UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21746
Name of Fund: Small Cap Premium & Dividend Income Fund Inc. (RCC)
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Mitchell M. Cox, Chief Executive Officer,
Small Cap Premium & Dividend Income Fund Inc., 4 World Financial Center,
6th Floor, New York, New York 10080.
Registrant's telephone number, including area code: (877) 449-4742
Date of fiscal year end: 12/31/2008
Date of reporting period: 07/01/2008 - 09/30/2008
Item 1 - Schedule of Investments
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
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Shares
Industry Common Stocks Held Value
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Advertising Agencies - 0.3% DG FastChannel, Inc. (a) 2,600 $ 56,992
Greenfield Online, Inc. (a) 4,300 74,820
Harte-Hanks, Inc. 6,000 62,220
inVentiv Health, Inc. (a) 5,700 100,662
Marchex, Inc. Class B 4,000 41,160
National CineMedia, Inc. 6,800 75,140
R.H. Donnelley Corp. (a) 14,600 29,054
Valassis Communications, Inc. (a) 7,500 64,950
ValueClick, Inc. (a) 15,030 153,757
-------------
658,755
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Aerospace - 0.9% AeroVironment, Inc. (a) 1,600 51,120
Argon ST, Inc. (a) 2,100 49,329
Ascent Solar Technologies, Inc. (a) 1,500 9,120
Curtiss-Wright Corp. 7,500 340,875
Ducommun, Inc. 1,900 45,372
Heico Corp. 3,800 124,716
LMI Aerospace, Inc. (a) 1,600 32,176
Ladish Co., Inc. (a) 2,500 50,625
Moog, Inc. Class A (a) 7,100 304,448
Orbital Sciences Corp. (a) 9,900 237,303
Teledyne Technologies, Inc. (a) 5,900 337,244
TransDigm Group, Inc. (a) 5,600 191,688
-------------
1,774,016
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Agriculture, Fishing & Ranching - 0.1% AgFeed Industries, Inc. (a) 3,600 28,440
Alico, Inc. 600 28,458
The Andersons, Inc. 3,200 112,704
Cadiz, Inc. (a) 1,800 34,326
Calavo Growers, Inc. 2,000 24,920
HQ Sustainable Maritime Industries, Inc. (a) 1,400 7,084
-------------
235,932
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Air Transport - 0.7% AAR Corp. (a)(b) 6,800 112,812
AirTran Holdings, Inc. (a) 20,100 48,843
Alaska Air Group, Inc. (a) 6,200 126,418
Allegiant Travel Co. (a) 2,500 88,300
Atlas Air Worldwide Holdings, Inc. (a) 2,100 84,651
Bristow Group, Inc. (a) 3,800 128,592
Hawaiian Holdings, Inc. (a) 7,200 66,816
JetBlue Airways Corp. (a) 29,200 144,540
PHI, Inc. (a) 2,400 88,632
Republic Airways Holdings, Inc. (a) 5,600 57,064
SkyWest, Inc. 9,900 158,202
UAL Corp. 21,700 190,743
US Airways Group, Inc. (a) 18,400 110,952
-------------
1,406,565
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Aluminum - 0.1% Kaiser Aluminum Corp. 2,500 107,375
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1
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
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Auto Parts: After Market - 0.1% ATC Technology Corp. (a) 3,600 $ 85,464
Commercial Vehicle Group, Inc. (a) 3,500 24,885
Dorman Products, Inc. (a) 1,600 20,048
Superior Industries International, Inc. 3,500 67,060
-------------
197,457
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Auto Parts: Original Equipment - 0.4% American Axle & Manufacturing Holdings, Inc. 7,300 39,128
Amerigon, Inc. (a) 3,100 20,398
ArvinMeritor, Inc. 12,700 165,608
Dana Holding Corp. (a) 16,400 79,376
Fuel Systems Solutions, Inc. (a) 2,100 72,345
Hayes Lemmerz International, Inc. (a) 17,100 46,683
Lear Corp. (a) 10,970 115,185
Quantum Fuel Systems Technologies Worldwide, Inc. (a) 13,100 16,899
Sauer-Danfoss, Inc. 1,600 39,504
Stoneridge, Inc. (a) 2,100 23,625
Tenneco, Inc. (a) 7,900 83,977
Visteon Corp. (a) 22,100 51,272
Wonder Auto Technology, Inc. (a) 2,900 18,589
-------------
772,589
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Auto, Trucks & Parts - 0.1% Accuride Corp. (a) 6,600 10,560
Force Protection, Inc. (a) 12,300 31,488
Modine Manufacturing Co. 5,200 75,296
Spartan Motors, Inc. 5,100 16,218
Wabash National Corp. 5,200 49,140
-------------
182,702
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Banks: New York City - 0.1% Signature Bank (a) 5,200 181,376
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Banks: Non U.S. Banks - 0.0% Banco Latinoamericano de Exportaciones, SA 'E' 4,300 62,006
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Banks: Outside New York City - 6.0% 1st Source Corp. 2,200 51,700
Abington Bancorp, Inc. 4,600 46,552
Amcore Financial, Inc. 3,913 36,195
Ameris Bancorp 2,200 32,670
Ames National Corp. 1,000 25,000
Arrow Financial Corp. 1,800 52,938
Bancfirst Corp. 1,200 57,996
BancTrust Financial Group, Inc. 3,500 45,920
Bank of the Ozarks, Inc. 1,800 48,600
BankFinancial Corp. 3,800 55,784
Banner Corp. 2,400 28,824
Beneficial Mutual Bancorp, Inc. (a) 5,100 64,515
Boston Private Financial Holdings, Inc. 8,500 74,290
Bryn Mawr Bank Corp. 1,100 24,178
CVB Financial Corp. 10,842 150,704
Camden National Corp. 1,200 41,940
Capital City Bank Group, Inc. 2,000 62,700
Capitol Bancorp Ltd. 2,300 44,827
2
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Cardinal Financial Corp. 4,700 $ 37,976
Cascade Bancorp 3,800 34,124
Cathay General Bancorp 8,300 197,540
Centerstate Banks of Florida, Inc. 1,400 25,018
Central Pacific Financial Corp. 5,000 84,050
Chemical Financial Corp. 4,000 124,560
Citizens Banking Corp. 14,400 44,352
Citizens & Northern Corp. 1,400 29,974
City Holding Co. 2,800 118,300
CityBank 2,200 32,494
Clifton Savings Bancorp, Inc. 900 10,791
CoBiz Financial, Inc. 2,600 31,226
The Colonial BancGroup, Inc. 34,800 273,528
Columbia Banking System, Inc. 3,100 54,963
Community Bank System, Inc. 5,100 128,265
Community Trust Bancorp, Inc. 2,500 86,000
Corus Bankshares, Inc. 6,300 25,515
East-West Bancorp, Inc. 10,800 147,960
Encore Bancshares, Inc. (a) 1,000 18,000
Enterprise Financial Services Corp. 1,700 38,352
Farmers Capital Bank Corp. 1,300 35,126
Financial Institutions, Inc. 2,200 44,022
First BanCorp 12,400 137,144
First Bancorp 1,900 32,490
First Bancorp, Inc. 1,300 25,480
First Busey Corp. 3,800 69,654
First Commonwealth Financial Corp. 12,000 161,640
First Community Bancshares, Inc. 1,500 56,280
First Financial Bancorp 6,800 99,280
First Financial Bankshares, Inc. 3,500 181,580
First Financial Corp. 2,100 98,658
First Merchants Corp. 3,000 68,400
First Midwest Bancorp, Inc. 8,100 196,344
First South Bancorp, Inc. 1,350 23,314
FirstMerit Corp. 13,900 291,900
Fox Chase Bancorp, Inc. (a) 900 10,530
Frontier Financial Corp. 8,350 112,140
Glacier Bancorp, Inc. 8,950 221,691
Greene County Bancshares, Inc. 1,900 44,669
Guaranty Bancorp (a) 8,900 54,290
Hancock Holding Co. 4,300 219,300
Hanmi Financial Corp. 6,700 33,835
Harleysville National Corp. 5,303 90,045
Heartland Financial USA, Inc. 2,100 52,626
Heritage Commerce Corp. 1,900 28,918
Home Bancshares, Inc. 1,826 47,239
3
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
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Independent Bank Corp./MA 2,700 $ 84,159
Integra Bank Corp. 3,500 27,930
International Bancshares Corp. 8,526 230,202
Investors Bancorp, Inc. (a) 7,400 111,370
Lakeland Bancorp, Inc. 2,866 33,504
Lakeland Financial Corp. 2,000 43,920
MB Financial, Inc. 5,777 191,045
MainSource Financial Group, Inc. 3,080 60,368
Midwest Banc Holdings, Inc. 3,000 12,000
NBT Bancorp, Inc. 5,400 161,568
Nara Bancorp, Inc. 3,800 42,560
National Penn Bancshares, Inc. 13,786 201,276
Northfield Bancorp, Inc. (a) 2,700 32,697
Old National Bancorp 11,500 230,230
Old Second Bancorp, Inc. 2,353 43,578
Oriental Financial Group 4,300 76,798
Pacific Capital Bancorp 7,800 158,730
Pacific Continental Corp. 1,700 24,888
PacWest Bancorp 4,129 118,048
Park National Corp. 1,900 148,200
Peapack-Gladstone Financial Corp. 1,300 43,550
Pennsylvania Commerce Bancorp, Inc. (a) 1,100 32,791
Peoples Bancorp, Inc. 1,700 37,009
Pinnacle Financial Partners, Inc. (a) 3,800 117,040
Piper Jaffray Cos. (a) 3,000 129,750
Premierwest Bancorp 3,900 32,721
PrivateBancorp, Inc. 3,400 141,644
Prosperity Bancshares, Inc. 6,800 231,132
Provident Bankshares Corp. 5,700 55,347
Renasant Corp. 3,150 68,386
Republic Bancorp, Inc. Class A 1,511 45,814
S&T Bancorp, Inc. 4,100 151,003
SCBT Financial Corp. 1,460 54,896
SVB Financial Group (a) 4,900 283,808
SY Bancorp, Inc. 2,485 76,091
Sandy Spring Bancorp, Inc. 2,800 61,880
Santander BanCorp 200 2,160
Seacoast Banking Corp. of Florida 2,500 26,825
Shore Bancshares, Inc. 1,600 41,120
Sierra Bancorp 1,000 20,860
Simmons First National Corp. Class A 2,300 81,880
Smithtown Bancorp, Inc. 1,900 42,750
The South Financial Group, Inc. 12,300 90,159
Southside Bancshares, Inc. 1,871 47,149
Southwest Bancorp, Inc. 2,500 44,175
State Bancorp, Inc. 2,300 34,270
4
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
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StellarOne Corp. 3,700 $ 76,479
Sterling Bancshares, Inc. 12,400 129,580
Suffolk Bancorp 1,800 70,938
Sun Bancorp, Inc. (a) 2,509 33,997
Susquehanna Bancshares, Inc. 14,874 290,340
Texas Capital Bancshares, Inc. (a) 4,200 87,192
Tompkins Trustco, Inc. 1,190 60,095
Towne Bank 3,400 74,800
Trico Bancshares 2,300 49,519
TrustCo Bank Corp. NY 12,800 149,888
Trustmark Corp. 8,700 180,438
UCBH Holdings, Inc. 17,600 112,816
UMB Financial Corp. 5,200 273,104
Umpqua Holdings Corp. 10,188 149,865
Union Bankshares Corp. 2,150 51,600
United Bankshares, Inc. 6,400 224,000
United Community Banks, Inc. 6,248 82,844
United Financial Bancorp, Inc. 3,400 50,490
United Security Bancshares 1,000 16,360
Univest Corp. of Pennsylvania 2,000 74,000
Washington Trust Bancorp, Inc. 2,200 58,520
WesBanco, Inc. 4,800 127,776
West Bancorp., Inc. 3,500 45,605
West Coast Bancorp 2,600 38,116
Westamerica Bancorp. 4,700 270,391
Western Alliance Bancorp (a) 2,800 43,288
Wilshire Bancorp, Inc. 2,700 32,859
Wintrust Financial Corp. 4,000 117,400
Yardkin Valley Financial Corp. 2,300 39,008
-------------
11,963,505
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Beverage: Brewers (Wineries) - 0.0% Boston Beer Co., Inc. Class A (a) 1,600 75,984
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Beverage: Soft Drinks - 0.1% Coca-Cola Bottling Co. Consolidated 600 26,196
Farmer Bros. Co. 800 19,896
Green Mountain Coffee Roasters, Inc. (a) 2,900 114,086
National Beverage Corp. (a) 1,680 14,902
Peet's Coffee & Tea, Inc. (a) 2,400 67,008
-------------
242,088
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Biotechnology Research & Production - 3.3% AMAG Pharmaceuticals, Inc. (a) 2,890 111,930
Acadia Pharmaceuticals, Inc. (a)(b) 5,600 15,008
Accelrys, Inc. (a) 5,200 28,548
Acorda Therapeutics, Inc. (a) 6,000 143,100
Albany Molecular Research, Inc. (a) 4,300 77,787
Alexion Pharmaceuticals, Inc. (a) 13,000 510,900
Allos Therapeutics, Inc. (a) 8,600 63,726
Alnylam Pharmaceuticals, Inc. (a) 6,000 173,700
American Oriental Bioengineering, Inc. (a) 10,200 66,198
5
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
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Amicus Therapeutics, Inc. (a) 800 $ 12,096
Arena Pharmaceuticals, Inc. (a) 12,500 62,500
Ariad Pharmaceuticals, Inc. (a) 12,700 31,369
Arqule, Inc. (a) 5,200 16,744
Array Biopharma, Inc. (a) 7,800 59,904
ArthroCare Corp. (a) 4,500 124,740
Avant Immunotherapeutics, Inc. (a) 2,700 31,401
Biodel, Inc. (a) 1,700 5,695
Caliper Life Sciences, Inc. (a) 9,200 25,760
Celera Corp. (a) 13,300 205,485
Cell Genesys, Inc. (a) 14,200 8,378
Cougar Biotechnology, Inc. (a) 2,400 80,136
Cubist Pharmaceuticals, Inc. (a)(b) 9,800 217,854
Cypress Bioscience, Inc. (a) 6,400 47,040
Cytokinetics, Inc. (a) 4,700 22,278
Cytori Therapeutics, Inc. (a) 3,800 20,064
Discovery Laboratories, Inc. (a) 16,300 30,481
Dyax Corp. (a) 8,800 38,720
Enzon Pharmaceuticals, Inc. (a) 7,600 56,088
Exelixis, Inc. (a) 17,800 108,224
Genomic Health, Inc. (a) 2,100 47,565
Geron Corp. (a) 13,200 52,140
Halozyme Therapeutics, Inc. (a) 10,300 75,602
Human Genome Sciences, Inc. (a) 23,500 149,225
Idenix Pharmaceuticals, Inc. (a) 4,200 30,366
Idera Pharmaceuticals, Inc. (a) 3,300 46,431
Immunomedics, Inc. (a) 11,000 19,580
Incyte Corp. (a) 12,200 93,330
Integra LifeSciences Holdings Corp. (a) 3,000 132,090
InterMune, Inc. (a) 5,600 95,816
Kendle International, Inc. (a) 2,200 98,362
Kensey Nash Corp. (a) 1,200 37,752
Lexicon Genetics, Inc. (a) 12,600 22,428
Life Sciences Research, Inc. (a) 1,300 45,500
MannKind Corp. (a) 8,700 33,582
Marshall Edwards, Inc. (a) 2,300 4,945
Martek Biosciences Corp. 5,700 179,094
Maxygen, Inc. (a) 4,000 16,920
Medivation, Inc. (a) 4,100 108,486
Metabolix, Inc. (a) 3,500 38,080
Momenta Pharmaceuticals, Inc. (a) 4,000 52,440
Myriad Genetics, Inc. (a) 7,400 480,112
NPS Pharmaceuticals, Inc. (a) 8,700 62,118
Nabi Biopharmaceuticals (a) 9,700 45,202
Nanosphere, Inc. (a) 1,900 16,207
Neurocrine Biosciences, Inc. (a) 6,600 30,954
6
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
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OMRIX Biopharmaceuticals, Inc. (a) 2,400 $ 43,056
OSI Pharmaceuticals, Inc. (a) 9,600 473,184
Opko Health, Inc. (a) 6,800 11,900
Orexigen Therapeutics, Inc. (a) 3,800 41,002
Osiris Therapeutics, Inc. (a) 2,500 48,225
PDL BioPharma, Inc. 20,400 189,924
PharmaNet Development Group, Inc. (a) 3,300 23,826
Progenics Pharmaceuticals, Inc. (a) 4,500 59,895
Protalix BioTherapeutics, Inc. (a) 1,860 4,148
RTI Biologics, Inc. (a) 8,800 82,280
Repligen Corp. (a) 5,900 27,789
Rexahn Pharmaceuticals, Inc. (a) 4,300 5,547
Rigel Pharmaceuticals, Inc. (a) 6,200 144,770
Sangamo Biosciences, Inc. (a) 6,500 50,050
Savient Pharmaceuticals, Inc. (a) 9,204 137,232
Seattle Genetics, Inc. (a) 10,000 107,000
