UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21746
Name of Fund: Small Cap Premium & Dividend Income Fund Inc.
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: (212) 449-4742
Date of fiscal year end: 12/31/07
Date of reporting period: 01/01/07 - 06/30/07
Item 1 - Report to Stockholders
Small Cap Premium &
Dividend Income Fund Inc.
Semi-Annual Report
(Unaudited)
June 30, 2007
[LOGO] IQ INVESTMENT BLACKROCK
ADVISORS
Small Cap Premium & Dividend Income Fund Inc.
Proxy Results
During the six-month period ended June 30, 2007, the shareholders of Small Cap
Premium & Dividend Income Fund Inc. voted on the following proposal, which was
approved at an annual shareholders' meeting on April 27, 2007. A description of
the proposal and number of shares voted are as follows:
-------------------------------------------------------------------------------------------------------
Shares Voted Shares Withheld
For From Voting
-------------------------------------------------------------------------------------------------------
1. To elect the Fund's Board of Directors: Paul Glasserman 12,076,456 173,049
Steven W. Kohlhagen 12,079,256 170,249
William J. Rainer 12,082,650 166,855
-------------------------------------------------------------------------------------------------------
Directors and Officers
William J. Rainer, Director and Chairman of the Board
Paul Glasserman, Director and Chairman of the Audit Committee
Steven W. Kohlhagen, Director and Chairman of the
Nominating and Corporate Governance Committee
Donald C. Burke, Vice President and Secretary
Martin G. Byrne, Chief Legal Officer
Mitchell M. Cox, President
Justin C. Ferri, Vice President
Jay M. Fife, Vice President
James E. Hillman, Vice President and Treasurer
Catherine A. Johnston, Chief Compliance Officer
Colleen R. Rusch, Vice President
Custodian
State Street Bank and Trust Company
P.O. Box 351
Boston, MA 02101
Transfer Agent
The Bank of New York
101 Barclay Street -- 11 East
New York, NY 10286
NYSE Symbol
RCC
2 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
Portfolio Information
As of June 30, 2007
Percent of
Ten Largest Holdings Net Assets
--------------------------------------------------------------------------------
CF Industries Holdings, Inc. ....................................... 0.2%
Flir Systems, Inc. ................................................. 0.2
Polycom, Inc. ...................................................... 0.2
Florida East Coast Industries, Inc. ................................ 0.2
Time Warner Telecom, Inc. Class A .................................. 0.2
Sotheby's Holdings, Inc. Class A ................................... 0.2
Hologic, Inc. ...................................................... 0.2
ValueClick, Inc. ................................................... 0.2
Alexandria Real Estate Equities, Inc. .............................. 0.2
Equinix, Inc. ...................................................... 0.2
--------------------------------------------------------------------------------
Percent of
Five Largest Industries Net Assets
--------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) .............................. 6.1%
Banks: Outside New York City ....................................... 5.3
Computer Services Software & Systems ............................... 4.8
Retail ............................................................. 3.7
Services: Commercial ............................................... 3.5
--------------------------------------------------------------------------------
Percent of
Sector Representation Long-Term Investments
--------------------------------------------------------------------------------
Financials Services ............................................... 22.7%
Consumer Discretionary ............................................ 19.3
Technology ........................................................ 13.2
Health Care ....................................................... 11.5
Materials & Processing ............................................ 9.6
Producer Durables ................................................. 7.5
Other Energy ...................................................... 4.9
Auto & Transportation ............................................. 4.4
Utilities ......................................................... 4.1
Consumer Staples .................................................. 2.3
Other ............................................................. 0.4
Integrated Oils ................................................... 0.1
--------------------------------------------------------------------------------
For Fund portfolio compliance purposes, the Fund's industry and sector
classifications refer to any one or more of the industry and sector
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 and sector sub-classifications for reporting ease.
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 3
A Discussion With Your Fund's Portfolio Managers
We are pleased to provide you with this shareholder report for Small Cap
Premium & Dividend Income Fund Inc. (the "Fund"). While the Fund is advised by
IQ Investment Advisors, the following discussion is provided by BlackRock
Investment Management, LLC, the Fund's subadviser.
The investment objective of the Fund is to provide shareholders with a high
level of income, with a secondary objective of capital appreciation.
How did the Fund perform during the six-month period?
For the six-month period ending June 30, 2007, the Common Stock of the Fund had
a total investment return of +4.42%, based on a change in per share net asset
value of $18.80 to $18.63, and assuming reinvestment of a $1.00 distribution
paid on June 29, 2007. During the same period, the Russell 2000(R) Index, the
Fund's unmanaged reference index, had a total return of +6.45% (including
reinvestment of any dividends).
For more detail with regard to the Fund's total investment return based on a
change in the per share market value of the Fund's Common Stock (as measured by
the trading price of the Fund's shares on the New York Stock Exchange), and
assuming reinvestment of dividends, please refer to the Financial Highlights
section of this report. As a closed-end fund, the Fund's shares may trade in the
secondary market at a premium or discount to the Fund's net asset value. As a
result, total investment returns based on changes in the market value of the
Fund's Common Stock can vary significantly from total investment returns based
on changes in the Fund's net asset value.
How did you manage the portfolio during the six-month period?
Our overall investment strategy involves a three-pronged approach aimed at
achieving the Fund's objectives. First, we use a proprietary, quantitative model
to build a diversified portfolio of stocks that approximates the sector weights
and risk characteristics of the Russell 2000 Index. Second, we sell Russell 2000
Index call options in an effort to generate additional income for the Fund's
shareholders. Finally, the third element of our investment strategy involves the
periodic rebalancing of the portfolio in order to track the risks and
composition of the Russell 2000 Index.
How would you characterize the Fund's position at the close of the six-month
period?
We are continuing in our efforts to maintain a portfolio that closely replicates
the composition of the Russell 2000 Index. Given the Fund's investment process
and current positions, we believe the Fund is well positioned to meet its
objectives.
Jonathan Clark
Portfolio Manager
Debra L. Jelilian
Portfolio Manager
Jeffrey L. Russo, CFA
Portfolio Manager
July 13, 2007
Russell 2000 is a registered trademark of the Frank Russell Company.
4 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
Summary Schedule of Investments as of June 30, 2007 (Unaudited)
This summary schedule of investments is presented to help investors focus on the
Fund's principal holdings. It includes the Fund's 50 largest holdings and each
investment of any issuer that exceeds 1% of the Fund's net assets. "Other
Securities" represent all issues not required to be disclosed under the rules
adopted by the Securities and Exchange Commission. In addition, the summary
schedule of investments allows the adviser certain efficiencies. As such, any
cost savings in report production or printing are passed on to the Fund and,
ultimately to Fund shareholders. A complete schedule of investments is available
without charge, upon request, by calling 1-877-449-4742 or on the Securities and
Exchange Commission's Web site at http://www.sec.gov.
==========================================================================================================================
Shares Percent of
Industry Held Common Stocks Value Net Assets
==========================================================================================================================
Advertising Agencies 16,230 ValueClick, Inc. (a) $ 478,136 0.2%
Other Securities 888,059 0.3
---------------------------
1,366,195 0.5
--------------------------------------------------------------------------------------------------------------------------
Aerospace Other Securities 1,630,797 0.6
--------------------------------------------------------------------------------------------------------------------------
Agriculture, Fishing & Ranching Other Securities 174,636 0.1
--------------------------------------------------------------------------------------------------------------------------
Air Transport Other Securities 2,185,711 0.9
--------------------------------------------------------------------------------------------------------------------------
Aluminum Other Securities 367,930 0.1
--------------------------------------------------------------------------------------------------------------------------
Auto Parts: After Market Other Securities 391,834 0.1
--------------------------------------------------------------------------------------------------------------------------
Auto Parts: Original Equipment 12,470 Lear Corp. (a) 444,057 0.2
Other Securities 1,153,533 0.4
---------------------------
1,597,590 0.6
--------------------------------------------------------------------------------------------------------------------------
Auto, Trucks & Parts Other Securities 575,605 0.2
--------------------------------------------------------------------------------------------------------------------------
Banks: New York City Other Securities 163,680 0.1
--------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City Other Securities 13,546,339 5.3
--------------------------------------------------------------------------------------------------------------------------
Beverage: Brewers (Wineries) Other Securities 62,960 0.0
--------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks Other Securities 271,511 0.1
--------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & Production Other Securities 6,133,920 2.4
--------------------------------------------------------------------------------------------------------------------------
Building Materials Other Securities 1,383,269 0.5
--------------------------------------------------------------------------------------------------------------------------
Building: Cement Other Securities 47,795 0.0
--------------------------------------------------------------------------------------------------------------------------
Building: Heating & Plumbing Other Securities 155,580 0.1
--------------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous Other Securities 469,048 0.2
--------------------------------------------------------------------------------------------------------------------------
Building: Roofing & Wallboard Other Securities 130,823 0.1
--------------------------------------------------------------------------------------------------------------------------
Cable Television Services Other Securities 385,146 0.1
--------------------------------------------------------------------------------------------------------------------------
Casinos & Gambling Other Securities 1,466,385 0.6
--------------------------------------------------------------------------------------------------------------------------
Chemicals 9,000 CF Industries Holdings, Inc. 539,010 0.2
19,900 Hercules, Inc. (a) 391,035 0.1
Other Securities 3,011,860 1.2
---------------------------
3,941,905 1.5
--------------------------------------------------------------------------------------------------------------------------
Coal Other Securities 337,107 0.1
--------------------------------------------------------------------------------------------------------------------------
Commercial Information Services Other Securities 634,186 0.2
--------------------------------------------------------------------------------------------------------------------------
Communications & Media Other Securities 375,916 0.1
--------------------------------------------------------------------------------------------------------------------------
Communications Technology 5,000 Anixter International, Inc. (a)(b) 376,050 0.1
23,700 Foundry Networks, Inc. (a) 394,842 0.2
42,900 Sonus Networks, Inc. (a) 365,508 0.1
Other Securities 5,237,487 2.1
---------------------------
6,373,887 2.5
--------------------------------------------------------------------------------------------------------------------------
Computer Services Software & Systems 5,000 Equinix, Inc. (a) 457,350 0.2
6,800 Micros Systems, Inc. (a) 369,920 0.1
21,800 Nuance Communications, Inc. (a) 364,714 0.1
19,520 Parametric Technology Corp. (a) 421,827 0.2
Other Securities 10,636,105 4.2
---------------------------
12,249,916 4.8
--------------------------------------------------------------------------------------------------------------------------
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 5
Summary Schedule of Investments (continued)
==========================================================================================================================
Shares Percent of
Industry Held Common Stocks Value Net Assets
==========================================================================================================================
Computer Technology Other Securities $ 2,783,014 1.1%
--------------------------------------------------------------------------------------------------------------------------
Construction 5,200 EMCOR Group, Inc. (a) 379,080 0.2
5,900 Granite Construction, Inc. 378,662 0.2
4,700 Washington Group International, Inc. (a) 376,047 0.1
Other Securities 341,795 0.1
---------------------------
1,475,584 0.6
--------------------------------------------------------------------------------------------------------------------------
Consumer Electronics Other Securities 1,966,470 0.8
--------------------------------------------------------------------------------------------------------------------------
Consumer Products Other Securities 1,733,264 0.7
--------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Metals & Glass 11,500 AptarGroup, Inc. 408,940 0.1
Other Securities 724,054 0.3
---------------------------
1,132,994 0.4
--------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Paper & Plastic Other Securities 203,135 0.1
--------------------------------------------------------------------------------------------------------------------------
Copper Other Securities 213,528 0.1
--------------------------------------------------------------------------------------------------------------------------
Cosmetics Other Securities 459,320 0.2
--------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services Other Securities 1,647,547 0.6
--------------------------------------------------------------------------------------------------------------------------
Diversified Materials & Processing 7,500 Acuity Brands, Inc. 452,100 0.2
Other Securities 1,626,202 0.6
---------------------------
2,078,302 0.8
--------------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store Chains Other Securities 1,569,760 0.6
--------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals Other Securities 5,813,605 2.3
--------------------------------------------------------------------------------------------------------------------------
Education Services Other Securities 1,248,064 0.5
--------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics Other Securities 700,843 0.3
--------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & Components 7,470 Baldor Electric Co. 368,122 0.1
Other Securities 2,029,730 0.8
---------------------------
2,397,852 0.9
--------------------------------------------------------------------------------------------------------------------------
Electrical: Household Appliance Other Securities 49,872 0.0
--------------------------------------------------------------------------------------------------------------------------
Electronics 11,400 Flir Systems, Inc. (a) 527,250 0.2
Other Securities 1,373,757 0.5
---------------------------
1,901,007 0.7
--------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments, 4,890 Itron, Inc. (a) 381,127 0.1
Gauges & Meters Other Securities 221,272 0.1
---------------------------
602,399 0.2
--------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems 8,750 Hologic, Inc. (a) 483,963 0.2
Other Securities 2,124,499 0.8
---------------------------
2,608,462 1.0
--------------------------------------------------------------------------------------------------------------------------
Electronics: Semi-Conductors/ 37,900 ON Semiconductor Corp. (a) 406,288 0.2
Components Other Securities 4,613,222 1.8
---------------------------
5,019,510 2.0
--------------------------------------------------------------------------------------------------------------------------
Electronics: Technology Other Securities 1,277,803 0.5
--------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous Other Securities 1,404,871 0.5
--------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting Services Other Securities 1,313,557 0.5
--------------------------------------------------------------------------------------------------------------------------
Entertainment Other Securities 911,784 0.4
--------------------------------------------------------------------------------------------------------------------------
Fertilizers 15,100 Terra Industries, Inc. (a) 383,842 0.1
--------------------------------------------------------------------------------------------------------------------------
Finance Companies 6,300 International Securities Exchange, Inc. 411,705 0.1
Other Securities 412,389 0.2
---------------------------
824,094 0.3
--------------------------------------------------------------------------------------------------------------------------
6 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
Summary Schedule of Investments (continued)
==========================================================================================================================
Shares Percent of
Industry Held Common Stocks Value Net Assets
==========================================================================================================================
Finance: Small Loan Other Securities $ 360,562 0.1%
--------------------------------------------------------------------------------------------------------------------------
Financial Data Processing Services 9,000 Deluxe Corp. 365,490 0.2
& Systems Other Securities 1,632,748 0.6
---------------------------
1,998,238 0.8
--------------------------------------------------------------------------------------------------------------------------
Financial Information Services Other Securities 640,991 0.2
--------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous 10,600 Sotheby's Holdings, Inc. Class A 487,812 0.2
Other Securities 1,782,298 0.7
---------------------------
2,270,110 0.9
--------------------------------------------------------------------------------------------------------------------------
Foods Other Securities 2,626,305 1.0
--------------------------------------------------------------------------------------------------------------------------
Forest Products Other Securities 212,778 0.1
--------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing Services Other Securities 171,894 0.1
--------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & Cemeteries Other Securities 142,557 0.1
--------------------------------------------------------------------------------------------------------------------------
Glass Other Securities 136,318 0.1
--------------------------------------------------------------------------------------------------------------------------
Gold Other Securities 267,536 0.1
--------------------------------------------------------------------------------------------------------------------------
Health Care Facilities Other Securities 1,721,948 0.7
--------------------------------------------------------------------------------------------------------------------------
Health Care Management Services Other Securities 1,474,666 0.6
--------------------------------------------------------------------------------------------------------------------------
Health Care Services Other Securities 1,674,291 0.7
--------------------------------------------------------------------------------------------------------------------------
Homebuilding Other Securities 669,973 0.3
--------------------------------------------------------------------------------------------------------------------------
Hotel/Motel Other Securities 205,393 0.1
--------------------------------------------------------------------------------------------------------------------------
Household Furnishings Other Securities 1,183,704 0.5
--------------------------------------------------------------------------------------------------------------------------
Identification Control & Filter Devices Other Securities 1,472,563 0.6
--------------------------------------------------------------------------------------------------------------------------
Industrial Products Other Securities 160,617 0.1
--------------------------------------------------------------------------------------------------------------------------
Insurance: Life Other Securities 1,110,800 0.4
--------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line Other Securities 2,736,682 1.1
--------------------------------------------------------------------------------------------------------------------------
Insurance: Property-Casualty 15,200 Aspen Insurance Holdings Ltd. 426,663 0.2
10,300 Ohio Casualty Corp. 446,093 0.2
Other Securities 3,953,153 1.5
---------------------------
4,825,909 1.9
--------------------------------------------------------------------------------------------------------------------------
Investment Management Companies 17,376 Apollo Investment Corp. 373,932 0.1
Other Securities 1,682,860 0.7
---------------------------
2,056,792 0.8
--------------------------------------------------------------------------------------------------------------------------
Jewelry, Watches & Gemstones Other Securities 318,596 0.1
--------------------------------------------------------------------------------------------------------------------------
Leisure Time Other Securities 1,301,472 0.5
--------------------------------------------------------------------------------------------------------------------------
Machine Tools Other Securities 64,974 0.0
--------------------------------------------------------------------------------------------------------------------------
Machinery & Engineering Other Securities 231,575 0.1
--------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural Other Securities 144,746 0.1
--------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & Handling Other Securities 330,537 0.1
--------------------------------------------------------------------------------------------------------------------------
Machinery: Engines Other Securities 279,284 0.1
--------------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty Other Securities 1,601,741 0.6
--------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well Equipment 15,100 Hanover Compressor Co. (a) 360,135 0.2
& Services Other Securities 3,401,087 1.3
---------------------------
3,761,222 1.5
--------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty 5,850 Bucyrus International, Inc. 414,063 0.2
Other Securities 304,232 0.1
---------------------------
718,295 0.3
--------------------------------------------------------------------------------------------------------------------------
Manufactured Housing Other Securities 181,527 0.1
--------------------------------------------------------------------------------------------------------------------------
Manufacturing Other Securities 187,862 0.1
--------------------------------------------------------------------------------------------------------------------------
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 7
Summary Schedule of Investments (continued)
==========================================================================================================================
Shares Percent of
Industry Held Common Stocks Value Net Assets
==========================================================================================================================
Medical & Dental Instruments & 7,200 Inverness Medical Innovations, Inc. (a) $ 367,344 0.1%
Supplies 7,800 Kyphon, Inc. (a) 375,570 0.1
5,100 Ventana Medical Systems, Inc. (a) 394,077 0.2
Other Securities 5,844,931 2.3
---------------------------
6,981,922 2.7
--------------------------------------------------------------------------------------------------------------------------
Medical Services Other Securities 701,230 0.3
--------------------------------------------------------------------------------------------------------------------------
Metal Fabricating Other Securities 2,443,695 1.0
--------------------------------------------------------------------------------------------------------------------------
Metals & Minerals Miscellaneous Other Securities 1,648,628 0.6
--------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain Processing Other Securities 28,730 0.0
--------------------------------------------------------------------------------------------------------------------------
Miscellaneous Business & Consumer
Discretionary Other Securities 57,568 0.0
--------------------------------------------------------------------------------------------------------------------------
Miscellaneous Consumer Staples Other Securities 91,264 0.0
--------------------------------------------------------------------------------------------------------------------------
Miscellaneous Health Care Other Securities 10,143 0.0
--------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials &
Commodities Other Securities 488,656 0.2
--------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials &
Processing Other Securities 722,152 0.3
--------------------------------------------------------------------------------------------------------------------------
Miscellaneous Producer Durables Other Securities 120,396 0.1
--------------------------------------------------------------------------------------------------------------------------
Miscellaneous Technology Other Securities 321,608 0.1
--------------------------------------------------------------------------------------------------------------------------
Multi-Sector Companies Other Securities 1,013,899 0.4
--------------------------------------------------------------------------------------------------------------------------
Office Furniture & Business
Equipment Other Securities 748,148 0.3
--------------------------------------------------------------------------------------------------------------------------
Offshore Drilling Other Securities 477,479 0.2
--------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers 26,250 PetroHawk Energy Corp. (a) 416,325 0.1
Other Securities 5,044,243 2.0
---------------------------
5,460,568 2.1
--------------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic Other Securities 277,029 0.1
--------------------------------------------------------------------------------------------------------------------------
Oil: Integrated International Other Securities 48,783 0.0
--------------------------------------------------------------------------------------------------------------------------
Paints & Coatings Other Securities 492,986 0.2
--------------------------------------------------------------------------------------------------------------------------
Paper Other Securities 1,102,924 0.4
--------------------------------------------------------------------------------------------------------------------------
Photography Other Securities 41,700 0.0
--------------------------------------------------------------------------------------------------------------------------
Plastics Other Securities 199,171 0.1
--------------------------------------------------------------------------------------------------------------------------
Pollution Control & Environmental
Services Other Securities 420,679 0.2
--------------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment Other Securities 242,008 0.1
--------------------------------------------------------------------------------------------------------------------------
Printing & Copying Services Other Securities 659,846 0.3
--------------------------------------------------------------------------------------------------------------------------
Production Technology Equipment Other Securities 2,895,749 1.1
--------------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous Other Securities 657,520 0.3
--------------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers Other Securities 728,791 0.3
--------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters Other Securities 1,284,608 0.5
--------------------------------------------------------------------------------------------------------------------------
Railroad Equipment Other Securities 513,539 0.2
--------------------------------------------------------------------------------------------------------------------------
Railroads 6,000 Florida East Coast Industries, Inc. 497,880 0.2
Other Securities 171,580 0.1
---------------------------
669,460 0.3
--------------------------------------------------------------------------------------------------------------------------
Real Estate Other Securities 465,733 0.2
--------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) 4,800 Alexandria Real Estate Equities, Inc. 464,736 0.2
13,700 Nationwide Health Properties, Inc. 372,640 0.1
7,100 Post Properties, Inc. 370,123 0.1
8 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
Summary Schedule of Investments (continued)
==========================================================================================================================
Shares Percent of
Industry Held Common Stocks Value Net Assets
==========================================================================================================================
Real Estate Investment Trusts (REITs) 16,600 Realty Income Corp. $ 418,154 0.2%
(concluded) Other Securities 14,001,921 5.5
---------------------------
15,627,574 6.1
--------------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & Boats Other Securities 692,348 0.3
--------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Commercial Other Securities 392,840 0.1
--------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Consumer Other Securities 852,271 0.3
--------------------------------------------------------------------------------------------------------------------------
Restaurants 5,000 Chipotle Mexican Grill, Inc. Class B (a) 393,150 0.2
5,100 Jack in the Box, Inc. (a) 361,794 0.1
Other Securities 3,641,126 1.4
---------------------------
4,396,070 1.7
--------------------------------------------------------------------------------------------------------------------------
Retail 8,400 Men's Wearhouse, Inc. 428,988 0.2
5,900 Priceline.com, Inc. (a) 405,566 0.2
Other Securities 8,528,742 3.3
---------------------------
9,363,296 3.7
--------------------------------------------------------------------------------------------------------------------------
Savings & Loan Other Securities 3,831,687 1.5
--------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & Suppliers Other Securities 404,442 0.2
--------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & Services Other Securities 1,236,675 0.5
--------------------------------------------------------------------------------------------------------------------------
Services: Commercial Other Securities 8,842,200 3.5
--------------------------------------------------------------------------------------------------------------------------
Shipping Other Securities 1,616,282 0.6
--------------------------------------------------------------------------------------------------------------------------
Shoes Other Securities 1,584,556 0.6
--------------------------------------------------------------------------------------------------------------------------
Steel Other Securities 666,117 0.3
--------------------------------------------------------------------------------------------------------------------------
Sugar Other Securities 58,501 0.0
--------------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment 25,300 Andrew Corp. (a)(b) 365,332 0.1
7,300 Belden, Inc. 404,055 0.2
14,900 Polycom, Inc. (a) 500,640 0.2
Other Securities 1,250,905 0.5
---------------------------
2,520,932 1.0
--------------------------------------------------------------------------------------------------------------------------
Textile Products Other Securities 167,854 0.1
--------------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers Other Securities 1,956,171 0.8
--------------------------------------------------------------------------------------------------------------------------
Tires & Rubber Other Securities 380,513 0.1
--------------------------------------------------------------------------------------------------------------------------
Tobacco Other Securities 645,141 0.3
--------------------------------------------------------------------------------------------------------------------------
Toys Other Securities 403,956 0.2
--------------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous Other Securities 575,911 0.2
--------------------------------------------------------------------------------------------------------------------------
Truckers Other Securities 1,135,130 0.5
--------------------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & Radio Other Securities 85,272 0.0
--------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical 15,300 Westar Energy, Inc. 371,484 0.1
Other Securities 3,181,493 1.3
---------------------------
3,552,977 1.4
--------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors Other Securities 2,008,985 0.8
--------------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous Other Securities 249,490 0.1
--------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications 24,430 Time Warner Telecom, Inc. Class A (a) 491,043 0.2
Other Securities 2,796,029 1.1
---------------------------
3,287,072 1.3
--------------------------------------------------------------------------------------------------------------------------
Utilities: Water Other Securities 397,845 0.2
--------------------------------------------------------------------------------------------------------------------------
Wholesale & International Trade Other Securities 200,796 0.1
--------------------------------------------------------------------------------------------------------------------------
Wholesalers Other Securities 785,594 0.3
--------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost -- $209,460,234) 235,317,722 92.3
==========================================================================================================================
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 9
Summary Schedule of Investments (concluded)
Percent of
Mutual Funds Value Net Assets
==========================================================================================================================
Other Securities $ 305,445 0.1%
--------------------------------------------------------------------------------------------------------------------------
Total Mutual Funds
(Cost -- $314,432) 305,445 0.1
==========================================================================================================================
==========================================================================================================================
Face
Amount Short-Term Securities
==========================================================================================================================
Time Deposits $20,931,213 State Street Bank & Trust Co.,
4.25% due 7/02/2007 20,931,213 8.2
--------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost -- $20,931,213) 20,931,213 8.2
--------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost -- $230,705,879) 256,554,380 100.6
==========================================================================================================================
==========================================================================================================================
Number of
Contracts Options Written
==========================================================================================================================
1,700 Russell 2000 Index, expiring July 2007
at USD 850 (1,360,000) (0.5)
--------------------------------------------------------------------------------------------------------------------------
Total Options Written
(Premiums Received -- $2,754,760) (1,360,000) (0.5)
==========================================================================================================================
Total Investments, Net of Options Written (Cost -- $227,951,119*) 255,194,380 100.1
Liabilities in Excess of Other Assets (110,563) (0.1)
---------------------------
Net Assets $255,083,817 100.0
===========================
* The cost and unrealized appreciation (depreciation) of investments, net of
options written, as of June 30, 2007 as computed for federal income tax
purposes, were as follows:
Aggregate cost ............................... $ 254,061,508
=============
Gross unrealized appreciation ................ $ 7,024,027
Gross unrealized depreciation ................ (5,891,155)
-------------
Net unrealized appreciation .................. $ 1,132,872
=============
(a) Non-income producing security.
