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OMB APPROVAL
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OMB Number: 3235-0578
Expires: February 28, 2006
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act File Number: 811-21417
Registrant Name: NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND
Address of Principal Executive Offices: 1345 Avenue of the Americas New York,
New York 10105
Name and Address of Agent for Service: Lawrence G. Altadonna - 1345 Avenue of
the Americas New York, New York 10105
Registrant's telephone number, including area code: 212-739-3371
Date of Fiscal Year End: 1/31
Date of Reporting Period: 4/30
Form N-Q is to be used by the registered management investment company, other
than a small business investment company registered on Form N-5 (ss.ss. 239.24
and 274.5 of this chapter), to file reports with the Commission, not later than
60 days after the close of the first and third fiscal quarters, pursuant to rule
30b 1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The
Commission may use the information provided on Form N-Q in its regulatory,
disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to the collection of information contained in Form N-Q unless the Form displays
a currently valid Office of Management and Budget ("OMB") control number. Please
direct comments concerning the accuracy of the information collection burden
estimate and any suggestions for reducing the burden to the Secretary,
Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC
20549-0609. The OMB has reviewed this collection of information under the
clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
April 30, 2005 (unaudited)
=======================================================================================================
Shares
(000) Value*
=======================================================================================================
COMMON STOCK--73.8%
AEROSPACE/DEFENSE--0.7%
270 Northrop Grumman Corp. $ 14,812,284
--------------
AGRICULTURE--6.0%
1,125 Altria Group, Inc. 73,113,750
721 Reynolds American, Inc. 56,216,370
--------------
129,330,120
--------------
APPAREL--0.8%
300 VF Corp. 16,977,000
--------------
BANKING--6.6%
410 Bank of America Corp. 18,466,400
1,783 Keycorp 59,124,280
1,919 Regions Financial Corp. 64,267,310
--------------
141,857,990
--------------
CHEMICALS--1.9%
900 The Dow Chemical Co. 41,337,000
--------------
COMMERCIAL SERVICES--3.0%
1,630 Deluxe Corp. 65,085,900
--------------
COMPUTERS--1.4%
711 Hewlett-Packard Co. 14,554,170
828 Seagate Technology, Inc. 14,552,724
--------------
29,106,894
--------------
DIVERSIFIED FINANCIAL SERVICES--1.8%
392 JP Morgan Chase & Co. 13,912,080
615 MBNA Corp. 12,144,275
244 Morgan Stanley Dean Witter & Co. 12,839,280
--------------
38,895,635
--------------
ELECTRIC--5.6%
793 DTE Energy Co. 36,419,970
2,000 Progress Energy, Inc. 83,980,000
--------------
120,399,970
--------------
FOOD--4.0%
1,950 Albertson's, Inc. 38,590,500
1,800 ConAgra Foods, Inc. 48,150,000
--------------
86,740,500
--------------
GAS--3.3%
1,486 KeySpan Corp. 56,363,980
361 Sempra Energy 14,577,180
--------------
70,941,160
--------------
HAND/MACHINE TOOLS--0.6%
307 The Stanley Works 13,210,210
--------------
HOME FURNISHINGS--1.3%
456 Whirlpool Corp. 28,299,360
--------------
HOUSEHOLD PRODUCTS--0.6%
212 Kimberly-Clark Corp. 13,239,400
--------------
INSURANCE--2.3%
450 Jefferson-Pilot Corp. 22,594,500
307 Lincoln National Corp. 13,805,790
382 St. Paul Travelers Cos., Inc. 13,675,600
--------------
50,075,890
--------------
METALS & MINING--1.8%
1,100 Freeport-McMoRan Copper & Gold, Inc. 38,126,000
--------------
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
April 30, 2005 (unaudited)
=======================================================================================================
Shares
