BBB-			585,577
	550			Republic of Chile		6.875%		4/28/09		A			571,725
	6,255			Total Chile									6,167,660
				China – 0.2%
	610			China Development Bank		5.000%		10/15/15		A			590,487
				Colombia – 1.5%
	2,500,000			Republic of Colombia		11.750%		3/01/10		BB			1,187,032
	1,580			Republic of Colombia		10.000%		1/23/12		BB			1,849,390
	350			Republic of Colombia		8.250%		12/22/14		BB			388,150
	1,080			Republic of Colombia		7.375%		1/27/17		BB			1,128,600
	1,040			Republic of Colombia		7.375%		9/18/37		BB			1,055,600
	2,504,050			Total Colombia									5,608,772
				Dominican Republic – 1.2%
	3,891			Dominican Republic, Reg S		9.040%		1/23/18		B			4,348,190
				Ecuador – 0.6%
	505			Republic of Ecuador, 144A		9.375%		12/15/15		CCC+			491,113
	2,045			Republic of Ecuador, Reg S		10.000%		8/15/30		CCC+			1,891,625
	2,550			Total Ecuador									2,382,738
				Egypt – 0.3%
	7,500			Egypt Republic, Treasury Bill		0.000%		12/12/06		N/R			1,282,918
				El Salvador – 0.9%
	1,275			Republic of El Salvador, 144A		7.650%		6/15/35		Baa3			1,373,813
	750			Republic of El Salvador, Reg S		8.500%		7/25/11		Baa3			834,375
	1,080			Republic of El Salvador, Reg S		7.750%		1/24/23		Baa3			1,209,600
	3,105			Total El Salvador									3,417,788
				Hong Kong – 0.2%
	890			Hong Kong, 144A		5.125%		8/01/14		AA			887,213
				Indonesia – 0.6%
	390			Adaro Finance B.V., 144A		8.500%		12/08/10		Ba3			398,288
	315			Excelcomindo Finance Company B.V., 144A		7.125%		1/18/13		BB-			314,213
	6,000,000			Indonesia Republic		11.000%		11/15/20		BB+			633,862
	705			Republic of Indonesia, 144A		7.250%		4/20/15		BB-			742,894
	6,001,410			Total Indonesia									2,089,257
				Kazakhstan – 0.4%
	1,040			Intergas Finance B.V., Reg S		6.875%		11/04/11		Baa2			1,065,248
	212			Kazkommerts International BV, 144A		8.000%		11/03/15		Baa1			215,180
	300			Tengizchevroil LLP, 144A		6.124%		11/15/14		BBB-			298,500
	1,552			Total Kazakhstan									1,578,928
				Malaysia – 1.6%
	1,570			Penerbangan Malaysia Berhad		5.625%		3/15/16		A-			1,579,586
	1,125			Petronas Capital Limited		7.000%		5/22/12		A1			1,212,684
	200			Petronas Capital Limited		7.875%		5/22/22		A-			243,278
	1,100			Republic of Malaysia		8.750%		6/01/09		A-			1,193,133
	1,000			Republic of Malaysia		7.500%		7/15/11		A-			1,090,444
	550			Sarawak International Inc.		5.500%		8/03/15		A-			536,851
	5,545			Total Malaysia									5,855,976
				Mexico – 1.4%
	895			Conproca SA, Reg S		12.000%		6/16/10		BBB-			1,031,488
	830			Pemex Project Funding Master Trust		5.750%		12/15/15		Baa1			811,948
	1,200			Pemex Project Funding Master Trust		8.500%		2/15/08		Baa1			1,244,100
	590			Pemex Project Funding Master Trust		9.375%		12/02/08		Baa1			634,545
	275			Petroleos Mexicanos		8.850%		9/15/07		Baa1			283,938
	12,350			United Mexican States		9.500%		12/18/14		A			1,207,703
	16,140			Total Mexico									5,213,722
				Panama – 1.5%
	990			Republic of Panama		9.625%		2/08/11		Ba1			1,136,025
	450			Republic of Panama		7.250%		3/15/15		Ba1			482,625
	3,399			Republic of Panama		6.700%		1/26/36		Ba1			3,382,005
	575			Republic of Panama		7.125%		1/29/26		Ba1			605,188
	5,414			Total Panama									5,605,843
				Peru – 1.3%
	805			Republic of Peru		9.125%		2/21/12		BB			927,763
	600			Republic of Peru		9.875%		2/06/15		BB			745,500
	1,083			Republic of Peru		5.000%		3/07/17		BB			1,073,524