Sequenom, Inc. (a) 9,300 247,566
Sucampo Pharmaceuticals, Inc. Class A (a) 1,900 16,207
Synta Pharmaceuticals Corp. (a) 3,300 25,146
Targacept, Inc. (a) 2,800 16,268
Tercica, Inc. (a) 3,100 27,714
VNUS Medical Technologies, Inc. (a) 2,400 50,232
ViroPharma, Inc. (a) 11,800 154,816
XOMA Ltd. (a) 22,300 46,830
ZymoGenetics, Inc. (a) 6,300 41,958
-------------
6,486,746
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Building Materials - 0.5% Ameron International Corp. 1,500 107,475
LSI Industries, Inc. 3,000 24,810
NCI Building Systems, Inc. (a) 3,300 104,775
Quanex Building Products Corp. 6,300 96,012
Simpson Manufacturing Co., Inc. 6,200 167,958
Texas Industries, Inc. 3,990 163,031
Trex Co., Inc. (a) 2,600 47,086
Watsco, Inc. 3,900 196,092
Zoltek Cos., Inc. (a) 4,800 82,128
-------------
989,367
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Building: Cement - 0.0% U.S. Concrete, Inc. (a) 5,500 24,585
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Building: Heating & Plumbing - 0.1% Aaon, Inc. (b) 1,900 34,561
Interline Brands, Inc. (a) 5,700 92,397
-------------
126,958
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Building: Miscellaneous - 0.1% Builders FirstSource, Inc. (a) 2,500 14,975
Comfort Systems USA, Inc. 7,100 94,856
Drew Industries, Inc. (a) 3,500 59,885
Griffon Corp. (a) 6,574 59,297
Orion Marine Group, Inc. (a) 3,900 40,911
-------------
269,924
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7
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
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Building: Roofing & Wallboard - 0.1% Beacon Roofing Supply, Inc. (a) 7,500 $ 117,150
China Architectural Engineering, Inc. (a) 3,500 24,815
-------------
141,965
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Cable Television Services - 0.1% Charter Communications, Inc. Class A (a) 70,300 51,319
Crown Media Holdings, Inc. Class A (a) 3,400 17,102
Mediacom Communications Corp. Class A (a) 7,500 44,400
TiVo, Inc. (a) 17,200 125,904
-------------
238,725
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Casinos & Gambling - 0.4% Ameristar Casinos, Inc. 4,300 61,017
Bally Technologies, Inc. (a) 9,200 278,576
Churchill Downs, Inc. 1,500 73,470
Dover Downs Gaming & Entertainment, Inc. 2,350 18,283
Elixir Gaming Technologies, Inc. (a) 13,700 4,521
Isle of Capri Casinos, Inc. (a) 2,700 24,354
Monarch Casino & Resort, Inc. (a) 1,600 18,224
Pinnacle Entertainment, Inc. (a) 10,140 76,658
Riviera Holdings Corp. (a) 1,700 12,495
Shuffle Master, Inc. (a) 7,700 39,193
WMS Industries, Inc. (a) 7,350 224,689
-------------
831,480
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Chemicals - 1.6% Aceto Corp. 4,300 41,237
American Vanguard Corp. 3,000 45,240
Arch Chemicals, Inc. 4,100 144,730
Balchem Corp. 2,900 77,343
Cabot Microelectronics Corp. (a) 3,700 118,696
Calgon Carbon Corp. (a) 6,900 140,484
Cambrex Corp. (a) 4,500 27,675
China BAK Battery, Inc. (a) 5,800 20,880
Energy Conversion Devices, Inc. (a) 7,500 436,875
EnerSys (a) 4,800 94,608
Exide Technologies (a) 12,600 92,988
Hercules, Inc. 19,000 376,010
ICO, Inc. (a) 5,200 29,172
Innophos Holdings, Inc. 1,900 46,322
Innospec, Inc. 3,900 47,034
LSB Industries, Inc. (a) 3,100 42,935
Landec Corp. (a) 3,300 27,027
Medis Technologies Ltd. (a) 3,600 6,480
NL Industries, Inc. 1,300 13,351
NewMarket Corp. 2,300 120,888
OM Group, Inc. (a) 5,200 117,000
Penford Corp. 2,200 38,918
PolyOne Corp. (a) 15,100 97,395
Polypore International, Inc. (a) 2,400 51,624
Quaker Chemical Corp. 1,900 54,074
Rockwood Holdings, Inc. (a) 7,000 179,620
8
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
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Schulman A, Inc. 4,800 $ 94,944
ShengdaTech, Inc. (a) 4,400 30,800
Solutia, Inc. (a) 15,400 215,600
Stepan Co. 1,000 54,570
Ultralife Batteries, Inc. (a) 2,400 18,600
Valence Technology, Inc. (a) 8,000 29,120
W.R. Grace & Co. (a)(b) 12,100 182,952
Westlake Chemical Corp. 3,100 65,193
Zep, Inc. 3,550 62,622
-------------
3,243,007
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Coal - 0.2% International Coal Group, Inc. (a) 21,700 135,408
James River Coal Co. (a) 4,300 94,557
National Coal Corp. (a) 5,900 30,857
Westmoreland Coal Co. (a) 1,800 28,440
-------------
289,262
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Commercial Information Services - 0.2% Arbitron, Inc. 4,600 205,574
HSW International, Inc. (a) 4,100 10,660
infoGROUP, Inc. 5,300 35,033
LECG Corp. (a) 4,300 34,701
LoopNet, Inc. (a) 5,200 51,116
-------------
337,084
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Communications & Media - 0.0% Entravision Communications Corp. Class A (a) 10,200 27,438
Knology, Inc. (a) 4,600 37,122
-------------
64,560
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Communications Technology - 2.5% 3Com Corp. (a) 67,200 156,576
Acme Packet, Inc. (a) 4,600 26,358
Adtran, Inc. 8,900 173,461
Anaren, Inc. (a) 3,000 30,450
Anixter International, Inc. (a)(b) 4,800 285,648
Aruba Networks, Inc. (a) 9,400 48,222
Atheros Communications, Inc. (a) 9,900 233,442
Avanex Corp. (a) 1,920 8,986
Avocent Corp. (a) 7,380 150,995
Bel Fuse, Inc. 1,800 51,246
BigBand Networks, Inc. (a) 6,100 22,509
Black Box Corp. 3,000 103,590
CPI International, Inc. (a) 1,200 17,376
CSG Systems International, Inc. (a) 5,500 96,415
Cbeyond Communications, Inc. (a) 4,200 60,438
Cogent Communications Group, Inc. (a)(b) 8,300 64,076
Cogo Group, Inc. (a) 4,700 24,769
Comtech Telecommunications Corp. (a) 4,200 206,808
Digi International, Inc. (a) 4,100 41,820
EMS Technologies, Inc. (a) 2,500 55,775
Echelon Corp. (a) 5,100 50,388
Entrust, Inc. (a) 11,300 24,295
9
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
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Extreme Networks, Inc. (a) 17,700 $ 59,649
Finisar Corp. (a) 69,102 69,793
Foundry Networks, Inc. (a) 24,900 453,429
GeoEye, Inc. (a) 3,000 66,390
Globecomm Systems, Inc. (a) 3,800 33,212
Harmonic, Inc. (a) 16,200 136,890
Harris Stratex Networks, Inc. Class A (a) 4,100 32,021
Hughes Communications, Inc. (a) 1,100 40,370
Infinera Corp. (a) 15,400 147,224
InterDigital, Inc. (a) 7,700 185,185
Ixia (a) 7,100 52,327
j2 Global Communications, Inc. (a) 7,500 175,125
Loral Space & Communications Ltd. (a) 1,900 28,063
NETGEAR, Inc. (a) 5,800 87,000
Nextwave Wireless, Inc. (a) 8,000 4,800
Novatel Wireless, Inc. (a) 6,300 38,178
Oplink Communications, Inc. (a) 3,428 41,376
SeaChange International, Inc. (a) 4,500 43,470
Secure Computing Corp. (a) 8,950 49,046
Shoretel, Inc. (a) 8,000 45,920
Sonus Networks, Inc. (a) 35,100 101,088
Standard Microsystems Corp. (a) 3,900 97,422
Starent Networks Corp. (a) 5,200 67,288
Switch and Data Facilities Co., Inc. (a) 3,300 41,085
Sycamore Networks, Inc. (a) 31,700 102,391
Syniverse Holdings, Inc. (a) 8,600 142,846
TIBCO Software, Inc. (a) 32,100 234,972
Tekelec (a) 10,900 152,491
Terremark Worldwide, Inc. (a) 8,000 54,960
UTStarcom, Inc. (a) 19,300 65,041
Viasat, Inc. (a) 4,500 106,110
Vonage Holdings Corp. (a) 8,300 8,383
-------------
4,897,188
------------------------------------------------------------------------------------------------------------------------------------
Computer Services Software & Systems - 4.9% 3PAR, Inc. (a) 4,400 28,380
ACI Worldwide, Inc. (a)(b) 5,800 101,616
Actuate Corp. (a)(b) 9,900 34,650
Acxiom Corp. 10,200 127,908
American Reprographics Co. (a) 6,000 103,500
American Software Class A 4,400 23,980
ArcSight, Inc. (a) 600 4,578
Ariba, Inc. (a) 14,600 206,298
Art Technology Group, Inc. (a) 21,600 76,032
AsiaInfo Holdings, Inc. (a) 5,300 48,654
BearingPoint, Inc. (a) 35,300 18,356
Blackbaud, Inc. 7,500 138,375
Blackboard, Inc. (a) 5,200 209,508
10
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Blue Coat Systems, Inc. (a) 5,600 $ 79,464
Bottomline Technologies, Inc. (a) 3,500 36,400
CACI International, Inc. Class A (a) 5,200 260,520
COMSYS IT Partners, Inc. (a) 2,500 24,300
Callidus Software, Inc. (a) 5,700 22,572
China Fire & Security Group, Inc. (a) 2,100 22,071
China Information Security Technology, Inc. (a) 3,500 16,450
Chordiant Software, Inc. (a) 5,060 25,958
Ciber, Inc. (a) 9,500 66,405
CommVault Systems, Inc. (a) 7,400 89,170
Compellent Technologies, Inc. (a) 2,600 32,240
ComScore, Inc. (a) 2,900 51,127
Comverge, Inc. (a) 3,900 17,940
Concur Technologies, Inc. (a) 7,300 279,298
Constant Contact, Inc. (a) 3,300 56,331
DMRC Corp. (a) 943 10,989
DealerTrack Holdings, Inc. (a) 7,400 124,616
Delrek, Inc. (a) 1,400 8,512
DemandTec, Inc. (a) 3,700 33,337
Digital River, Inc. (a) 6,300 204,120
DivX, Inc. (a) 3,800 24,586
Double-Take Software, Inc. (a) 3,100 30,845
EPIQ Systems, Inc. (a) 5,800 78,880
Ebix, Inc. (a) 300 28,188
Electronics for Imaging, Inc. (a) 9,000 125,370
Ener1, Inc. (a) 5,800 45,298
Epicor Software Corp. (a) 10,000 78,900
Gartner, Inc. Class A (a) 10,100 229,068
Guidance Software, Inc. (a) 1,900 8,911
The Hackett Group, Inc. (a) 7,500 40,800
i2 Technologies, Inc. (a) 2,500 33,725
iGate Corp. (a) 3,200 27,744
Informatica Corp. (a) 14,800 192,252
Integral Systems, Inc. (a) 2,442 50,720
Interactive Intelligence, Inc. (a) 1,800 16,236
Internet Brands, Inc. Class A (a) 4,200 29,274
Internet Capital Group, Inc. (a) 6,300 51,093
Interwoven, Inc. (a) 7,900 111,548
JDA Software Group, Inc. (a) 4,500 68,445
Kenexa Corp. (a) 4,100 64,739
Keynote Systems, Inc. (a) 2,200 29,150
Lawson Software, Inc. (a) 21,000 147,000
Limelight Networks, Inc. (a) 3,200 8,000
MSC.Software Corp. (a) 7,400 79,180
Macrovision Solutions Corp. (a) 14,138 217,442
Magma Design Automation, Inc. (a) 7,100 28,542
11
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Manhattan Associates, Inc. (a) 4,100 $ 91,594
Mantech International Corp. Class A (a) 3,400 201,586
Mastech Holdings, Inc. (a) 213 1,621
Mentor Graphics Corp. (a) 15,200 172,520
Mercadolibre, Inc. (a) 4,200 85,470
Mercury Computer Systems, Inc. (a) 3,800 33,820
Micros Systems, Inc. (a) 13,300 354,578
MicroStrategy, Inc. Class A (a) 1,600 95,248
Moduslink Global Solutions, Inc. (a) 8,300 79,763
Monotype Imaging Holdings, Inc. (a) 2,800 31,164
Ness Technologies, Inc. (a) 7,000 80,290
Netezza Corp. (a) 6,500 68,965
NetScout Systems, Inc. (a) 4,800 51,072
NetSuite, Inc. (a) 900 16,218
Omniture, Inc. (a) 10,413 191,183
OpenTV Corp. (a) 11,300 15,933
Opnet Technologies, Inc. (a) 2,600 31,668
PC-Tel, Inc. 3,900 36,348
PROS Holdings, Inc. (a) 2,400 22,536
Parametric Technology Corp. (a) 18,720 344,448
Pegasystems, Inc. 1,900 24,529
Progress Software Corp. (a) 7,000 181,930
QAD, Inc. 1,200 8,304
Quest Software, Inc. (a) 12,100 153,549
Rackspace Hosting, Inc. (a) 2,200 21,494
RealNetworks, Inc. (a) 15,500 78,740
RightNow Technologies, Inc. (a) 4,500 56,565
SAVVIS, Inc. (a) 6,150 82,656
SI International, Inc. (a) 2,100 63,105
SPSS, Inc. (a) 3,000 88,080
SRA International, Inc. Class A (a) 7,100 160,673
SYKES Enterprises, Inc. (a) 5,500 120,780
SYNNEX Corp. (a) 3,100 69,254
Sapient Corp. (a) 14,800 109,964
Sigma Designs, Inc. (a) 4,600 65,412
Smith Micro Software, Inc. (a) 5,100 36,210
Solera Holdings, Inc. (a) 8,600 246,992
SonicWALL, Inc. (a) 10,100 52,924
Sourcefire, Inc. (a) 3,800 27,702
Stanley, Inc. (a) 1,300 47,983
SuccessFactors, Inc. (a) 3,700 40,330
SupportSoft, Inc. (a) 8,700 26,100
Sybase, Inc. (a) 13,000 398,060
Synchronoss Technologies, Inc. (a) 4,000 37,640
Syntel, Inc. 1,900 46,550
Taleo Corp. Class A (a) 4,100 81,549
12
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
TechTarget, Inc. (a) 2,200 $ 15,400
TeleCommunication Systems, Inc. Class A (a) 6,300 43,533
Tyler Technologies, Inc. (a) 6,900 104,673
Ultimate Software Group, Inc. (a) 4,200 113,400
Unica Corp. (a) 1,700 13,328
VASCO Data Security International, Inc. (a) 4,500 46,620
VeriFone Holdings, Inc. (a) 11,500 190,210
Vignette Corp. (a) 4,400 47,256
Virtusa Corp. (a) 1,800 11,718
Websense, Inc. (a) 7,800 174,330
Website Pros, Inc. (a) 5,100 27,540
Wind River Systems, Inc. (a) 12,400 124,000
Zoran Corp. (a) 9,000 73,440
-------------
9,748,139
------------------------------------------------------------------------------------------------------------------------------------
Computer Technology - 1.0% Adaptec, Inc. (a) 19,700 64,616
Advanced Analogic Technologies, Inc. (a) 8,400 39,060
Cray, Inc. (a) 5,600 29,008
Data Domain, Inc. (a) 5,200 115,804
Emulex Corp. (a) 14,100 150,447
FalconStor Software, Inc. (a) 6,800 36,448
Hutchinson Technology, Inc. (a) 4,000 46,320
Imation Corp. 4,600 103,914
Immersion Corp. (a) 5,200 30,264
Intermec, Inc. (a) 10,300 202,292
Isilon Systems, Inc. (a) 4,900 21,609
NCI, Inc. Class A (a) 1,300 37,024
Palm, Inc. 18,600 111,042
Perot Systems Corp. Class A (a) 14,500 251,575
Phoenix Technologies Ltd. (a) 5,000 39,950
Quantum Corp. (a) 31,900 33,495
Rackable Systems, Inc. (a) 5,000 49,050
Radiant Systems, Inc. (a) 4,400 38,236
Radisys Corp. (a) 3,800 32,680
Rimage Corp. (a) 1,600 22,336
Riverbed Technology, Inc. (a) 9,700 121,444
STEC, Inc. (a) 4,800 36,960
Safeguard Scientifics, Inc. (a) 19,700 24,625
Stratasys, Inc. (a) 3,500 61,145
Synaptics, Inc. (a) 5,550 167,721
Trident Microsystems, Inc. (a) 10,300 24,720
-------------
1,891,785
------------------------------------------------------------------------------------------------------------------------------------
Construction - 0.4% Brookfield Homes Corp. 2,063 29,625
EMCOR Group, Inc. (a) 11,300 297,416
Granite Construction, Inc. 5,500 197,010
Great Lakes Dredge & Dock Corp. 6,400 40,384
Perini Corp. (a) 8,200 211,478
13
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Sterling Construction Co., Inc. (a) 2,100 $ 34,020
-------------
809,933