(000) Value*
=======================================================================================================
OIL & GAS--9.8%
630 Chevron Corp. $ 32,760,000
265 ConocoPhillips 27,785,250
626 Marathon Oil Corp. 29,152,820
201 Occidental Petroleum Corp. 13,869,000
770 PetroChina Co. Ltd. ADR 45,976,700
1,480 Petroleo Brasileiro SA ADR 62,048,014
--------------
211,591,784
--------------
PHARMACEUTICALS--9.2%
1,700 GlaxoSmithKline PLC ADR 85,935,000
2,335 Merck & Co., Inc. 79,156,500
1,200 Pfizer Inc. 32,604,000
--------------
197,695,500
--------------
REAL ESTATE INVESTMENT TRUSTS--3.2%
488 Boston Properties, Inc. 32,437,360
1,215 Duke Realty Corp. 37,179,000
--------------
69,616,360
--------------
RETAIL--1.3%
615 Limited Brands, Inc. 13,339,350
414 The May Department Stores Co. 14,523,120
--------------
27,862,470
--------------
SAVINGS & LOANS--3.1%
1,600 Washington Mutual, Inc. 66,112,000
--------------
TELECOMMUNICATIONS--5.5%
244 Alltel Corp. 13,898,240
1,518 AT&T Corp. 29,039,340
2,080 Verizon Communications Inc. 74,464,000
--------------
117,401,580
--------------
Total Common Stock (cost-$1,633,337,060) 1,588,715,007
--------------
-------------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES--12.2%
-------------------------------------------------------------------------------------------------------
Principal
Amount Credit Rating
(000) (Moody's/S&P)
-------------- ---------------
AEROSPACE/DEFENSE--0.4%
$ 6,500 GenCorp, Inc., 4.00%. 1/16/24 Caa2/B 8,701,875
--------------
AIRLINES--0.3%
7,500 Continental Airlines, Inc., 4.50%, 2/1/07 Caa2/CCC+ 5,858,071
--------------
AUTO PARTS & EQUIPMENT--0.3%
6,325 The Goodyear Tire & Rubber Co., 4.00%, 6/15/34 (a)(b) B3/B- 7,281,656
--------------
CHEMICALS--0.3%
3,000 Millennium Chemicals, Inc., 4.00%, 11/15/23 B1/BB- 6,030,000
--------------
COMMERCIAL SERVICES--1.0%
5,000 Bowne & Co., Inc., 5.00%, 10/1/33 B2/B- 5,293,750
7,500 Memberworks, Inc., 5.50%, 10/1/10 NR/B- 7,453,125
9,000 World Color Press, Inc., 6.00%, 10/1/07 Ba1/BB+ 9,258,750
--------------
22,005,625
--------------
COMPUTERS--0.4%
9,000 Maxtor Corp., 6.80%, 4/30/10 B2/NR 8,471,250
--------------
DIVERSIFIED FINANCIAL SERVICES--0.4%
9,500 E*Trade Financial Corp., 6.00%, 2/1/07 NR/B- 9,559,375
--------------
ELECTRIC--0.5%
3,500 PG&E Corp., 9.50%, 6/30/10 NR/NR 9,646,875
--------------
ELECTRICAL COMPONENTS & EQUIPMENT--0.3%
5,750 Artesyn Technologies, Inc., 5.50%, 8/15/10 NR/NR 6,497,500
--------------
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
April 30, 2005 (unaudited)
=======================================================================================================
Principal
Amount Credit Rating
(000) (Moody's/S&P) Value*
=======================================================================================================
HEALTHCARE-SERVICES--0.2%
2,500 Matria Healthcare, Inc., 4.875%, 5/1/24 NR/B- $ 4,271,875
--------------
LODGING--0.4%
7,700 Hilton Hotels Corp., 3.375%, 4/15/23 Baa3/BBB- 8,787,625
--------------
MEDIA--0.4%
9,000 EchoStar Communications Corp., 5.75%, 5/15/08 GDR B2/B 8,831,250
--------------
MINING--0.4%
6,775 Freeport-McMoRan Copper & Gold, Inc., 7.00%, 2/11/11 NR/B+ 8,629,656
--------------
MISCELLANEOUS MANUFACTURING--0.4%
6,000 Tyco International Group SA, 3.125%, 1/15/23 Baa3/BBB 8,835,000
--------------
OIL & GAS--0.8%
8,475 Devon Energy Corp., 4.95%, 8/15/08 Baa2/BBB 9,015,281
4,400 St. Mary Land & Exploration Co., 6.25%, 3/15/22 (c) NR/NR 7,898,000
--------------
16,913,281
--------------
OIL & GAS SERVICES--0.1%
1,000 Schlumberger Ltd., 1.50%, 6/1/23 A1/A+ 1,087,500
--------------
PHARMACEUTICALS--0.7%
6,000 Ligand Pharmaceuticals, Inc., 6.00%, 11/16/07 NR/NR 6,375,000
9,000 Sepracor, Inc., 5.00%, 2/15/07 NR/CCC+ 9,090,000
--------------
15,465,000
--------------
RETAIL--0.7%
5,650 Guitar Center, Inc., 4.00%, 7/15/13 B1/BB- 8,404,375