(b) All or a portion of security held as collateral in connection with open
financial futures contracts.
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 rating 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.
o "Other Securities" represent issues that are not identified as the 50
largest holdings of the Fund and issues not exceeding 1% of net assets.
Some securities, or a portion thereof, in this category are held as
collateral in connection with open financial futures contracts.
o Financial futures contracts purchased as of June 30, 2007 were as follows:
---------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
---------------------------------------------------------------------
35 Russell September
2000 Index 2007 $14,815,949 $(79,199)
---------------------------------------------------------------------
See Notes to Financial Statements.
10 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
Statement of Assets, Liabilities and Capital
As of June 30, 2007 (Unaudited)
====================================================================================================================================
Assets
------------------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value (identified cost -- $230,705,879)
$256,554,380
Cash ............................................................................. 61,888
Receivables:
Dividends ..................................................................... $ 268,623
Securities sold ............................................................... 92,825
Interest ...................................................................... 2,471 363,919
------------
Prepaid expenses ................................................................. 12,705
------------
Total assets ..................................................................... 256,992,892
------------
====================================================================================================================================
Liabilities
------------------------------------------------------------------------------------------------------------------------------------
Options written, at value (premiums received -- $2,754,760) ...................... 1,360,000
Payables:
Investment adviser ............................................................ 181,710
Variation margin .............................................................. 56,704
Options written ............................................................... 41,050 279,464
------------
Accrued expenses ................................................................. 269,611
------------
Total liabilities ................................................................ 1,909,075
------------
====================================================================================================================================
Net Assets
------------------------------------------------------------------------------------------------------------------------------------
Net assets ....................................................................... $255,083,817
============
====================================================================================================================================
Capital
------------------------------------------------------------------------------------------------------------------------------------
Common Stock, par value $.001 per share, 100,000,000 shares authorized .............................. $ 13,694
Paid-in capital in excess of par .................................................................... 250,977,621
Accumulated distributions in excess of investment income -- net ..................................... $(12,746,022)
Accumulated realized capital losses -- net .......................................................... (10,325,538)
Unrealized appreciation -- net ...................................................................... 27,164,062
------------
Total accumulated earnings -- net ................................................................... 4,092,502
------------
Total capital -- Equivalent to $18.63 per share based on 13,693,810 shares
of Common Stock outstanding (market price -- $19.36) ........................................ $255,083,817
============
See Notes to Financial Statements.
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 11
Statement of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
====================================================================================================================================
Investment Income
------------------------------------------------------------------------------------------------------------------------------------
Dividends (net of $466 foreign withholding tax) ................. $ 1,141,932
Interest ........................................................ 581,640
-----------
Total income .................................................... 1,723,572
-----------
====================================================================================================================================
Expenses
------------------------------------------------------------------------------------------------------------------------------------
Investment advisory fees ........................................ $ 1,167,067
Professional fees ............................................... 50,828
Accounting services ............................................. 50,509
Transfer agent fees ............................................. 25,615
Directors' fees and expenses .................................... 24,937
Printing and shareholder reports ................................ 21,150
Licensing fees .................................................. 17,268
Repurchase offer fees ........................................... 12,096
Listing fees .................................................... 11,584
Custodian fees .................................................. 9,606
Other ........................................................... 14,421
------------
Total expenses .................................................. 1,405,081
-----------
Investment income -- net ........................................ 318,491
-----------
====================================================================================================================================
Realized & Unrealized Gain (Loss) -- Net
------------------------------------------------------------------------------------------------------------------------------------
Realized gain (loss) on:
Investments -- net ........................................... 7,462,901
Financial futures contracts -- net ........................... 1,220,924
Options written -- net ....................................... (4,225,206) 4,458,619
------------
Change in unrealized appreciation/depreciation on:
Investments -- net ........................................... 6,458,460
Financial futures contracts -- net ........................... 24,571
Options written -- net ....................................... (80,490) 6,402,541
---------------------------------
Total realized and unrealized gain -- net ....................... 10,861,160
-----------
Net Increase in Net Assets Resulting from Operations ............ $11,179,651
===========
See Notes to Financial Statements.
12 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
Statements of Changes in Net Assets
For the Six
Months Ended For the
June 30, Year Ended
2007 December 31,
Increase (Decrease) in Net Assets: (Unaudited) 2006
===================================================================================================================================
Operations
-----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net ...................................................... $ 318,491 $ 1,228,837
Realized gain -- net .......................................................... 4,458,619 11,354,409
Change in unrealized appreciation/depreciation -- net ......................... 6,402,541 23,345,428
---------------------------------
Net increase in net assets resulting from operations .......................... 11,179,651 35,928,674
---------------------------------
===================================================================================================================================
Dividends & Distributions to Shareholders
-----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net ...................................................... (13,611,798)+ (3,289,476)
Realized gain -- net .......................................................... -- (26,589,848)
Tax return of capital ......................................................... -- (1,629,839)
---------------------------------
Net decrease in net assets resulting from dividends and
distributions to shareholders ............................................... (13,611,798) (31,509,163)
---------------------------------
===================================================================================================================================
Common Stock Transactions
-----------------------------------------------------------------------------------------------------------------------------------
Adjustment of offering costs resulting from the issuance
of Common Stock ............................................................ 135,048 --
Net redemption of Common Stock resulting from a repurchase offer
(includes $45,013 of repurchase fees) ...................................... -- (77,602,567)
Value of shares issued to Common Stock shareholders in
reinvestment of dividends .................................................. 1,527,886 2,027,985
---------------------------------
Net increase (decrease) in net assets resulting from
Common Stock transactions .................................................. 1,662,934 (75,574,582)
---------------------------------
===================================================================================================================================
Net Assets
-----------------------------------------------------------------------------------------------------------------------------------
Total decrease in net assets ........................................... (769,213) (71,155,071)
Beginning of period .................................................... 255,853,030 327,008,101
----------------------------------
End of period* ......................................................... $ 255,083,817 $ 255,853,030
==================================
* Undistributed (accumulated distributions in excess of) investment
income -- net $ (12,746,022) $ 547,285
==================================
+ A portion of the dividends from net investment income may be deemed a tax
return of capital or net realized gain at fiscal year end.
See Notes to Financial Statements.
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 13
Financial Highlights
For the Six For the Period
Months Ended For the July 29,
June 30, Year Ended 2005+ to
The following per share data and ratios have been derived 2007 December 31, December 31,
from information provided in the financial statements. (Unaudited) 2006 2005
====================================================================================================================================
Per Share Operating Performance
------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ...................... $ 18.80 $ 18.16 $ 19.10
----------------------------------------------
Investment income -- net*** ............................... .02 .08 .04
Realized and unrealized gain (loss) -- net ................ .80 2.56++ (.12)
----------------------------------------------
Total from investment operations .......................... .82 2.64 (.08)
----------------------------------------------
Less dividends and distributions from:
Investment income -- net ............................... (1.00)@@ (.23) (.03)
Realized gain -- net ................................... -- (1.67) --
Tax return of capital .................................. -- (.10) (.80)
----------------------------------------------
Total dividends and distributions ......................... (1.00) (2.00) (.83)
----------------------------------------------
Offering costs, including adjustments, resulting from
the issuance of Common Stock ............................ .01 -- (.03)
----------------------------------------------
Net asset value, end of period ............................ $ 18.63 $ 18.80 $ 18.16
==============================================
Market price per share, end of period ..................... $ 19.36 $ 19.49 $ 16.09
==============================================
====================================================================================================================================
Total Investment Return**
------------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ........................ 4.42%@ 15.40% (.14%)@
==============================================
Based on market price per share ........................... 4.67%@ 35.03% (15.51%)@
==============================================
====================================================================================================================================
Ratios to Average Net Assets
------------------------------------------------------------------------------------------------------------------------------------
Expenses .................................................. 1.08%* 1.09% 1.07%*
==============================================
Investment income -- net .................................. .25%* .41% .56%*
==============================================
====================================================================================================================================
Supplemental Data
------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) .................. $ 255,084 $ 255,853 $ 327,008
==============================================
Portfolio turnover ........................................ 11% 26% 3%
==============================================
* Annualized.
** Total investment returns based on market value, which can be significantly
greater or lesser than the net asset value, may result in substantially
different returns. Total investment returns exclude the effects of sales
charges.
*** Based on average shares outstanding.
+ Commencement of operations.
++ Includes repurchase fees, which are less than $.01 per share.
@ Aggregate total investment return.
@@ A portion of the dividends from net investment income may be deemed a tax
return of capital or net realized gain at fiscal year end.
See Notes to Financial Statements.
14 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
Notes to Financial Statements (Unaudited)
1. Significant Accounting Policies:
Small Cap Premium & Dividend Income Fund Inc. (the "Fund") is registered under
the Investment Company Act of 1940, as amended, as a diversified, closed-end
management investment company with a fixed term of existence of approximately
five years. The Fund's financial statements are prepared in conformity with U.S.
generally accepted accounting principles, which may require the use of
management accruals and estimates. Actual results may differ from these
estimates. These unaudited financial statements reflect all adjustments, which
are, in the opinion of management, necessary to present a fair statement of the
results for the interim period. All such adjustments are of a normal, recurring
nature. The Fund determines and makes available for publication the net asset
value of its Common Stock on a daily basis. The Fund's Common Stock shares are
listed on the New York Stock Exchange ("NYSE") under the symbol RCC. The
following is a summary of significant accounting policies followed by the Fund.
(a) Valuation of investments -- Equity securities held by the Fund that are
traded on stock exchanges or the NASDAQ Global Market are valued at the last
sale price or official close price on the exchange, as of the close of business
on the day the securities are being valued or, lacking any sales, at the last
available bid price for long positions, and at the last available asked price
for short positions. In cases where equity securities are traded on more than
one exchange, the securities are valued on the exchange designated as the
primary market by or under the authority of the Board of Directors of the Fund.
Long positions traded in the over-the-counter ("OTC") market, NASDAQ Capital
Market or Bulletin Board are valued at the last available bid price or yield
equivalent obtained from one or more dealers or pricing services approved by the
Board of Directors of the Fund. Short positions traded in the OTC market are
valued at the last available asked price. Portfolio securities that are traded
both in the OTC market and on a stock exchange are valued according to the
broadest and most representative market.
Options written or purchased are valued at the last sale price in the case of
exchange-traded options. Options traded in the OTC market are valued at the last
asked price (options written) or the last bid price (options purchased). Swap
agreements are valued based upon quoted fair valuations received daily by the
Fund from a pricing service or counterparty. Financial futures contracts and
options thereon, which are traded on exchanges, are valued at their last sale
price as of the close of such exchanges. Obligations with remaining maturities
of 60 days or less are valued at amortized cost unless the investment adviser
believes that this method no longer produces fair valuations.
Repurchase agreements are valued at cost plus accrued interest. The Fund employs
pricing services to provide certain securities prices for the Fund. Securities
and assets for which market quotations are not readily available are valued at
fair value as determined in good faith by or under the direction of the Board of
Directors of the Fund, including valuations furnished by the pricing services
retained by the Fund, which may use a matrix system for valuations. The
procedures of a pricing service and its valuations are reviewed by the officers
of the Fund under the general supervision of the Fund's Board of Directors. Such
valuations and procedures will be reviewed periodically by the Board of
Directors of the Fund.
Generally, trading in foreign securities, as well as U.S. government securities,
money market instruments and certain fixed income securities, is substantially
completed each day at various times prior to the close of business on the NYSE.
The values of such securities used in computing the net asset value of the
Fund's shares are determined as of such times. Foreign currency exchange rates
generally will be determined as of the close of business on the NYSE.
Occasionally, events affecting the values of such securities and such exchange
rates may occur between the times at which they are determined and the close of
business on the NYSE that may not be reflected in the computation of the Fund's
net asset value. If events (for example, a company announcement, market
volatility or a natural disaster) occur during such periods that are expected to
materially affect the value of such securities, those securities may be valued
at their fair value as determined in good faith by the Fund's Board of Directors
or by the investment adviser using a pricing service and/or procedures approved
by the Fund's Board of Directors.
(b) Derivative financial instruments -- The Fund will engage in various
portfolio investment strategies both to enhance its returns or as a proxy for a
direct investment in securities underlying the Fund's index. Losses may arise
due to changes in the value of the contract due to an unfavorable change in the
price of the underlying security or index, or if the counterparty does not
perform under the contract. The counterparty for certain instruments may pledge
cash or securities as collateral.
o Options -- The Fund purchases and writes call options. When the Fund
writes an option, an amount equal to the premium received by the Fund is
reflected as an asset and an equivalent liability. The amount of the
liability is subsequently marked-to-market to reflect the current market
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 15
Notes to Financial Statements (continued)
value of the option written. When a security is purchased or sold through
an exercise of an option, the related premium paid (or received) is added
to (or deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option expires
(or the Fund enters into a closing transaction), the Fund realizes a gain
or loss on the option to the extent of the premiums received or paid (or
gain or loss to the extent the cost of the closing transaction exceeds the
premium paid or received).
Written and purchased options are non-income producing investments.
o Financial futures contracts -- The Fund may purchase or sell financial
futures contracts and options on such financial futures contracts.
Financial futures contracts are contracts for delayed delivery of
securities at a specific future date and at a specific price or yield.
Upon entering into a contract, the Fund deposits, and maintains, as
collateral such initial margin as required by the exchange on which the
transaction is effected. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as variation margin and are recorded by the Fund as unrealized gains or
losses. When the contract is closed, the Fund records a realized gain or
loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
(c) Income taxes -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no federal income tax provision is required.
(d) Security transactions and investment income -- Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Interest income is recognized on the accrual basis.
(e) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates. For the current period ended June 30,
2007, Fund management believes it is likely total dividends and distributions
may exceed net investment income and accumulated realized capital gains,
resulting in a portion of the total distribution treated as a tax return of
capital. Portions of the distributions paid by the Fund during the year ended
December 31, 2006 were characterized as a tax return of capital.
(f) Offering expenses -- Direct expenses relating to the public offering of the
Fund's Common Stock were charged to capital at the time of issuance of the
shares. Any adjustments to estimates of offering costs were recorded to capital.
(g) Recent accounting pronouncements -- Effective June 29, 2007, the Fund
implemented Financial Accounting Standards Board ("FASB") Interpretation No. 48,
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109" ("FIN 48"). FIN 48 prescribes the minimum recognition
threshold a tax position must meet in connection with accounting for
uncertainties in income tax positions taken or expected to be taken by an
entity, including investment companies, before being measured and recognized in
the financial statements. Management has evaluated the application of FIN 48 to
the Fund, and has determined that the adoption of FIN 48 does not have a
material impact on the Fund's financial statements. The Fund files U.S. and
various state tax returns. No income tax returns are currently under
examination.
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. At this time, management is evaluating the implications of FAS 157
and its impact on the Fund's financial statements, if any, has not been
determined.
In addition, in February 2007, Statement of Financial Accounting Standards No.
159, "The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), was issued and is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also elects
to apply the provisions of FAS 157. FAS 159 permits entities to choose to
measure many financial instruments and certain other items at fair value that
are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. At this time, management is evaluating
the implications of FAS 159 and its impact on the Fund's financial statements,
if any, has not been determined.
16 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
Notes to Financial Statements (concluded)
2. Investment Advisory Agreement and Transactions with Affiliates:
The Fund has entered into an Investment Advisory and Management Agreement with
IQ Investment Advisors LLC ("IQ"), an indirect subsidiary of Merrill Lynch &
Co., Inc. ("ML & Co."). IQ is responsible for the investment advisory,
management and administrative services to the Fund. In addition, IQ provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Fund. For such services, the Fund will pay a monthly
fee at an annual rate equal to .90% of the average daily value of the Fund's net
assets plus borrowings for leverage and other investment purposes. In addition,
IQ has entered into a Subadvisory Agreement with BlackRock Investment
Management, LLC (the "Subadviser"), an indirect, wholly owned subsidiary of
BlackRock, Inc. ("BlackRock"), pursuant to which the Subadviser provides certain
investment advisory services to IQ with respect to the Fund. For such services,
IQ will pay the Subadviser a monthly fee at an annual rate of .39% of the
average daily value of the Fund's net assets plus borrowings for leverage and
other investment purposes. There is no increase in the aggregate fees paid by
the Fund for these services.
IQ has entered into an Administration Agreement with Princeton Administrators,
LLC (the "Administrator"). The Administration Agreement provides that IQ will
pay the Administrator a fee from its investment advisory fee at an annual rate
equal to .12% of the average daily value of the Fund's net assets plus
borrowings for leverage and other investment purposes for the performance of
administrative and other services necessary for the operation of the Fund. There
is no increase in the aggregate fees paid by the Fund for these services. The
Administrator is an indirect subsidiary of BlackRock. ML & Co. is a principal
owner of BlackRock.
Merrill Lynch, Pierce, Fenner & Smith Incorporated, an affiliate of IQ, received
$2,155 in commissions on the execution of portfolio security transactions for
the Fund for the six months ended June 30, 2007.
Certain officers of the Fund are officers of IQ, ML & Co., BlackRock, Inc. or
its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 2007 were $25,746,520 and $39,661,468, respectively.
Transactions in options written for the six months ended June 30, 2007 were as
follows:
--------------------------------------------------------------------------------
Number of Premiums
Contracts Received
--------------------------------------------------------------------------------
Outstanding call options written,
at beginning of period .................. 1,650 $ 2,422,350
Options written ............................ 14,050 19,342,083
Options expired ............................ (2,275) (2,309,000)
Options closed ............................. (11,725) (16,700,673)
-------------------------
Outstanding call options written,
at end of period ........................ 1,700 $ 2,754,760
=========================
4. Common Stock Transactions:
The Fund is authorized to issue 100,000,000 shares of stock, all of which are
initially classified as Common Stock, par value $.001. The Board of Directors is
authorized, however, to classify and reclassify any unissued shares of Common
Stock without approval of the holders of Common Stock.
Shares issued and outstanding during the six months ended June 30, 2007
increased by 82,012 as a result of dividend reinvestment. Shares issued and
outstanding during the year ended December 31, 2006 increased by 107,871 as a
result of dividend reinvestment and decreased by 4,501,309 as a result of a
repurchase.
The Fund will make offers to repurchase its shares at annual (approximately
12-month) intervals. The shares tendered in the repurchase offer will be subject
to a repurchase fee retained by the Fund to compensate the Fund for expenses
directly related to the repurchase offer.
5. Subsequent Event:
On July 20, 2007, 49,300 shares (0.36% of the shares outstanding) were
repurchased by the Fund from its shareholders at $18.82 per share, (subject to a
repurchase fee of $.07 per share) for $924,375, pursuant to the Fund's
repurchase offer.
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 17
Renewal of Current Investment Advisory and Management Agreements
The Board of Directors of each Fund, currently consisting solely of Independent
Directors, as defined in Section 2(a)(19) of the Investment Company Act of 1940
(the "Investment Company Act"), has the responsibility under the Investment
Company Act to consider annually the Investment Advisory and Management
Agreement of each Fund (each, a "Management Agreement" and together, the
"Management Agreements") with IQ Investment Advisors LLC ("IQ Advisors").
At a Board meeting held on June 14, 2007, all of the Directors present at the
meeting renewed the Management Agreement for each Fund for an additional
one-year term. Each Management Agreement was considered separately by the
relevant Fund's Directors. In considering whether to approve the Management
Agreements, the Directors reviewed a meeting book and other materials from
counsel to the Funds and from IQ Advisors which: (i) included information
concerning the services rendered to the Funds by IQ Advisors and IQ Advisors'
affiliates; (ii) contained information concerning the revenues and expenses
incurred by IQ Advisors and its affiliates from the operation of the Funds; and
(iii) outlined the legal duties of the Board under the Investment Company Act.