------------------------------------------------------------------------------------------------------------------------------------
Consumer Electronics - 0.6% DTS, Inc. (a) 3,000 83,490
EarthLink, Inc. (a) 18,900 160,650
InfoSpace, Inc. 5,800 62,930
Internap Network Services Corp. (a) 8,510 29,615
Midway Games, Inc. (a) 3,700 8,769
NIC, Inc. 6,400 44,160
NetFlix, Inc. (a) 6,900 213,072
ParkerVision, Inc. (a) 4,200 42,000
Protection One, Inc. (a) 400 3,524
THQ, Inc. (a) 11,400 137,256
Take-Two Interactive Software, Inc. 12,900 211,560
United Online, Inc. 13,044 122,744
Universal Electronics, Inc. (a) 2,400 59,952
-------------
1,179,722
------------------------------------------------------------------------------------------------------------------------------------
Consumer Products - 0.5% American Greetings Corp. Class A 8,500 129,965
Blyth, Inc. 4,200 47,628
CSS Industries, Inc. 1,300 33,462
Citi Trends, Inc. (a) 2,500 40,725
Mannatech, Inc. 2,700 10,800
Matthews International Corp. Class A 5,200 263,848
Nautilus, Inc. (a) 5,000 22,850
RC2 Corp. (a) 3,100 62,000
Smith & Wesson Holding Corp. (a) 5,700 21,318
Spectrum Brands, Inc. (a) 6,600 9,174
Tupperware Corp. 10,000 276,300
USANA Health Sciences, Inc. (a) 1,400 57,386
-------------
975,456
------------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Metals & Bway Holding Co. (a) 1,000 11,730
Glass - 0.2% Mobile Mini, Inc. (a) 6,100 117,913
Silgan Holdings, Inc. 4,200 214,578
-------------
344,221
------------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Paper & AEP Industries, Inc. (a) 900 18,000
Plastic - 0.1% Graphic Packaging Holding Co. (a) 23,500 58,750
Myers Industries, Inc. 4,800 60,528
-------------
137,278
------------------------------------------------------------------------------------------------------------------------------------
Cosmetics - 0.2% Elizabeth Arden, Inc. (a) 4,200 82,446
Helen of Troy Ltd. (a) 5,100 116,127
Inter Parfums, Inc. 1,950 26,442
Nu Skin Enterprises, Inc. Class A 8,500 137,870
Ulta Salon Cosmetics & Fragrance, Inc. (a) 3,200 42,496
-------------
405,381
------------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.6% BGC Partners, Inc. 4,700 20,163
Broadpoint Securities Group, Inc. (a) 3,200 9,280
Cardtronics, Inc. (a) 1,300 10,218
14
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
China Direct, Inc. (a) 1,600 $ 6,752
Doral Financial Corp. (a) 800 8,736
Duff & Phelps Corp. (a) 1,500 31,545
Euronet Worldwide, Inc. (a) 8,200 137,186
Evercore Partners, Inc. Class A 1,700 30,566
FCStone Group, Inc. (a) 3,450 62,065
F.N.B. Corp. 14,346 229,249
Greenhill & Co., Inc. 2,900 213,875
Huron Consulting Group, Inc. (a) 3,400 193,732
Interactive Brokers Group, Inc. Class A (a) 6,800 150,756
Oritani Financial Corp. (a) 1,700 28,645
-------------
1,132,768
------------------------------------------------------------------------------------------------------------------------------------
Diversified Materials & Processing - 0.9% Acuity Brands, Inc. 6,800 283,968
Barnes Group, Inc. 8,000 161,760
Brady Corp. 8,400 296,352
Clarcor, Inc. 8,500 322,575
Hexcel Corp. (a) 16,100 220,409
Koppers Holdings, Inc. 3,600 134,676
Olin Corp. 12,300 238,620
Tredegar Corp. 4,100 72,939
-------------
1,731,299
------------------------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store Chains - 0.7% Arden Group, Inc. Class A 100 14,562
Casey's General Stores, Inc. 8,800 265,496
The Great Atlantic & Pacific Tea Co., Inc. (a) 5,907 63,914
Ingles Markets, Inc. Class A 2,100 47,943
Longs Drug Stores Corp. 5,200 393,328
Nash Finch Co. 2,300 99,176
Ruddick Corp. 7,000 227,150
Spartan Stores, Inc. 3,500 87,080
Susser Holdings Corp. (a) 1,600 24,096
Village Super Market, Inc. Class A 400 19,068
Weis Markets, Inc. 2,000 72,020
Winn-Dixie Stores, Inc. (a) 9,000 125,100
-------------
1,438,933
------------------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals - 2.6% Acura Pharmaceuticals, Inc. (a) 1,100 7,733
Adolor Corp. (a) 8,400 28,980
Affymax, Inc. (a) 2,000 39,700
Akorn, Inc. (a) 8,400 43,092
Alexza Pharmaceuticals, Inc. (a) 3,000 14,820
Alkermes, Inc. (a) 16,100 214,130
Alpharma, Inc. Class A (a) 7,200 265,608
Ardea Biosciences, Inc. (a) 1,700 23,511
Auxilium Pharmaceuticals, Inc. (a) 6,900 223,560
BMP Sunstone Corp. (a) 3,900 27,066
BioForm Medical, Inc. (a) 3,200 12,544
CV Therapeutics, Inc. (a) 10,300 111,240
15
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Cadence Pharmaceuticals, Inc. (a) 3,200 $ 28,416
Caraco Pharmaceutical Laboratories Ltd. (a) 1,400 17,514
Chattem, Inc. (a) 2,800 218,904
China Sky One Medical, Inc. (a) 1,100 13,365
Columbia Laboratories, Inc. (a) 8,800 23,056
Dendreon Corp. (a) 15,700 89,647
Depomed, Inc. (a) 9,000 32,850
Durect Corp. (a) 12,600 70,560
Emergent Biosolutions, Inc. (a) 2,600 34,034
Enzo Biochem, Inc. (a) 4,900 53,802
GTx, Inc. (a) 2,800 53,256
ImmunoGen, Inc. (a) 8,300 40,753
Indevus Pharmaceuticals, Inc. (a) 11,200 37,520
Inspire Pharmaceuticals, Inc. (a) 7,800 27,846
Isis Pharmaceuticals, Inc. (a) 15,200 256,728
Javelin Pharmaceuticals, Inc. (a) 8,300 21,580
Jazz Pharmaceuticals, Inc. (a) 1,100 5,434
K-V Pharmaceutical Co. Class A (a) 5,600 127,176
Ligand Pharmaceuticals, Inc. Class B (a) 12,300 36,285
MAP Pharmaceuticals, Inc. (a) 800 8,096
Medarex, Inc. (a) 21,300 137,811
Medicines Co. (a) 9,000 208,980
Medicis Pharmaceutical Corp. Class A 9,700 144,627
MiddleBrook Pharmaceuticals, Inc. (a) 7,000 10,500
Molecular Insight Pharmaceuticals, Inc. (a) 3,400 26,112
Nektar Therapeutics (a) 15,600 56,004
Novavax, Inc. (a) 10,100 29,290
Noven Pharmaceuticals, Inc. (a) 4,200 49,056
Obagi Medical Products, Inc. (a) 3,300 32,934
Onyx Pharmaceuticals, Inc. (a) 9,420 340,816
Optimer Pharmaceuticals, Inc. (a) 4,500 35,775
Pain Therapeutics, Inc. (a) 6,200 60,574
Par Pharmaceutical Cos., Inc. (a) 5,300 65,137
Pharmasset, Inc. (a) 2,500 49,875
Pozen, Inc. (a) 4,100 43,091
Questcor Pharmaceuticals, Inc. (a) 9,600 71,040
Quidel Corp. (a) 4,700 77,127
Regeneron Pharmaceuticals, Inc. (a) 10,100 220,483
Salix Pharmaceuticals Ltd. (a) 8,200 52,562
Sciele Pharma, Inc. 5,600 172,424
Theravance, Inc. (a) 8,600 107,156
United Therapeutics Corp. (a) 3,700 389,129
Valeant Pharmaceuticals International (a) 11,900 243,593
Vivus, Inc. (a) 10,900 86,546
Xenoport, Inc. (a) 4,200 203,658
-------------
5,123,106
------------------------------------------------------------------------------------------------------------------------------------
16
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Education Services - 0.3% American Public Education, Inc. (a) 2,000 $ 96,560
Capella Education Co. (a) 2,400 102,864
Corinthian Colleges, Inc. (a)(b) 14,400 216,000
K12, Inc. (a) 800 21,200
Learning Tree International, Inc. (a) 1,400 17,430
Lincoln Educational Services Corp. (a) 200 2,646
The Princeton Review, Inc. (a) 2,400 19,200
Renaissance Learning, Inc. 1,200 15,588
Thinkorswim Group, Inc. (a) 8,780 73,137
Universal Technical Institute, Inc. (a) 3,600 61,416
-------------
626,041
------------------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics - 0.3% Benchmark Electronics, Inc. (a) 11,300 159,104
Coleman Cable, Inc. (a) 1,300 13,039
OSI Systems, Inc. (a) 2,600 61,126
Plexus Corp. (a) 7,000 144,900
Power Integrations, Inc. (a) 5,100 122,910
TTM Technologies, Inc. (a) 7,200 71,424
Universal Display Corp. (a) 4,400 48,224
-------------
620,727
------------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & Components - 1.0% A.O. Smith Corp. 3,400 133,246
AZZ, Inc. (a) 1,900 78,603
American Superconductor Corp. (a) 7,000 164,990
Axsys Technologies, Inc. (a) 1,400 82,516
Baldor Electric Co. 7,770 223,854
Beacon Power Corp. (a) 16,800 24,360
CTS Corp. 5,700 72,846
Cohu, Inc. 4,000 63,280
Franklin Electric Co., Inc. 3,800 169,290
Fushi Copperweld, Inc. (a) 2,600 25,194
GrafTech International Ltd. (a) 19,700 297,667
Littelfuse, Inc. (a) 3,700 110,001
MKS Instruments, Inc. (a) 8,300 165,253
Orion Energy Systems, Inc. (a) 900 5,049
Powell Industries, Inc. (a) 1,300 53,053
Power-One, Inc. (a) 12,600 18,270
Sonic Solutions, Inc. (a) 3,900 17,160
Taser International, Inc. (a) 10,600 75,790
Technitrol, Inc. 6,600 97,614
Triumph Group, Inc. 2,900 132,559
-------------
2,010,595
------------------------------------------------------------------------------------------------------------------------------------
Electrical: Household Appliance - 0.0% National Presto Industries, Inc. 800 59,600
Rex Stores Corp. (a) 1,800 20,790
-------------
80,390
------------------------------------------------------------------------------------------------------------------------------------
Electronics - 0.5% Agilysys, Inc. 4,000 40,360
Avid Technology, Inc. (a) 5,200 125,112
Daktronics, Inc. 5,400 89,964
17
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
II-VI, Inc. (a) 4,100 $ 158,506
Kopin Corp. (a) 11,000 34,320
MRV Communications, Inc. (a) 22,300 26,091
Methode Electronics, Inc. 6,400 57,216
Multi-Fineline Electronix, Inc. (a) 1,400 20,706
Newport Corp. (a) 6,400 68,992
Park Electrochemical Corp. 3,500 84,840
Sanmina-SCI Corp. (a) 92,000 128,800
Semtech Corp. (a) 9,900 138,204
Supertex, Inc. (a) 2,100 59,136
-------------
1,032,247
------------------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments, Faro Technologies, Inc. (a) 2,600 52,962
Gauges & Meters - 0.0% Measurement Specialties, Inc. (a) 2,400 41,856
OYO Geospace Corp. (a) 700 27,496
Zygo Corp. (a) 2,600 32,708
-------------
155,022
------------------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems - 1.1% Accuray, Inc. (a) 6,500 52,455
Affymetrix, Inc. (a)(b) 11,000 85,140
Analogic Corp. 2,300 114,448
Bruker BioSciences Corp. (a) 8,700 115,971
Cynosure, Inc. Class A (a) 1,600 28,704
Datascope Corp. 2,300 118,749
eResearch Technology, Inc. (a) 7,300 86,943
Greatbatch, Inc. (a) 3,900 95,706
Haemonetics Corp. (a) 4,200 259,224
Luminex Corp. (a) 6,600 165,066
Masimo Corp. (a) 7,700 286,440
Natus Medical, Inc. (a) 4,700 106,502
NxStage Medical, Inc. (a) 3,300 13,926
Quality Systems, Inc. 3,000 126,780
Sirona Dental Systems, Inc. (a) 2,900 67,512
Somanetics Corp. (a) 2,300 50,301
Tomotherapy, Inc. (a) 7,200 32,976
Varian, Inc. (a) 5,000 214,500
Zoll Medical Corp. (a) 3,500 114,520
-------------
2,135,863
------------------------------------------------------------------------------------------------------------------------------------
Electronics: Other - 0.0% ICx Technologies, Inc. (a) 2,000 15,420
------------------------------------------------------------------------------------------------------------------------------------
Electronics: Semi- Actel Corp. (a) 4,500 56,160
Conductors/Components - 1.5% Advanced Battery Technologies, Inc. (a) 9,400 30,362
Amkor Technology, Inc. (a) 18,200 115,934
Anadigics, Inc. (a) 10,600 29,786
Applied Micro Circuits Corp. (a) 11,175 66,827
AuthenTec, Inc. (a) 4,000 8,600
Bookham, Inc. (a) 18,700 21,131
Cavium Networks, Inc. (a) 5,000 70,400
Ceva, Inc. (a) 3,800 31,540
18
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Cirrus Logic, Inc. (a) 11,400 $ 62,130
DSP Group, Inc. (a) 4,000 30,600
Diodes, Inc. (a) 4,800 88,560
Entropic Communications, Inc. (a) 200 282
Exar Corp. (a) 6,300 48,258
Formfactor, Inc. (a) 8,100 141,102
Hittite Microwave Corp. (a) 3,200 107,520
IPG Photonics Corp. (a) 3,100 60,481
IXYS Corp. 4,100 37,269
Lattice Semiconductor Corp. (a) 19,500 40,170
MIPS Technologies, Inc. (a) 7,100 24,921
Micrel, Inc. 9,000 81,630
Microsemi Corp. (a) 13,200 336,336
Microtune, Inc. (a) 8,700 23,316
Monolithic Power Systems, Inc. (a) 4,600 79,902
NVE Corp. (a) 900 25,470
Netlogic Microsystems, Inc. (a) 2,700 81,648
Omnivision Technologies, Inc. (a) 8,000 91,280
PLX Technology, Inc. (a) 4,400 22,528
PMC-Sierra, Inc. (a) 36,700 272,314
Pericom Semiconductor Corp. (a) 4,200 44,100
RF Micro Devices, Inc. (a) 44,437 129,756
Rubicon Technology, Inc. (a) 2,400 17,328
SiRF Technology Holdings, Inc. (a) 10,200 15,198
Silicon Image, Inc. (a) 13,300 71,022
Silicon Storage Technology, Inc. (a) 14,500 47,270
Skyworks Solutions, Inc. (a) 27,300 228,228
Spansion LLC Class A (a) 20,700 32,085
Techwell, Inc. (a) 2,600 24,518
Tessera Technologies, Inc. (a) 8,300 135,622
Transmeta Corp. (a) 2,300 37,283
TriQuint Semiconductor, Inc. (a) 24,200 115,918
Volterra Semiconductor Corp. (a) 4,500 57,285
-------------
3,042,070
------------------------------------------------------------------------------------------------------------------------------------
Electronics: Technology - 0.6% 3D Systems Corp. (a) 2,600 37,050
American Science & Engineering, Inc. 1,500 89,595
Checkpoint Systems, Inc. (a) 6,700 126,094
China Security & Surveillance Technology, Inc. (a) 4,400 61,072
Cogent, Inc. (a) 6,900 70,518
Coherent, Inc. (a) 3,900 138,645
Cubic Corp. 2,500 61,475
Eagle Test Systems, Inc. (a) 1,800 27,558
Gerber Scientific, Inc. (a) 3,300 30,162
Herley Industries, Inc. (a) 2,500 42,750
ION Geophysical Corp. (a) 14,200 201,498
Kemet Corp. (a) 14,200 19,312
19
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
LaBarge, Inc. (a) 1,900 $ 28,614
Maxwell Technologies, Inc. (a) 3,400 45,356
ScanSource, Inc. (a) 4,600 132,434
Smart Modular Technologies WWH, Inc. (a) 7,300 21,900
Super Micro Computer, Inc. (a) 4,200 37,842
-------------
1,171,875
------------------------------------------------------------------------------------------------------------------------------------
Energy Equipment - 0.1% Capstone Turbine Corp. (a) 25,400 32,766
GT Solar International, Inc. (a) 4,400 47,740
Plug Power, Inc. (a) 14,800 14,652
PowerSecure International, Inc. (a) 3,300 19,998