7,000 Sonic Automotive, Inc., 5.25%, 5/7/09 B3/B 6,912,459
--------------
15,316,834
--------------
SEMI-CONDUCTORS--0.8%
9,500 Advanced Micro Devices, Inc., 4.75%, 2/1/22 GDR (c) B3/B- 8,918,123
9,850 Amkor Technology, Inc., 5.75%, 6/1/06 GDR Caa1/CCC 8,790,302
--------------
17,708,425
--------------
TELECOMMUNICATIONS--2.6%
9,000 American Tower Corp., 5.00%, 2/15/10 B3/CCC 8,921,250
8,500 CenturyTel, Inc., 4.75%, 8/1/32 Baa2/BBB+ 8,850,625
6,000 Harris Corp., 3.50%, 8/15/22 GDR Baa2/BBB 8,010,000
10,000 Nextel Communications, Inc., 5.25%, 1/15/10 Ba3/BB 9,949,991
4,325 NII Holdings, Inc., 3.50%, 9/15/33 NR/NR 8,525,656
9,500 Nortel Networks Corp., 4.25%, 9/1/08 GDR B3/B- 8,632,823
5,000 Primus Telecommunications Group, Inc., 8.00%, 1/15/14 GDR B3/CCC 2,949,797
--------------
55,840,142
--------------
TRANSPORTATION--0.4%
5,450 Yellow Roadway Corp., 5.00%, 8/8/23 Ba1/BBB- 8,536,063
--------------
TRUCKING & LEASING--0.4%
7,950 GATX Corp., 7.50%, 2/1/07 GDR Baa3/BBB- 9,231,938
--------------
Total Convertible Bonds & Notes (cost-$290,604,741) 263,506,816
--------------
-------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFFERED STOCK--9.3%
-------------------------------------------------------------------------------------------------------
Shares
(000)
--------------
AUTO MANUFACTURERS--0.8%
191 Ford Motor Co. Capital Trust II, 6.50%, 1/15/32 Baa2/B+ 7,439,450
460 General Motors Corp., 6.25%, 7/15/33, Ser. C Baa3/BB 8,666,400
--------------
16,105,850
--------------
CHEMICALS--0.3%
150 Huntsman Corp., 5.00%, 2/16/08 NR/NR 7,011,836
--------------
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
April 30, 2005 (unaudited)
=======================================================================================================
Shares Credit Rating
(000) (Moody's/S&P) Value*
=======================================================================================================
COAL--0.5%
88 Arch Coal, Inc., 5.00%, 12/31/49 B3/B $ 9,707,500
--------------
COMMERCIAL SERVICES--0.3%
180 United Rentals Trust I, 6.50%, 8/1/28 B3/B 7,492,500
--------------
DIVERSIFIED FINANCIAL SERVICES--0.4%
175 Capital One Financial Corp., 6.25%, 5/17/05 Baa3/BBB- 8,771,000
--------------
ELECTRIC--1.3%
201 AES Trust III, 6.75%, 10/15/29 B3/CCC+ 8,827,005
150 FPL Group, Inc., 8.00%, 2/16/06 NR/A- 9,358,500
125 Public Service Enterprise Group, Inc., 10.25%, 11/16/05 Baa3/BBB- 9,250,000
--------------
27,435,505
--------------
FOOD--0.4%
413 Albertson's, Inc., 7.25%, 5/16/07 Baa2/BBB 8,869,418
--------------
GAS--0.4%
259 Oneok, Inc., 8.50%, 2/16/06 Baa1/BBB+ 9,101,785
--------------
HOLDING COMPANIES-DIVERSIFIED --0.4%
110 Williams Cos., Inc., 5.50%, 6/1/33 NR/B- 9,322,500
--------------
INSURANCE--1.7%
270 Genworth Financial, Inc., 6.00%, 5/16/07 A2/A 8,653,500
332 Platinum Underwriters Holdings Ltd., 7.00%, 11/16/05 NR/NR 9,545,000
410 PMI Group Inc., 5.875%, 11/15/06 A1/A 9,143,000
415 XL Capital Ltd., 6.50%, 5/15/07 A2/A 9,524,250
--------------
36,865,750
--------------
IRON/STEEL--0.3%
46 U. S. Steel Corp. 7.00%, 6/15/06, Ser. B NR/B 6,301,750
--------------
OFFICE/BUSINESS EQUIPMENT --0.4%
76 Xerox Corp., 6.25%, 7/1/06 B1/B- 8,831,840
--------------
OIL & GAS--0.8%
113 Amerada Hess Corp., 7.00%, 12/1/06 Ba3/BB 9,214,689
69 Chesapeake Energy Corp., 5.00%, 12/31/49 B3/B- 9,005,988
--------------
18,220,677
--------------
PHARMACEUTICALS--0.5%
190 Schering-Plough Corp., 6.00%, 9/14/07 Baa3/BBB 10,402,500
--------------
SAVINGS & LOANS--0.5%
190 Washington Mutual Capital Trust I, 5.375%, 5/1/41 Baa1/BBB 9,959,040
--------------
TELECOMMUNICATIONS--0.3%
9 Corning, Inc., 7.00%, 8/16/05, Ser. C B1/BB+ 6,030,000
--------------
Total Convertible Preferred Stock (cost-$216,502,364) 200,429,451
--------------
-------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS--5.0%