The Board also received information from Lipper, Inc. ("Lipper") comparing each
Fund's fee rate for advisory and administrative services to those of other
closed-end funds chosen by Lipper. In voting to approve the renewal of each
Fund's Management Agreement, the Directors considered in particular the
following factors:
(a) The nature, extent and quality of services provided by IQ Advisors and its
affiliates -- The Directors reviewed the services that IQ Advisors has provided
to the Funds. They considered the size and experience of IQ Advisors' staff, its
use of technology, and the degree to which IQ Advisors exercises supervision
over the actions of each Fund's subadviser. In connection with the investment
advisory services provided, the Directors took into account detailed discussions
they had with officers of IQ Advisors regarding the management of each Fund's
investments in accordance with the Fund's stated investment objective and
policies and the types of transactions entered into on behalf of each Fund.
During these discussions, the Directors asked detailed questions of, and
received answers from, the officers of IQ Advisors regarding the implementation
of each Fund's investment strategy, its efficacy and risks.
In addition to the investment advisory services provided to the Funds, the
Directors considered that IQ Advisors and its affiliates also provide
administrative services, stockholder services, oversight of Fund accounting,
marketing services, assistance in meeting legal and regulatory requirements and
other services necessary for the operation of the Funds. In particular, the
Directors reviewed the compliance and administrative services provided to the
Funds by IQ Advisors, including its oversight of each Fund's day-to-day
operations and its oversight of Fund accounting. The Directors noted that IQ
Advisors has access to administrative, legal and compliance resources that help
ensure a high level of quality in the compliance and administrative services
provided to the Funds. The Directors also considered each Fund's compliance
history. Following their consideration of this information, and based on the
presentations at the meeting and the Directors' experience as Directors of other
investment companies advised by IQ Advisors, the Directors concluded that the
services provided to each Fund by IQ Advisors under the respective Management
Agreement were of a high quality and benefited the Funds.
(b) Investment performance of each Fund and IQ Advisors -- The Directors
considered the history, experience, resources and strengths of IQ Advisors and
its affiliates in developing and implementing the investment strategies used by
each Fund. The Directors also considered the innovative nature of each Fund. The
Directors noted that each Fund uses a unique investment strategy and that
comparisons of a Fund's investment performance to the performance of other
investment companies were generally not meaningful. The Directors reviewed each
Fund's investment performance and where applicable, compared such performance to
the performance of a relevant reference index. The Directors discussed the
degree to which each Fund was achieving its investment objective, noting that
each Fund had been in operation for a relatively short period of time. In
particular, the Directors noted that all of the Funds generally performed as
expected relative to their respective reference index and met their respective
investment objectives. As a result of their discussions and review, the
Directors concluded that each Fund's performance was satisfactory. Based on
these factors, the Directors determined that IQ Advisors continued to be an
appropriate investment adviser for the Funds.
18 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
(c) Cost of services provided and profits realized by IQ Advisors and its
affiliates from the relationship with each of the Funds -- The Directors
reviewed and considered a memorandum from IQ Advisors regarding the methodology
used by IQ Advisors in allocating its costs regarding the operations of the
Funds and calculating each Fund's profitability (if any) to IQ Advisors and its
affiliates. The Directors noted that IQ Advisors' methodology in calculating
profitability had previously been reviewed by independent consultants. The
Directors also reviewed a report detailing IQ Advisors' profitability. After
considering their discussion with IQ Advisors and reviewing its memorandum and
report, the Directors concluded that there was a reasonable basis for the
allocation of costs and the determination of profitability. The Directors
considered the cost of the services provided by IQ Advisors to each Fund and the
revenue derived by IQ Advisors and its affiliates. The Directors took into
account discussions that they had with representatives of IQ Advisors regarding
its general level of profitability (if any), and the profits derived by its
affiliates, including Merrill Lynch Investment Managers, L.P. ("MLIM") prior to
its merger with BlackRock, Inc. ("BlackRock"), from operating the Funds. The
Directors also considered the direct and indirect benefits derived by other IQ
Advisors affiliates, including Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("MLPF&S"), from the establishment of the Funds, including the
underwriting arrangements relating to the initial distribution of Fund shares.
The Directors considered federal court decisions discussing an investment
adviser's profitability and profitability levels considered to be reasonable in
those decisions. The Directors concluded that any profits made by IQ Advisors
and its affiliates (including MLIM and MLPF&S) are acceptable in relation to the
nature, extent and quality of services provided. The Directors also concluded
that each Fund benefited from such services provided by IQ Advisors' affiliates.
(d) The extent to which economies of scale would be realized as a Fund grows and
whether fee levels would reflect such economies of scale -- The Directors
considered the extent to which economies of scale might be realized if the
assets of the Funds increase and whether there should be changes in the
management fee rate or structure in order to enable a Fund to participate in
these economies of scale. The Directors noted that, because each Fund is a
closed-end fund, any increase in asset levels generally would have to come from
appreciation through investment performance. The Directors also noted that each
Fund, except for Dow 30SM Premium & Dividend Income Fund Inc. and S&P 500(R)
Covered Call Fund Inc., is an interval fund that periodically allows
stockholders to tender their shares to the Funds and that such tender offers
reduce the amount of Fund assets. In consideration of these and other factors,
the Directors determined that no changes were currently necessary to each Fund's
fee structure. The Directors also discussed the renewal requirements for
investment advisory agreements, and determined that they would revisit this
issue no later than when they next review the investment advisory fees.
(e) Comparison of services rendered and fees paid to those under other
investment advisory contracts, such as contracts of the same and other
investment advisers or other clients -- The Directors compared both the services
rendered and the fees paid under the Management Agreements to the contracts of
other investment advisers with respect to other closed-end registered investment
companies. In particular, the Directors evaluated each Fund's contractual fee
rate for advisory and administrative services as compared to the contractual fee
rate of other closed-end funds chosen by Lipper. In considering this
information, the Directors took into account the unique nature of the investment
strategies of the Funds and the fact that the relevant peer group of funds
provided by Lipper for comparison have investment strategies and restrictions
different from those of the Funds. The Directors did not consider compensation
paid to IQ Advisors with respect to accounts other than registered investment
companies because IQ Advisors utilizes each Fund's strategy in connection with
only registered funds. In particular, the Directors noted that each Fund's
contractual advisory fee rate at a common asset level was lower than the median
fee rate of its Lipper comparison funds. The Directors concluded that the
advisory fee rates were reasonable in comparison to the data reflected in the
Lipper materials.
(f) Conclusion -- No single factor was determinative to the decision of the
Directors. Based on the foregoing and such other matters as were deemed
relevant, all of the Directors concluded that the advisory fee rate of each Fund
was reasonable in relation to the services provided by IQ Advisors to the Funds,
as well as the costs incurred and benefits gained by IQ Advisors and its
affiliates in providing such services, including the investment advisory and
administrative components. The Directors also found the investment advisory fees
to be reasonable in comparison to the fees charged by advisers to other funds of
a similar size. As a result, the Board of Directors of each Fund approved the
Management Agreement for each Fund. The Directors were represented by
independent legal counsel who assisted them in their deliberations.
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 19
Renewal of Current Investment Subadvisory Agreements
The Board of Directors of each Fund, currently consisting solely of Independent
Directors, at a meeting held on June 14, 2007 considered and approved the
renewal of the Current Investment Subadvisory Agreement of each Fund (each a
"Subadvisory Agreement" and together, the "Subadvisory Agreements"). Each
Subadvisory Agreement was considered separately by the relevant Fund's
Directors. The Directors received, reviewed and evaluated information concerning
the services and personnel of BlackRock Investment Management, LLC
("BlackRock"), as subadviser to each of S&P 500(R) GEAREDSM Fund Inc. and Small
Cap Premium & Dividend Income Fund Inc.; Oppenheimer Capital LLC
("Oppenheimer"), as subadviser to each of S&P 500(R) Covered Call Fund Inc. and
Enhanced S&P 500(R) Covered Call Fund Inc.; and Nuveen Asset Management
("Nuveen," and together with BlackRock and Oppenheimer, the "Subadvisers"), as
subadviser to Dow 30SM Premium & Dividend Income Fund Inc. and Global Income &
Currency Fund Inc.
(a) The nature, extent and quality of services provided by each Subadviser --
The Directors reviewed the services that each Subadviser provides to each of
their respective Funds. The Directors considered their detailed discussions with
officers of IQ Advisors and members of each Subadviser's portfolio management
team, the management of each Fund's investments in accordance with the Fund's
stated investment objective and policies and the types of transactions that have
been entered into on behalf of the Funds. The Directors took into account the
annual due diligence investment review conducted by Merrill Lynch Global Private
Client Investment Management, an affiliate of IQ Advisors, of each Subadviser
and its report that concluded that each such Subadviser has thus far executed
its respective Fund's investment strategies in accordance with the Fund's
objectives and general expectations. The Directors noted that, drawing on their
collective industry experience, they had discussed each Fund's investment
strategy with representatives from each Subadviser, including discussions
regarding the premises underlying the Fund's investment strategy, its efficacy
and potential risks. The Directors also considered the favorable history,
reputation and background of each Subadviser and its personnel, and the
substantial experience of such Subadviser's portfolio management teams. The
Directors discussed the compliance program of each Subadviser and the report of
Mrs. Catherine Johnston, the chief compliance officer of the Funds. Following
consideration of this information, and based on management presentations during
the Board meeting and their discussion during an Executive Session, the
Directors concluded that the nature, extent and quality of services provided to
each Fund by the applicable Subadviser under its Subadvisory Agreement were of a
high quality and would continue to benefit the Fund.
(b) Investment performance of each Fund and each Subadviser -- The Directors
received and considered information about each Fund's investment performance in
comparison to the performance of its relative reference index, where applicable,
and also in light of its stated investment objective and made the determinations
discussed above under "Renewal of Current Investment Advisory and Management
Agreements." Based on these factors, the Directors determined that each
Subadviser continued to be appropriate for each of its respective Funds.
(c) Cost of services provided and profits realized by each Subadviser from the
relationship with each respective Fund -- The Directors considered the
profitability to MLIM, prior to its merger with BlackRock, of serving as
investment subadviser to two Funds and from its relationship with IQ Advisors
based on the information discussed above under "Renewal of Current Investment
Advisory and Management Agreements." Based on such information, the Directors
concluded that MLIM's profits were acceptable in relation to the nature, extent
and quality of services provided. The Directors noted that profitability data
was not provided with respect to the unaffiliated Subadvisers of the Funds and
concluded that such data was unnecessary because such subadvisory arrangements
were entered into at "arm's length" between the Subadviser and IQ Advisors. The
Directors then considered the potential direct and indirect benefits to each
Subadviser and its affiliates from their relationship with each of their
respective Funds, including the reputational benefits from managing the Funds.
The Directors of each Fund concluded that the potential benefits to each
Subadviser were consistent with those obtained by other subadvisers in similar
types of arrangements.
20 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
(d) The extent to which economies of scale would be realized as a Fund grows and
whether fee levels would reflect such economies of scale -- The Directors
considered the extent to which economies of scale might be realized if the
assets of the Funds increase and whether there should be changes in the
subadvisory fee rate or structure in order to enable a Fund to participate in
these economies of scale. The Directors noted that each Subadviser's fees are
paid by IQ Advisors out of its fees and not directly by the Funds. The Directors
noted that, because each Fund is a closed-end fund, any increase in asset levels
would have to come from appreciation due to investment performance. The
Directors also noted that each Fund, except for Dow 30SM Premium & Dividend
Income Fund Inc. and S&P 500(R) Covered Call Fund Inc., is an interval fund that
periodically allows stockholders to tender their shares to the Funds and that
such tender offers reduce the amount of Fund assets. The Directors also
discussed the renewal requirements for subadvisory agreements, and determined
that they would revisit this issue no later than when they next review the
subadvisory fee.
(e) Comparison of services rendered and fees paid to those under other
subadvisory contracts, such as contracts of the same and other investment
advisers or other clients -- The Directors discussed the services rendered by
each Subadviser and determined that such services were consistent with those
provided by subadvisers generally and sufficient for the management of the
Funds. Taking into account the totality of the information and materials
provided to the Directors as noted above, including the fact that the
subadvisory fee for each Fund was negotiated with IQ Advisors and not payable
directly by the Fund, the Directors concluded that the subadvisory fee for each
Fund was reasonable for the services being rendered.
Conclusion -- No single factor was determinative to the decision of the
Directors. Based on the foregoing and such other matters as were deemed
relevant, all of the Directors concluded that the relevant subadvisory fee rate
was reasonable in relation to the services provided by each Subadviser. As a
result, all of the Directors approved the Subadvisory Agreement for each Fund.
The Directors were represented by independent legal counsel who assisted them in
their deliberations.
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 21
Fundamental Periodic Repurchase Policy
The Board of Directors approved a fundamental policy whereby the Fund would
adopt an "interval fund" structure pursuant to Rule 23c-3 under the Investment
Company Act of 1940, as amended (the "1940 Act"). As an interval fund, the Fund
will make annual repurchase offers at net asset value (less repurchase fee not
to exceed 2%) to all Fund shareholders. The percentage of outstanding shares
that the Fund can repurchase in each offer will be established by the Fund's
Board of Directors shortly before the commencement of each offer, and will be
between 5% and 25% of the Fund's then outstanding shares.
The Fund has adopted the following fundamental policy regarding periodic
repurchases:
a) The Fund will make offers to repurchase its shares at annual (approximately
12-month) intervals pursuant to Rule 23c-3 under the 1940 Act ("Offers"). The
Board of Directors may place such conditions and limitations on an Offer, as may
be permitted under Rule 23c-3.
b) The repurchase request deadline for each Offer, by which the Fund must
receive repurchase requests submitted by shareholders in response to the most
recent Offer, will be on approximately the anniversary of the prior year's
repurchase request deadline; and will be the fourteenth day prior to such
exercise date; provided, that in the event that such day is not a business day,
the repurchase request deadline will be the business day subsequent to the
fourteenth day prior to the exercise date of the call spreads and written call
options (the "Repurchase Request Deadline").
c) The maximum number of days between a Repurchase Request Deadline and the next
repurchase pricing date will be fourteen days; provided that if the fourteenth
day after a Repurchase Request Deadline is not a business day, the repurchase
pricing date shall be the next business day (the "Repurchase Pricing Date").
d) Offers may be suspended or postponed under certain circumstances, as provided
for in Rule 23c-3. (For further details, see Note 4 to the Financial
Statements.)
22 SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q are available on the SEC's Web site at
http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, DC. Information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Electronic Delivery
The Fund offers electronic delivery of communications to its shareholders. In
order to receive this service, you must register your account and provide us
with e-mail information. To sign up for this service, simply access this Web
site at http://www.icsdelivery.com/live and follow the instructions.
When you visit this site, you will obtain a personal identification number
(PIN). You will need this PIN should you wish to update your e-mail address,
choose to discontinue this service and/or make any other changes to the service.
This service is not available for certain retirement accounts at this time.
Contact Information
For more information regarding the Fund, please visit www.IQIAFunds.com or
contact us at 1-877-449-4742.
SMALL CAP PREMIUM & DIVIDEND INCOME FUND INC. JUNE 30, 2007 23
[LOGO] IQ INVESTMENT www.IQIAFunds.com
ADVISORS
Small Cap Premium & Dividend Income Fund Inc. seeks to provide shareholders with
a high level of income, with a secondary goal of capital appreciation.
This report, including the financial information herein, is transmitted to
shareholders of Small Cap Premium & Dividend Income Fund Inc. for their
information. It is not a prospectus. Past performance results shown in this
report should not be considered a representation of future performance.
Statements and other information herein are as dated and are subject to change.
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available without charge at
www.IQIAFunds.com/proxyvoting.asp; or upon request by calling toll-free
1-877-449-4742 or through the Securities and Exchange Commission's Web site at
http://www.sec.gov. Information about how the Fund voted proxies relating to
securities held in the Fund's portfolio during the most recent 12-month period
ended June 30 is available (1) at www.IQIAFunds.com/proxyvoting.asp; and (2) on
the Securities and Exchange Commission's Web site at http://www.sec.gov.
Small Cap Premium & Dividend Income Fund Inc.
P.O. Box 9011
Princeton, NJ 08543-9011