-------------
115,156
------------------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous - 0.9% Akeena Solar, Inc. (a) 4,100 15,539
Alon USA Energy, Inc. 1,800 24,264
Approach Resources, Inc. (a) 1,200 17,352
Aventine Renewable Energy Holdings, Inc. (a) 4,930 15,579
CVR Energy, Inc. (a) 3,800 32,376
Clean Energy Fuels Corp. (a) 3,500 49,525
Concho Resources, Inc. (a) 9,000 248,490
Crosstex Energy, Inc. 6,700 167,299
Dawson Geophysical Co. (a) 1,400 65,366
EnerNOC, Inc. (a) 1,800 18,612
Evergreen Energy, Inc. (a) 14,300 13,442
Evergreen Solar, Inc. (a) 23,500 129,720
FuelCell Energy, Inc. (a) 11,600 69,948
GeoMet, Inc. (a) 2,167 11,788
GreenHunter Energy, Inc. (a) 600 8,550
Matrix Service Co. (a) 4,500 85,950
Ormat Technologies, Inc. 3,000 108,990
Pacific Ethanol, Inc. (a) 7,500 10,425
Penn Virginia Corp. 7,000 374,080
Rentech, Inc. (a) 28,000 37,240
Teekay Tankers Ltd. Class A 2,000 33,860
US Geothermal, Inc. (a) 12,500 22,250
USEC, Inc. (a) 19,300 104,413
-------------
1,665,058
------------------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting Services - 0.4% Clean Harbors, Inc. (a) 3,300 222,915
Dycom Industries, Inc. (a) 6,800 88,536
ENGlobal Corp. (a) 4,800 63,696
Furmamite Corp. (a) 5,900 61,006
Hill International, Inc. (a) 3,800 52,630
Integrated Electrical Services, Inc. (a) 1,400 24,584
Layne Christensen Co. (a) 3,200 113,376
Michael Baker Corp. (a) 1,200 41,760
VSE Corp. 800 26,984
-------------
695,487
------------------------------------------------------------------------------------------------------------------------------------
20
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Entertainment - 0.3% Cinemark Holdings, Inc. 4,400 $ 59,840
Dover Motorsports, Inc. 2,200 11,990
Gaylord Entertainment Co. (a) 7,100 208,527
Live Nation, Inc. (a) 12,800 208,256
Speedway Motorsports, Inc. 2,300 44,804
-------------
533,417
------------------------------------------------------------------------------------------------------------------------------------
Finance Companies - 0.1% Credit Acceptance Corp. (a) 678 11,526
MVC Capital, Inc. 3,600 54,900
NewStar Financial, Inc. (a) 3,300 26,697
Riskmetrics Group, Inc. (a) 3,300 64,581
World Acceptance Corp. (a) 2,600 93,600
-------------
251,304
------------------------------------------------------------------------------------------------------------------------------------
Finance: Small Loan - 0.1% Advance America, Cash Advance Centers, Inc. 4,700 14,053
Dollar Financial Corp. (a) 3,700 56,943
Encore Capital Group, Inc. (a) 1,900 26,030
The First Marblehead Corp. 9,300 23,157
Nelnet, Inc. Class A 2,500 35,500
-------------
155,683
------------------------------------------------------------------------------------------------------------------------------------
Financial Data Processing Services & Advent Software, Inc. (a)(b) 2,800 98,644
Systems - 0.7% Cass Information Systems, Inc. 860 30,831
CompuCredit Corp. (a) 1,300 5,096
CyberSource Corp. (a) 11,541 185,926
Deluxe Corp. 8,900 128,071
ExlService Holdings, Inc. (a) 2,500 21,950
Fair Isaac Corp. 8,100 186,705
Heartland Payment Systems, Inc. 4,000 102,240
Hypercom Corp. (a) 9,400 37,412
Jack Henry & Associates, Inc. 12,100 245,993
Online Resources Corp. (a) 4,900 38,073
TNS, Inc. (a) 4,200 81,354
TradeStation Group, Inc. (a) 5,800 54,230
Wright Express Corp. (a) 6,500 194,025
-------------
1,410,550
------------------------------------------------------------------------------------------------------------------------------------
Financial Information Services - 0.2% Bankrate, Inc. (a) 2,100 81,711
Interactive Data Corp. 6,100 153,842
Move, Inc. (a) 21,700 46,004
S1 Corp. (a) 9,200 56,304
TheStreet.com, Inc. 3,400 20,366
-------------
358,227
------------------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous - 0.8% AMBAC Financial Group, Inc. 49,100 114,403
Advanta Corp. Class B 5,600 46,088
Asset Acceptance Capital Corp. (a) 1,900 20,026
Cash America International, Inc. 4,700 169,388
Federal Agricultural Mortgage Corp. Class B 100 410
Financial Federal Corp. 3,900 89,388
First Cash Financial Services, Inc. (a) 2,900 43,500
21
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Global Cash Access, Inc. (a) 5,500 $ 27,830
Harris & Harris Group, Inc. (a) 3,500 22,330
LandAmerica Financial Group, Inc. 2,300 55,775
Medallion Financial Corp. 2,400 25,128
Portfolio Recovery Associates, Inc. (a) 2,400 116,712
Radian Group, Inc. 14,800 74,592
Sanders Morris Harris Group, Inc. 3,000 25,950
Sotheby's Holdings, Inc. Class A 11,500 230,690
Sterling Bancorp 3,260 47,140
Stewart Information Services Corp. 2,900 86,275
Stifel Financial Corp. (a) 4,000 199,600
WSFS Financial Corp. 1,000 60,000
Waterstone Financial, Inc. (a) 1,000 9,770
-------------
1,464,995
------------------------------------------------------------------------------------------------------------------------------------
Foods - 1.5% American Dairy, Inc. (a) 700 7,091
B&G Foods, Inc. Class A 3,800 27,170
Cal-Maine Foods, Inc. 2,000 54,880
Chiquita Brands International, Inc. (a) 7,600 120,156
Diamond Foods, Inc. 2,900 81,287
Flowers Foods, Inc. 12,600 369,936
Fresh Del Monte Produce, Inc. (a) 7,300 162,060
Hain Celestial Group, Inc. (a) 6,800 187,204
J&J Snack Foods Corp. 2,300 77,993
Lance, Inc. 4,700 106,643
Lifeway Foods, Inc. (a) 600 7,020
M&F Worldwide Corp. (a) 2,100 84,000
Maui Land & Pineapple Co., Inc. (a) 700 19,243
Omega Protein Corp. (a) 3,300 38,808
Pilgrim's Pride Corp. 7,100 17,679
Ralcorp Holdings, Inc. (a) 9,300 626,913
Sanderson Farms, Inc. 3,500 128,590
Schiff Nutrition International, Inc. (a) 1,200 8,196
Seaboard Corp. 60 75,420
Sensient Technologies Corp. 8,100 227,853
Smart Balance, Inc. (a) 10,300 67,568
Synutra International, Inc. (a) 1,700 34,221
Tootsie Roll Industries, Inc. 4,118 119,051
TreeHouse Foods, Inc. (a) 5,100 151,470
United Natural Foods, Inc. (a) 7,400 184,926
Zhongpin, Inc. (a) 3,400 36,142
-------------
3,021,520
------------------------------------------------------------------------------------------------------------------------------------
Forest Products - 0.2% Deltic Timber Corp. 1,800 114,552
Louisiana-Pacific Corp. 17,200 159,960
Universal Forest Products, Inc. 2,800 97,748
-------------
372,260
------------------------------------------------------------------------------------------------------------------------------------
22
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing Services - 0.1% Ennis, Inc. 4,200 $ 64,932
Innerworkings, Inc. (a) 5,600 62,104
The Standard Register Co. 2,900 28,565
-------------
155,601
------------------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & Cemeteries - 0.1% Stewart Enterprises, Inc. Class A 14,500 113,970
------------------------------------------------------------------------------------------------------------------------------------
Glass - 0.0% Apogee Enterprises, Inc. 4,900 73,647
------------------------------------------------------------------------------------------------------------------------------------
Gold - 0.2% Allied Nevada Gold Corp. (a) 7,300 41,756
Coeur d'Alene Mines Corp. (a)(b) 94,100 143,973
Royal Gold, Inc. 5,100 183,396
-------------
369,125
------------------------------------------------------------------------------------------------------------------------------------
Health Care Facilities - 0.6% Assisted Living Concepts, Inc. (a) 8,600 54,782
Capital Senior Living Corp. (a) 3,800 28,880
Emeritus Corp. (a) 3,200 79,680
The Ensign Group, Inc. 1,700 29,053
Five Star Quality Care, Inc. (a) 6,000 22,500
IPC The Hospitalist Co., Inc. (a) 800 20,560
Kindred Healthcare, Inc. (a) 4,480 123,514
MedCath Corp. (a) 2,900 51,968
National Healthcare Corp. 1,400 65,968
Psychiatric Solutions, Inc. (a) 9,400 356,730
Res-Care, Inc. (a) 4,200 76,188
Skilled Healthcare Group, Inc. Class A (a) 3,000 47,670
Sun Healthcare Group, Inc. (a) 7,300 107,018
Sunrise Senior Living, Inc. (a) 7,600 104,804
-------------
1,169,315
------------------------------------------------------------------------------------------------------------------------------------
Health Care Management Services - 0.9% AMERIGROUP Corp. (a) 9,200 232,208
Amsurg Corp. (a) 5,300 134,991
athenahealth, Inc. (a) 3,400 113,118
Centene Corp. (a) 7,000 143,570
Computer Programs & Systems, Inc. 1,600 46,320
Corvel Corp. (a) 1,150 32,902
Eclipsys Corp. (a) 9,100 190,645
HMS Holdings Corp. (a) 4,400 105,424
HealthExtras, Inc. (a) 5,500 143,660
HealthSpring, Inc. (a) 8,200 173,512
Inter Allscripts - Misys Healthcare Solutions, Inc. 9,900 123,156
Molina Healthcare, Inc. (a) 2,500 77,500
National Research Corp. 200 6,132
Omnicell, Inc. (a) 5,400 71,010
Phase Forward, Inc. (a) 7,100 148,461
Triple-S Management Corp. (a) 1,900 30,951
Vital Images, Inc. (a) 2,500 37,500
-------------
1,811,060
------------------------------------------------------------------------------------------------------------------------------------
Health Care Services - 0.7% Alliance Imaging, Inc. (a) 4,300 44,161
Amedisys, Inc. (a) 4,333 210,887
Apria Healthcare Group, Inc. (a)(b) 7,400 134,976
23
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Bio-Reference Labs, Inc. (a) 1,900 $ 54,910
CardioNet, Inc. (a) 700 17,472
Emergency Medical Services Corp. (a) 1,300 38,844
Gentiva Health Services, Inc. (a) 4,500 121,230
Healthcare Services Group, Inc. 7,200 131,688
HealthSouth Corp. (a) 14,400 265,392
Healthways, Inc. (a) 6,000 96,780
LHC Group, Inc. (a) 2,200 62,656
Nighthawk Radiology Holdings, Inc. (a) 3,400 24,548
Odyssey HealthCare, Inc. (a) 6,100 61,915
PharMerica Corp. (a) 5,286 118,882
Virtual Radiologic Corp. (a) 700 5,712
-------------
1,390,053
------------------------------------------------------------------------------------------------------------------------------------
Homebuilding - 0.3% Beazer Homes USA, Inc. (a) 5,800 34,684
Hovnanian Enterprises, Inc. Class A (a) 7,800 62,322
M/I Homes, Inc. 2,400 54,672
Meritage Homes Corp. (a) 5,200 128,440
Ryland Group, Inc. 7,300 193,596
Standard-Pacific Corp. (a) 22,000 108,020
-------------
581,734
------------------------------------------------------------------------------------------------------------------------------------
Hotel/Motel - 0.1% Lodgian, Inc. (a) 2,700 21,060
Marcus Corp. 3,400 54,672
Morgans Hotel Group Co. (a) 4,900 53,459
-------------
129,191
------------------------------------------------------------------------------------------------------------------------------------
Household Furnishings - 0.3% American Woodmark Corp. 1,900 42,655
Ethan Allen Interiors, Inc. 3,800 106,476
Furniture Brands International, Inc. 7,100 74,692
Haverty Furniture Cos., Inc. 2,300 26,312
hhgregg, Inc. (a) 1,400 13,650
Hooker Furniture Corp. 1,700 30,175
La-Z-Boy, Inc. 8,400 78,288
Libbey, Inc. 1,800 15,318
Sealy Corp. 6,600 42,636
Tempur-Pedic International, Inc. 12,014 141,285
-------------
571,487
------------------------------------------------------------------------------------------------------------------------------------
Identification Control & Filter Advanced Energy Industries, Inc. (a) 5,800 79,344
Devices - 0.7% Asyst Technologies, Inc. (a) 8,400 20,160
Badger Meter, Inc. 2,400 112,680
ESCO Technologies, Inc. (a) 4,400 211,948
Energy Recovery, Inc. (a) 1,800 17,262
Flanders Corp. (a) 2,400 15,120
The Gorman-Rupp Co. 2,218 83,663
L-1 Identity Solutions, Inc. (a) 10,998 168,049
Mine Safety Appliances Co. 5,200 198,224
PMFG, Inc. (a) 2,000 28,980
Robbins & Myers, Inc. 4,700 145,371
24
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Sun Hydraulics, Inc. 2,000 $ 52,080
Veeco Instruments, Inc. (a) 5,400 79,974
Vicor Corp. 3,200 28,416
Watts Water Technologies, Inc. Class A 4,600 125,810
-------------
1,367,081
------------------------------------------------------------------------------------------------------------------------------------
Industrial Products - 0.0% A.M. Castle & Co. 2,700 46,656
TAL International Group, Inc. 2,500 52,050
-------------
98,706
------------------------------------------------------------------------------------------------------------------------------------
Insurance: Life - 0.4% American Equity Investment Life Holding Co. 9,500 71,250
Citizens, Inc. (a) 5,400 44,388
Delphi Financial Group, Inc. Class A 7,150 200,486
Kansas City Life Insurance Co. 600 28,140
Life Partners Holdings, Inc. 800 28,776
National Western Life Insurance Co. Class A 400 96,828
The Phoenix Cos., Inc. 19,100 176,484
Presidential Life Corp. 3,500 55,265
Universal American Financial Corp. (a) 6,800 82,892
-------------
784,509
------------------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line - 1.1% Assured Guaranty Ltd. 9,500 154,470
CNA Surety Corp. (a) 2,400 40,080
Crawford & Co. Class B (a) 3,700 56,240
EMC Insurance Group, Inc. 1,000 29,480
eHealth, Inc. (a) 4,300 68,800
FBL Financial Group, Inc. Class A 2,200 61,358
Flagstone Reinsurance Holdings Ltd. 4,900 50,323
Hilb Rogal & Hobbs Co. 6,100 285,114
Horace Mann Educators Corp. 7,100 91,377
Independence Holding Co. 500 5,775
Maiden Holdings Ltd. 8,000 34,800
Max Capital Group Ltd. 9,800 227,654
Meadowbrook Insurance Group, Inc. 8,317 58,718
Montpelier Re Holdings Ltd. 15,700 259,207
Pico Holdings, Inc. (a) 2,700 96,957
Platinum Underwriters Holdings Ltd. 7,900 280,292
Primus Guaranty Ltd. (a) 4,700 12,314
Quanta Capital Holdings Ltd. 11,100 30,636
Zenith National Insurance Corp. 6,250 229,000
-------------
2,072,595
------------------------------------------------------------------------------------------------------------------------------------