	576			Republic of Peru		4.250%		3/07/17		BB			568,800
	575			Republic of Peru		7.350%		7/21/25		BB			615,825
	860			Republic of Peru		8.750%		11/21/33		BB			1,057,800
	4,499			Total Peru									4,989,212
				Philipines – 1.1%
	255			Bangko Sentral ng Pilipinas		8.600%		6/15/27		BB-			286,238
	780			Republic of the Philippines		8.375%		2/15/11		BB-			846,300
	210			Republic of the Philippines		8.250%		1/15/14		BB-			229,688
	1,275			Republic of the Philippines		9.375%		1/18/17		BB-			1,510,875
	1,268			Republic of the Philippines		7.750%		1/14/31		BB-			1,329,815
	3,788			Total Philipines									4,202,916
				Qatar – 0.6%
	285			Ras Laffan Liquefied Natural Gas Co., Ltd., 144A		3.437%		9/15/09		A-			276,230
	597			Ras Laffan Liquified Natural Gas Company Limited, Reg S		3.437%		9/15/09		A-			579,710
	575			Ras Laffan Liquified Natural Gas II, Reg S		5.298%		9/30/20		A1			559,691
	550			State of Qatar, Reg S		9.750%		6/15/30		A+			816,750
	2,007			Total Qatar									2,232,381
				Russian Federation – 3.3%
	525			Gazprom		10.500%		10/21/09		Baa1			595,245
	763			GazStream SA, Series 144A		5.625%		7/22/13		Baa1			760,012
	2,675			Russia Federation, Reg S		5.000%		3/31/30		BBB+			2,991,982
	2,050			Russia Ministry of Finance		3.000%		5/14/08		BBB+			1,971,690
	2,305			Russian Agricultural Bank, 144A		7.175%		5/16/13		A3			2,402,963
	750			Russian Federation, Reg S		11.000%		7/24/18		BBB+			1,083,916
	400			Russian Ministry of Finance, Reg S		12.750%		6/24/28		BB+			718,926
	550			Saving Bank of the Russian Federation		6.230%		2/11/15		Baa2			555,253
	1,000			VTB Capital SA, Series 144A		7.500%		10/12/11		A2			1,065,000
	11,018			Total Russian Federation									12,144,987
				Serbia – 0.6%
	2,500			Republic of Serbia, 144A		3.750%		11/01/24		BB-			2,237,500
				South Africa – 1.3%
	3,255			Republic of South Africa		9.125%		5/19/09		BBB+			3,543,881
	1,140			Republic of South Africa		7.375%		4/25/12		BBB+			1,235,475
	4,395			Total South Africa									4,779,356
				South Korea – 0.5%
	2,020			Korea Development Bank		4.625%		9/16/10		A			1,971,991
				Thailand – 0.1%
	250			Bangkok Bank Public Company Limited, Reg S		9.025%		3/15/29		BBB			306,750
				Trinidad and Tobago – 0.7%
	945			First Citizens Saint Lucia Limited, Reg S		5.125%		2/14/11		A2			932,618
	180			National Gas Company of Trinidad and Tobago, 144A		6.050%		1/15/36		A3			173,370
	1,233			Republic of Trinidad and Tobago, Reg S		9.750%		7/01/20		A-			1,681,849
	2,358			Total Trinidad and Tobago									2,787,837
				Tunisia – 0.6%
	2,065			Banque de Tunisie		7.375%		4/25/12		BBB			2,248,785
				Turkey – 1.0%
	500			Republic of Turkey		9.500%		1/15/14		BB-			571,250
	270			Republic of Turkey		7.250%		3/15/15		BB-			272,700
	1,260			Republic of Turkey		7.000%		9/26/16		BB-			1,241,100
	910			Republic of Turkey		8.000%		2/14/34		BB-			944,125
	875			Republic of Turkey		6.875%		3/17/36		BB-			798,438
	3,815			Total Turkey									3,827,613
				Ukraine – 1.2%
	2,585			Republic of Ukraine, Reg S		6.875%		3/04/11		BB-			2,630,496
	1,055			Republic of Ukraine, Reg S		7.650%		6/11/13		BB-			1,116,612
	615			Ukraine Export-Import Bank Loan Participation with Credit Suisse International		8.400%		2/09/16		Ba2			603,008
	215			Ukraine Government, Reg S		11.000%		3/15/07		B1			219,809
	4,470			Total Ukraine									4,569,925
				Uruguay – 1.4%
	14,890			Oriental Republic of Uruguay		5.000%		9/14/18		B			647,432