#IQRCC -- 6/07
Item 2 - Code of Ethics - Not Applicable to this semi-annual report
Item 3 - Audit Committee Financial Expert - Not Applicable to this
semi-annual report
Item 4 - Principal Accountant Fees and Services - Not Applicable to this
semi-annual report
Item 5 - Audit Committee of Listed Registrants - Not Applicable to this
semi-annual report
Item 6 - Schedule of Investments - Attached Hereto
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007 (unaudited)
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
Advertising Agencies - 0.5% 6,700 Catalina Marketing Corp. $ 211,050
2,900 DG FastChannel, Inc. (a) 59,102
2,600 Greenfield Online, Inc. (a) 41,366
5,100 inVentiv Health, Inc. (a) 186,711
4,000 Marchex, Inc. Class B 65,280
6,800 National CineMedia, Inc. (a) 190,468
7,800 Valassis Communications, Inc. (a) 134,082
16,230 ValueClick, Inc. (a) 478,136
-------------
1,366,195
---------------------------------------------------------------------------------------------------------------------
Aerospace - 0.6% 500 AeroVironment, Inc. (a) 10,305
2,100 Argon ST, Inc. (a) 48,741
7,200 Curtiss-Wright Corp. 335,592
4,200 Heico Corp. 176,736
2,500 Ladish Co., Inc. (a) 107,500
1,500 MTC Technologies, Inc. (a) 36,840
6,500 Moog, Inc. Class A (a) 286,715
9,700 Orbital Sciences Corp. (a) 203,797
5,700 Teledyne Technologies, Inc. (a) 261,915
1,500 TransDigm Group, Inc. (a) 60,690
1,700 United Industrial Corp. 101,966
-------------
1,630,797
---------------------------------------------------------------------------------------------------------------------
Agriculture, Fishing & 600 Alico, Inc. 36,594
Ranching - 0.1% 2,500 The Andersons, Inc. 113,325
1,100 Cadiz, Inc. (a) 24,717
-------------
174,636
---------------------------------------------------------------------------------------------------------------------
Air Transport - 0.9% 6,400 AAR Corp. (a) 211,264
9,600 ABX Air, Inc. (a) 77,376
14,900 AirTran Holdings, Inc. (a) 162,708
6,900 Alaska Air Group, Inc. (a) 192,234
300 Allegiant Travel Co. (a) 9,222
2,600 Atlas Air Worldwide Holdings, Inc. (a) 153,244
3,800 Bristow Group, Inc. (a) 188,290
5,400 EGL, Inc. (a) 250,992
8,600 ExpressJet Holdings, Inc. (a) 51,428
29,100 JetBlue Airways Corp. (a) 341,925
2,900 Midwest Air Group, Inc. (a) 43,558
2,600 PHI, Inc. (a) 77,454
2,300 Pinnacle Airlines Corp. (a) 43,125
5,700 Republic Airways Holdings, Inc. (a) 115,995
11,200 SkyWest, Inc. 266,896
-------------
2,185,711
---------------------------------------------------------------------------------------------------------------------
Aluminum - 0.1% 3,800 Century Aluminum Co. (a) 207,594
2,200 Kaiser Aluminum Corp. 160,336
-------------
367,930
---------------------------------------------------------------------------------------------------------------------
Auto Parts: After 3,600 Aftermarket Technology Corp. (a) 106,848
Market - 0.1% 3,500 Commercial Vehicle Group, Inc. (a) 65,205
2,700 Keystone Automotive Industries, Inc. (a) 111,699
1,400 Standard Motor Products, Inc. 21,042
4,000 Superior Industries International, Inc. 87,040
-------------
391,834
---------------------------------------------------------------------------------------------------------------------
Auto Parts: Original 7,300 American Axle & Manufacturing Holdings, Inc. 216,226
Equipment - 0.6% 2,600 Amerigon Inc. (a) 46,670
11,600 ArvinMeritor, Inc. 257,520
16,300 Hayes Lemmerz International, Inc. (a) 87,205
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
12,470 Lear Corp. (a) $ 444,057
2,650 Noble International Ltd. 54,166
1,300 Sauer-Danfoss, Inc. 38,688
1,000 Stoneridge, Inc. (a) 12,340
7,700 Tenneco, Inc. (a) 269,808
21,100 Visteon Corp. (a) 170,910
-------------
1,597,590
---------------------------------------------------------------------------------------------------------------------
Auto, Trucks & Parts - 0.2% 3,300 Accuride Corp. (a) 50,853
10,400 Force Protection, Inc. (a) 214,656
1,500 Miller Industries, Inc. (a) 37,650
5,300 Modine Manufacturing Co. 119,780
4,500 Spartan Motors, Inc. 76,590
5,200 Wabash National Corp. 76,076
-------------
575,605
---------------------------------------------------------------------------------------------------------------------
Banks: New York City - 0.1% 4,800 Signature Bank (a) 163,680
---------------------------------------------------------------------------------------------------------------------
Banks: Outside New York 2,100 1st Source Corp. 52,332
City - 5.3% 2,600 Alabama National Bancorp. 160,784
3,800 Amcore Financial, Inc. 110,162
2,800 AmericanWest Bancorp 51,044
2,200 Ameris Bancorp 49,434
1,200 Bancfirst Corp. 51,384
3,300 Banco Latinoamericano de Exportaciones, SA 'E' 62,040
2,000 The Bancorp, Inc. (a) 44,720
2,000 Bank of the Ozarks, Inc. 55,740
3,800 BankFinancial Corp. 58,710
2,100 Banner Corp. 71,526
6,200 Boston Private Financial Holdings, Inc. 166,594
10,842 CVB Financial Corp. 120,563
2,100 Capital City Bank Group, Inc. 65,814
1,600 Capital Corp. of the West 38,336
2,300 Capitol Bancorp Ltd. 62,859
4,700 Cascade Bancorp 108,711
8,300 Cathay General Bancorp 278,382
9,000 Centennial Bank Holdings, Inc. (a) 76,230
2,100 Center Financial Corp. 35,532
5,000 Central Pacific Financial Corp. 165,050
4,000 Chemical Financial Corp. 103,480
7,500 Chittenden Corp. 262,125
12,300 Citizens Banking Corp. 225,090
3,100 City Holding Co. 118,823
2,100 CityBank 66,171
500 Clifton Savings Bancorp, Inc. 5,420
2,600 CoBiz Financial, Inc. 47,112
2,700 Columbia Banking System, Inc. 78,975
1,700 Community Bancorp (a) 47,566
4,900 Community Bank System, Inc. 98,098
4,030 Community Banks, Inc. 129,847
2,600 Community Trust Bancorp, Inc. 83,980
6,300 Corus Bankshares, Inc. 108,738
1,700 Enterprise Financial Services Corp. 42,262
12,300 First BanCorp 135,177
1,600 First Bancorp 29,968
2,200 First Busey Corp. 43,978
5,500 First Charter Corp. 107,085
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
12,000 First Commonwealth Financial Corp. $ 131,040
4,229 First Community Bancorp, Inc. 241,941
1,600 First Community Bancshares, Inc. 49,904
5,400 First Financial Bancorp 80,946
3,400 First Financial Bankshares, Inc. 131,954
2,700 First Financial Corp. 79,272
3,000 First Merchants Corp. 72,090
8,800 First Midwest Bancorp, Inc. 312,488
1,400 First Regional Bancorp (a) 35,616
1,350 First South Bancorp, Inc. 36,315
3,300 First State Bancorp. 70,257
13,100 FirstMerit Corp. 274,183
4,100 Franklin Bank Corp. (a) 61,090
6,350 Frontier Financial Corp. 143,066
8,550 Glacier Bancorp, Inc. 173,993
8,800 Greater Bay Bancorp 244,992
1,400 Greene County Bancshares, Inc. 43,764
4,400 Hancock Holding Co. 165,220
6,800 Hanmi Financial Corp. 116,008
5,103 Harleysville National Corp. 82,260
2,100 Heartland Financial USA, Inc. 51,030
1,900 Heritage Commerce Corp. 44,992
791 Home Bancshares, Inc. 17,837
6,605 Independent Bank Corp. 145,730
3,400 Integra Bank Corp. 72,998
8,326 International Bancshares Corp. 213,312
8,300 Investors Bancorp, Inc. (a) 111,469
3,600 Irwin Financial Corp. 53,892
2,730 Lakeland Bancorp, Inc. 36,309
2,000 Lakeland Financial Corp. 42,540
5,277 MB Financial, Inc. 183,323
2,477 Macatawa Bank Corp. 39,409
3,080 MainSource Financial Group, Inc. 51,713
2,900 Midwest Banc Holdings, Inc. 42,050
5,500 NBT Bancorp, Inc. 124,080
3,700 Nara Bancorp, Inc. 58,941
7,720 National Penn Bancshares, Inc. 128,770
11,800 Old National Bancorp 195,998
2,253 Old Second Bancorp, Inc. 65,697
2,100 Omega Financial Corp. 56,469
3,700 Oriental Financial Group 40,367
7,900 Pacific Capital Bancorp 213,142
2,000 Park National Corp. 169,580
1,700 Peoples Bancorp, Inc. 46,019
2,700 Pinnacle Financial Partners, Inc. (a) 79,272
3,100 Piper Jaffray Cos. (a) 172,763
1,450 Preferred Bank 58,000
3,100 PrivateBancorp, Inc. 89,280
5,800 Prosperity Bancshares, Inc. 190,008
5,800 Provident Bankshares Corp. 190,124
2,550 Renasant Corp. 57,987
1,511 Republic Bancorp, Inc. Class A 25,067
4,000 S&T Bancorp, Inc. 131,600
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
1,260 SCBT Financial Corp. $ 45,864
5,600 SVB Financial Group (a) 297,416
1,785 SY Bancorp, Inc. 42,412
2,600 Sandy Spring Bancorp, Inc. 81,744
200 Santander BanCorp 2,972
2,400 Seacoast Banking Corp. of Florida 52,200
2,500 Security Bank Corp. 50,250
400 Sierra Bancorp 11,280
2,300 Simmons First National Corp. Class A 63,457
11,000 The South Financial Group, Inc. 249,040
1,782 Southside Bancshares, Inc. 38,705
2,500 Southwest Bancorp, Inc. 60,100
12,100 Sterling Bancshares, Inc. 136,851
4,500 Sterling Financial Corp. 47,340
1,800 Suffolk Bancorp 57,456
2,390 Sun Bancorp, Inc. (a) 40,319
4,400 Superior Bancorp (a) 45,012
8,500 Susquehanna Bancshares, Inc. 190,145
900 Taylor Capital Group, Inc. 24,777
4,100 Texas Capital Bancshares, Inc. (a) 91,635
1,490 Tompkins Trustco, Inc. 55,726
2,300 Trico Bancshares 51,428
13,200 TrustCo Bank Corp. NY 130,416
8,200 Trustmark Corp. 212,052
16,300 UCBH Holdings, Inc. 297,801
5,300 UMB Financial Corp. 195,411
1,875 USB Holding Co., Inc. 35,738
9,988 Umpqua Holdings Corp. 234,818
2,150 Union Bankshares Corp. 49,880
6,500 United Bankshares, Inc. 206,700
5,900 United Community Banks, Inc. 152,751
500 United Security Bancshares 10,190
2,000 Univest Corp. of Pennsylvania 45,040
2,970 Virginia Commerce Bancorp (a) 50,223
2,500 Washington Trust Bancorp, Inc. 63,025
3,900 WesBanco, Inc. 115,050
2,600 West Coast Bancorp 79,014
5,400 Westamerica Bancorp. 238,896
2,300 Western Alliance Bancorp (a) 68,655
2,700 Wilshire Bancorp, Inc. 32,886
3,900 Wintrust Financial Corp. 171,015
1,600 Yardville National Bancorp 54,640
-------------
13,546,339
---------------------------------------------------------------------------------------------------------------------
Beverage: Brewers 1,600 Boston Beer Co., Inc. Class A (a) 62,960
(Wineries) - 0.0%
---------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks - 0.1% 800 Coca-Cola Bottling Co. Consolidated 40,240
400 Farmer Bros. Co. 9,052
900 Green Mountain Coffee Roasters, Inc. (a) 70,866
5,200 Jones Soda Co. (a) 72,904
1,680 National Beverage Corp. (a) 19,337
2,400 Peet's Coffee & Tea, Inc. (a) 59,112
-------------
271,511
---------------------------------------------------------------------------------------------------------------------
Biotechnology Research & 6,100 Acadia Pharmaceuticals, Inc. (a) 83,387
Production - 2.4% 4,300 Acorda Therapeutics, Inc. (a) 73,358
2,600 Advanced Magnetics, Inc. (a) 151,216
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
4,500 Albany Molecular Research, Inc. (a) $ 66,825
5,900 Alexion Pharmaceuticals, Inc. (a) 265,854
9,600 Allos Therapeutics, Inc. (a) 42,432
5,600 Alnylam Pharmaceuticals, Inc. (a) 85,064
2,100 Altus Pharmaceuticals, Inc. (a) 24,234
7,600 American Oriental Bioengineering, Inc. (a) 67,640
900 Amicus Therapeutics, Inc. (a) 10,350
12,800 Applera Corp. - Celera Genomics Group (a) 158,720
9,900 Arena Pharmaceuticals, Inc. (a) 108,801
14,100 Ariad Pharmaceuticals, Inc. (a) 77,409
3,100 Arqule, Inc. (a) 21,855
6,900 Array Biopharma, Inc. (a) 80,523
4,600 ArthroCare Corp. (a) 201,986
8,800 Bioenvision, Inc. (a) 50,864
3,400 Bionovo, Inc. (a) 13,124
11,900 Cell Genesys, Inc. (a) 39,865
9,500 Cubist Pharmaceuticals, Inc. (a)(c) 187,245
6,400 Cypress Bioscience, Inc. (a) 84,672
3,900 Cytokinetics, Inc. (a) 22,035
3,200 Digene Corp. (a) 192,160
18,300 Discovery Laboratories, Inc. (a) 51,789
17,200 Encysive Pharmaceuticals, Inc. (a) 30,616
7,600 Enzon Pharmaceuticals, Inc. (a) 59,660
14,700 Exelixis, Inc. (a) 177,870
16,500 GenVec, Inc. (a) 38,775
1,500 Genomic Health, Inc. (a) 28,200
11,900 Geron Corp. (a) 83,776
8,800 Halozyme Therapeutics, Inc. (a) 81,224
21,900 Human Genome Sciences, Inc. (a) 195,348
4,100 Idenix Pharmaceuticals, Inc. (a) 24,190
12,800 Immunomedics, Inc. (a) 53,120
15,900 Incyte Corp. (a) 95,400
3,300 Integra LifeSciences Holdings Corp. (a) 163,086
4,600 InterMune, Inc. (a) 119,324
2,200 Kendle International, Inc. (a) 80,894
2,700 Kensey Nash Corp. (a) 72,387
7,100 Keryx Biopharmaceuticals, Inc. (a) 69,367
4,200 Kosan Biosciences, Inc. (a) 21,924
5,600 MannKind Corp. (a) 69,048
5,200 Martek Biosciences Corp. (a) 135,044
4,000 Maxygen, Inc. (a) 34,280
4,300 Medivation, Inc. (a) 87,849
1,600 Metabolix, Inc. (a) 40,048
3,800 Momenta Pharmaceuticals, Inc. (a) 38,304
6,900 Myriad Genetics, Inc. (a) 256,611
9,900 Nabi Biopharmaceuticals (a) 45,540
5,400 Nastech Pharmaceutical Co., Inc. (a) 58,914
6,600 Neurocrine Biosciences, Inc. (a) 74,118
3,000 Neurogen Corp. (a) 19,920
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
2,500 Novacea, Inc. (a) $ 23,625
9,600 OSI Pharmaceuticals, Inc. (a) 347,616
2,700 Omrix Biopharmaceuticals, Inc. (a) 84,942
200 Orexigen Therapeutics, Inc. (a) 3,004
3,300 Osiris Therapeutics, Inc. (a) 44,583
3,100 PRA International, Inc. (a) 78,430
3,200 PharmaNet Development Group, Inc. (a) 102,016
6,000 Poniard Pharmaceuticals, Inc. (a) 40,800
3,900 Progenics Pharmaceuticals, Inc. (a) 84,123
4,400 Protalix BioTherapeutics, Inc. (a) 118,756
3,300 Regeneration Technologies, Inc. (a) 37,125
4,400 Rigel Pharmaceuticals, Inc. (a) 39,204
8,604 Savient Pharmaceuticals, Inc. (a) 106,862
5,000 Seattle Genetics, Inc. (a) 49,050
4,300 Tanox, Inc. (a) 83,463
9,200 Telik, Inc. (a) 31,096
2,600 Tercica, Inc. (a) 13,260
5,100 Vanda Pharmaceuticals, Inc. (a) 103,326
5,300 Verenium Corp. (a) 26,871
11,400 ViroPharma, Inc. (a) 157,320
16,500 XOMA Ltd. (a) 50,160
6,300 ZymoGenetics, Inc. (a) 92,043
-------------
6,133,920
---------------------------------------------------------------------------------------------------------------------
Building Materials - 0.5% 1,500 Ameron International Corp. 135,285
1,900 BlueLinx Holdings, Inc. 19,931
4,800 Building Material Holding Corp. 68,112
3,000 LSI Industries, Inc. 53,700
3,300 NCI Building Systems, Inc. (a) 162,789
100 PGT, Inc. (a) 1,093
6,000 Simpson Manufacturing Co., Inc. 202,440
4,490 Texas Industries, Inc. 352,061
2,100 Trex Co., Inc. (a) 41,223
3,700 Watsco, Inc. 201,280
3,500 Zoltek Cos., Inc. (a) 145,355
-------------
1,383,269
---------------------------------------------------------------------------------------------------------------------
Building: Cement - 0.0% 5,500 US Concrete, Inc. (a) 47,795
---------------------------------------------------------------------------------------------------------------------
Building: Heating & 1,200 Aaon, Inc. 38,220
Plumbing - 0.1% 4,500 Interline Brands, Inc. (a) 117,360
-------------
155,580
---------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous - 0.2% 2,500 Builders FirstSource, Inc. (a) 40,150
7,100 Comfort Systems USA, Inc. 100,678
3,000 Drew Industries, Inc. (a) 99,420
5,200 Goodman Global, Inc. (a) 115,544
5,200 Griffon Corp. (a) 113,256
-------------
469,048
---------------------------------------------------------------------------------------------------------------------
Building: Roofing & 7,700 Beacon Roofing Supply, Inc. (a) 130,823
Wallboard - 0.1%
---------------------------------------------------------------------------------------------------------------------
Cable Television 66,500 Charter Communications, Inc. Class A (a) 269,325
Services - 0.1% 3,300 Crown Media Holdings, Inc. Class A (a) 23,760
15,900 TiVo, Inc. (a) 92,061
-------------
385,146
---------------------------------------------------------------------------------------------------------------------
Casinos & Gambling - 0.6% 4,300 Ameristar Casinos, Inc. 149,382
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
8,700 Bally Technologies, Inc. (a) $ 229,854
1,300 Churchill Downs, Inc. 68,094
2,550 Dover Downs Gaming & Entertainment, Inc. 38,276
2,600 Isle of Capri Casinos, Inc. (a) 62,296
3,500 Lakes Entertainment, Inc. (a) 41,335
4,000 MTR Gaming Group, Inc. (a) 61,600
8,500 Magna Entertainment Corp. Class A (a) 24,820
1,600 Monarch Casino & Resort, Inc. (a) 42,960
4,800 Multimedia Games, Inc. (a) 61,248
9,740 Pinnacle Entertainment, Inc. (a) 274,181
1,700 Riviera Holdings Corp. (a) 61,795
5,700 Shuffle Master, Inc. (a) 94,620
5,100 Trump Entertainment Resorts, Inc. (a) 64,005
6,650 WMS Industries, Inc. (a) 191,919
-------------
1,466,385
---------------------------------------------------------------------------------------------------------------------
Chemicals - 1.5% 3,000 American Vanguard Corp. 42,960
4,000 Arch Chemicals, Inc. 140,560
2,900 Balchem Corp. 52,693
9,000 CF Industries Holdings, Inc. 539,010
3,900 Cabot Microelectronics Corp. (a) 138,411
6,900 Calgon Carbon Corp. (a) 80,040
4,700 Cambrex Corp. 62,369
4,700 EnerSys (a) 86,010
6,400 Energy Conversion Devices, Inc. (a) 197,248
8,000 Exide Technologies (a) 74,400
5,600 Georgia Gulf Corp. 101,416
19,900 Hercules, Inc. (a) 391,035
2,100 Innophos Holdings, Inc. 30,030
2,000 Innospec, Inc. 118,420
3,100 LSB Industries, Inc. (a) 66,123
2,100 Landec Corp. (a) 28,140
3,600 Medis Technologies Ltd. (a) 52,884
1,300 NL Industries, Inc. 13,026
2,500 NewMarket Corp. 120,925
2,500 Nuco2, Inc. (a) 64,175
4,900 OM Group, Inc. (a) 259,308
2,300 Pioneer Cos., Inc. (a) 79,051
15,100 PolyOne Corp. (a) 108,569
5,700 Rockwood Holdings, Inc. (a) 208,335
4,900 Schulman A, Inc. 119,217
6,000 Senomyx, Inc. (a) 81,000
1,400 ShengdaTech, Inc. (a) 7,448
1,000 Stepan Co. 30,280
5,000 Tronox, Inc. Class A 71,900
2,300 Tronox, Inc. Class B 32,315
8,400 UAP Holding Corp. 253,176
11,900 WR Grace & Co. (a) 291,431
-------------
3,941,905
---------------------------------------------------------------------------------------------------------------------
Coal - 0.1% 9,700 Alpha Natural Resources, Inc. (a) 201,663
19,800 International Coal Group, Inc. (a) 118,404
1,500 US BioEnergy Corp. (a) 17,040
-------------
337,107
---------------------------------------------------------------------------------------------------------------------
Commercial Information 5,300 Arbitron, Inc. 273,109
Services - 0.2%
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
81,000 CMGI, Inc. (a) $ 157,950
5,300 infoUSA, Inc. 54,166
4,300 LECG Corp. (a) 64,973
3,600 LoopNet, Inc. (a) 83,988
-------------
634,186
---------------------------------------------------------------------------------------------------------------------
Communications & Media - 0.1% 11,300 Entravision Communications Corp. Class A (a) 117,859
40,800 Gemstar-TV Guide International, Inc. (a) 200,736
3,300 Knology, Inc. (a) 57,321
-------------
375,916
---------------------------------------------------------------------------------------------------------------------
Communications Technology 63,300 3Com Corp. (a) 261,429
- 2.5% 2,300 Acme Packet, Inc. (a) 26,427
9,600 Adtran, Inc. 249,312
3,000 Anaren, Inc. (a) 52,830
5,000 Anixter International, Inc. (a)(c) 376,050
400 Aruba Networks, Inc. (a) 8,040
9,000 Atheros Communications, Inc. (a) 277,560
28,800 Avanex Corp. (a) 51,840
8,180 Avocent Corp. (a) 237,302
1,800 Bel Fuse, Inc. 61,254
1,000 BigBand Networks, Inc. (a) 13,110
3,100 Black Box Corp. 128,278
400 CPI International, Inc. (a) 7,932
8,000 CSG Systems International, Inc. (a) 212,080
2,900 Cbeyond Communications, Inc. (a) 111,679
7,600 Cogent Communications Group, Inc. (a) 227,012
2,800 Comtech Group, Inc. (a) 46,228
4,000 Comtech Telecommunications Corp. (a) 185,680
4,100 Digi International, Inc. (a) 60,434
5,400 Ditech Networks, Inc. (a) 44,226
2,400 EMS Technologies, Inc. (a) 52,944
5,300 Echelon Corp. (a) 82,839
20,500 Extreme Networks, Inc. (a) 83,025
39,900 Finisar Corp. (a) 150,822
23,700 Foundry Networks, Inc. (a) 394,842
2,000 GeoEye, Inc. (a) 43,460
12,900 Harmonic, Inc. (a) 114,423
4,100 Harris Stratex Networks, Inc. Class A (a) 73,718
600 Hughes Communications, Inc. (a) 31,308
4,100 InPhonic, Inc. (a) 19,106
3,900 Inter-Tel, Inc. 93,327
6,700 InterVoice, Inc. (a) 55,811
7,100 Ixia (a) 65,746
8,000 j2 Global Communications, Inc. (a) 279,200
1,900 Loral Space & Communications Ltd. (a) 93,632
5,600 NETGEAR, Inc. (a) 203,000
2,500 Network Equipment Technologies, Inc. (a) 23,850
2,500 Nextwave Wireless, Inc. (a) 20,875
5,600 Novatel Wireless, Inc. (a) 145,712
3,428 Oplink Communications, Inc. (a) 51,420
3,400 Optium Corp. (a) 43,010
2,600 SeaChange International, Inc. (a) 20,176
7,750 Secure Computing Corp. (a) 58,823
4,900 Sirenza Microdevices, Inc. (a) 58,163
42,900 Sonus Networks, Inc. (a) 365,508
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
3,900 Standard Microsystems Corp. (a) $ 133,926
3,200 Switch and Data Facilities Co., Inc. (a) 61,408
30,000 Sycamore Networks, Inc. (a) 120,600
4,100 Syniverse Holdings, Inc. (a) 52,726
33,900 TIBCO Software, Inc. (a) 306,795
10,100 Tekelec (a) 145,642
7,800 Terremark Worldwide, Inc. (a) 50,310
17,300 Utstarcom, Inc. (a) 97,053
3,900 Viasat, Inc. (a) 125,190
5,400 Vonage Holdings Corp. (a) 16,794
-------------
6,373,887
---------------------------------------------------------------------------------------------------------------------
Computer Services Software & 9,900 Actuate Corp. (a) 67,221