Insurance: Property-Casualty - 1.9% AmCOMP, Inc. (a) 2,600 30,160
American Physicians Capital, Inc. 1,500 63,495
American Safety Insurance Holdings Ltd. (a) 2,100 31,731
Amerisafe, Inc. (a)(b) 3,200 58,240
AmTrust Financial Services, Inc. 2,800 38,052
Argo Group International Holdings Ltd. (a) 5,166 190,367
Aspen Insurance Holdings Ltd. 13,900 382,250
Baldwin & Lyons, Inc. Class B 1,400 33,558
25
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
CastlePoint Holdings, Ltd. 6,100 $ 67,893
Darwin Professional Underwriters, Inc. (a) 1,200 37,332
Donegal Group, Inc. Class A 1,600 29,008
Employers Holdings, Inc. 8,210 142,690
Enstar Group Ltd. (a) 900 87,624
FPIC Insurance Group, Inc. (a) 1,500 77,085
First Acceptance Corp. (a) 2,800 9,520
First Mercury Financial Corp. (a) 2,400 34,200
Greenlight Capital Re, Ltd. (a) 5,100 117,249
Hallmark Financial Services, Inc. (a) 300 2,727
Harleysville Group, Inc. 2,400 90,720
IPC Holdings, Ltd. 8,600 259,806
Infinity Property & Casualty Corp. 2,500 103,000
NYMAGIC, Inc. 900 22,725
National Interstate Corp. 1,000 24,030
Navigators Group, Inc. (a) 2,200 127,600
Odyssey Re Holdings Corp. 4,000 175,200
PMA Capital Corp. Class A (a) 5,400 47,628
The PMI Group, Inc. 12,700 37,465
ProAssurance Corp. (a) 5,500 308,000
RLI Corp. 3,200 198,688
Safety Insurance Group, Inc. 2,700 102,411
SeaBright Insurance Holdings, Inc. (a) 3,600 46,800
Selective Insurance Group, Inc. 9,100 208,572
State Auto Financial Corp. 2,300 66,861
Tower Group, Inc. 3,500 82,460
United America Indemnity, Ltd. (a) 3,400 48,382
United Fire & Casualty Co. 3,800 108,642
Validus Holdings Ltd. 10,800 251,100
-------------
3,743,271
------------------------------------------------------------------------------------------------------------------------------------
Investment Management Companies - 0.6% Ampal-American Israel Corp. Class A (a) 2,200 6,798
Apollo Investment Corp. 23,876 407,086
Ares Capital Corp. 16,878 176,038
Calamos Asset Management, Inc. Class A 3,600 64,512
Capital Southwest Corp. 400 56,820
Cohen & Steers, Inc. 2,800 79,324
Epoch Holding Corp. 1,700 18,700
FBR Capital Markets Corp. (a) 4,100 26,568
Fifth Street Finance Corp. 1,100 11,055
GAMCO Investors, Inc. Class A 1,400 83,020
Kohlberg Capital Corp. 2,300 19,757
MCG Capital Corp. 11,100 29,082
NGP Capital Resources Co. 3,100 45,167
National Financial Partners Corp. 6,800 102,000
Pzena Investment Management, Inc. Class A 1,000 9,480
Resource America, Inc. Class A 2,100 19,950
26
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
U.S. Global Investors, Inc. 2,100 $ 19,551
Westwood Holdings Group Inc. 900 42,660
-------------
1,217,568
------------------------------------------------------------------------------------------------------------------------------------
Jewelry, Watches & Gemstones - 0.2% Fossil, Inc. (a) 7,600 214,548
Fuqi International, Inc. (a) 2,000 16,300
Movado Group, Inc. 2,700 60,345
-------------
291,193
------------------------------------------------------------------------------------------------------------------------------------
Lead & Zinc - 0.0% Horsehead Holding Corp. (a) 5,700 33,630
------------------------------------------------------------------------------------------------------------------------------------
Leisure Time - 0.4% Callaway Golf Co. 11,100 156,177
Great Wolf Resorts, Inc. (a) 4,500 16,470
Life Time Fitness, Inc. (a) 5,800 181,366
Pool Corp. 8,300 193,639
Rick's Cabaret International, Inc. (a) 1,700 16,694
Six Flags, Inc. (a) 12,300 8,487
Steinway Musical Instruments, Inc. (a) 1,300 36,816
Town Sports International Holdings, Inc. (a) 2,400 14,640
Vail Resorts, Inc. (a) 5,200 181,740
------------
806,029
-----------------------------------------------------------------------------------------------------------------------------------
Machine Tools - 0.0% Hurco Companies, Inc. (a) 1,100 32,527
Thermadyne Holdings Corp. (a) 2,100 35,133
-------------
67,660
------------------------------------------------------------------------------------------------------------------------------------
Machinery & Engineering - 0.1% Applied Industrial Technologies, Inc. 7,250 195,242
------------------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural - 0.1% Alamo Group, Inc. 1,200 20,460
Gehl Co. (a) 1,650 48,559
Lindsay Manufacturing Co. 1,900 138,225
Titan Machinery, Inc. (a) 1,000 20,810
-------------
228,054
------------------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & Handling - 0.1% Astec Industries, Inc. (a) 3,000 92,490
NACCO Industries, Inc. Class A 900 85,068
-------------
177,558
------------------------------------------------------------------------------------------------------------------------------------
Machinery: Engines - 0.1% Briggs & Stratton Corp. 8,000 129,440
Harbin Electric, Inc. (a) 900 10,665
Raser Technologies, Inc. (a) 7,400 62,900
-------------
203,005
------------------------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty - 0.9% Actuant Corp. Class A 9,400 237,256
Altra Holdings, Inc. (a) 4,700 69,372
Chart Industries, Inc. (a) 4,700 134,232
Colfax Corp. (a) 3,800 63,498
Columbus McKinnon Corp. (a) 3,100 73,067
DXP Enterprises, Inc. (a) 700 37,317
EnPro Industries, Inc. (a) 3,500 130,060
Graham Corp. 900 48,690
Kadant, Inc. (a) 2,400 54,648
Middleby Corp. (a) 2,800 152,068
Nordson Corp. 5,700 279,927
Tecumseh Products Co. Class A (a) 2,900 72,616
27
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Tennant Co. 2,800 $ 95,928
Twin Disc, Inc. 1,500 20,640
Woodward Governor Co. (b) 9,900 349,173
-------------
1,818,492
------------------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well Equipment & Allis-Chalmers Energy, Inc. (a) 4,600 58,190
Services - 1.1% Basic Energy Services, Inc. (a) 6,900 146,970
Bolt Technology Corp. (a) 1,600 23,152
CARBO Ceramics, Inc. 3,350 172,893
Cal Dive International, Inc. (a) 7,312 77,507
Complete Production Services, Inc. (a) 8,000 161,040
Dril-Quip, Inc. (a) 5,200 225,628
Flotek Industries, Inc. (a) 3,800 41,800
Gulf Island Fabrication, Inc. 2,100 72,387
Hornbeck Offshore Services, Inc. (a) 4,000 154,480
Lufkin Industries, Inc. 2,500 198,375
Mitcham Industries, Inc. (a) 1,800 18,162
NATCO Group, Inc. Class A (a) 3,400 136,612
Natural Gas Services Group (a) 2,200 38,434
Newpark Resources, Inc. (a) 15,600 113,880
Parker Drilling Co. (a) 19,300 154,786
RPC, Inc. 5,325 74,869
Sulphco, Inc. (a) 7,600 15,276
Superior Well Services, Inc. (a) 2,900 73,399
T-3 Energy Services, Inc. (a) 2,100 77,952
Trico Marine Services, Inc. (a) 1,800 30,744
Union Drilling, Inc. (a) 2,000 21,180
Willbros Group, Inc. (a)(b) 6,600 174,900
-------------
2,262,616
------------------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty - 0.1% Cascade Corp. 1,600 70,096
Flow International Corp. (a) 5,600 28,448
Key Technology Inc. (a) 1,100 26,070
Semitool, Inc. (a) 3,600 29,448
TurboChef Technologies, Inc. (a) 3,600 22,140
-------------
176,202
------------------------------------------------------------------------------------------------------------------------------------
Manufactured Housing - 0.1% Cavco Industries, Inc. (a) 1,200 43,380
Champion Enterprises, Inc. (a) 13,100 72,705
Palm Harbor Homes, Inc. (a) 1,600 15,856
Skyline Corp. 900 23,787
-------------
155,728
------------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.1% Federal Signal Corp. 8,100 110,970
Standex International Corp. 2,200 61,050
-------------
172,020
------------------------------------------------------------------------------------------------------------------------------------
Medical & Dental Instruments & Abaxis, Inc. (a) 3,600 70,920
Supplies - 2.9% Abiomed, Inc. (a) 5,300 94,075
Align Technology, Inc. (a) 10,500 113,715
Alphatec Holdings, Inc. (a) 3,700 17,020
28
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
American Medical Systems Holdings, Inc. (a)(b) 12,300 $ 218,448
AngioDynamics, Inc. (a) 4,300 67,940
Atrion Corp. 200 20,606
Bio-Rad Laboratories, Inc. Class A (a) 3,200 317,184
BioMimetic Therapeutics, Inc. (a) 2,200 24,332
CONMED Corp. (a) 4,800 153,600
Cantel Medical Corp. (a) 1,600 15,392
Cardiac Science Corp. (a) 3,000 31,080
Cepheid, Inc. (a) 9,600 132,768
Clinical Data, Inc. (a) 1,600 25,728
Conceptus, Inc. (a) 5,300 87,874
CryoLife, Inc. (a) 5,000 65,600
Cyberonics, Inc. (a) 4,000 68,000
DexCom, Inc. (a) 4,100 25,379
ev3, Inc. (a) 11,646 116,926
Exactech, Inc. (a) 1,400 31,136
Hansen Medical, Inc. (a) 2,800 37,632
I-Flow Corp. (a) 3,300 30,723
ICU Medical, Inc. (a) 1,600 48,656
IRIS International, Inc. (a) 3,300 59,070
Immucor, Inc. (a) 11,750 375,530
Insulet Corp. (a) 3,300 45,936
Invacare Corp. 5,400 130,356
Landauer, Inc. 1,500 109,125
Medical Action Industries, Inc. (a) 1,900 24,947
Mentor Corp. 5,900 140,774
Meridian Bioscience, Inc. 6,675 193,842
Merit Medical Systems, Inc. (a) 4,500 84,465
Micrus Endovascular Corp. (a) 2,600 36,270
Neogen Corp. (a) 2,400 67,632
NuVasive, Inc. (a) 6,000 295,980
OraSure Technologies, Inc. (a) 8,100 39,852
Orthofix International NV (a) 2,900 54,027
Orthovita, Inc. (a) 12,900 33,540
Owens & Minor, Inc. 6,700 324,950
PSS World Medical, Inc. (a) 10,800 210,600
Palomar Medical Technologies, Inc. (a) 3,100 41,726
SonoSite, Inc. (a) 2,900 91,060
Spectranetic Corp. (a) 5,300 24,539
Stereotaxis, Inc. (a) 4,100 24,805
Steris Corp. 9,500 357,010
SurModics, Inc. (a) 2,600 81,874
Symmetry Medical, Inc. (a) 6,000 111,360
Synovis Life Technologies, Inc. (a) 2,300 43,286
Thoratec Corp. (a) 9,200 241,500
Trans1, Inc. (a) 2,300 22,747
29
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Vision-Sciences Inc. (a) 3,500 $ 13,965
Vital Signs, Inc. 1,400 103,460
Volcano Corp. (a) 7,800 134,862
West Pharmaceutical Services, Inc. 5,400 263,628
Wright Medical Group, Inc. (a) 6,200 188,728
-------------
5,786,180
------------------------------------------------------------------------------------------------------------------------------------
Medical Services - 0.4% Air Methods Corp. (a) 1,800 50,958
Almost Family, Inc. (a) 900 35,595
Genoptix, Inc. (a) 1,500 49,005
Hanger Orthopedic Group, Inc. (a) 4,100 71,545
Magellan Health Services, Inc. (a) 6,600 270,996
Parexel International Corp. (a) 9,600 275,136
RadNet, Inc. (a) 4,100 16,441
RehabCare Group, Inc. (a) 3,000 54,300
US Physical Therapy, Inc. (a) 2,300 39,928
-------------
863,904
------------------------------------------------------------------------------------------------------------------------------------
Metal Fabricating - 0.8% Ampco-Pittsburgh Corp. 1,500 38,850
CIRCOR International, Inc. 2,700 117,261
Dynamic Materials Corp. 2,100 48,783
Encore Wire Corp. 3,200 57,952
Gibraltar Industries, Inc. 4,700 87,937
Haynes International, Inc. (a) 2,100 98,343
Insteel Industries, Inc. 2,800 38,052
Kaydon Corp. 4,700 211,782
L.B. Foster Co. Class A (a) 1,900 57,798
Mueller Industries, Inc. 6,300 144,963
Mueller Water Products, Inc. Series A 20,080 180,318
NN, Inc. 2,200 28,270
Northwest Pipe Co. (a) 1,400 61,068
Omega Flex, Inc. 400 9,020
RBC Bearings, Inc. (a) 3,700 124,653
RTI International Metals, Inc. (a) 3,700 72,372
Trimas Corp. (a) 1,700 11,152
Worthington Industries, Inc. (b) 10,900 162,846
-------------
1,551,420
------------------------------------------------------------------------------------------------------------------------------------
Metals & Minerals Miscellaneous - 0.5% AMCOL International Corp. 4,300 134,418
Apex Silver Mines Ltd. (a) 13,000 22,360
Brush Engineered Materials, Inc. (a) 3,300 61,281
Compass Minerals International, Inc. 5,400 282,906
General Moly, Inc. (a) 10,300 44,805
Hecla Mining Co. (a) 21,900 102,492
Minerals Technologies, Inc. 3,200 189,952
Stillwater Mining Co. (a) 6,700 38,927
United States Lime & Minerals, Inc. (a) 300 11,553
Uranium Resources, Inc. (a) 12,100 20,449
-------------
909,143
------------------------------------------------------------------------------------------------------------------------------------
30
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Business & Consumer Core-Mark Holdings Co., Inc. (a) 1,600 $ 39,984
Discretionary - 0.0%
------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Consumer Staples - 0.0% Reddy Ice Holdings, Inc. 3,000 10,950
------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Health Care - 0.0% MedAssets, Inc. (a) 2,700 46,440
------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Ceradyne, Inc. (a) 4,400 161,304
Commodities - 0.2% Lydall, Inc. (a) 3,100 29,853
Symyx Technologies, Inc. (a) 5,900 58,469
WD-40 Co. 2,900 104,197
-------------
353,823
------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Processing - 0.1% Insituform Technologies, Inc. Class A (a) 4,800 71,808
Rogers Corp. (a) 3,100 114,638
Xerium Technologies, Inc. 2,700 17,388
-------------
203,834
------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Producer Durables - 0.0% Blount International, Inc. (a) 6,700 74,571
Park-Ohio Holdings Corp. (a) 1,300 23,257
-------------
97,828
------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Technology - 0.1% iRobot Corp. (a) 3,300 48,906
Microvision, Inc. (a) 10,600 20,564
TerreStar Corp. (a) 9,300 9,300
Vocus, Inc. (a) 2,800 95,088
-------------
173,858
------------------------------------------------------------------------------------------------------------------------------------
Multi-Sector Companies - 0.4% Brunswick Corp. 14,200 181,618
Compass Diversified Holdings 4,400 61,336
GenCorp, Inc. (a) 9,600 64,704
GenTek, Inc. (a) 1,400 35,994
Kaman Corp. Class A 4,300 122,464
Lancaster Colony Corp. 3,600 135,576
Raven Industries, Inc. 2,700 106,245
United Capital Corp. (a) 200 5,298