	580			Oriental Republic of Uruguay		7.625%		3/21/36		B+			581,450
	2,150			Republic of Uruguay		7.250%		2/15/11		B+			2,216,650
	1,680			Republic of Uruguay		8.000%		11/18/22		B+			1,780,800
	116			Republic of Uruguay		5.875%		1/15/33		B+			120,796
	19,416			Total Uruguay									5,347,128
				Venezuela – 0.8%
	505			Petrozuata Finance Inc., Reg S		8.220%		4/01/17		Ba3			493,638
	1,935			Republic of Venezuela, Reg S		5.375%		8/07/10		B+			1,881,788
	500			Republic of Venezuela, Reg S		6.511%		4/20/11		BB-			496,625
	125			Republic of Venezuela		8.500%		10/08/14		BB-			138,750
	3,065			Total Venezuela									3,010,801
				Vietnam – 0.6%
	2,346			Socialist Republic of Vietnam		6.250%		3/12/16		BB-			2,356,586
$	8,650,806			Total Emerging Markets Sovereign Debt and Foreign Corporate Bonds (cost $116,603,337)									119,982,145

Principal
Amount (000)				Description (1)		Coupon		Maturity		Ratings (2)		Value
				Corporate Bonds – 2.2% (1.5% of Total Investments)
				Hotels, Restaurants & Leisure – 1.1%
$	2,000			Aztar Corporation		9.000%		8/15/11		Ba3		$	2,097,500
	2,000			MGM Mirage, Inc.		6.750%		8/01/07		BB			2,020,000
	4,000			Total Hotels, Restaurants & Leisure									4,117,500
				Household Durables – 1.1%
	2,000			D.R. Horton, Inc.		7.500%		12/01/07		BBB-			2,043,332
	2,000			KB Home		8.625%		12/15/08		Ba2			2,059,740
	4,000			Total Household Durables									4,103,072
$	8,000			Total Corporate Bonds (cost $8,334,582)									8,220,572

Principal
Amount (000)				Description (1)		Coupon		Maturity				Value
				Short-Term Investments – 10.6% (7.3% of Total Investments)
$	39,347			Repurchase Agreement with State Street Bank, dated 9/29/06, repurchase price $39,363,123, collateralized by $41,590,000 U.S. Treasury Notes, 4.000%, due 2/15/15, value $40,134,350		4.800%		10/02/06				$	39,347,384
				Total Short-Term Investments (cost $39,347,384)									39,347,384
				Total Investments (cost $464,380,237) – 145.0%									539,643,915
				Borrowing Payable – (12.1)% (8)									(45,000,000	)
				Other Assets Less Liabilities – (0.7)%									(2,504,029	)
				FundPreferred Shares, at Liquidation Value – (32.2)%									(120,000,000	)
				Net Assets Applicable to Common Shares – 100%								$	372,139,886

(1)		All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
(2)		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.
(3)		Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
(4)		Senior Loans in which the Fund invests generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
		Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
(5)		At or subsequent to September 30, 2006, this issue was under the protection of the Federal Bankruptcy Court.
(6)		Position represents an unfunded Senior Loan commitment outstanding at September 30, 2006.
(7)		Negative value represents unrealized depreciation on Senior Loan commitment at September 30, 2006.
(8)		Borrowings payable as a percentage of total investments is (8.3)%.
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.
ADR		American Depositary Receipt.
Reg S		Regulation S allows U.S. companies to sell securities to persons or entities located outside of the U.S. without registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic issuers that are made outside the United States.
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 and maturity date.