Systems - 4.8% 9,900 Agile Software Corp. (a) 79,794
4,600 American Reprographics Co. (a) 141,634
2,800 Ansoft Corp. (a) 82,572
12,600 Ansys, Inc. (a) 333,900
13,000 Ariba, Inc. (a) 128,830
20,800 Art Technology Group, Inc. (a) 55,328
3,300 AsiaInfo Holdings, Inc. (a) 32,010
13,740 Aspen Technology, Inc. (a) 192,360
32,600 BearingPoint, Inc. (a) 238,306
7,200 Blackbaud, Inc. 158,976
4,900 Blackboard, Inc. (a) 206,388
2,200 Blue Coat Systems, Inc. (a) 108,944
13,600 Borland Software Corp. (a) 80,784
3,500 Bottomline Technologies, Inc. (a) 43,225
5,000 CACI International, Inc. Class A (a) 244,250
2,900 COMSYS IT Partners, Inc. (a) 66,149
5,360 Chordiant Software, Inc. (a) 83,938
9,500 Ciber, Inc. (a) 77,710
6,800 Commvault Systems, Inc. (a) 117,436
300 Comverge, Inc. (a) 9,303
6,100 Concur Technologies, Inc. (a) 139,385
4,500 Covansys Corp. (a) 152,685
4,900 DealerTrack Holdings, Inc. (a) 180,516
6,700 Digital River, Inc. (a) 303,175
2,800 DivX, Inc. (a) 42,000
2,500 Double-Take Software, Inc. (a) 41,025
4,200 EPIQ Systems, Inc. (a) 67,872
3,000 eCollege.com, Inc. (a) 66,750
9,200 Electronics for Imaging, Inc. (a) 259,624
9,600 Epicor Software Corp. (a) 142,752
5,000 Equinix, Inc. (a) 457,350
11,200 Gartner, Inc. Class A (a) 275,408
2,300 i2 Technologies, Inc. (a) 42,872
2,600 iGate Corp. (a) 20,852
2,600 Imergent, Inc. 63,596
3,600 Infocrossing, Inc. (a) 66,492
15,100 Informatica Corp. (a) 223,027
1,800 Integral Systems, Inc. 43,758
1,300 Interactive Intelligence, Inc. (a) 26,780
6,300 Internet Capital Group, Inc. (a) 78,120
7,500 Interwoven, Inc. (a) 105,300
5,100 JDA Software Group, Inc. (a) 100,113
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
1,200 Keynote Systems, Inc. (a) $ 19,680
21,200 Lawson Software, Inc. (a) 209,668
9,800 Lionbridge Technologies, Inc. (a) 57,722
8,400 LivePerson, Inc. (a) 44,940
5,500 MSC.Software Corp. (a) 74,470
8,600 Macrovision Corp. (a) 258,516
6,100 Magma Design Automation, Inc. (a) 85,644
4,800 Manhattan Associates, Inc. (a) 133,968
3,200 Mantech International Corp. Class A (a) 98,656
13,900 Mentor Graphics Corp. (a) 183,063
3,700 Mercury Computer Systems, Inc. (a) 45,140
1,600 MicroStrategy, Inc. Class A (a) 151,184
6,800 Micros Systems, Inc. (a) 369,920
5,200 Ness Technologies, Inc. (a) 67,652
21,800 Nuance Communications, Inc. (a) 364,714
5,400 Omniture, Inc. (a) 123,768
23,600 On2 Technologies, Inc. (a) 70,800
7,800 OpenTV Corp. (a) 16,536
13,500 Openwave Systems, Inc. 84,510
14,300 Opsware, Inc. (a) 135,993
3,500 PDF Solutions, Inc. (a) 41,405
6,100 Packeteer, Inc. (a) 47,641
19,520 Parametric Technology Corp. (a) 421,827
500 Pegasystems, Inc. 5,465
7,200 Progress Software Corp. (a) 228,888
700 QAD, Inc. 5,810
11,100 Quest Software, Inc. (a) 179,709
16,600 RealNetworks, Inc. (a) 135,622
2,700 RightNow Technologies, Inc. (a) 44,307
4,450 SAVVIS, Inc. (a) 220,320
2,100 SI International, Inc. (a) 69,342
3,000 SPSS, Inc. (a) 132,420
6,700 SRA International, Inc. Class A (a) 169,242
5,100 SYKES Enterprises, Inc. (a) 96,849
1,700 SYNNEX Corp. (a) 35,037
14,200 Sapient Corp. (a) 109,766
4,400 Sigma Designs, Inc. (a) 114,796
6,000 Smith Micro Software, Inc. (a) 90,360
3,200 Solera Holdings, Inc. (a) 62,016
10,500 SonicWALL, Inc. (a) 90,195
14,700 Sourceforge, Inc. (a) 62,034
300 Stanley, Inc. (a) 5,286
14,900 Sybase, Inc. (a) 355,961
2,400 Synchronoss Technologies, Inc. (a) 70,416
1,400 Syntel, Inc. 42,546
2,700 Taleo Corp. Class A (a) 60,831
100 TechTarget, Inc. (a) 1,285
6,000 Transaction Systems Architects, Inc. Class A (a) 201,960
7,400 The TriZetto Group, Inc. (a) 143,264
6,900 Tyler Technologies, Inc. (a) 85,629
4,200 Ultimate Software Group, Inc. (a) 121,506
600 Unica Corp. (a) 9,900
5,000 VASCO Data Security International, Inc. (a) 113,550
5,200 Vignette Corp. (a) 99,632
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
4,300 Visual Sciences, Inc. (a) $ 66,521
7,600 Websense, Inc. (a) 161,500
12,700 Wind River Systems, Inc. (a) 139,700
8,100 Zoran Corp. (a) 162,324
-------------
12,249,916
---------------------------------------------------------------------------------------------------------------------
Computer Technology - 1.1% 19,500 Adaptec, Inc. (a) 74,295
6,200 Advanced Analogic Technologies, Inc. (a) 60,140
7,300 Cray, Inc. (a) 55,699
13,900 Emulex Corp. (a) 303,576
6,300 FalconStor Software, Inc. (a) 66,465
49,900 Gateway, Inc. (a) 79,341
4,500 Hutchinson Technology, Inc. (a) 84,645
5,700 Imation Corp. 210,102
5,500 Immersion Corp. (a) 82,390
9,000 Intermec, Inc. (a) 227,790
300 Isilon Systems, Inc. (a) 4,626
4,500 Komag, Inc. (a) 143,505
16,800 Palm, Inc. 268,968
14,200 Perot Systems Corp. Class A (a) 241,968
31,900 Quantum Corp. (a) 101,123
4,900 Rackable Systems, Inc. (a) 60,564
4,400 Radiant Systems, Inc. (a) 58,256
3,700 Radisys Corp. (a) 45,880
2,300 Rimage Corp. (a) 72,657
7,700 STEC, Inc. (a) 49,511
19,700 Safeguard Scientifics, Inc. (a) 55,357
400 Silicon Graphics, Inc. (a) 10,616
1,800 Stratasys, Inc. (a) 84,564
4,400 Synaptics, Inc. (a) 157,476
10,000 Trident Microsystems, Inc. (a) 183,500
-------------
2,783,014
---------------------------------------------------------------------------------------------------------------------
Construction - 0.6% 2,163 Brookfield Homes Corp. 62,922
5,200 EMCOR Group, Inc. (a) 379,080
5,900 Granite Construction, Inc. 378,662
2,800 Great Lakes Dredge & Dock Corp. (a) 26,600
4,100 Perini Corp. (a) 252,273
4,700 Washington Group International, Inc. (a) 376,047
-------------
1,475,584
---------------------------------------------------------------------------------------------------------------------
Consumer Electronics - 0.8% 24,600 CNET Networks, Inc. (a) 201,474
3,000 DTS, Inc. (a) 65,310
20,100 EarthLink, Inc. (a) 150,147
100 Glu Mobile, Inc. (a) 1,390
5,500 InfoSpace, Inc. 127,655
6,810 Internap Network Services Corp. (a) 98,200
8,200 Ipass, Inc. (a) 44,444
3,100 LoJack Corp. (a) 69,099
6,300 Midway Games, Inc. (a) 40,068
6,400 NIC, Inc. 43,776
7,600 NetFlix, Inc. (a) 147,364
4,500 Sohu.com, Inc. (a) 143,955
10,900 THQ, Inc. (a) 332,668
11,900 Take-Two Interactive Software, Inc. (a) 237,643
10,900 United Online, Inc. 179,741
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------
2,300 Universal Electronics, Inc. (a) $ 83,536
-------------
1,966,470
---------------------------------------------------------------------------------------------------------------------
Consumer Products - 0.7% 9,000 American Greetings Corp. Class A 254,970
4,500 Blyth, Inc. 119,610
1,300 CSS Industries, Inc. 51,493
2,700 Citi Trends, Inc. (a) 102,492
2,700 Mannatech, Inc. 42,903
5,100 Matthews International Corp. Class A 222,411
5,800 Nautilus, Inc. 69,832
4,000 Oakley, Inc. 113,600
9,200 Playtex Products, Inc. (a) 136,252
3,400 RC2 Corp. (a) 136,034
6,400 Spectrum Brands, Inc. (a) 43,328
6,100 The Topps Co., Inc. 64,111
10,600 Tupperware Corp. 304,644
1,600 USANA Health Sciences, Inc. (a) 71,584
-------------
1,733,264
---------------------------------------------------------------------------------------------------------------------
Containers & Packaging: 11,500 AptarGroup, Inc. 408,940
Metals & Glass - 0.4% 5,400 Greif, Inc. 321,894
6,200 Mobile Mini, Inc. (a) 181,040
4,000 Silgan Holdings, Inc. 221,120
-------------
1,132,994
---------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Paper 1,000 AEP Industries, Inc. (a) 45,010
& Plastic - 0.1% 11,200 Graphic Packaging Corp. (a) 54,208
4,700 Myers Industries, Inc. 103,917
-------------
203,135
---------------------------------------------------------------------------------------------------------------------
Copper - 0.1% 6,200 Mueller Industries, Inc. 213,528
---------------------------------------------------------------------------------------------------------------------
Cosmetics - 0.2% 4,600 Elizabeth Arden, Inc. (a) 111,596
4,600 Helen of Troy Ltd. (a) 124,200
800 Inter Parfums, Inc. 21,296
9,600 Nu Skin Enterprises, Inc. Class A 158,400
31,991 Revlon, Inc. Class A (a) 43,828
-------------
459,320
---------------------------------------------------------------------------------------------------------------------
Diversified Financial 200 ACA Capital Holdings, Inc. (a) 2,380
Services - 0.6% 21,100 The BISYS Group, Inc. 249,613
800 Clayton Holdings, Inc. (a) 9,112
900 Enstar Group Ltd. (a) 108,638
7,500 Euronet Worldwide, Inc. (a) 218,700
2,100 Evercore Partners, Inc. Class A 62,517
9,800 F.N.B. Corp. 164,052
900 FCStone Group, Inc. (a) 51,579
8,550 Freedom Acquisition Holdings, Inc. (a) 94,136
3,100 Greenhill & Co., Inc. 213,001
3,100 Huron Consulting Group, Inc. (a) 226,331
2,400 Information Services Group, Inc. (a) 18,360
7,300 Interactive Brokers Group, Inc. Class A (a) 198,049
3,400 Marathon Acquisition Corp. (a) 26,792
300 Oritani Financial Corp. (a) 4,287
-------------
1,647,547
---------------------------------------------------------------------------------------------------------------------
Diversified Materials & 7,500 Acuity Brands, Inc. 452,100
Processing - 0.8% 6,800 Barnes Group, Inc. 215,424
7,900 Brady Corp. 293,406
9,000 Clarcor, Inc. 336,870
15,400 Hexcel Corp. (a) 324,478
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
2,300 Koppers Holdings, Inc. $ 77,464
12,000 Olin Corp. 252,000
5,100 Tredegar Corp. 108,630
1,100 Valhi, Inc. 17,930
-------------
2,078,302
---------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store 8,800 Casey's General Stores, Inc. 239,888
Chains - 0.6% 3,200 The Great Atlantic & Pacific Tea Co., Inc. (a) 107,328
2,100 Ingles Markets, Inc. Class A 72,345
5,400 Longs Drug Stores Corp. 283,608
2,500 Nash Finch Co. 123,750
7,000 Pathmark Stores, Inc. (a) 90,720
6,800 Ruddick Corp. 204,816
3,500 Spartan Stores, Inc. 115,185
400 Village Super Market, Inc. Class A 19,124
2,000 Weis Markets, Inc. 81,020
5,100 Wild Oats Markets, Inc. (a) 85,476
5,000 Winn-Dixie Stores, Inc. (a) 146,500
-------------
1,569,760
---------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals - 2.3% 5,400 Adams Respiratory Therapeutics, Inc. (a) 212,706
200 Affymax, Inc. (a) 5,392
7,100 Akorn, Inc. (a) 49,629
1,500 Alexza Pharmaceuticals, Inc. (a) 12,405
15,700 Alkermes, Inc. (a) 229,220
7,100 Alpharma, Inc. Class A 184,671
3,500 Auxilium Pharmaceuticals, Inc. (a) 55,790
5,800 Beijing Med-Pharm Corp. (a) 61,886
3,100 Bentley Pharmaceuticals, Inc. (a) 37,634
15,600 BioMarin Pharmaceuticals, Inc. (a) 279,864
2,100 Bradley Pharmaceuticals, Inc. (a) 45,591
9,700 CV Therapeutics, Inc. (a) 128,137
1,400 Cadence Pharmaceuticals, Inc. (a) 16,982
700 Caraco Pharmaceutical Laboratories Ltd. (a) 10,626
3,100 Chattem, Inc. (a) 196,478
13,000 CytRx Corp. (a) 40,560
13,600 Dendreon Corp. (a) 96,288
9,600 Durect Corp. (a) 36,960
100 Emergent Biosolutions, Inc. (a) 1,030
4,800 Enzo Biochem, Inc. (a) 71,760
1,900 GTx, Inc. (a) 30,761
12,100 Indevus Pharmaceuticals, Inc. (a) 81,433
13,400 Isis Pharmaceuticals, Inc. (a) 129,712
8,000 Javelin Pharmaceuticals, Inc. (a) 49,520
5,800 KV Pharmaceutical Co. Class A (a) 157,992
12,300 Ligand Pharmaceuticals, Inc. Class B 84,624
13,000 MGI Pharma, Inc. (a) 290,810
20,500 Medarex, Inc. (a) 292,945
8,400 Medicines Co. (a) 148,008
9,100 Medicis Pharmaceutical Corp. Class A 277,914
14,900 Nektar Therapeutics (a) 141,401
4,200 Noven Pharmaceuticals, Inc. (a) 98,490
500 Obagi Medical Products, Inc. (a) 8,860
7,800 Onyx Pharmaceuticals, Inc. (a) 209,820
6,200 Pain Therapeutics, Inc. (a) 54,002
5,800 Par Pharmaceutical Cos., Inc. (a) 163,734
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
5,000 Penwest Pharmaceuticals Co. (a) $ 62,350
13,600 Perrigo Co. 266,288
4,200 Pharmion Corp. (a) 121,590
4,300 Pozen, Inc. (a) 77,701
4,700 Quidel Corp. (a) 82,532
9,500 Regeneron Pharmaceuticals, Inc. (a) 170,240
8,200 Salix Pharmaceuticals Ltd. (a) 100,860
11,200 Santarus, Inc. (a) 57,904
5,700 Sciele Pharma, Inc. (a) 134,292
2,900 Somaxon Pharmaceuticals, Inc. (a) 35,264
8,700 SuperGen, Inc. (a) 48,372
600 Trubion Pharmaceuticals, Inc. (a) 12,528
3,400 United Therapeutics Corp. (a) 216,784
15,500 Valeant Pharmaceuticals International 258,695
6,200 Vivus, Inc. (a) 32,426
3,200 Xenoport, Inc. (a) 142,144
-------------
5,813,605
---------------------------------------------------------------------------------------------------------------------
Education Services - 0.5% 4,300 Bright Horizons Family Solutions, Inc. (a) 167,313
1,300 Capella Education Co. (a) 59,839
15,100 Corinthian Colleges, Inc. (a)(c) 245,979
9,800 DeVry, Inc. 333,396
1,200 Renaissance Learning, Inc. 15,780
2,500 Strayer Education, Inc. 329,275
3,800 Universal Technical Institute, Inc. (a) 96,482
-------------
1,248,064
---------------------------------------------------------------------------------------------------------------------
Electrical & Electronics - 0.3% 11,300 Benchmark Electronics, Inc. (a) 255,606
1,700 Coleman Cable, Inc. (a) 43,962
2,600 OSI Systems, Inc. (a) 71,110
7,500 Plexus Corp. (a) 172,425
7,300 TTM Technologies, Inc. (a) 94,900
4,000 Universal Display Corp. (a) 62,840
-------------
700,843
---------------------------------------------------------------------------------------------------------------------
Electrical Equipment & 3,300 AO Smith Corp. 131,637
Components - 0.9% 1,400 AZZ Inc. (a) 47,110
5,700 American Superconductor Corp. (a) 110,067
7,470 Baldor Electric Co. 368,122
5,800 CTS Corp. 73,428
4,000 Cohu, Inc. 89,000
2,400 Color Kinetics, Inc. (a) 80,184
3,100 Franklin Electric Co., Inc. 146,258
4,400 Genlyte Group, Inc. (a) 345,576
3,900 Littelfuse, Inc. (a) 131,703
7,400 MKS Instruments, Inc. (a) 204,980
1,300 Powell Industries, Inc. (a) 41,288
12,200 Power-One, Inc. (a) 48,556
4,500 Sonic Solutions, Inc. (a) 56,745
10,800 Taser International, Inc. (a) 150,660
6,600 Technitrol, Inc. 189,222
2,800 Triumph Group, Inc. 183,316
-------------
2,397,852
---------------------------------------------------------------------------------------------------------------------
Electrical: Household 800 National Presto Industries, Inc. 49,872
Appliance - 0.0%
---------------------------------------------------------------------------------------------------------------------
Electronics - 0.7% 12,200 Aeroflex, Inc. (a)(c) 172,874
5,400 Agilysys, Inc. 121,500
7,900 Arrowhead Research Corp. (a) 39,737
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
7,400 Avid Technology, Inc. (a) $ 261,590
5,200 Daktronics, Inc. 111,696
11,400 Flir Systems, Inc. (a) 527,250
3,900 II-VI, Inc. (a) 105,963
20,700 MRV Communications, Inc. (a) 67,275
6,400 Methode Electronics, Inc. 100,160
1,400 Multi-Fineline Electronix, Inc. (a) 24,024
3,500 Park Electrochemical Corp. 98,630
11,800 Semtech Corp. (a) 204,494
2,100 Supertex, Inc. (a) 65,814
-------------
1,901,007
---------------------------------------------------------------------------------------------------------------------
Electronics: Instruments, 1,800 Faro Technologies, Inc. (a) 57,348
Gauges & Meters - 0.2% 4,890 Itron, Inc. (a) 381,127
3,100 Measurement Specialties, Inc. (a) 73,408
700 OYO Geospace Corp. (a) 51,933
2,700 Zygo Corp. (a) 38,583
-------------
602,399
---------------------------------------------------------------------------------------------------------------------
Electronics: Medical 1,900 Accuray, Inc. (a) 42,142
Systems - 1.0% 11,200 Affymetrix, Inc. (a) 278,768
2,400 Analogic Corp. 176,424
2,700 Aspect Medical Systems, Inc. (a) 40,392
8,700 Bruker BioSciences Corp. (a) 78,387
1,700 Cynosure, Inc. Class A (a) 61,931
2,300 Datascope Corp. 88,044
8,600 eResearch Technology, Inc. (a) 81,786
3,600 Greatbatch, Inc. (a) 116,640
4,300 Haemonetics Corp. (a) 226,223
8,750 Hologic, Inc. (a) 483,963
8,707 Illumina, Inc. (a) 353,417
5,600 Luminex Corp. (a) 68,936
10,600 Minrad International, Inc. (a) 62,858
4,600 Natus Medical, Inc. (a) 73,232
3,300 NxStage Medical, Inc. (a) 42,669
2,800 Quality Systems, Inc. 106,316
2,900 Sirona Dental Systems, Inc. 109,707
900 Tomotherapy, Inc. (a) 19,728
2,300 Visicu, Inc. (a) 21,045
3,400 Zoll Medical Corp. (a) 75,854
-------------
2,608,462
---------------------------------------------------------------------------------------------------------------------
Electronics: 9,000 AMIS Holdings, Inc. (a) 112,680
Semi-Conductors/Components - 4,500 Actel Corp. (a) 62,595
2.0% 17,000 Amkor Technology, Inc. (a) 267,750
9,600 Anadigics, Inc. (a) 132,384
51,800 Applied Micro Circuits Corp. (a) 129,500
400 Cavium Networks, Inc. (a) 9,048
14,400 Cirrus Logic, Inc. (a) 119,520
79,800 Conexant Systems, Inc. (a) 110,124
5,300 DSP Group, Inc. (a) 108,491
3,200 Diodes, Inc. (a) 133,664
5,900 Exar Corp. (a) 79,060
2,300 Excel Technology, Inc. (a) 64,262
7,800 Formfactor, Inc. (a) 298,740
6,200 Genesis Microchip, Inc. (a) 58,032
2,300 Hittite Microwave Corp. (a) 98,279
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
900 IPG Photonics Corp. (a) $ 17,955
4,200 IXYS Corp. (a) 35,070
19,900 Lattice Semiconductor Corp. (a) 113,828
7,100 MIPS Technologies, Inc. (a) 62,409
9,000 Micrel, Inc. 114,480
12,400 Microsemi Corp. (a) 296,980
8,700 Microtune, Inc. (a) 45,501
3,600 Monolithic Power Systems, Inc. (a) 62,820
2,800 Netlogic Microsystems, Inc. (a) 89,152
37,900 ON Semiconductor Corp. (a) 406,288
8,900 Omnivision Technologies, Inc. (a) 161,179
4,400 PLX Technology, Inc. (a) 49,104
32,300 PMC-Sierra, Inc. (a) 249,679
4,200 Pericom Semiconductor Corp. (a) 46,872
31,600 RF Micro Devices, Inc. (a) 197,184
8,600 SiRF Technology Holdings, Inc. (a) 178,364
14,300 Silicon Image, Inc. (a) 122,694
15,400 Silicon Storage Technology, Inc. (a) 57,442
26,000 Skyworks Solutions, Inc. (a) 191,100
13,000 Spansion LLC Class A (a) 144,300
12,300 Syntax-Brillian Corp. (a) 60,516
3,500 Techwell, Inc. (a) 45,850
7,800 Tessera Technologies, Inc. (a) 316,290
24,400 TriQuint Semiconductor, Inc. (a) 123,464
3,300 Volterra Semiconductor Corp. (a) 46,860
-------------
5,019,510
---------------------------------------------------------------------------------------------------------------------
Electronics: Technology - 0.5% 2,200 3D Systems Corp. (a) 54,714
4,600 Acacia Research - Acacia Technologies (a) 74,336
1,500 American Science & Engineering, Inc. (a) 85,275
6,900 Checkpoint Systems, Inc. (a) 174,225
7,100 Cogent, Inc. (a) 104,299
5,200 Coherent, Inc. (a) 158,652
2,500 Cubic Corp. 75,450
2,900 EDO Corp. 95,323
1,300 Eagle Test Systems, Inc. (a) 20,878
3,300 Gerber Scientific, Inc. (a) 38,346
2,100 Innovative Solutions & Support, Inc. (a) 48,762
5,200 Ionatron, Inc. (a) 20,280
13,700 Kemet Corp. (a) 96,585
4,200 ScanSource, Inc. (a) 134,358
7,000 Smart Modular Technologies WWH, Inc. (a) 96,320
-------------
1,277,803
---------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous - 0.5% 2,100 Alon USA Energy, Inc. 92,421
4,930 Aventine Renewable Energy Holdings, Inc. (a) 83,662
3,300 Clean Energy Fluels Corp. (a) 41,448
5,600 Crosstex Energy, Inc. 160,888
1,600 Dawson Geophysical Co. (a) 98,336
200 EnerNOC, Inc. (a) 7,626
12,500 Evergreen Energy, Inc. (a) 75,375
14,400 Evergreen Solar, Inc. (a) 133,920
10,800 FuelCell Energy, Inc. (a) 85,536
567 GeoMet, Inc. (a) 4,343
720 MarkWest Hydrocarbon, Inc. 41,350
4,500 Matrix Service Co. (a) 111,825
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
1,600 Ormat Technologies, Inc. $ 60,288
5,600 Pacific Ethanol, Inc. (a) 73,920
6,200 Penn Virginia Corp. 249,240
32,700 Rentech, Inc. (a) 84,693
-------------
1,404,871
---------------------------------------------------------------------------------------------------------------------
Engineering & 6,800 Aecom Technology Corp. (a) 168,708
Contracting Services - 0.5% 2,300 Cal Dive International, Inc. (a) 38,249
2,800 Clean Harbors, Inc. (a) 138,376
6,700 Dycom Industries, Inc. (a) 200,866
4,000 ENGlobal Corp. (a) 48,600
6,100 InfraSource Services, Inc. (a) 226,310
2,100 Integrated Electrical Services, Inc. (a) 69,237
2,200 Layne Christensen Co. (a) 90,090
1,700 Michael Baker Corp. (a) 63,155
14,940 SAIC, Inc. (a) 269,966
-------------
1,313,557
---------------------------------------------------------------------------------------------------------------------
Entertainment - 0.4% 2,200 Carmike Cinemas, Inc. 48,312
3,200 Cinemark Holdings, Inc. (a) 57,248
6,700 Gaylord Entertainment Co. (a) 359,388
10,700 Live Nation, Inc. (a) 239,466
3,600 Lodgenet Entertainment Corp. (a) 115,416
2,300 Speedway Motorsports, Inc. 91,954
-------------
911,784
---------------------------------------------------------------------------------------------------------------------
Fertilizers - 0.1% 15,100 Terra Industries, Inc. (a) 383,842
---------------------------------------------------------------------------------------------------------------------
Finance Companies - 0.3% 3,641 Accredited Home Lenders Holding Co. (a) 49,772
2,100 Asta Funding, Inc. 80,703
878 Credit Acceptance Corp. (a) 23,557
4,000 Delta Financial Corp. 49,080
6,300 International Securities Exchange, Inc. 411,705
3,100 MVC Capital, Inc. 58,311
1,000 NewStar Financial, Inc. (a) 14,230