-------------------------------------------------------------------------------------------------------
Principal
Amount
(000)
--------------
TIME DEPOSITS--3.3%
$ 13,884 HSBC Bank USA, 2.36%, due 5/2/2005 13,884,067
29,679 Rabobank, 2.36%, due 5/2/2005 29,679,054
27,877 Wachovia Bank, 2.36%, due 5/2/2005 27,877,310
--------------
Total Time Deposits (cost-$71,440,431) 71,440,431
--------------
U.S. GOVERNMENT SECURITIES--1.7%
35,000 United States Treasury Notes, 10.75%, 8/15/05
(cost-$35,815,027) Aaa/AAA 35,787,535
--------------
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
April 30, 2005 (unaudited)
=======================================================================================================
Principal
Amount
(000) Value*
=======================================================================================================
Total Short-Term Investments (cost-$107,255,458) $ 107,227,966
--------------
TOTAL INVESTMENTS, BEFORE CALL OPTIONS WRITTEN --------------
(cost-$2,247,699,623)--100.3% 2,159,879,240
--------------
-------------------------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN (d)--(0.7)%
-------------------------------------------------------------------------------------------------------
Contracts
--------------
American Stock Exchange Oil Index,
(800) strike price $860, expires 5/21/05 (272,000)
(400) strike price $870, expires 5/21/05 (80,000)
(375) strike price $890, expires 5/21/05 (37,500)
(300) strike price $910, expires 5/21/05 (33,000)
(300) strike price $900, expires 5/21/05 (30,000)
(100) strike price $880, expires 5/21/05 (11,000)
(100) strike price $870, expires 6/18/05 (67,000)
American Stock Exchange Morgan Stanley Cyclical Index,
(800) strike price $790, expires 5/21/05 (32,000)
(500) strike price $800, expires 5/21/05 (20,000)
(200) strike price $770, expires 6/18/05 (12,000)
American Stock Exchange Pharmaceutical Index,
(2,300) strike price $325, expires 5/21/05 (1,817,000)
(800) strike price $322, expires 6/3/05 (868,000)
(700) strike price $320, expires 5/21/05 (833,000)
(500) strike price $330, expires 5/21/05 (240,000)
(300) strike price $320, expires 6/18/05 (402,000)
(300) strike price $330, expires 6/18/05 (195,000)
(200) strike price $315, expires 6/18/05 (348,000)
(200) strike price $335, expires 7/16/05 (134,000)
Ishares DJ U.S. Real Estate Index,
(3,000) strike price $118, expires 6/18/05 (825,000)
(1,000) strike price $114, expires 5/21/05 (465,000)
(1,000) strike price $117, expires 6/18/05 (332,500)
Morgan Stanley Cyclical Index,
(200) strike price $780, expires 6/3/05 (1,000)
Nasdaq 100 Stock Index,
(100) strike price $1550, expires 5/21/05 (4,500)
(75) strike price $1465, expires 6/24/05 (180,000)
Philadelphia Stock Exchange KBW Bank Sector Index,
(5,500) strike price $102.50, expires 5/21/05 (41,250)
(4,000) strike price $100, expires 5/21/05 (130,000)
(3,000) strike price $100, expires 6/3/05 (195,000)
(3,000) strike price $99.75, expires 6/3/05 (195,000)
(2,000) strike price $97.50, expires 6/18/05 (385,000)
(1,000) strike price $100, expires 6/18/05 (87,500)
Philadelphia Stock Exchange Utility Index,
(1,600) strike price $400, expires 5/21/05 (1,400,000)
(1,400) strike price $395, expires 5/21/05 (1,750,000)
(1,000) strike price $398, expires 6/3/05 (1,210,000)
(500) strike price $400, expires 5/27/05 (480,000)
(500) strike price $395, expires 6/18/05 (755,000)
(300) strike price $400, expires 6/18/05 (351,000)
Standard & Poors 500 Index,
(1,400) strike price $1225, expires 5/21/05 (38,500)
(700) strike price $1205, expires 6/10/05 (290,500)
(500) strike price $1205, expires 6/3/05 (142,500)
(500) strike price $1250, expires 5/21/05 (5,000)
(400) strike price $1195, expires 6/18/05 (300,000)
(300) strike price $1225, expires 5/27/05 (18,000)
(200) strike price $1200, expires 6/18/05 (124,000)
(200) strike price $1235, expires 5/21/05 (3,500)