-------------
713,235
------------------------------------------------------------------------------------------------------------------------------------
Office Furniture & Business Equipment - 0.4% ACCO Brands Corp. (a) 8,464 63,819
HNI Corp. 7,500 190,050
Herman Miller, Inc. 9,600 234,912
Kimball International, Inc. Class B 5,900 63,720
Knoll, Inc. 7,700 116,424
Presstek, Inc. (a) 5,200 29,328
-------------
698,253
------------------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers - 2.7% APCO Argentina, Inc. 700 19,194
ATP Oil & Gas Corp. (a) 4,600 81,926
Abraxas Petroleum Corp. (a) 7,700 20,097
American Oil & Gas, Inc. (a) 6,900 18,009
Arena Resources, Inc. (a) 6,200 240,870
Atlas America, Inc. 5,800 197,838
BMB Munai, Inc. (a) 6,900 28,635
BPZ Resources, Inc. (a) 10,300 177,160
Berry Petroleum Co. Class A 7,200 278,856
31
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Bill Barrett Corp. (a) 6,100 $ 195,871
Brigham Exploration Co. (a) 8,000 87,920
Bronco Drilling Co., Inc. (a) 4,400 44,968
Callon Petroleum Co. (a) 3,600 64,908
Cano Petroleum, Inc. (a) 10,900 25,179
Carrizo Oil & Gas, Inc. (a) 4,600 166,842
Cheniere Energy, Inc. (a) 8,900 20,025
Clayton Williams Energy, Inc. (a) 900 63,477
Comstock Resources, Inc. (a) 7,700 385,385
Contango Oil & Gas Co. (a) 2,200 118,756
Delek US Holdings, Inc. 1,600 14,832
Double Eagle Pete & Mining Co. (a) 1,600 22,848
EXCO Resources, Inc. (a) 24,900 406,368
Endeavour International Corp. (a) 20,600 27,192
Energy Partners Ltd. (a) 5,585 48,422
Energy XXI Bermuda Ltd. 18,900 56,889
FX Energy, Inc. (a) 6,800 50,592
Gasco Energy, Inc. (a) 16,600 30,212
GeoGlobal Resources, Inc. (a) 6,400 16,128
Geokinetics, Inc. (a) 900 17,100
GeoResources, Inc. (a) 1,100 12,606
Goodrich Petroleum Corp. (a) 3,800 165,642
Gran Tierra Energy, Inc. (a) 16,200 60,102
Grey Wolf, Inc. (a) 30,200 234,956
Gulfport Energy Corp. (a) 4,600 46,230
Harvest Natural Resources, Inc. (a) 6,400 64,768
Houston American Energy Corp. 2,900 18,328
McMoRan Exploration Co. (a) 9,800 231,672
Meridian Resource Corp. (a) 14,000 25,760
Northern Oil And Gas, Inc. (a) 3,500 28,455
Oilsands Quest, Inc. (a) 27,500 82,225
Panhandle Oil & Gas Inc. 1,200 34,356
Parallel Petroleum Corp. (a) 7,000 65,940
Petroleum Development Corp. (a) 2,500 110,925
Petroquest Energy, Inc. (a) 7,500 115,125
Pioneer Drilling Co. (a) 8,400 111,720
PrimeEnergy Corp. (a) 100 7,400
Quest Resource Corp. (a) 3,900 10,374
Rex Energy Corp. (a) 2,800 44,128
Rosetta Resources, Inc. (a) 8,600 157,896
Stone Energy Corp. (a) 5,328 225,534
Swift Energy Co. (a) 5,200 201,188
TXCO Resources, Inc. (a) 5,400 54,216
Toreador Resources Corp. (a) 2,900 26,071
Tri-Valley Corp. (a) 4,200 26,628
Venoco, Inc. (a) 3,300 42,900
32
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
VeraSun Energy Corp. (a) 16,805 $ 52,600
Warren Resources, Inc. (a) 9,800 97,804
Western Refining, Inc. 5,300 53,583
-------------
5,335,631
------------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic - 0.2% Delta Petroleum Corp. (a) 10,800 145,692
GMX Resources, Inc. (a) 2,800 133,840
Ram Energy Resources, Inc. (a) 6,800 19,652
-------------
299,184
------------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated International - 0.0% Vaalco Energy, Inc. (a) 10,100 69,084
------------------------------------------------------------------------------------------------------------------------------------
Paints & Coatings - 0.2% Ferro Corp. 7,400 148,740
H.B. Fuller Co. 8,500 177,395
-------------
326,135
------------------------------------------------------------------------------------------------------------------------------------
Paper - 0.4% AbitibiBowater, Inc. 9,252 35,805
Albany International Corp. Class A 4,900 133,917
Boise, Inc. (a) 6,000 9,360
Buckeye Technologies, Inc. (a) 5,900 48,321
Kapstone Paper and Packaging Corp. (a) 3,600 22,860
Mercer International, Inc.-Sbi (a) 4,800 17,568
Multi-Color Corp. 1,450 34,640
Neenah Paper, Inc. 2,500 49,500
P.H. Glatfelter Co. 7,300 98,842
Rock-Tenn Co. Class A 6,400 255,872
Verso Paper Corp. 2,800 7,392
Wausau Paper Corp. 7,500 75,975
-------------
790,052
------------------------------------------------------------------------------------------------------------------------------------
Plastics - 0.0% Spartech Corp. 5,200 51,480
------------------------------------------------------------------------------------------------------------------------------------
Pollution Control & Environmental American Ecology Corp. 2,600 71,942
Services - 0.3% Darling International, Inc. (a) 13,800 153,318
EnergySolutions, Inc. 5,500 55,000
Fuel Tech, Inc. (a) 3,000 54,270
Headwaters, Inc. (a) 7,400 98,790
Met-Pro Corp. 2,900 42,311
Metalico, Inc. (a) 4,300 25,370
Team, Inc. (a) 3,200 115,584
-------------
616,585
------------------------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment - 0.1% Regal-Beloit Corp. 5,400 229,608
Synthesis Energy Systems, Inc. (a) 3,600 17,460
-------------
247,068
------------------------------------------------------------------------------------------------------------------------------------
Printing & Copying Services - 0.2% Bowne & Co., Inc. 4,900 56,595
Cenveo, Inc. (a) 8,800 67,672
Schawk, Inc. 2,400 36,288
VistaPrint Ltd. (a) 7,600 249,584
-------------
410,139
------------------------------------------------------------------------------------------------------------------------------------
Production Technology Equipment - 1.0% ATMI, Inc. (a) 5,400 97,092
Axcelis Technologies, Inc. (a) 16,500 28,050
Brooks Automation, Inc. (a) 11,283 94,326
33
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Cognex Corp. 7,100 $ 143,136
Cymer, Inc. (a) 4,800 121,584
Dionex Corp. (a) 3,100 197,005
Electro Scientific Industries, Inc. (a) 5,000 71,100
Emcore Corp. (a) 12,800 63,232
Entegris, Inc. (a) 19,295 93,388
Esterline Technologies Corp. (a) 4,900 193,991
FEI Co. (a) 6,300 150,003
Intevac, Inc. (a) 3,700 39,368
K-Tron International, Inc. (a) 400 51,532
Kulicke & Soffa Industries, Inc. (a) 9,000 40,590
LTX-Credence Corp. (a) 22,700 39,498
MTS Systems Corp. 3,000 126,300
Mattson Technology, Inc. (a) 9,100 43,043
Photon Dynamics, Inc. (a) 3,300 50,655
Photronics, Inc. (a) 6,800 12,784
Rofin-Sinar Technologies, Inc. (a) 5,200 159,172
Rudolph Technologies, Inc. (a) 4,413 36,981
Ultra Clean Holdings, Inc. (a) 3,300 16,632
Ultratech, Inc. (a) 4,100 49,610
-------------
1,919,072
------------------------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous - 0.1% Consolidated Graphics, Inc. (a) 1,800 54,594
Courier Corp. 1,700 34,612
GateHouse Media, Inc. 2,780 1,362
Idearc, Inc. 20,600 25,750
Martha Stewart Living Omnimedia, Inc. Class A (a) 3,500 29,785
Playboy Enterprises, Inc. Class B (a) 4,900 19,306
Primedia, Inc. 4,750 11,543
Scholastic Corp. 4,100 105,288
-------------
282,240
------------------------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers - 0.1% A.H. Belo Corp. 2,340 12,074
Belo Corp. Class A 14,800 88,208
Dolan Media Co. (a) 3,900 39,351
Journal Communications, Inc. Class A 7,100 34,648
Lee Enterprises, Inc. 7,600 26,600
McClatchy Co. Class A 10,111 44,488
Media General, Inc. Class A 3,300 41,019
-------------
286,388
------------------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters - 0.2% CKX, Inc. (a) 8,700 53,592
Citadel Broadcasting Corp. (a) 30,650 23,907
Cox Radio, Inc. Class A (a) 3,500 36,960
Cumulus Media, Inc. Class A (a) 5,200 22,152
Entercom Communications Corp. 3,200 16,064
Fisher Communications, Inc. 1,000 39,400
Gray Television, Inc. 6,800 11,696
Lin TV Corp. Class A (a) 4,500 23,220
34
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Outdoor Channel Holdings, Inc. (a) 3,200 $ 28,160
RHI Entertainment, Inc. (a) 1,800 26,820
Sinclair Broadcast Group, Inc. Class A 9,500 47,880
Westwood One, Inc. (a) 8,100 4,455
World Wrestling Entertainment, Inc. 3,100 47,926
-------------
382,232
------------------------------------------------------------------------------------------------------------------------------------
Railroad Equipment - 0.3% American Railcar Industries, Inc. 1,300 20,852
Freightcar America, Inc. 2,000 58,540
Greenbrier Cos., Inc. 2,800 54,628
Westinghouse Air Brake Technologies Corp. 7,900 404,717
-------------
538,737
------------------------------------------------------------------------------------------------------------------------------------
Railroads - 0.1% Genesee & Wyoming, Inc. Class A (a) 4,950 185,724
------------------------------------------------------------------------------------------------------------------------------------
Real Estate - 0.2% AMREP Corp. (a) 300 12,723
Avatar Holdings, Inc. (a) 1,000 33,000
Bluegreen Corp. (a) 2,200 15,202
Cogdell Spencer, Inc. 2,100 33,684
Consolidated-Tomoka Land Co. 1,000 43,190
FX Real Estate and Entertainment, Inc. (a) 1,360 1,414
Forestar Real Estate Group, Inc. (a) 5,966 87,998
Griffin Land & Nurseries, Inc. 500 18,540
Grubb & Ellis Co. 5,400 14,580
Hilltop Holdings, Inc. (a) 7,652 78,969
Meruelo Maddux Properties, Inc. (a) 7,220 8,808
Resource Capital Corp. 3,400 20,604
Stratus Properties, Inc. (a) 800 22,016
Tejon Ranch Co. (a) 1,800 66,870
Thomas Properties Group, Inc. 3,600 36,360
-------------
493,958
------------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 5.5% Acadia Realty Trust 5,700 144,096
Agree Realty Corp. 1,600 45,760
Alexander's, Inc. 300 120,000
American Campus Communities, Inc. 6,758 228,961
American Capital Agency Corp. 1,300 22,516
Anthracite Capital, Inc. (c) 9,900 53,064
Anworth Mortgage Asset Corp. 13,900 82,288
Arbor Realty Trust, Inc. 3,000 30,000
Ashford Hospitality Trust, Inc. 20,950 84,848
Associated Estates Realty Corp. 2,400 31,272
BioMed Realty Trust, Inc. 12,100 320,045
Capital Trust, Inc. 3,200 49,600
CapLease, Inc. 6,300 49,959
Capstead Mortgage Corp. 9,300 101,835
Care Investment Trust, Inc. 2,000 22,960
Cedar Shopping Centers, Inc. 7,200 95,184
Chimera Investment Corp. 5,900 36,639
Colonial Properties Trust 8,200 153,258
35
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Corporate Office Properties Trust 6,500 $ 262,275
Cousins Properties, Inc. 7,700 194,271
DCT Industrial Trust, Inc. 28,750 215,338
DiamondRock Hospitality Co. 15,840 144,144
Dupont Fabros Technology, Inc. 2,100 32,025
Eastgroup Properties, Inc. 4,200 203,868
Education Realty Trust, Inc. 4,700 52,076
Entertainment Properties Trust 5,100 279,072
Equity Lifestyle Properties, Inc. 3,400 180,302
Equity One, Inc. 5,400 110,646
Extra Space Storage, Inc. 12,900 198,144
FelCor Lodging Trust, Inc. 11,100 79,476
First Industrial Realty Trust, Inc. 7,500 215,100
First Potomac Realty Trust 4,100 70,479
Franklin Street Properties Corp. 9,100 118,300
Friedman Billings Ramsey Group, Inc. Class A 24,500 49,000
Getty Realty Corp. 2,800 62,076
Glimcher Realty Trust 6,400 66,816
Gramercy Capital Corp. 7,061 18,288
Hatteras Financial Corp. 1,900 44,080
Healthcare Realty Trust, Inc. 9,500 276,925
Hersha Hospitality Trust 7,000 52,080
Highwoods Properties, Inc. 10,400 369,824
Home Properties, Inc. 5,100 295,545
Inland Real Estate Corp. 9,500 149,055
Investors Real Estate Trust 9,700 108,543
JER Investors Trust, Inc. 3,800 18,316
Kite Realty Group Trust 3,400 37,400
LTC Properties, Inc. 3,900 114,348
LaSalle Hotel Properties 6,800 158,576
Lexington Corporate Properties Trust 8,330 143,443
MFA Mortgage Investments, Inc. 31,900 207,350
Maguire Properties, Inc. 6,500 38,740
Medical Properties Trust, Inc. 11,700 132,795
Mid-America Apartment Communities, Inc. 4,400 216,216
Mission West Properties, Inc. 2,500 24,350
Monmouth Real Estate Investment Corp. Class A 4,100 31,939
National Health Investors, Inc. 3,800 129,884
National Retail Properties, Inc. 11,900 285,005
Newcastle Investment Corp. 9,400 59,690
NorthStar Realty Finance Corp. 10,000 77,500
Omega Healthcare Investors, Inc. 13,200 259,512
One Liberty Properties, Inc. 1,700 30,039
PS Business Parks, Inc. 2,500 144,000
Parkway Properties, Inc. 2,600 98,436
Pennsylvania Real Estate Investment Trust 6,200 116,870
36
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Post Properties, Inc. 7,400 $ 206,978
Potlatch Corp. 6,639 307,983
RAIT Investment Trust 10,840 59,512
Ramco-Gershenson Properties Trust 3,000 67,260
Realty Income Corp. 17,100 437,760
Redwood Trust, Inc. 5,700 123,861
Saul Centers, Inc. 1,800 90,972
Senior Housing Properties Trust 18,800 448,004
Sovran Self Storage, Inc. 3,600 160,884
Strategic Hotel Capital, Inc. 12,100 91,355
Sun Communities, Inc. 3,100 61,411
Sunstone Hotel Investors, Inc. 9,200 124,200
Tanger Factory Outlet Centers, Inc. 5,100 223,329
U-Store-It Trust 8,800 107,976
Universal Health Realty Income Trust 1,900 73,910
Urstadt Biddle Properties, Inc. Class A 3,400 63,750
Washington Real Estate Investment Trust (b) 8,300 304,029
Winthrop Realty Trust, Inc. 7,500 29,250
-------------
10,826,866
------------------------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & Boats - 0.2% Fleetwood Enterprises, Inc. (a) 10,900 11,118
Marine Products Corp. 1,600 13,280
Polaris Industries, Inc. 5,400 245,646
Winnebago Industries, Inc. 4,800 62,016
-------------
332,060
------------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Commercial - 0.1% Aircastle Ltd. 8,300 82,253
Electro Rent Corp. 3,500 47,005
H&E Equipment Services, Inc. (a) 2,600 25,116
McGrath RentCorp 3,900 112,398
-------------
266,772
------------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Consumer - 0.3% Aaron Rents, Inc. 7,500 203,025
Amerco, Inc. (a) 1,600 67,088
Dollar Thrifty Automotive Group, Inc. (a) 3,600 6,948
RSC Holdings, Inc. (a) 7,800 88,608