3,200 World Acceptance Corp. (a) 136,736
-------------
824,094
---------------------------------------------------------------------------------------------------------------------
Finance: Small Loan - 0.1% 10,900 Advance America, Cash Advance Centers, Inc. 193,366
2,200 Dollar Financial Corp. (a) 62,700
3,900 Encore Capital Group, Inc. (a) 48,672
2,100 Nelnet, Inc. Class A 51,324
300 QC Holdings, Inc. 4,500
-------------
360,562
---------------------------------------------------------------------------------------------------------------------
Financial Data Processing 3,400 Advent Software, Inc. (a) 110,670
Services & Systems - 0.8% 4,600 Authorize.Net Holdings, Inc. (a) 82,294
600 Cass Information Systems, Inc. 21,756
3,300 CompuCredit Corp. (a) 115,566
5,100 CyberSource Corp. (a) 61,506
9,000 Deluxe Corp. 365,490
7,700 eFunds Corp. (a) 271,733
4,900 eSpeed, Inc. Class A (a) 42,336
2,900 ExlService Holdings, Inc. (a) 54,346
2,400 Heartland Payment Systems, Inc. 70,392
9,400 Hypercom Corp. (a) 55,554
12,800 Jack Henry & Associates, Inc. 329,600
5,600 Online Resources Corp. (a) 61,488
4,200 TNS, Inc. 60,522
6,200 TradeStation Group, Inc. (a) 72,230
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
6,500 Wright Express Corp. (a) $ 222,755
-------------
1,998,238
---------------------------------------------------------------------------------------------------------------------
Financial Information 1,800 Bankrate, Inc. (a) 86,256
Services - 0.2% 9,980 INVESTools, Inc. (a) 99,401
5,900 Interactive Data Corp. 158,002
2,000 Morningstar, Inc. (a) 94,050
17,500 Move, Inc. (a) 78,400
11,000 S1 Corp. (a) 87,890
3,400 TheStreet.com, Inc. 36,992
-------------
640,991
---------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous - 0.9% 5,700 Advanta Corp. Class B 177,498
2,800 Asset Acceptance Capital Corp. (a) 49,560
5,100 Cash America International, Inc. 202,215
1,900 Federal Agricultural Mortgage Corp. Class B 65,018
4,800 Financial Federal Corp. 143,136
4,900 First Cash Financial Services, Inc. (a) 114,856
5,800 Global Cash Access, Inc. (a) 92,916
2,800 LandAmerica Financial Group, Inc. 270,172
2,800 Portfolio Recovery Associates, Inc. 168,056
1,500 RAM Holdings Ltd. (a) 23,625
3,000 Sanders Morris Harris Group, Inc. 34,920
10,600 Sotheby's Holdings, Inc. Class A 487,812
3,260 Sterling Bancorp 52,258
2,800 Stewart Information Services Corp. 111,524
2,100 Stifel Financial Corp. (a) 123,669
1,900 Triad Guaranty, Inc. (a) 75,867
1,000 WSFS Financial Corp. 65,430
700 Wauwatosa Holdings, Inc. (a) 11,578
-------------
2,270,110
---------------------------------------------------------------------------------------------------------------------
Foods - 1.0% 300 American Dairy, Inc. (a) 5,598
3,100 Cal-Maine Foods, Inc. 50,778
6,900 Chiquita Brands International, Inc. 130,824
8,400 Flowers Foods, Inc. 280,224
3,700 Fresh Del Monte Produce, Inc. 92,684
5,600 Hain Celestial Group, Inc. (a) 151,984
2,300 J&J Snack Foods Corp. 86,802
5,100 Lance, Inc. 120,156
2,000 M&F Worldwide Corp. (a) 133,160
700 Maui Land & Pineapple Co., Inc. (a) 25,711
5,800 Performance Food Group Co. (a) 188,442
6,600 Pilgrim's Pride Corp. 251,922
4,400 Ralcorp Holdings, Inc. (a) 235,180
3,000 Sanderson Farms, Inc. 135,060
100 Seaboard Corp. 234,500
8,100 Sensient Technologies Corp. 205,659
5,843 Tootsie Roll Industries, Inc. 161,910
5,100 TreeHouse Foods, Inc. (a) 135,711
-------------
2,626,305
---------------------------------------------------------------------------------------------------------------------
Forest Products - 0.1% 1,800 Deltic Timber Corp. 98,676
2,700 Universal Forest Products, Inc. 114,102
-------------
212,778
---------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing 4,200 Ennis, Inc. 98,784
Services - 0.1% 2,500 Innerworkings, Inc. (a) 40,050
2,900 The Standard Register Co. 33,060
-------------
171,894
---------------------------------------------------------------------------------------------------------------------
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
Funeral Parlors & Cemeteries 18,300 Stewart Enterprises, Inc. Class A $ 142,557
- 0.1%
---------------------------------------------------------------------------------------------------------------------
Glass - 0.1% 4,900 Apogee Enterprises, Inc. 136,318
---------------------------------------------------------------------------------------------------------------------
Gold - 0.1% 48,700 Coeur d'Alene Mines Corp. (a) 174,833
3,900 Royal Gold, Inc. 92,703
-------------
267,536
---------------------------------------------------------------------------------------------------------------------
Health Care Facilities - 0.7% 7,800 Assisted Living Concepts, Inc. (a) 83,070
4,300 Capital Senior Living Corp. (a) 40,506
400 Emeritus Corp. (a) 12,392
3,200 Genesis HealthCare Corp. (a) 218,944
4,880 Kindred Healthcare, Inc. (a) 149,914
3,600 LCA-Vision, Inc. 170,136
1,400 MedCath Corp. (a) 44,520
1,100 National Healthcare Corp. 56,760
8,800 Psychiatric Solutions, Inc. (a) 319,088
2,100 Radiation Therapy Services, Inc. (a) 55,314
4,000 Res-Care, Inc. (a) 84,560
4,900 Skilled Healthcare Group, Inc. Class A (a) 75,999
8,200 Sun Healthcare Group, Inc. (a) 118,818
7,300 Sunrise Senior Living, Inc. (a) 291,927
-------------
1,721,948
---------------------------------------------------------------------------------------------------------------------
Health Care Management 8,600 AMERIGROUP Corp. (a) 204,680
Services - 0.6% 8,300 Allscripts Healthcare Solutions, Inc. (a) 211,484
1,300 American Dental Partners, Inc. (a) 33,761
5,200 Amsurg Corp. (a) 125,528
7,100 Centene Corp. (a) 152,082
1,600 Computer Programs & Systems, Inc. 49,568
1,550 Corvel Corp. (a) 40,517
7,400 Eclipsys Corp. (a) 146,520
2,600 HMS Holdings Corp. (a) 49,764
6,500 HealthSpring, Inc. (a) 123,890
2,100 Molina Healthcare, Inc. (a) 64,092
5,000 Omnicell, Inc. (a) 103,900
6,000 Phase Forward, Inc. (a) 100,980
2,500 Vital Images, Inc. (a) 67,900
-------------
1,474,666
---------------------------------------------------------------------------------------------------------------------
Health Care Services - 0.7% 6,000 Alliance Imaging, Inc. (a) 56,340
4,233 Amedisys, Inc. (a) 153,785
7,100 Apria Healthcare Group, Inc. (a) 204,267
1,800 Bio-Reference Labs, Inc. (a) 49,230
1,100 Emergency Medical Services Corp. (a) 43,043
4,700 Gentiva Health Services, Inc. (a) 94,282
13,600 HealthSouth Corp. (a) 246,296
4,800 Healthcare Services Group, Inc. 141,600
5,700 Healthways, Inc. (a) 270,009
6,800 Hythiam, Inc. (a) 58,820
2,200 LHC Group, Inc. (a) 57,640
3,700 Matria Healthcare, Inc. (a) 112,036
2,500 Nighthawk Radiology Holdings, Inc. (a) 45,125
6,100 Odyssey HealthCare, Inc. (a) 72,346
3,200 Symbion, Inc. (a) 69,472
-------------
1,674,291
---------------------------------------------------------------------------------------------------------------------
Homebuilding - 0.3% 5,800 Beazer Homes USA, Inc. 143,086
6,100 Hovnanian Enterprises, Inc. Class A (a) 100,833
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
2,100 M/I Homes, Inc. $ 55,860
4,000 Meritage Homes Corp. (a) 107,000
9,400 Standard-Pacific Corp. 164,782
5,900 WCI Communities, Inc. (a) 98,412
-------------
669,973
---------------------------------------------------------------------------------------------------------------------
Hotel/Motel - 0.1% 3,100 Lodgian, Inc. (a) 46,593
3,400 Marcus Corp. 80,784
3,200 Morgans Hotel Group Co. (a) 78,016
-------------
205,393
---------------------------------------------------------------------------------------------------------------------
Household Furnishings - 0.5% 2,100 American Woodmark Corp. 72,660
5,000 Ethan Allen Interiors, Inc. 171,250
7,900 Furniture Brands International, Inc. 112,180
3,400 Haverty Furniture Cos., Inc. 39,678
1,700 Hooker Furniture Corp. 38,148
8,400 La-Z-Boy, Inc. 96,264
1,700 Libbey, Inc. 36,669
2,000 Lifetime Brands, Inc. 40,900
5,800 Sealy Corp. 95,816
9,300 Select Comfort Corp. (a) 150,846
12,714 Tempur-Pedic International, Inc. 329,293
-------------
1,183,704
---------------------------------------------------------------------------------------------------------------------
Identification Control & 5,800 Advanced Energy Industries, Inc. (a) 131,428
Filter Devices - 0.6% 8,400 Asyst Technologies, Inc. (a) 60,732
2,300 Badger Meter, Inc. 64,998
4,200 ESCO Technologies, Inc. (a) 152,292
1,375 The Gorman-Rupp Co. 43,808
10,498 L-1 Identity Solutions, Inc. (a) 214,684
4,600 Mine Safety Appliances Co. 201,296
2,300 Robbins & Myers, Inc. 122,199
1,600 Sun Hydraulics, Inc. 78,800
5,300 Veeco Instruments, Inc. (a) 109,922
3,200 Vicor Corp. 42,336
4,900 Watts Water Technologies, Inc. Class A 183,603
4,500 X-Rite, Inc. 66,465
-------------
1,472,563
---------------------------------------------------------------------------------------------------------------------
Industrial Products - 0.1% 4,800 Smith & Wesson Holding Corp. (a) 80,400
2,700 TAL International Group, Inc. 80,217
-------------
160,617
---------------------------------------------------------------------------------------------------------------------
Insurance: Life - 0.4% 9,800 American Equity Investment Life Holding Co. 118,384
2,200 Citizens, Inc. (a) 15,488
7,250 Delphi Financial Group, Inc. Class A 303,195
1,500 Great American Financial Resources, Inc. 36,285
300 Kansas City Life Insurance Co. 13,950
400 National Western Life Insurance Co. Class A 101,168
18,600 The Phoenix Cos., Inc. 279,186
3,500 Presidential Life Corp. 68,810
7,800 Scottish Re Group Ltd. (a) 38,142
6,400 Universal American Financial Corp. (a) 136,192
-------------
1,110,800
---------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line - 1.1% 5,300 Alfa Corp. 82,521
10,200 Assured Guaranty Ltd. 301,511
2,000 CNA Surety Corp. (a) 37,820
5,200 Crawford & Co. Class B 35,152
1,000 EMC Insurance Group, Inc. 24,820
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
3,000 eHealth, Inc. (a) $ 57,270
2,300 FBL Financial Group, Inc. Class A 90,436
400 Flagstone Reinsurance Holdings Ltd. (a) 5,327
4,800 HealthExtras, Inc. (a) 141,984
6,000 Hilb Rogal & Hobbs Co. 257,160
7,500 Horace Mann Educators Corp. 159,300
10,700 Max Capital Group Ltd. 302,810
4,300 Meadowbrook Insurance Group, Inc. (a) 47,128
16,900 Montpelier Re Holdings Ltd. 313,326
1,900 Pico Holdings, Inc. (a) 82,194
9,100 Platinum Underwriters Holdings Ltd. 316,225
5,400 Primus Guaranty Ltd. (a) 57,888
4,500 Security Capital Assurance Ltd. 138,915
6,050 Zenith National Insurance Corp. 284,895
-------------
2,736,682
---------------------------------------------------------------------------------------------------------------------
Insurance: Property-Casualty 5,600 21st Century Insurance Group 122,416
- 1.9% 1,800 American Physicians Capital, Inc. (a) 72,900
4,100 Amerisafe, Inc. (a) 80,483
3,000 Amtrust Financial Services, Inc. 56,370
5,500 Argonaut Group, Inc. 171,655
15,200 Aspen Insurance Holdings Ltd. 426,663
2,000 Baldwin & Lyons, Inc. Class B 51,960
2,300 Bristol West Holdings, Inc. 51,451
9,400 Commerce Group, Inc. 326,368
1,200 Darwin Professional Underwriters, Inc. (a) 30,204
1,600 Donegal Group, Inc. Class A 23,840
8,710 Employers Holdings, Inc. 185,000
1,800 FPIC Insurance Group, Inc. (a) 73,386
2,800 First Acceptance Corp. (a) 28,448
3,100 First Mercury Financial Corp. (a) 65,007
11,000 Fremont General Corp. 118,360
500 Greenlight Capital Re Ltd. (a) 11,264
2,400 Harleysville Group, Inc. 80,064
9,600 IPC Holdings, Ltd. 309,984
3,200 Infinity Property & Casualty Corp. 162,336
1,500 James River Group, Inc. 49,845
1,600 The Midland Co. 75,104
900 NYMAGIC, Inc. 36,180
1,700 National Interstate Corp. 44,336
2,100 Navigators Group, Inc. (a) 113,190
4,100 Odyssey Re Holdings Corp. 175,849
10,300 Ohio Casualty Corp. 446,093
6,900 PMA Capital Corp. Class A (a) 73,761
5,000 PXRE Group Ltd. (a) 23,200
5,500 ProAssurance Corp. (a) 306,185
3,400 RLI Corp. 190,230
2,500 Safety Insurance Group, Inc. 103,500
4,700 SeaBright Insurance Holdings, Inc. (a) 82,156
9,600 Selective Insurance Group, Inc. 258,048
2,300 State Auto Financial Corp. 70,495
4,000 Tower Group, Inc. 127,600
3,000 United America Indemnity, Ltd. (a) 74,610
3,600 United Fire & Casualty Co. 127,368
-------------
4,825,909
---------------------------------------------------------------------------------------------------------------------
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
Investment Management 17,376 Apollo Investment Corp. $ 373,932
Companies - 0.8% 11,332 Ares Capital Corp. 190,944
4,100 Calamos Asset Management, Inc. Class A 104,755
400 Capital Southwest Corp. 62,316
2,400 Cohen & Steers, Inc. 104,280
3,500 Cowen Group, Inc. (a) 62,685
2,600 Epoch Holding Corp. (a) 34,814
1,000 GAMCO Investors, Inc. Class A 56,050
2,200 Kohlberg Capital Corp. 40,810
10,000 MCG Capital Corp. 160,200
3,100 NGP Capital Resources Co. 51,832
6,100 National Financial Partners Corp. 282,491
5,400 NexCen Brands, Inc. (a) 60,156
2,600 Technology Investment Capital Corp. 41,054
2,600 U.S. Global Investors, Inc. 58,890
1,400 WP Stewart & Co. Ltd. 15,246
13,700 Waddell & Reed Financial, Inc. Class A 356,337
-------------
2,056,792
---------------------------------------------------------------------------------------------------------------------
Jewelry, Watches & Gemstones 7,600 Fossil, Inc. (a) 224,124
- 0.1% 2,800 Movado Group, Inc. 94,472
-------------
318,596
---------------------------------------------------------------------------------------------------------------------
Leisure Time - 0.5% 11,700 Callaway Golf Co. 208,377
4,700 Great Wolf Resorts, Inc. (a) 66,975
8,300 K2, Inc. (a) 126,077
5,200 Life Time Fitness, Inc. (a) 276,796
5,700 Premier Exhibitions, Inc. (a) 89,832
11,500 Six Flags, Inc. (a) 70,035
1,300 Steinway Musical Instruments, Inc. 44,967
2,500 Sturm Ruger & Co., Inc. (a) 38,800
1,800 Town Sports International Holdings, Inc. (a) 34,776
5,100 Vail Resorts, Inc. (a) 310,437
2,500 West Marine, Inc. (a) 34,400
-------------
1,301,472
---------------------------------------------------------------------------------------------------------------------
Machine Tools - 0.0% 1,300 Hurco Companies, Inc. (a) 64,974
---------------------------------------------------------------------------------------------------------------------
Machinery & Engineering - 0.1% 7,850 Applied Industrial Technologies, Inc. 231,575
---------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural - 0.1% 1,850 Gehl Co. (a) 56,166
2,000 Lindsay Manufacturing Co. 88,580
-------------
144,746
---------------------------------------------------------------------------------------------------------------------
Machinery: Construction & 3,700 ASV, Inc. (a) 63,936
Handling - 0.1% 3,000 Astec Industries, Inc. (a) 126,660
900 NACCO Industries, Inc. Class A 139,941
-------------
330,537
---------------------------------------------------------------------------------------------------------------------
Machinery: Engines - 0.1% 8,100 Briggs & Stratton Corp. 255,636
3,200 Raser Techonologies, Inc. (a) 23,648
-------------
279,284
---------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty 4,500 Actuant Corp. Class A 283,770
- 0.6% 600 Altra Holdings, Inc. (a) 10,368
1,300 Chart Industries, Inc. (a) 36,972
3,100 Columbus McKinnon Corp. (a) 99,820
3,500 EnPro Industries, Inc. (a) 149,765
2,300 Hardinge, Inc. 78,269
2,400 Kadant, Inc. (a) 74,880
2,200 Middleby Corp. (a) 131,604
5,200 Nordson Corp. 260,832
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
2,900 Tecumseh Products Co. Class A (a) $ 45,559
2,800 Tennant Co. 102,200
900 Twin Disc, Inc. 64,719
4,900 Woodward Governor Co. 262,983
-------------
1,601,741
---------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well Equipment 4,800 Allis-Chalmers Energy, Inc. (a) 110,352
& Services - 1.5% 5,800 Basic Energy Services, Inc. (a) 148,306
3,350 CARBO Ceramics, Inc. 146,764
6,100 Complete Production Services, Inc. (a) 157,685
3,800 Dril-Quip, Inc. (a) 170,810
1,700 Flotek Industries, Inc. (a) 101,915
2,100 Gulf Island Fabrication, Inc. 72,870
15,100 Hanover Compressor Co. (a) 360,135
4,500 Horizon Offshore, Inc. (a) 86,400
4,200 Hornbeck Offshore Services, Inc. (a) 162,792
11,600 Input/Output, Inc. (a) 181,076
2,400 Lufkin Industries, Inc. 154,920
2,800 NATCO Group, Inc. Class A (a) 128,912
15,600 Newpark Resources, Inc. (a) 120,900
8,000 Oil States International, Inc. (a) 330,720
18,900 Parker Drilling Co. (a) 199,206
5,625 RPC, Inc. 95,850
6,300 Sulphco, Inc. (a) 22,743
800 Superior Offshore International, Inc. (a) 14,560
2,200 Superior Well Services, Inc. (a) 55,902
300 T-3 Energy Services, Inc. (a) 10,035
1,900 Trico Marine Services, Inc. (a) 77,672
1,900 Union Drilling, Inc. (a) 31,198
4,900 Universal Compression Holdings, Inc. (a) 355,103
5,200 W-H Energy Services, Inc. (a) 321,932
4,800 Willbros Group, Inc. (a) 142,464
-------------
3,761,222
---------------------------------------------------------------------------------------------------------------------
Machinery: Specialty - 0.3% 5,850 Bucyrus International, Inc. 414,063
1,900 Cascade Corp. 149,036
4,600 Flow International Corp. (a) 57,960
3,600 Semitool, Inc. (a) 34,596
4,500 TurboChef Technologies, Inc. (a) 62,640
-------------
718,295
---------------------------------------------------------------------------------------------------------------------
Manufactured Housing - 0.1% 12,500 Champion Enterprises, Inc. (a) 122,875
1,600 Palm Harbor Homes, Inc. (a) 22,640
1,200 Skyline Corp. 36,012
-------------
181,527
---------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.1% 7,900 Federal Signal Corp. 125,294
2,200 Standex International Corp. 62,568
-------------
187,862
---------------------------------------------------------------------------------------------------------------------
Medical & Dental Instruments & 3,500 Abaxis, Inc. (a) 73,010
Supplies - 2.7% 4,700 Abiomed, Inc. (a) 50,666
9,700 Align Technology, Inc. (a) 234,352
12,300 American Medical Systems Holdings, Inc. (a)(c) 221,892
4,000 AngioDynamics, Inc. (a) 72,040
4,000 Arrow International, Inc. 153,120
3,000 Bio-Rad Laboratories, Inc. Class A (a) 226,710
2,700 BioMimetic Therapeutics, Inc. (a) 42,201
4,900 CONMED Corp. (a) 143,472
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
800 Cantel Medical Corp. (a) $ 13,608
9,500 Cepheid, Inc. (a) 138,700
4,200 Conceptus, Inc. (a) 81,354
2,500 CryoLife, Inc. (a) 32,525
2,900 Cutera, Inc. (a) 72,268
3,800 Cyberonics, Inc. (a) 63,916
3,800 DJO, Inc. (a) 156,826
2,400 ev3, Inc. (a) 40,512
3,300 FoxHollow Technologies, Inc. (a) 70,092
1,400 Hansen Medical, Inc. (a) 26,446
3,300 I-Flow Corp. (a) 55,242
2,500 ICU Medical, Inc. (a) 107,350
11,250 Immucor, Inc. (a) 314,663
4,900 Invacare Corp. 89,817
7,200 Inverness Medical Innovations, Inc. (a) 367,344
7,800 Kyphon, Inc. (a) 375,570
1,500 Landauer, Inc. 73,875
5,500 LifeCell Corp. (a) 167,970
1,900 Medical Action Industries, Inc. (a) 34,314
6,500 Mentor Corp. 264,420
5,475 Meridian Bioscience, Inc. 118,589
4,500 Merit Medical Systems, Inc. (a) 53,820
3,100 Micrus Endovascular Corp. (a) 76,260
1,800 Northstar Neuroscience, Inc. (a) 20,934
5,800 NuVasive, Inc. (a) 156,658
8,100 OraSure Technologies, Inc. (a) 66,258
2,200 Orthofix International NV (a) 98,934
6,600 Owens & Minor, Inc. 230,604
11,700 PSS World Medical, Inc. (a) 213,174
3,100 Palomar Medical Technologies, Inc. (a) 107,601
4,000 PolyMedica Corp. 163,400
6,000 Sonic Innovations, Inc. (a) 52,500
2,900 SonoSite, Inc. (a) 91,147
6,700 Spectranetic Corp. (a) 77,184
4,100 Stereotaxis, Inc. (a) 53,546
10,600 Steris Corp. 324,360
2,800 SurModics, Inc. (a) 140,000
5,700 Symmetry Medical, Inc. (a) 91,257
8,700 Thoratec Corp. (a) 159,993
5,100 Ventana Medical Systems, Inc. (a) 394,077
1,300 Vital Signs, Inc. 72,215
3,000 Volcano Corp. (a) 60,630
5,400 West Pharmaceutical Services, Inc. 254,610
5,800 Wright Medical Group, Inc. (a) 139,896
-------------
6,981,922
---------------------------------------------------------------------------------------------------------------------
Medical Services - 0.3% 2,200 Air Methods Corp. (a) 80,674
6,400 Magellan Health Services, Inc. (a) 297,408
5,100 Option Care, Inc. 78,540
4,800 Parexel International Corp. (a) 201,888
3,000 RehabCare Group, Inc. (a) 42,720
-------------
701,230
---------------------------------------------------------------------------------------------------------------------
Metal Fabricating - 1.0% 1,100 Ampco-Pittsburgh Corp. 44,099
2,700 CIRCOR International, Inc. 109,161
200 Compx International, Inc. 3,700
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
2,000 Dynamic Materials Corp. $ 75,000
4,100 Encore Wire Corp. 120,704
1,700 Haynes International, Inc. (a) 143,531
2,800 Insteel Industries, Inc. 50,400
4,600 Kaydon Corp. 239,752
2,300 LB Foster Co. Class A (a) 65,964
18,680 Mueller Water Products, Inc. Series A 318,681
800 Northwest Pipe Co. (a) 28,456