Telecommunication Basket Index,
(6,000) strike price $101, expires 6/30/05 (657,000)
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
April 30, 2005 (unaudited)
=======================================================================================================
Value*
=======================================================================================================
Total Call Options Written (premiums received--$26,245,069) (15,798,250)
--------------
TOTAL INVESTMENTS, NET OF CALL OPTIONS WRITTEN
(cost-$2,221,454,554)--99.6% 2,144,080,990
Other assets less liabilities--0.4% 9,027,112
--------------
NET ASSETS--100.0% $2,153,108,012
==============
================================================================================
NOTES TO SCHEDULE OF INVESTMENTS:
* Portfolio securities and other financial instruments for which market
quotations are readily available are stated at market value. The Fund's
investments are valued daily by an independent pricing service approved by
the Board of Trustees, dealer quotations, or are valued at the last sale
price on the exchange that is the primary market for such securities, or
the last quoted bid price for those securities for which the
over-the-counter market is the primary market or for listed securities in
which there were no sales. Prices obtained from independent pricing
services use information provided by market makers or estimates of market
values obtained from yield data relating to investments or securities with
similar characteristics. Short-term investments maturing in 60 days or less
are valued at amortized cost, if their original maturity was 60 days or
less, or by amortizing their value on the 61st day prior to maturity, if
the original term to maturity exceeded 60 days. Exchange traded options are
valued at the settlement price determined by the relevant exchange
Securities for which market quotations are not readily available or if a
development/event occurs that may significantly impact the value of the
security, may be fair-valued in good faith pursuant to guidelines
established by the Board of Trustees. The prices used by the Fund to value
securities may differ from the value that would be realized if the
securities were sold. The Fund's net asset value is determined daily at the
close of regular trading (normally, 4:00 p.m. Eastern time) on the New York
Stock Exchange.
(a) 144A security--Security exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration, typically only to qualified institutional
investors.
(b) Private placement security.
(c) Variable rate security. Interest rate disclosed reflects the rate in effect
on April 30, 2005.
(d) Non-income producing.
GLOSSARY:
ADR--American Depositary Receipt
GDR--Global Depositary Receipt
NR--Not Rated
ITEM 2. CONTROLS AND PROCEDURES
a) The registrant's President and Chief Executive Officer and Principal
Financial Officer have concluded that the registrant's disclosure controls and
procedures (as defined in Rule 30a-2(c) under the Investment Company Act of
1940, as amended are effective based on their evaluation of these controls and
procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant's internal controls or
in factors that could affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.
ITEM 3. EXHIBITS
(a) Exhibit 99.302 Cert. - Certification pursuant to Section 302 of the
Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: NFJ Dividend, Interest & Premium Strategy Fund
By /s/ Brian S. Shlissel
President & Chief Executive Officer
Date: June 28, 2005
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: June 28, 2005
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
dated indicated.
By /s/ Brian S. Shlissel
President & Chief Executive Officer
Date: June 28, 2005
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: June 28, 2005