Rent-A-Center, Inc. (a) 11,500 256,220
-------------
621,889
------------------------------------------------------------------------------------------------------------------------------------
Restaurants - 1.2% AFC Enterprises, Inc. (a) 3,600 26,136
BJ's Restaurants, Inc. (a) 2,400 28,656
Bob Evans Farms, Inc. 5,300 144,637
Buffalo Wild Wings, Inc. (a) 2,900 116,696
CBRL Group, Inc. 3,458 90,945
CEC Entertainment, Inc. (a) 3,600 119,520
CKE Restaurants, Inc. 8,800 93,280
California Pizza Kitchen, Inc. (a) 4,050 52,123
The Cheesecake Factory, Inc. (a) 10,700 156,434
Denny's Corp. (a) 16,800 43,176
DineEquity, Inc. 2,900 48,894
37
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Domino's Pizza, Inc. (a) 6,600 $ 80,124
Einstein Noah Restaurant Group, Inc. (a) 1,200 12,096
Jack in the Box, Inc. (a) 9,900 208,890
Krispy Kreme Doughnuts, Inc. (a) 10,500 34,650
Landry's Restaurants, Inc. 2,300 35,765
Luby's, Inc. (a) 3,300 26,532
O'Charleys, Inc. 3,700 32,375
P.F. Chang's China Bistro, Inc. (a) 3,700 87,098
Papa John's International, Inc. (a) 3,800 103,208
Red Robin Gourmet Burgers, Inc. (a) 2,600 69,680
Ruby Tuesday, Inc. (a) 8,800 50,952
Ruth's Hospitality Group, Inc. (a) 3,400 13,362
Sonic Corp. (a) 10,170 148,177
The Steak n Shake Co. (a) 4,600 39,928
Texas Roadhouse, Inc. Class A (a) 8,600 77,314
Wendy's 68,026 357,817
-------------
2,298,465
------------------------------------------------------------------------------------------------------------------------------------
Retail - 2.8% 1-800-FLOWERS.COM, Inc. Class A (a) 4,400 26,488
99 Cents Only Stores (a) 7,300 80,081
Aeropostale, Inc. (a) 11,000 353,210
America's Car Mart, Inc. (a) 1,300 24,167
Asbury Automotive Group, Inc. 5,700 65,664
bebe Stores, Inc. 6,300 61,551
Bidz.com, Inc. (a) 1,600 13,840
Big 5 Sporting Goods Corp. 4,000 41,280
Blockbuster, Inc. Class A (a) 31,200 63,960
Blue Nile, Inc. (a) 2,300 98,601
Borders Group, Inc. 10,200 66,912
Brown Shoe Co., Inc. 7,125 116,707
The Buckle, Inc. 2,400 133,296
Build-A-Bear Workshop, Inc. (a) 2,500 18,200
Cabela's, Inc. Class A (a) 6,000 72,480
Cache, Inc. (a) 1,900 13,053
Casual Male Retail Group, Inc. (a) 6,300 24,759
The Cato Corp. Class A 5,000 87,750
Central Garden & Pet Co. Class A (a) 10,869 64,671
Charlotte Russe Holding, Inc. (a) 3,400 34,850
Charming Shoppes, Inc. (a) 19,100 93,399
Chico's FAS, Inc. (a) 30,300 165,741
The Children's Place Retail Stores, Inc. (a) 3,800 126,730
Christopher & Banks Corp. 6,000 46,020
Circuit City Stores, Inc. 29,500 22,420
Coldwater Creek, Inc. (a) 10,200 59,058
Collective Brands, Inc. (a) 10,400 190,424
Conn's, Inc. (a) 1,600 29,936
Dillard's, Inc. Class A 9,900 116,820
38
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Dress Barn, Inc. (a) 7,600 $ 116,204
drugstore.com, Inc. (a) 13,200 31,020
Ezcorp, Inc. (a) 6,100 114,680
FGX International Holdings Ltd. (a) 1,900 21,033
Fred's, Inc. 6,700 95,274
GSI Commerce, Inc. (a) 4,000 61,920
Gaiam, Inc. (a) 3,000 31,800
Genesco, Inc. (a) 3,000 100,440
Group 1 Automotive, Inc. 3,600 78,228
Gymboree Corp. (a) 4,600 163,300
Hibbett Sports, Inc. (a) 4,450 89,089
Hot Topic, Inc. (a) 7,800 51,558
Insight Enterprises, Inc. (a) 8,100 108,621
Jo-Ann Stores, Inc. (a) 4,200 88,116
Jos. A. Bank Clothiers, Inc. (a) 3,125 105,000
Lawson Products, Inc. 979 27,069
Lumber Liquidators, Inc. (a) 1,800 22,608
MarineMax, Inc. (a) 2,700 19,521
Men's Wearhouse, Inc. 8,900 189,036
New York & Co. (a) 3,500 33,390
Overstock.com, Inc. (a) 2,700 53,487
PC Connection, Inc. (a) 1,000 6,690
PC Mall, Inc. (a) 2,100 14,343
Pacific Sunwear of California, Inc. (a) 11,400 76,722
The Pantry, Inc. (a) 3,800 80,522
The Pep Boys - Manny, Moe & Jack 7,100 43,878
PetMed Express, Inc. (a) 4,300 67,510
Pier 1 Imports, Inc. (a) 15,000 61,950
PriceSmart, Inc. 2,100 35,154
Retail Ventures, Inc. (a) 3,500 13,650
Rush Enterprises, Inc. Class A (a) 5,700 72,960
Russ Berrie & Co., Inc. (a) 2,200 16,874
Sally Beauty Co., Inc. (a) 15,100 129,860
School Specialty, Inc. (a) 3,400 106,046
Shutterfly, Inc. (a) 3,600 34,596
Sonic Automotive, Inc. 4,400 37,224
Stage Stores, Inc. 6,450 88,107
Stamps.com, Inc. (a) 2,900 33,843
Stein Mart, Inc. 4,300 16,813
Syms Corp. (a) 1,000 13,510
Systemax, Inc. 1,500 21,090
The Talbots, Inc. 3,700 48,470
Tractor Supply Co. (a) 5,400 227,070
Tuesday Morning Corp. (a) 5,100 21,063
Tween Brands, Inc. (a) 3,700 36,223
Volcom, Inc. (a) 3,200 55,296
39
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
The Wet Seal, Inc. Class A (a) 16,200 $ 58,806
Zale Corp. (a) 5,700 142,500
Zumiez, Inc. (a) 3,300 54,384
-------------
5,528,616
------------------------------------------------------------------------------------------------------------------------------------
Savings & Loan - 1.1% Anchor Bancorp Wisconsin, Inc. 3,400 24,990
Bank Mutual Corp. 8,500 96,475
Berkshire Hills Bancorp, Inc. 1,500 48,000
Brookline Bancorp, Inc. 10,200 130,458
Brooklyn Federal Bancorp, Inc. 900 13,311
Danvers Bancorp, Inc. 3,300 42,075
Dime Community Bancshares, Inc. 4,400 66,968
Downey Financial Corp. 3,400 9,520
ESSA Bancorp, Inc. 3,300 45,870
First Financial Holdings, Inc. 2,300 60,214
First Financial Northwest, Inc. 4,300 44,376
First Niagara Financial Group, Inc. 18,400 289,800
First Place Financial Corp. 2,300 29,555
FirstFed Financial Corp. (a) 2,300 18,032
Flagstar Bancorp, Inc. 7,400 22,052
Flushing Financial Corp. 3,400 59,500
Guaranty Financial Group, Inc. (a) 4,600 18,170
Home Federal Bancorp, Inc. 900 11,475
IBERIABANK Corp. 2,300 121,555
Kearny Financial Corp. 3,000 36,720
Meridian Interstate Bancorp, Inc. (a) 1,600 16,336
NASB Financial, Inc. 300 8,157
NewAlliance Bancshares, Inc. 18,300 275,049
Northwest Bancorp, Inc. 2,900 79,866
OceanFirst Financial Corp. 1,800 32,616
Ocwen Financial Corp. (a) 5,800 46,690
Provident Financial Services, Inc. 10,100 166,751
Provident New York Bancorp 6,900 91,218
Rockville Financial, Inc. 1,400 22,050
Roma Financial Corp. 1,100 16,225
Sterling Financial Corp. 8,260 119,770
United Community Financial Corp. 4,400 22,000
ViewPoint Financial Group 1,800 31,500
W Holding Co., Inc. 18,600 10,044
Westfield Financial, Inc. 5,900 60,770
-------------
2,188,158
------------------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & Services - 0.5% Diamond Hill Investments Group (a) 400 35,968
GFI Group, Inc. 11,000 51,810
Gladstone Investment Corp. 4,300 29,584
International Assets Holding Corp., Inc. (a) 600 14,466
KBW, Inc. (a) 4,400 144,936
Knight Capital Group, Inc. Class A (a) 15,900 236,274
40
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
LaBranche & Co., Inc. (a) 8,600 $ 38,700
Ladenburg Thalmann Financial Services, Inc. (a) 14,800 26,640
MarketAxess Holdings, Inc. (a) 5,100 41,157
optionsXpress Holdings, Inc. 7,300 141,766
Penson Worldwide, Inc. (a) 3,100 42,997
SWS Group, Inc. 4,300 86,688
Thomas Weisel Partners Group, Inc. (a) 3,021 25,467
-------------
916,453
------------------------------------------------------------------------------------------------------------------------------------
Services: Commercial - 3.1% ABM Industries, Inc. 7,400 161,616
AMN Healthcare Services, Inc. (a) 5,700 100,149
Administaff, Inc. 3,800 103,436
The Advisory Board Co. (a) 3,100 93,496
Ambassadors Group, Inc. 3,500 55,685
CBIZ, Inc. (a) 7,600 64,220
CDI Corp. 2,300 51,359
CRA International, Inc. (a) 2,000 54,960
Casella Waste Systems, Inc. (a) 3,700 43,438
Chemed Corp. 4,000 164,240
Coinstar, Inc. (a) 4,700 150,400
Cornell Cos., Inc. (a) 1,700 46,206
CoStar Group, Inc. (a) 3,300 149,787
Cross Country Healthcare, Inc. (a) 5,600 91,224
Dice Holdings, Inc. (a) 2,100 14,910
DynCorp. International, Inc. (a) 4,100 68,716
Exponent, Inc. (a) 2,500 82,725
First Advantage Corp. Class A (a) 2,000 28,100
Forrester Research, Inc. (a) 2,400 70,368
G&K Services, Inc. Class A 3,300 109,065
The Geo Group, Inc. (a) 8,800 177,848
Gevity HR, Inc. 4,600 33,488
Global Sources Ltd. (a) 2,680 26,988
Global Traffic Network, Inc. (a) 2,300 21,321
Heidrick & Struggles International, Inc. 3,100 93,465
Hudson Highland Group, Inc. (a) 4,100 28,495
ICF International, Inc. (a) 1,300 25,675
ICT Group, Inc. (a) 1,300 10,465
IKON Office Solutions, Inc. 13,700 233,037
Jackson Hewitt Tax Service, Inc. 4,400 67,496
Kelly Services, Inc. Class A 4,600 87,630
Kforce, Inc. (a) 5,100 52,071
The Knot, Inc. (a) 4,800 40,080
Korn/Ferry International (a) 7,400 131,868
Liquidity Services, Inc. (a) 1,900 20,615
MAXIMUS, Inc. 3,000 110,520
MPS Group, Inc. (a) 15,900 160,272
Midas, Inc. (a) 2,700 37,152
41
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Monro Muffler, Inc. 2,800 $ 64,568
Navigant Consulting, Inc. (a) 8,300 165,087
Net 1 UEPS Technologies, Inc. (a) 7,300 163,009
Nutri/System, Inc. 5,400 95,688
On Assignment, Inc. (a) 5,300 41,764
Orbitz Worldwide, Inc. (a) 5,300 31,111
PHH Corp. (a) 8,400 111,636
PRG-Schultz International, Inc. (a) 2,900 25,984
People Support, Inc. (a) 3,700 43,253
Perficient, Inc. (a) 5,200 34,528
Pre-Paid Legal Services, Inc. (a) 1,500 61,890
The Providence Service Corp. (a) 2,100 20,580
Regis Corp. 7,300 200,750
Resources Connection, Inc. (a) 7,900 177,987
Rollins, Inc. 7,400 140,452
Spherion Corp. (a) 10,000 48,700
Standard Parking Corp. (a) 1,400 31,108
Steiner Leisure Ltd. (a) 2,500 85,950
TeleTech Holdings, Inc. (a) 6,600 82,104
Tetra Tech, Inc. (a) 9,900 238,194
TrueBlue, Inc. (a) 7,500 121,200
Unifirst Corp. 2,200 94,798
Viad Corp. 3,400 97,886
Volt Information Sciences, Inc. (a) 2,150 19,307
Waste Connections, Inc. (a) 10,800 370,440
Waste Services, Inc. (a) 3,233 23,957
Watson Wyatt Worldwide, Inc. 7,000 348,110
World Fuel Services Corp. 4,600 105,938
-------------
6,108,565
------------------------------------------------------------------------------------------------------------------------------------
Shipping - 0.6% American Commercial Lines, Inc. (a) 6,200 65,968
Arlington Tankers Ltd. 1,800 27,684
DHT Maritime, Inc. 7,100 47,712
Eagle Bulk Shipping, Inc. 7,900 110,126
Genco Shipping & Trading Ltd. 3,900 129,636
General Maritime Corp. 4,500 87,660
Golar LNG Ltd. 6,000 79,680
Gulfmark Offshore, Inc. (a) 3,600 161,568
Horizon Lines, Inc. Class A 5,100 50,337
International Shipholding Corp. (a) 1,200 26,280
Knightsbridge Tankers Ltd. 2,600 68,822
Nordic American Tanker Shipping Ltd. 5,900 189,154
Ship Finance International Ltd. 7,100 153,076
TBS International Ltd. (a) 2,200 29,612
-------------
1,227,315
------------------------------------------------------------------------------------------------------------------------------------
Shoes - 0.6% Crocs, Inc. (a) 14,400 51,552
DSW, Inc. Class A (a) 2,600 35,620
42
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Deckers Outdoor Corp. (a) 2,200 $ 228,976
The Finish Line, Inc. Class A 7,655 76,473
Iconix Brand Group, Inc. (a) 10,000 130,800
K-Swiss, Inc. Class A 4,200 73,080
Kenneth Cole Productions, Inc. Class A 1,500 22,050
Shoe Carnival, Inc. (a) 1,400 22,932
Skechers U.S.A., Inc. Class A (a) 5,400 90,882
Steven Madden Ltd. (a) 3,200 79,296
Timberland Co. Class A (a) 7,900 137,223
Weyco Group, Inc. 900 30,123
Wolverine World Wide, Inc. (b) 8,400 222,264
-------------
1,201,271
------------------------------------------------------------------------------------------------------------------------------------
Steel - 0.1% China Precision Steel, Inc. (a) 4,700 15,651
General Steel Holdings, Inc. (a) 1,300 9,282
Olympic Steel, Inc. 1,600 47,184
Sutor Technology Group Ltd. (a) 1,700 5,525
Universal Stainless & Alloy Products, Inc. (a) 1,100 28,105
-------------
105,747
------------------------------------------------------------------------------------------------------------------------------------
Sugar - 0.0% Imperial Sugar Co. New Shares 1,900 25,726
------------------------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment - 0.6% Airvana, Inc. (a) 3,700 21,793
Applied Signal Technology, Inc. 2,400 41,712
Arris Group, Inc. (a) 21,046 162,686
Audiovox Corp. Class A (a) 2,800 26,236
Belden, Inc. 7,400 235,246
Mastec, Inc. (a) 6,900 91,701
OpNext, Inc. (a) 2,200 10,098
Plantronics, Inc. 8,200 184,664
Polycom, Inc. (a) 14,300 330,759
Powerwave Technologies, Inc. (a) 22,200 87,912
Preformed Line Products Co. 300 17,502
Symmetricom, Inc. (a) 8,000 39,760
-------------
1,250,069
------------------------------------------------------------------------------------------------------------------------------------
Textile Products - 0.1% Interface, Inc. Class A 9,000 102,330
Unifi, Inc. (a) 8,900 43,076
-------------
145,406
------------------------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers - 0.8% American Apparel, Inc. (a) 6,200 50,840
Carter's, Inc. (a) 9,100 179,543
Cherokee, Inc. 1,400 30,772
Columbia Sportswear Co. 2,200 92,312
G-III Apparel Group, Ltd. (a) 1,900 35,549
J. Crew Group, Inc. (a) 6,870 196,276
Lululemon Athletica, Inc. (a) 3,200 73,696
Maidenform Brands, Inc. (a) 3,300 47,883
Oxford Industries, Inc. 2,400 61,992
Perry Ellis International, Inc. (a) 1,850 27,584
Quiksilver, Inc. (a) 21,600 123,984
43
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
True Religion Apparel, Inc. (a) 3,000 $ 77,550
Under Armour, Inc. Class A (a) 5,500 174,680
The Warnaco Group, Inc. (a) 7,500 339,675
-------------
1,512,336
------------------------------------------------------------------------------------------------------------------------------------
Tires & Rubber - 0.1% Cooper Tire & Rubber Co. 9,900 85,140
Titan International, Inc. 5,750 122,590
-------------
207,730
------------------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.2% Alliance One International, Inc. (a)(b) 16,700 63,460