6,000 Quanex Corp. 292,200
3,600 RBC Bearings, Inc. (a) 148,500
3,800 RTI International Metals, Inc. (a) 286,406
4,600 Ryerson, Inc. 173,190
3,300 Superior Essex, Inc. (a) 123,255
200 Trimas Corp. (a) 2,416
3,000 Valmont Industries, Inc. 218,280
-------------
2,443,695
---------------------------------------------------------------------------------------------------------------------
Metals & Minerals 1,800 AM Castle & Co. 64,638
Miscellaneous - 0.6% 3,900 AMCOL International Corp. 106,509
9,400 Apex Silver Mines Ltd. (a) 189,691
3,300 Brush Engineered Materials, Inc. (a) 138,567
5,200 Compass Minerals International, Inc. 180,232
17,100 GrafTech International Ltd. (a) 287,964
19,600 Hecla Mining Co. (a) 167,384
10,400 Idaho General Mines, Inc. (a) 65,936
3,100 Minerals Technologies, Inc. 207,545
6,800 Stillwater Mining Co. (a) 74,868
10,400 US Gold Corp. (a) 57,200
9,800 Uranium Resources, Inc. (a) 108,094
-------------
1,648,628
---------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain 1,700 MGP Ingredients, Inc. 28,730
Processing - 0.0%
---------------------------------------------------------------------------------------------------------------------
Miscellaneous Business & 1,600 Core-Mark Holdings Co., Inc. (a) 57,568
Consumer Discretionary - 0.0%
---------------------------------------------------------------------------------------------------------------------
Miscellaneous Consumer Staples - 0.0% 3,200 Reddy Ice Holdings, Inc. 91,264
---------------------------------------------------------------------------------------------------------------------
Miscellaneous Health Care - 0.0% 700 Animal Health International, Inc. (a) 10,143
---------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & 4,400 Ceradyne, Inc. (a) 325,424
Commodities - 0.2% 5,900 Symyx Technologies Inc. (a) 67,909
2,900 WD-40 Co. 95,323
-------------
488,656
---------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & 4,800 Insituform Technologies, Inc. Class A (a) 104,688
Processing - 0.3% 4,200 Metal Management, Inc. 185,094
2,900 Rogers Corp. (a) 107,300
14,200 USEC, Inc. (a) 312,116
1,700 Xerium Technologies, Inc. 12,954
-------------
722,152
---------------------------------------------------------------------------------------------------------------------
Miscellaneous Producer 6,700 Blount International, Inc. (a) 87,636
Durables - 0.1% 1,200 Park-Ohio Holdings Corp (a) 32,760
-------------
120,396
---------------------------------------------------------------------------------------------------------------------
Miscellaneous Technology - 0.1% 4,600 IHS, Inc. Class A (a) 211,600
2,000 iRobot Corp. (a) 39,700
2,800 Vocus, Inc. (a) 70,308
-------------
321,608
---------------------------------------------------------------------------------------------------------------------
Multi-Sector Companies - 0.4% 4,800 Compass Diversified Trust 85,584
9,100 GenCorp, Inc. (a) 118,937
1,400 GenTek Inc. (a) 49,308
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
4,200 Kaman Corp. Class A $ 130,998
4,200 Lancaster Colony Corp. 175,938
2,600 Raven Industries, Inc. 92,846
1,200 Sequa Corp. Class A (a) 134,400
7,800 Walter Industries, Inc. 225,888
-------------
1,013,899
---------------------------------------------------------------------------------------------------------------------
Office Furniture & 7,864 ACCO Brands Corp. (a) 181,265
Business Equipment - 0.3% 11,000 Herman Miller, Inc. 347,600
4,300 Kimball International, Inc. Class B 60,243
7,100 Knoll, Inc. 159,040
-------------
748,148
---------------------------------------------------------------------------------------------------------------------
Offshore Drilling - 0.2% 4,500 Atwood Oceanics, Inc. (a) 308,790
2,300 Bois d'Arc Energy, Inc. (a) 39,169
4,000 Hercules Offshore, Inc. (a) 129,520
-------------
477,479
---------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers - 2.1% 100 APCO Argentina, Inc. 8,479
3,500 ATP Oil & Gas Corp. (a) 170,240
2,600 Arena Resources, Inc. (a) 151,086
4,200 Atlas America, Inc. 225,666
10,100 BPZ Energy, Inc. (a) 56,358
6,200 Berry Petroleum Co. Class A 233,616
5,000 Bill Barrett Corp. (a) 184,150
7,400 Brigham Exploration Co. (a) 43,438
5,200 Bronco Drilling Co., Inc. (a) 85,332
3,600 Callon Petroleum Co. (a) 51,012
4,200 Carrizo Oil & Gas, Inc. (a) 174,174
900 Clayton Williams Energy, Inc. (a) 23,823
7,200 Comstock Resources, Inc. (a) 215,784
2,100 Contango Oil & Gas Co. (a) 76,209
1,200 Delek US Holdings, Inc. 31,980
9,100 EXCO Resources, Inc. (a) 158,704
5,900 Edge Petroleum Corp. (a) 82,659
8,600 Encore Acquisition Co. (a) 239,080
1,400 Energy Infrastructure Acquisition Corp. (a) 13,664
5,785 Energy Partners Ltd. (a) 96,552
7,300 FX Energy, Inc. (a) 66,795
8,100 GeoGlobal Resources, Inc. (a) 41,229
1,700 Geokinectics, Inc. (a) 52,751
2,500 Goodrich Petroleum Corp. (a) 86,575
30,100 Grey Wolf, Inc. (a) 248,024
2,400 Gulfport Energy Corp. (a) 47,952
6,500 Harvest Natural Resources, Inc. (a) 77,415
13,200 Mariner Energy, Inc. (a) 320,100
5,000 McMoRan Exploration Co. (a) 70,000
15,200 Meridian Resource Corp. (a) 45,904
1,539 NTR Acquisition Co. (a) 14,574
11,600 Oilsands Quest, Inc. (a) 28,652
6,100 Parallel Petroleum Corp. (a) 133,590
26,250 PetroHawk Energy Corp. (a) 416,325
2,900 Petroleum Development Corp. (a) 137,692
7,200 Petroquest Energy, Inc. (a) 104,688
8,100 Pioneer Drilling Co. (a) 120,771
2,100 Resource America, Inc. Class A 43,281
8,300 Rosetta Resources, Inc. (a) 178,782
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
4,600 Stone Energy Corp. (a) $ 157,596
4,900 Swift Energy Co. (a) 209,524
5,200 TXCO Resources, Inc. (a) 53,456
3,500 Toreador Resources Corp. (a) 52,500
900 Venoco, Inc. (a) 16,803
4,190 VeraSun Energy Corp. (a) 60,671
9,400 Warren Resources, Inc. (a) 109,792
6,000 Whiting Petroleum Corp. (a) 243,120
-------------
5,460,568
---------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic - 0.1% 10,700 Delta Petroleum Corp. (a) 214,749
1,800 GMX Resources Inc. (a) 62,280
-------------
277,029
---------------------------------------------------------------------------------------------------------------------
Oil: Integrated International 10,100 Vaalco Energy, Inc. (a) 48,783
- 0.0%
---------------------------------------------------------------------------------------------------------------------
Paints & Coatings - 0.2% 7,500 Ferro Corp. 186,975
9,900 H.B. Fuller Co. 295,911
400 Kronos Worldwide, Inc. 10,100
-------------
492,986
---------------------------------------------------------------------------------------------------------------------
Paper - 0.4% 4,700 Albany International Corp. Class A 190,068
9,200 Bowater, Inc. 229,540
5,900 Buckeye Technologies, Inc. (a) 91,273
3,500 Chesapeake Corp. 43,995
300 Multi-Color Corp. 11,793
4,800 Mercer International, Inc.-Sbi (a) 48,960
2,600 Neenah Paper, Inc. 107,276
7,300 P.H. Glatfelter Co. 99,207
5,600 Rock-Tenn Co. Class A 177,632
7,700 Wausau Paper Corp. 103,180
-------------
1,102,924
---------------------------------------------------------------------------------------------------------------------
Photography - 0.0% 600 CPI Corp. 41,700
---------------------------------------------------------------------------------------------------------------------
Plastics - 0.1% 2,300 The Lamson & Sessions Co. (a) 61,111
5,200 Spartech Corp. 138,060
-------------
199,171
---------------------------------------------------------------------------------------------------------------------
Pollution Control & 2,600 American Ecology Corp. 55,692
Environmental Services - 0.2% 13,200 Darling International, Inc. (a) 120,648
2,200 Fuel Tech, Inc. (a) 75,350
6,400 Headwaters, Inc. (a) 110,528
1,300 Team, Inc. (a) 58,461
-------------
420,679
---------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment 5,200 Regal-Beloit Corp. 242,008
- 0.1%
---------------------------------------------------------------------------------------------------------------------
Printing & Copying Services - 0.3% 5,600 Bowne & Co., Inc. 109,256
9,300 Cenveo, Inc. (a) 215,667
2,400 Schawk, Inc. 48,048
7,500 VistaPrint Ltd. (a) 286,875
-------------
659,846
---------------------------------------------------------------------------------------------------------------------
Production Technology 5,600 ATMI, Inc. (a) 168,000
Equipment - 1.1% 16,500 Axcelis Technologies, Inc. (a) 107,085
12,383 Brooks Automation, Inc. (a) 224,751
7,600 Cognex Corp. 171,076
16,500 Credence Systems Corp. (a) 59,400
5,900 Cymer, Inc. (a) 237,180
3,400 Dionex Corp. (a) 241,366
5,100 Electro Scientific Industries, Inc. (a) 106,080
21,995 Entegris, Inc. (a) 261,301
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
4,200 Esterline Technologies Corp. (a) $ 202,902
5,200 FEI Co. (a) 168,792
3,700 Intevac, Inc. (a) 78,662
9,900 Kulicke & Soffa Industries, Inc. (a) 103,653
10,700 LTX Corp. (a) 59,492
3,200 MTS Systems Corp. 142,944
9,200 Mattson Technology, Inc. (a) 89,240
6,800 Photronics, Inc. (a) 101,184
2,700 Rofin-Sinar Technologies, Inc. (a) 186,300
4,313 Rudolph Technologies, Inc. (a) 71,639
4,200 Ultra Clean Holdings, Inc. (a) 58,716
4,200 Ultratech, Inc. (a) 55,986
-------------
2,895,749
---------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous - 0.3% 1,700 Consolidated Graphics, Inc. (a) 117,776
1,700 Courier Corp. 68,000
2,480 GateHouse Media, Inc. 46,004
4,400 Martha Stewart Living Omnimedia, Inc. Class A 75,680
3,700 Playboy Enterprises, Inc. Class B (a) 41,921
37,500 Primedia, Inc. (a) 106,875
5,600 Scholastic Corp. (a) 201,264
-------------
657,520
---------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers - 0.3% 13,800 Belo Corp. Class A 284,142
7,700 Journal Communications, Inc. Class A 100,177
7,500 Lee Enterprises, Inc. 156,450
3,600 Media General, Inc. Class A 119,772
13,000 Sun-Times Media Group, Inc. 68,250
-------------
728,791
---------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters - 0.5% 7,400 CKX, Inc. (a) 102,268
41,050 Citadel Broadcasting Corp. 264,773
5,400 Cox Radio, Inc. Class A (a) 76,896
5,200 Cumulus Media, Inc. Class A (a) 48,620
6,800 Emmis Communications Corp. Class A 62,628
5,300 Entercom Communications Corp. 131,917
1,000 Fisher Communications, Inc. (a) 50,790
6,800 Gray Television, Inc. 63,036
4,400 Lin TV Corp. Class A (a) 82,764
600 Nexstar Broadcasting Group, Inc. Class A (a) 7,884
12,500 Radio One, Inc. Class D (a) 88,250
1,500 Salem Communications Corp. Class A 16,635
8,000 Sinclair Broadcast Group, Inc. Class A 113,760
7,400 Spanish Broadcasting System, Inc. Class A (a) 31,820
11,600 Westwood One, Inc. 83,404
3,700 World Wrestling Entertainment, Inc. 59,163
-------------
1,284,608
---------------------------------------------------------------------------------------------------------------------
Railroad Equipment - 0.2% 1,300 American Railcar Industries, Inc. 50,700
2,000 Freightcar America, Inc. 95,680
2,600 Greenbrier Cos., Inc. 78,572
7,900 Westinghouse Air Brake Technologies Corp. 288,587
-------------
513,539
---------------------------------------------------------------------------------------------------------------------
Railroads - 0.3% 6,000 Florida East Coast Industries, Inc. 497,880
5,750 Genesee & Wyoming, Inc. Class A (a) 171,580
-------------
669,460
---------------------------------------------------------------------------------------------------------------------
Real Estate - 0.2% 300 AMREP Corp. 14,265
1,000 Avatar Holdings, Inc. (a) 76,940
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
3,500 Bluegreen Corp. (a) $ 40,915
1,000 Consolidated-Tomoka Land Co. 69,290
4,000 Grubb & Ellis Co. (a) 46,400
3,807 HFF, Inc. Class A (a) 59,047
800 Quadra Realty Trust, Inc. (a) 10,008
2,100 Resource Capital Corp. 29,358
1,800 Tejon Ranch Co. (a) 79,560
2,500 Thomas Properties Group, Inc. 39,950
-------------
465,733
---------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 5,600 Acadia Realty Trust 145,320
(REITs) - 6.1% 7,452 Affordable Residential Communities Inc. (a) 88,083
2,000 Agree Realty Corp. 62,500
11,100 Alesco Financial, Inc. 90,243
300 Alexander's, Inc. (a) 121,275
4,800 Alexandria Real Estate Equities, Inc. 464,736
3,800 American Campus Communities, Inc. 107,502
22,700 American Financial Realty Trust (c) 234,264
7,900 American Home Mortgage Investment Corp. 145,202
9,500 Anthracite Capital, Inc. 111,150
7,900 Anworth Mortgage Asset Corp. 71,495
2,800 Arbor Realty Trust, Inc. 72,268
17,250 Ashford Hospitality Trust, Inc. 202,860
4,100 Associated Estates Realty Corp. 63,919
300 BRT Realty Trust 7,803
11,600 BioMed Realty Trust, Inc. 291,392
2,900 CBRE Realty Finance, Inc. 34,481
6,200 Capital Lease Funding, Inc. 66,650
1,700 Capital Trust, Inc. 58,038
7,200 Cedar Shopping Centers, Inc. 103,320
6,200 Corporate Office Properties Trust 254,262
6,600 Cousins Properties, Inc. 191,466
13,400 Crescent Real Estate EQT Co. (c) 300,696
3,143 Crystal River Capital, Inc. 76,312
27,450 DCT Industrial Trust, Inc. 295,362
8,400 Deerfield Triarc Capital Corp. 122,892
14,040 DiamondRock Hospitality Co. 267,883
8,040 Digital Realty Trust, Inc. 302,947
3,900 Eastgroup Properties, Inc. 170,898
4,600 Education Realty Trust, Inc. 64,538
4,600 Entertainment Properties Trust 247,388
9,600 Equity Inns, Inc. 215,040
3,400 Equity Lifestyle Properties, Inc. 177,446
5,900 Equity One, Inc. 150,745
10,100 Extra Space Storage, Inc. 166,650
10,200 FelCor Lodging Trust, Inc. 265,506
7,800 First Industrial Realty Trust, Inc. 302,328
3,900 First Potomac Realty Trust 90,831
8,700 Franklin Street Properties Corp. 143,898
25,800 Friedman Billings Ramsey Group, Inc. Class A 140,868
7,000 GMH Communities Trust 67,830
2,800 Getty Realty Corp. 73,584
6,400 Glimcher Realty Trust 160,000
2,800 Gramercy Capital Corp. 77,112
8,400 Healthcare Realty Trust, Inc. 233,352
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
5,900 Hersha Hospitality Trust $ 69,738
10,500 Highland Hospitality Corp. 201,600
9,300 Highwoods Properties, Inc. 348,750
5,400 Home Properties, Inc. 280,422
13,400 IMPAC Mortgage Holdings, Inc. 61,774
9,500 Inland Real Estate Corp. 161,310
7,600 Innkeepers USA Trust 134,748
8,200 Investors Real Estate Trust 84,706
4,200 JER Investors Trust, Inc. 63,000
4,200 Kite Realty Group Trust 79,884
3,900 LTC Properties, Inc. 88,725
7,000 LaSalle Hotel Properties 303,940
10,730 Lexington Corporate Properties Trust 223,184
7,600 Luminent Mortgage Capital, Inc. 76,684
13,800 MFA Mortgage Investments, Inc. 100,464
6,100 Maguire Properties, Inc. 209,413
8,100 Medical Properties Trust, Inc. 107,163
7,420 Meruelo Maddux Properties, Inc. (a) 60,547
4,100 Mid-America Apartment Communities, Inc. 215,168
1,400 Mission West Properties, Inc. 19,516
3,800 National Health Investors, Inc. 120,536
10,700 National Retail Properties, Inc. 233,902
13,700 Nationwide Health Properties, Inc. 372,640
7,600 Newcastle Investment Corp. 190,532
8,900 NorthStar Realty Finance Corp. 111,339
6,200 NovaStar Financial, Inc. 43,276
10,900 Omega Healthcare Investors, Inc. 172,547
2,600 PS Business Parks, Inc. 164,762
2,500 Parkway Properties, Inc. 120,075
5,300 Pennsylvania Real Estate Investment Trust 234,949
7,100 Post Properties, Inc. 370,123
6,339 Potlatch Corp. 272,894
10,840 RAIT Investment Trust 282,057
3,000 Ramco-Gershenson Properties Trust 107,790
16,600 Realty Income Corp. 418,154
3,400 Redwood Trust, Inc. 164,492
4,200 Republic Property Trust 51,450
1,700 Saul Centers, Inc. 77,095
12,500 Senior Housing Properties Trust 254,375
3,200 Sovran Self Storage, Inc. 154,112
17,000 Spirit Finance Corp. 247,520
12,100 Strategic Hotel Capital, Inc. 272,129
3,200 Sun Communities, Inc. 95,264
10,200 Sunstone Hotel Investors, Inc. 289,578
5,400 Tanger Factory Outlet Centers, Inc. 202,230
2,300 Tarragon Corp. (a) 19,458
7,500 U-Store-It Trust 122,925
1,900 Universal Health Realty Income Trust 63,270
3,400 Urstadt Biddle Properties, Inc. Class A 57,834
7,400 Washington Real Estate Investment Trust 251,600
4,300 Winston Hotels, Inc. 64,500
4,500 Winthrop Realty Trust, Inc. 31,095
-------------
15,627,574
---------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & 2,300 Arctic Cat, Inc. 45,540
Boats - 0.3%
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
10,900 Fleetwood Enterprises, Inc. (a) $ 98,645
1,600 Marine Products Corp. 13,168
4,900 Monaco Coach Corp. 70,315
5,800 Polaris Industries, Inc. 314,128
5,100 Winnebago Industries, Inc. 150,552
-------------
692,348
---------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: 2,800 Electro Rent Corp. 40,712
Commercial - 0.1% 2,200 H&E Equipment Services, Inc. (a) 61,028
1,600 Interpool, Inc. 43,040
3,900 McGrath RentCorp 131,391
4,900 Williams Scotsman International, Inc. (a) 116,669
-------------
392,840
---------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: 7,500 Aaron Rents, Inc. 219,000
Consumer - 0.3% 1,700 Amerco, Inc. (a) 128,350
3,900 Dollar Thrifty Automotive Group, Inc. (a) 159,276
2,200 RSC Holdings, Inc. (a) 44,000
11,500 Rent-A-Center, Inc. (a) 301,645
-------------
852,271
---------------------------------------------------------------------------------------------------------------------
Restaurants - 1.7% 4,500 AFC Enterprises, Inc. (a) 77,805
12,150 Applebee's International, Inc. 292,815
2,400 BJ's Restaurants, Inc. (a) 47,376
1,000 Benihana, Inc. Class A (a) 20,000
6,300 Bob Evans Farms, Inc. 232,155
2,600 Buffalo Wild Wings, Inc. (a) 108,134
4,058 CBRL Group, Inc. 172,384
4,700 CEC Entertainment, Inc. (a) 165,440
10,300 CKE Restaurants, Inc. 206,721
5,250 California Pizza Kitchen, Inc. (a) 112,770
3,000 Carrols Restaurant Group, Inc. (a) 45,750
5,000 Chipotle Mexican Grill, Inc. Class B (a) 393,150
18,800 Denny's Corp. (a) 82,908
6,700 Domino's Pizza, Inc. 122,409
2,800 IHOP Corp. 152,404
5,100 Jack in the Box, Inc. (a) 361,794
6,400 Jamba, Inc. (a) 58,496
10,500 Krispy Kreme Doughnuts, Inc. (a) 97,230
2,900 Landry's Restaurants, Inc. 87,754
1,800 McCormick & Schmick's Seafood Restaurants, Inc. (a) 46,692
700 Morton's Restaurant Group, Inc. (a) 12,677
4,100 O'Charleys, Inc. 82,656
4,200 P.F. Chang's China Bistro, Inc. (a) 147,840
4,300 Papa John's International, Inc. (a) 123,668
5,900 Rare Hospitality International, Inc. (a) 157,943
2,900 Red Robin Gourmet Burgers, Inc. (a) 117,073
8,800 Ruby Tuesday, Inc. 231,704
3,000 Ruth's Chris Steak House, Inc. (a) 50,970
10,870 Sonic Corp. (a) 240,444
4,600 The Steak n Shake Co. (a) 76,774
8,600 Texas Roadhouse, Inc. Class A (a) 109,994
10,200 Triarc Cos. 160,140
-------------
4,396,070
---------------------------------------------------------------------------------------------------------------------
Retail - 3.7% 400 1-800 Contacts, Inc. (a) 9,384
5,500 1-800-FLOWERS.COM, Inc. Class A (a) 51,865
7,600 99 Cents Only Stores (a) 99,636
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
3,200 AC Moore Arts & Crafts, Inc. (a) $ 62,752
8,400 Aeropostale, Inc. (a) 350,112
3,200 Asbury Automotive Group, Inc. 79,840
4,100 bebe Stores, Inc. 65,641
4,000 Big 5 Sporting Goods Corp. 102,000
33,300 Blockbuster, Inc. Class A (a) 143,523
2,500 Blue Nile, Inc. (a) 151,000
1,300 The Bon-Ton Stores, Inc. 52,078
3,400 Books-A-Million, Inc. 57,596
9,500 Borders Group, Inc. 181,070
7,125 Brown Shoe Co., Inc. 173,280
2,300 The Buckle, Inc. 90,620
2,500 Build-A-Bear Workshop, Inc. (a) 65,350
7,200 CSK Auto Corp. (a) 132,480
5,600 Cabela's, Inc. Class A (a) 123,928
3,200 Cache, Inc. (a) 42,464
6,700 Casual Male Retail Group, Inc. (a) 67,670
5,300 The Cato Corp. Class A 116,282
11,369 Central Garden and Pet Co. Class A (a) 133,358
4,100 Charlotte Russe Holding, Inc. (a) 110,167
20,100 Charming Shoppes, Inc. (a) 217,683
3,700 The Children's Place Retail Stores, Inc. (a) 191,068
5,900 Christopher & Banks Corp. 101,185
1,400 Conn's, Inc. (a) 39,984
100 DEB Shops, Inc. 2,765
7,700 Dress Barn, Inc. (a) 158,004
3,800 Eddie Bauer Holdings, Inc. (a) 48,830
6,300 Ezcorp, Inc. (a) 83,412
2,300 FTD Group, Inc. 42,343
7,000 Fred's, Inc. 93,660
4,000 GSI Commerce, Inc. (a) 90,840
2,800 Gaiam, Inc. (a) 51,044
500 Gander Mountain Co. (a) 5,675
4,000 Genesco, Inc. (a) 209,240
4,000 Group 1 Automotive, Inc. 161,360
4,800 Guitar Center, Inc. (a) 287,088
5,300 Gymboree Corp. (a) 208,873
7,800 HOT Topic, Inc. (a) 84,786
5,950 Hibbett Sports, Inc. (a) 162,911
8,500 Insight Enterprises, Inc. (a) 191,845
4,200 Jo-Ann Stores, Inc. (a) 119,406
3,125 Jos. A. Bank Clothiers, Inc. (a) 129,594
979 Lawson Products, Inc. 37,887
2,600 Lithia Motors, Inc. Class A 65,884
2,700 MarineMax, Inc. (a) 54,054
8,400 Men's Wearhouse, Inc. 428,988
3,500 New York & Co. (a) 38,360
2,800 Overstock.com, Inc. (a) 51,156
200 PC Connection, Inc. (a) 2,648
11,400 Pacific Sunwear of California, Inc. (a) 250,800
3,700 The Pantry, Inc. (a) 170,570
10,600 Payless Shoesource, Inc. (a) 334,430
7,700 The Pep Boys - Manny, Moe & Jack 155,232
4,700 PetMed Express, Inc. (a) 60,348
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