Schweitzer-Mauduit International, Inc. 2,600 49,374
Star Scientific, Inc. (a) 12,900 45,924
Universal Corp. 4,300 211,087
Vector Group Ltd. 5,795 102,339
-------------
472,184
------------------------------------------------------------------------------------------------------------------------------------
Toys - 0.2% Jakks Pacific, Inc. (a) 4,600 114,586
Leapfrog Enterprises, Inc. (a) 5,600 59,136
Marvel Entertainment, Inc. (a) 8,200 279,948
-------------
453,670
------------------------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous - 0.3% CAI International, Inc. (a) 1,100 12,166
Celadon Group, Inc. (a) 4,000 45,880
Dynamex, Inc. (a) 1,400 39,844
HUB Group, Inc. Class A (a) 6,200 233,430
Odyssey Marine Exploration, Inc. (a) 7,900 35,866
Pacer International, Inc. 5,900 97,173
Textainer Group Holdings Ltd. 1,500 22,785
Ultrapetrol Bahamas Ltd. (a) 4,100 32,185
-------------
519,329
------------------------------------------------------------------------------------------------------------------------------------
Truckers - 0.5% Arkansas Best Corp. 3,600 121,284
Forward Air Corp. 5,100 138,873
Heartland Express, Inc. 9,900 153,648
Knight Transportation, Inc. 9,450 160,366
Marten Transport Ltd. (a) 2,500 48,775
Old Dominion Freight Line, Inc. (a) 4,450 126,113
Patriot Transportation Holding, Inc. (a) 200 15,800
Saia, Inc. (a) 2,300 30,544
Universal Truckload Services, Inc. (a) 1,000 24,360
Werner Enterprises, Inc. 6,700 145,457
YRC Worldwide, Inc. (a) 9,840 117,686
-------------
1,082,906
------------------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical - 1.8% Allete, Inc. 4,200 186,900
Avista Corp. 9,200 199,732
Black Hills Corp. 6,400 198,848
CH Energy Group, Inc. 2,700 117,639
Central Vermont Public Service Corp. 1,300 30,472
Cleco Corp. 10,200 257,550
El Paso Electric Co. (a) 7,700 161,700
44
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
The Empire District Electric Co. 5,700 $ 121,695
IDACORP, Inc. 7,500 218,175
ITC Holdings Corp. 8,300 429,691
MGE Energy, Inc. 3,700 131,535
NorthWestern Corp. 6,500 163,345
Otter Tail Corp. 5,600 172,088
PNM Resources, Inc. 13,600 139,264
Pike Electric Corp. (a) 2,800 41,244
Portland General Electric Co. 10,800 255,528
UIL Holdings Corp. 4,333 148,752
Unisource Energy Corp. 5,800 169,302
Westar Energy, Inc. 17,200 396,288
-------------
3,539,748
------------------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors - 1.1% Chesapeake Utilities Corp. 1,400 46,494
EnergySouth, Inc. 1,200 73,716
The Laclede Group, Inc. 3,600 174,564
New Jersey Resources Corp. 7,100 254,819
Nicor, Inc. 7,300 323,755
Northwest Natural Gas Co. 4,500 234,000
Piedmont Natural Gas Co. 12,000 383,520
South Jersey Industries, Inc. 5,000 178,500
Southwest Gas Corp. 7,200 217,872
WGL Holdings, Inc. 8,000 259,600
-------------
2,146,840
------------------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications - 0.9% Alaska Communications Systems Group, Inc. 7,400 90,502
Atlantic Tele-Network, Inc. 1,300 36,400
Centennial Communications Corp. (a) 11,100 69,264
Cincinnati Bell, Inc. (a) 41,300 127,617
Consolidated Communications Holdings, Inc. 3,319 50,051
FairPoint Communications, Inc. 15,450 133,952
FiberTower Corp. (a) 20,310 28,028
General Communication, Inc. Class A (a) 8,400 77,784
Global Crossing Ltd. (a) 4,500 68,220
Globalstar, Inc. (a) 8,200 13,940
Hungarian Telephone & Cable Corp. (a) 500 9,950
ICO Global Communications Holdings Ltd. (a) 17,500 19,075
IDT Corp. Class B (a) 8,100 5,993
Ibasis, Inc. 4,100 14,309
iPCS, Inc. (a) 2,900 64,583
Iowa Telecommunications Services, Inc. 5,400 100,872
NTELOS Holdings Corp. 5,000 134,450
Neutral Tandem, Inc. (a) 2,700 50,058
ORBCOMM, Inc. (a) 4,300 21,199
PAETEC Holding Corp. (a) 20,570 44,225
Premiere Global Services, Inc. (a) 10,400 146,224
RCN Corp. (a) 6,200 76,012
45
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Shares
Industry Common Stocks Held Value
------------------------------------------------------------------------------------------------------------------------------------
Shenandoah Telecom Co. 3,700 $ 81,659
TW Telecom, Inc. (a) 24,830 257,984
USA Mobility, Inc. 4,300 47,300
Virgin Mobile USA, Inc. (a) 3,600 10,584
-------------
1,780,235
------------------------------------------------------------------------------------------------------------------------------------
Utilities: Water - 0.2% American States Water Co. 3,000 115,500
California Water Service Group 3,300 127,050
Connecticut Water Service, Inc. 1,700 49,215
Consolidated Water Co., Inc. 2,000 34,040
Middlesex Water Co. 2,500 43,675
SJW Corp. 2,300 68,931
Southwest Water Co. 3,965 50,554
-------------
488,965
------------------------------------------------------------------------------------------------------------------------------------
Wholesalers - 0.2% Brightpoint, Inc. (a) 8,430 60,696
Chindex International Inc. (a) 2,400 26,064
Houston Wire & Cable Co. 3,200 54,944
MWI Veterinary Supply, Inc. (a) 1,900 74,651
Prestige Brands Holdings, Inc. (a) 5,500 48,840
United Stationers, Inc. (a) 3,700 176,971
-------------
442,166
------------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $199,131,661) - 87.6% 173,261,519
------------------------------------------------------------------------------------------------------------------------------------
Investment Companies
------------------------------------------------------------------------------------------------------------------------------------
BlackRock Kelso Capital Corp. (c) 1,600 18,448
Gladstone Capital Corp. 2,900 44,196
Hercules Technology Growth Capital, Inc. 5,600 54,320
Kayne Anderson Energy Development Co. 1,400 23,702
Patriot Capital Funding, Inc. 3,500 22,295
Pennantpark Investment Corp. 3,600 26,676
Prospect Capital Corp. 3,700 47,397
------------------------------------------------------------------------------------------------------------------------------------
Total Investment Companies
(Cost - $359,241) - 0.1% 237,034
------------------------------------------------------------------------------------------------------------------------------------
Warrants (d)
------------------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous - 0.0% GreenHunter Energy, Inc. (expires 8/27/11) 60 0
------------------------------------------------------------------------------------------------------------------------------------
Total Warrants
(Cost - $0) - 0.0% 0
------------------------------------------------------------------------------------------------------------------------------------
Face
Short-Term Securities Amount
------------------------------------------------------------------------------------------------------------------------------------
Time Deposits - 12.0% State Street Bank & Trust Co., 1%, 10/01/08 $ 23,759,935 23,759,935
------------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $23,759,935) - 12.0% 23,759,935
------------------------------------------------------------------------------------------------------------------------------------
Total Investments Before Options Written
(Cost - $223,250,837*) - 99.7% 197,258,488
------------------------------------------------------------------------------------------------------------------------------------
46
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
Number of
Options Written Contracts Value
------------------------------------------------------------------------------------------------------------------------------------
Call Options Written Russell 2000 Index, expiring October 2008 at USD 760 1,100 $ (236,500)
Russell 2000 Index, expiring October 2008 at USD 770 250 (36,875)
------------------------------------------------------------------------------------------------------------------------------------
Total Options Written
(Premiums Received - $2,364,530) - (0.1%) (273,375)
------------------------------------------------------------------------------------------------------------------------------------
Total Investments, Net of Options Written
(Cost - $220,886,307) - 99.6% 196,985,113
Other Assets Less Liabilities - 0.4% 768,133
-------------
Net Assets - 100.0% $197,753,246
=============
* The cost and unrealized appreciation (depreciation) of investments
as of September 30, 2008, as computed for federal income tax
purposes, were as follows:
Aggregate cost $ 209,001,614
==============
Gross unrealized appreciation $ 4,408,034
Gross unrealized depreciation (16,151,160)
--------------
Net unrealized depreciation $ (11,743,126)
==============
(a) Non-income producing security.
(b) All or a portion of security held as collateral in connection with
open financial futures contracts.
(c) Investments in companies considered to be an affiliate of the Fund,
for purposes of Section 2(a)(3) of the Investment Company Act of
1940, were as follows:
--------------------------------------------------------------------
Purchase Sales Realized Dividend
Affiliate Cost Cost Loss Income
--------------------------------------------------------------------
Anthracite
Capital, Inc. $ 10,597 $ 21,642 ($8,391) $ 9,569
BlackRock Kelso
Capital Corp. $ 5,809 -- -- $ 1,548
--------------------------------------------------------------------
(d) Warrants entitle the Fund to purchase a predetermined number of
shares of common stock and are non-income producing. The purchase
price and number of shares are subject to adjustment under certain
conditions until the expiration date.
o For Fund portfolio compliance purposes, the Fund's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Fund
management. This definition may not apply for purposes of this
report, which may combine industry sub-classifications for reporting
ease. Industries are shown as a percent of net assets.
o Financial futures contracts purchased as of September 30, 2008 were
as follows:
--------------------------------------------------------------------
Number of Expiration Face Appreciation
Contracts Issue Date Value (Depreciation)
--------------------------------------------------------------------
348 Russell December
2000 Index 2008 $ 24,831,315 $ (1,222,995)
--------------------------------------------------------------------
47
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of September 30, 2008 (Unaudited)
--------------------------------------------------------------------------------
o Effective January 1, 2008, the Fund adopted Financial Accounting
Standards Board Statement of Financial Accounting Standards No. 157,
"Fair Value Measurements" ("FAS 157"). FAS 157 clarifies the
definition of fair value, establishes a framework for measuring fair
values and requires additional disclosures about the use of fair
value measurements. Various inputs are used in determining the fair
value of investments, which are as follows:
o Level 1 - price quotations in active markets/exchanges
for identical securities
o Level 2 - other observable inputs (including, but not
limited to: quoted prices for similar assets or
liabilities in markets that are not active, inputs other
than quoted prices that are observable for the assets or
liabilities (such as interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit
risks, and default rates) or other market-corroborated
inputs)
o Level 3 - unobservable inputs based on the best
information available in the circumstance, to the extent
observable inputs are not available (including the
Fund's own assumption used in determining the fair value
of investments)
The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in
those securities. For information about the Fund's policy regarding
valuation of investments and other significant accounting policies,
please refer to the Fund's most recent financial statements as
contained in its semi-annual report.
The following table summarizes the inputs used as of September 30,
2008 in determining the fair valuation of the Fund's investments:
--------------------------------------------------------------------
Valuation Investments in Other Financial
Inputs Securities Instruments*
--------------------------------------------------------------------
Level 1 $ 197,247,499 $ (1,496,370)
Level 2 10,989 --
Level 3 -- --
--------------------------------------------------------------------
Total $ 197,258,488 $ (1,496,370)
========================================
* Other financial instruments are futures and options.
48
Item 2 - Controls and Procedures
2(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")) are effective as of a date within 90 days of the filing
of this report based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act and Rule
13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(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)
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
Certifications - Attached hereto
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.
Small Cap Premium & Dividend Income Fund Inc.
By: /s/ Mitchell M. Cox
---------------------------
Mitchell M. Cox
Chief Executive Officer (principal executive officer) of
Small Cap Premium & Dividend Income Fund Inc.
Date: November 24, 2008
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: /s/ Mitchell M. Cox
---------------------------
Mitchell M. Cox
Chief Executive Officer (principal executive officer) of
Small Cap Premium & Dividend Income Fund Inc.
Date: November 24, 2008
By: /s/ James E. Hillman
---------------------------
James E. Hillman
Chief Financial Officer (principal financial officer) of
Small Cap Premium & Dividend Income Fund Inc.
Date: November 24, 2008