14,400 Pier 1 Imports, Inc. $ 122,256
1,400 PriceSmart, Inc. 34,622
5,900 Priceline.com, Inc. (a) 405,566
3,500 Retail Ventures, Inc. (a) 56,455
3,600 Rush Enterprises, Inc. Class A (a) 78,192
2,700 Russ Berrie & Co., Inc. (a) 50,301
13,100 Sally Beauty Co., Inc. (a) 117,900
3,700 School Specialty, Inc. (a) 131,128
1,600 Shutterfly, Inc. (a) 34,480
5,000 Sonic Automotive, Inc. 144,850
7,050 Stage Stores, Inc. 147,768
3,300 Stamps.com, Inc. (a) 45,474
4,400 Stein Mart, Inc. 53,944
200 Syms Corp. (a) 3,946
900 Systemax, Inc. 18,729
3,800 Talbots, Inc. 95,114
4,900 Tuesday Morning Corp. 60,564
5,000 Tween Brands, Inc. (a) 223,000
7,000 United Natural Foods, Inc. (a) 186,060
5,100 ValueVision Media, Inc. Class A (a) 57,732
2,200 Volcom, Inc. (a) 110,286
12,600 The Wet Seal, Inc. Class A (a) 75,726
8,000 Zale Corp. (a) 190,480
3,300 Zumiez, Inc. (a) 124,674
-------------
9,363,296
---------------------------------------------------------------------------------------------------------------------
Savings & Loan - 1.5% 3,400 Anchor Bancorp Wisconsin, Inc. 89,046
10,000 Bank Mutual Corp. 115,300
8,100 BankAtlantic Bancorp, Inc. Class A 69,741
5,200 BankUnited Financial Corp. Class A 104,364
1,400 Berkshire Hills Bancorp, Inc. 44,114
10,800 Brookline Bancorp, Inc. 124,308
4,400 Dime Community Bancshares, Inc. 58,036
3,400 Downey Financial Corp. 224,332
2,400 First Financial Holdings, Inc. 78,504
2,225 First Indiana Corp. 49,217
18,300 First Niagara Financial Group, Inc. 239,730
2,300 First Place Financial Corp. 48,576
4,600 First Republic Bank 246,836
2,700 FirstFed Financial Corp. (a) 153,171
7,100 Flagstar Bancorp, Inc. 85,555
3,400 Flushing Financial Corp. 54,604
1,700 Great Southern Bancorp, Inc. 45,985
1,950 Horizon Financial Corp. 42,491
1,900 IBERIABANK Corp. 93,955
1,300 ITLA Capital Corp. 67,756
4,500 KNBT Bancorp, Inc. 66,150
3,500 Kearny Financial Corp. 47,180
5,800 MAF Bancorp, Inc. 314,708
100 NASB Financial, Inc. 3,365
18,500 NewAlliance Bancshares, Inc. 272,320
3,000 Northwest Bancorp, Inc. 78,420
5,800 Ocwen Financial Corp. (a) 77,314
4,300 PFF Bancorp, Inc. 120,099
7,100 Partners Trust Financial Group, Inc. 74,550
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
10,700 Provident Financial Services, Inc. $ 168,632
6,900 Provident New York Bancorp 93,219
1,400 Rockville Financial, Inc. 21,140
200 Roma Financial Corp. 3,314
8,260 Sterling Financial Corp. 239,044
3,200 TierOne Corp. 96,320
4,400 United Community Financial Corp. 43,912
600 ViewPoint Financial Group 10,326
18,600 W Holding Co., Inc. 49,104
1,700 Westfield Financial, Inc. 16,949
-------------
3,831,687
---------------------------------------------------------------------------------------------------------------------
Scientific Equipment & 7,000 Newport Corp. (a) 108,360
Suppliers - 0.2% 5,400 Varian, Inc. (a) 296,082
-------------
404,442
---------------------------------------------------------------------------------------------------------------------
Securities Brokerage & 8,600 Centerline Holding Co. 154,800
Services - 0.5% 2,300 GFI Group, Inc. (a) 166,704
4,100 KBW, Inc. (a) 120,458
16,900 Knight Capital Group, Inc. Class A (a) 280,540
8,700 LaBranche & Co., Inc. (a) 64,206
9,600 Ladenburg Thalmann Financial Services, Inc. (a) 22,080
5,100 MarketAxess Holdings, Inc. (a) 91,749
6,300 optionsXpress Holdings, Inc. 161,658
1,700 Penson Worldwide, Inc. (a) 41,701
4,200 SWS Group, Inc. 90,804
2,521 Thomas Weisel Partners Group, Inc. (a) 41,975
-------------
1,236,675
---------------------------------------------------------------------------------------------------------------------
Services: Commercial - 3.5% 7,700 ABM Industries, Inc. 198,737
5,600 AMN Healthcare Services, Inc. (a) 123,200
3,800 Administaff, Inc. 127,262
3,300 The Advisory Board Co. (a) 183,348
3,300 Ambassadors Group, Inc. 117,249
2,000 Ambassadors International, Inc. 66,520
600 Barrett Business Services 15,498
7,700 CBIZ, Inc. (a) 56,595
2,200 CDI Corp. 70,840
2,000 CRA International, Inc. (a) 96,400
3,700 Casella Waste Systems, Inc. (a) 39,886
4,100 Chemed Corp. 271,789
3,100 CoStar Group, Inc. (a) 163,928
4,700 Coinmach Service Corp. Class A 62,181
4,800 Coinstar, Inc. (a) 151,104
1,700 Cornell Cos., Inc. (a) 41,752
5,600 Cross Country Healthcare, Inc. (a) 93,408
4,600 Diamond Management & Technology Consultants, Inc. 60,720
4,100 DynCorp. International, Inc. (a) 90,159
3,200 Exponent, Inc. (a) 71,584
7,000 FTI Consulting, Inc. (a) 266,210
1,300 First Advantage Corp. Class A (a) 29,913
2,400 Forrester Research, Inc. (a) 67,512
3,600 G&K Services, Inc. Class A 142,236
8,200 The Geo Group, Inc. (a) 238,620
4,600 Gevity HR, Inc. 88,918
1,800 Global Sources Ltd. (a) 40,859
8,800 Harris Interactive, Inc. (a) 47,080
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
3,200 Heidrick & Struggles International, Inc. (a) $ 163,968
9,100 Home Solutions of America, Inc. (a) 54,418
4,100 Hudson Highland Group, Inc. (a) 87,699
1,300 ICT Group, Inc. (a) 24,323
17,500 IKON Office Solutions, Inc. 273,175
5,300 Jackson Hewitt Tax Service, Inc. 148,983
3,800 Kelly Services, Inc. Class A 104,348
4,600 Kenexa Corp. (a) 173,466
5,100 Kforce, Inc. (a) 81,498
5,300 The Knot, Inc. (a) 107,007
7,100 Korn/Ferry International (a) 186,446
8,200 Labor Ready, Inc. (a) 189,502
1,700 Liquidity Services, Inc. (a) 31,926
3,600 MAXIMUS, Inc. 156,168
16,700 MPS Group, Inc. (a) 223,279
2,700 Midas, Inc. (a) 61,209
2,000 Monro Muffler, Inc. 74,900
9,400 Navigant Consulting, Inc. (a) 174,464
7,500 Net 1 UEPS Technologies, Inc. (a) 181,125
5,300 On Assignment, Inc. (a) 56,816
8,700 PHH Corp. (a) 271,527
5,100 People Support, Inc. (a) 57,885
3,900 Perficient, Inc. (a) 80,730
1,800 Pre-Paid Legal Services, Inc. (a) 115,758
2,100 The Providence Service Corp. (a) 56,112
7,800 Regis Corp. 298,350
8,400 Resources Connection, Inc. (a) 278,712
5,200 Rollins, Inc. 118,404
8,600 Source Interlink Cos., Inc. (a) 42,828
10,000 Spherion Corp. (a) 93,900
500 Standard Parking Corp. (a) 17,565
2,300 Steiner Leisure Ltd. (a) 112,976
6,300 TeleTech Holdings, Inc. (a) 204,624
9,900 Tetra Tech, Inc. (a) 213,345
600 Travelzoo, Inc. (a) 15,954
1,800 Unifirst Corp. 79,290
1,200 Vertrue, Inc. (a) 58,536
3,400 Viad Corp. 143,378
2,250 Volt Information Sciences, Inc. (a) 41,490
11,700 Waste Connections, Inc. (a) 353,808
700 Waste Industries USA, Inc. 23,898
3,133 Waste Services, Inc. (a) 38,066
7,000 Watson Wyatt Worldwide, Inc. 353,360
4,600 World Fuel Services Corp. 193,476
-------------
8,842,200
---------------------------------------------------------------------------------------------------------------------
Shipping - 0.6% 10,200 American Commercial Lines, Inc. (a) 265,710
1,300 Arlington Tankers Ltd 37,283
2,400 Double Hull Tankers, Inc. 37,416
5,700 Eagle Bulk Shipping, Inc. 127,737
2,300 Genco Shipping & Trading Ltd. 94,898
3,800 General Maritime Corp. 101,764
6,800 Golar LNG Ltd. 113,288
4,200 Gulfmark Offshore, Inc. (a) 215,124
4,700 Horizon Lines, Inc. Class A 153,972
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
2,000 Knightsbridge Tankers Ltd. $ 61,020
3,800 Nordic American Tanker Shipping Ltd. 155,192
5,900 Ship Finance International Ltd. 175,112
3,100 Star Maritime Acquisition Corp. (a) 38,006
1,400 TBS International Ltd. (a) 39,760
-------------
1,616,282
---------------------------------------------------------------------------------------------------------------------
Shoes - 0.6% 2,800 DSW, Inc. Class A (a) 97,496
2,000 Deckers Outdoor Corp. (a) 201,800
6,900 The Finish Line, Inc. Class A 62,859
1,000 Heelys, Inc. (a) 25,860
8,300 Iconix Brand Group, Inc. (a) 184,426
4,200 K-Swiss, Inc. Class A 118,986
1,600 Kenneth Cole Productions, Inc. Class A 39,520
1,500 Shoe Carnival, Inc. (a) 41,235
3,200 Skechers U.S.A., Inc. Class A (a) 93,440
3,700 Steven Madden Ltd. 121,212
6,400 Stride Rite Corp. 129,664
7,700 Timberland Co. Class A (a) 193,963
300 Weyco Group, Inc. 8,079
9,600 Wolverine World Wide, Inc. 266,016
-------------
1,584,556
---------------------------------------------------------------------------------------------------------------------
Steel - 0.3% 558 Claymont Steel, Inc. (a) 11,936
4,100 Gibraltar Industries, Inc. 90,815
1,400 Olympic Steel, Inc. 40,124
4,000 Schnitzer Steel Industries, Inc. Class A 191,760
1,500 Universal Stainless & Alloy Products, Inc. (a) 52,845
1,900 Wheeling-Pittsburgh Corp. (a) 36,157
11,200 Worthington Industries, Inc. 242,480
-------------
666,117
---------------------------------------------------------------------------------------------------------------------
Sugar - 0.0% 1,900 Imperial Sugar Co. New Shares 58,501
---------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment 25,300 Andrew Corp. (a)(c) 365,332
- 1.0% 17,700 Arris Group, Inc. (a) 311,343
2,800 Audiovox Corp. Class A (a) 36,316
7,300 Belden, Inc. 404,055
8,300 C-COR, Inc. (a) 116,698
7,600 Interdigital Communications Corp. (a) 244,492
6,900 Mastec, Inc. (a) 109,158
1,800 OpNext, Inc. (a) 23,832
7,800 Plantronics, Inc. 204,516
14,900 Polycom, Inc. (a) 500,640
20,500 Powerwave Technologies, Inc. (a) 137,350
8,000 Symmetricom, Inc. (a) 67,200
-------------
2,520,932
---------------------------------------------------------------------------------------------------------------------
Textile Products - 0.1% 8,900 Interface, Inc. Class A 167,854
---------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers 8,600 Carter's, Inc. (a) 223,084
- 0.8% 1,400 Cherokee, Inc. 51,156
2,300 Columbia Sportswear Co. 157,964
1,500 G-III Apparel Group, Ltd. (a) 23,685
5,970 J. Crew Group, Inc. (a) 322,917
4,200 Kellwood Co. 118,104
3,000 Maidenform Brands, Inc. (a) 59,580
2,500 Oxford Industries, Inc. 110,850
1,950 Perry Ellis International, Inc. (a) 62,732
20,200 Quiksilver, Inc. (a) 285,426
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
3,100 True Religion Apparel, Inc. (a) $ 63,023
4,000 Under Armour, Inc. Class A (a) 182,600
7,500 The Warnaco Group, Inc. (a) 295,050
-------------
1,956,171
---------------------------------------------------------------------------------------------------------------------
Tires & Rubber - 0.1% 10,000 Cooper Tire & Rubber Co. 276,200
3,300 Titan International, Inc. 104,313
-------------
380,513
---------------------------------------------------------------------------------------------------------------------
Tobacco - 0.3% 15,700 Alliance One International, Inc. (a) 157,785
2,700 Schweitzer-Mauduit International, Inc. 83,700
4,400 Universal Corp. 268,048
6,019 Vector Group Ltd. 135,608
-------------
645,141
---------------------------------------------------------------------------------------------------------------------
Toys - 0.2% 4,800 Jakks Pacific, Inc. (a) 135,072
5,600 Leapfrog Enterprises, Inc. (a) 57,400
8,300 Marvel Entertainment, Inc. (a) 211,484
-------------
403,956
---------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous 4,000 Celadon Group, Inc. (a) 63,600
- 0.2% 1,400 Dynamex, Inc. (a) 35,742
6,300 HUB Group, Inc. Class A (a) 221,508
9,100 Odyssey Marine Exploration, Inc. (a) 54,691
6,000 Pacer International, Inc. 141,120
2,500 Ultrapetrol Bahamas Ltd. (a) 59,250
-------------
575,911
---------------------------------------------------------------------------------------------------------------------
Truckers - 0.5% 3,700 Arkansas Best Corp. 144,189
5,100 Forward Air Corp. 173,859
10,300 Heartland Express, Inc. 167,890
9,350 Knight Transportation, Inc. 181,203
2,500 Marten Transport Ltd. (a) 45,025
4,850 Old Dominion Freight Line, Inc. (a) 146,228
100 Patriot Transportation Holding, Inc. (a) 8,670
2,600 Saia, Inc. (a) 70,876
1,000 Universal Truckload Services, Inc. (a) 19,870
8,800 Werner Enterprises, Inc. 177,320
-------------
1,135,130
---------------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & 8,800 Mediacom Communications Corp. Class A (a) 85,272
Radio - 0.0%
---------------------------------------------------------------------------------------------------------------------
Utilities: Electrical - 1.4% 4,400 Allete, Inc. 207,020
8,600 Avista Corp. 185,330
6,100 Black Hills Corp. 242,475
2,600 CH Energy Group, Inc. 116,922
1,100 Central Vermont Public Service Corp. 41,448
9,700 Cleco Corp. 237,650
8,400 El Paso Electric Co. (a) 206,304
5,300 The Empire District Electric Co. 118,561
7,200 IDACORP, Inc. 230,688
6,300 ITC Holdings Corp. 255,969
3,500 MGE Energy, Inc. 114,345
5,800 NorthWestern Corp. 184,498
4,800 Otter Tail Corp. 153,936
12,500 PNM Resources, Inc. 347,375
2,800 Pike Electric Corp. (a) 62,664
4,700 Portland General Electric Co. 128,968
4,333 UIL Holdings Corp. 143,422
6,200 Unisource Energy Corp. 203,918
15,300 Westar Energy, Inc. 371,484
-------------
3,552,977
---------------------------------------------------------------------------------------------------------------------
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors 2,800 Cascade Natural Gas Corp. $ 73,948
- 0.8% 1,200 EnergySouth, Inc. 61,200
3,500 The Laclede Group, Inc. 111,580
4,600 New Jersey Resources Corp. 234,692
7,300 Nicor, Inc. 313,316
4,800 Northwest Natural Gas Co. 221,712
12,100 Piedmont Natural Gas Co. 298,265
2,500 SEMCO Energy, Inc. (a) 19,425
5,100 South Jersey Industries, Inc. 180,438
6,900 Southwest Gas Corp. 233,289
8,000 WGL Holdings, Inc. 261,120
-------------
2,008,985
---------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous - 0.1% 61,000 Aquila, Inc. (a) 249,490
---------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications 7,400 Alaska Communications Systems Group, Inc. 117,216
- 1.3% 800 Atlantic Tele-Network, Inc. 22,912
3,300 CT Communications, Inc. 100,683
3,900 Centennial Communications Corp. (a) 37,011
43,200 Cincinnati Bell, Inc. (a) 249,696
3,200 Consolidated Communications Holdings, Inc. 72,320
25,400 Dobson Communications Corp. Class A (a) 281,940
1,600 Eschelon Telecom, Inc. (a) 47,360
5,300 FairPoint Communications, Inc. 94,075
20,610 FiberTower Corp. (a) 89,241
8,700 General Communication, Inc. Class A (a) 111,447
4,700 Global Crossing Ltd. (a) 88,735
1,300 Globalstar, Inc. (a) 13,455
2,600 Golden Telecom, Inc. (b) 143,026
18,800 ICO Global Communications Holdings Ltd. (a) 65,424
8,100 IDT Corp. Class B 83,592
2,800 iPCS, Inc. 94,836
3,700 Ibasis, Inc. (a) 37,185
5,500 Iowa Telecommunications Services, Inc. 125,015
3,700 NTELOS Holdings Corp. 102,268
3,500 North Pittsburgh Systems, Inc. 74,375
3,300 ORBCOMM, Inc. (a) 54,153
11,470 PAETEC Holding Corp. (a) 129,496
11,500 Premiere Global Services, Inc. (a) 149,730
5,000 RCN Corp. 93,950
1,600 Rural Cellular Corp. Class A (a) 70,096
1,200 Shenandoah Telecom Co. 60,996
2,400 SureWest Communications 65,376
24,430 Time Warner Telecom, Inc. Class A (a) 491,043
4,500 USA Mobility, Inc. 120,420
-------------
3,287,072
---------------------------------------------------------------------------------------------------------------------
Utilities: Water - 0.2% 3,000 American States Water Co. 106,710
3,100 California Water Service Group 116,219
1,400 Consolidated Water Co., Inc. 41,033
2,500 SJW Corp. 83,250
3,965 Southwest Water Co. 50,633
-------------
397,845
---------------------------------------------------------------------------------------------------------------------
Wholesale & International 5,800 Central European Distribution Corp. (a) 200,796
Trade - 0.1%
---------------------------------------------------------------------------------------------------------------------
Wholesalers - 0.3% 8,230 Brightpoint, Inc. (a) 113,492
2,200 Houston Wire & Cable Co. (a) 62,502
Small Cap Premium & Dividend Income Fund Inc.
Schedule of Investments as of June 30, 2007
---------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
---------------------------------------------------------------------------------------------------------------------
7,400 LKQ Corp. (a) $ 182,484
1,400 MWI Veterinary Supply, Inc. (a) 55,846
5,500 Prestige Brands Holdings, Inc. (a) 71,390
4,500 United Stationers, Inc. (a) 299,880
-------------
785,594
---------------------------------------------------------------------------------------------------------------------
Total Common Stocks 235,317,722
(Cost - $209,460,234) - 92.3%
---------------------------------------------------------------------------------------------------------------------
Mutual Funds
---------------------------------------------------------------------------------------------------------------------
Investment Management 2,300 Gladstone Capital Corp. 49,358
Companies - 0.1% 5,500 Hercules Technology Growth Capital, Inc. 74,305
1,000 Kayne Anderson Energy Development Co. 25,180
4,600 Patriot Capital Funding, Inc. 68,310
3,800 Pennantpark Investment Corp. 53,352
2,000 Prospect Capital Corp. 34,940
---------------------------------------------------------------------------------------------------------------------
Total Mutual Funds 305,445
(Cost - $314,432) - 0.1%
---------------------------------------------------------------------------------------------------------------------
Face Amount Short-Term Securities
---------------------------------------------------------------------------------------------------------------------
Time Deposits - 8.2% $ 20,931,213 State Street Bank & Trust Co.,
4.25% due 7/02/2007 20,931,213
---------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(Cost-$20,931,213)- 8.2% 20,931,213
---------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $230,705,879) - 100.6% 256,554,380
---------------------------------------------------------------------------------------------------------------------
Number of
Contracts Options Written
---------------------------------------------------------------------------------------------------------------------
Call Options Written 1,700 Russell 2000 Index, expiring July 2007 at USD 850 (1,360,000)
---------------------------------------------------------------------------------------------------------------------
Total Options Written (1,360,000)
(Premiums Received - $2,754,760) - (0.5%)
---------------------------------------------------------------------------------------------------------------------
Total Investments, net of options written
(Cost - $227,951,119*) - 100.1% 255,194,380
Liabilities in Excess of Other Assets- (0.1%) (110,563)
-------------
Net Assets - 100.0% $ 255,083,817
=============
* The cost and unrealized appreciation (depreciation) of investments as of
June 30, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 254,061,508
=============
Gross unrealized appreciation $ 7,024,027
Gross unrealized depreciation (5,891,155)
-------------
Net unrealized appreciation $ 1,132,872
=============
(a) Non-income producing security.
(b) Depositary receipts.
(c) All or a portion of security held as collateral in connection with open
financial futures contracts.
o For Fund 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 rating 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 June 30, 2007 were as follows:
----------------------------------------------------------------------------------------------
Number of Unrealized
Contracts Issue Expiration Date Face Value Depreciation
----------------------------------------------------------------------------------------------
35 Russell 2000 Index September 2007 $ 14,815,949 $ (79,199)
----------------------------------------------------------------------------------------------
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable to this semi-annual
report
Item 8 - Portfolio Managers of Closed-End Management Investment Companies -
Not Applicable to this semi-annual report
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - The
registrant's Nominating Committee will consider nominees to the
Board recommended by shareholders when a vacancy becomes available.
Shareholders who wish to recommend a nominee should send nominations
which include biographical information and set forth the
qualifications of the proposed nominee to the registrant's
Secretary. There have been no material changes to these procedures.
Item 11 - Controls and Procedures
11(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 and Exchange Act of 1934, as amended.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter
of the period covered by this report that have materially affected,
or are reasonably likely to materially affect, the registrant's
internal control over financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - Not Applicable to this semi-annual report
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - 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 of
Small Cap Premium & Dividend Income Fund Inc.
Date: August 28, 2007
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 of
Small Cap Premium & Dividend Income Fund Inc.
Date: August 28, 2007
By: /s/ James E. Hillman
--------------------------
James E. Hillman,
Chief Financial Officer of
Small Cap Premium & Dividend Income Fund Inc.
Date: August 28, 2007