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OMB APPROVAL
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OMB Number: 3235-0578
Expires: February 28, 2006
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hours per response: 20.0
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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: 1/31/06
Date of Reporting Period: 10/31/05
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
October 31, 2005 (unaudited)
--------------------------------------------------------------------------------
Shares
(000) Value*
--------------------------------------------------------------------------------
COMMON STOCK-73.4%
AEROSPACE/DEFENSE-1.8%
750 Northrop Grumman Corp. $ 40,237,500
-------------
AGRICULTURE-3.2%
300 Altria Group, Inc. (a) 22,515,000
550 Reynolds American, Inc. (a) 46,750,000
-------------
69,265,000
-------------
APPAREL-1.4%
600 VF Corp. 31,350,000
-------------
BANKING-8.6%
1,800 Bank of America Corp. (a) 78,732,000
1,500 Keycorp 48,360,000
950 Regions Financial Corp. (a) 30,922,500
800 Washington Mutual, Inc. (a) 31,680,000
-------------
189,694,500
-------------
BUILDING MATERIALS-0.7%
544 Masco Corp. 15,509,700
-------------
CHEMICALS-4.6%
1,100 Lyondell Petrochemical Co. 29,480,000
1,550 The Dow Chemical Co. (a) 71,083,000
-------------
100,563,000
-------------
COMMERCIAL SERVICES-2.6%
1,706 Deluxe Corp. (a) 56,844,315
-------------
COMPUTERS-1.8%
11 Hewlett-Packard Co. 308,440
2,700 Seagate Technology, Inc. (a) 39,123,000
-------------
39,431,440
-------------
DIVERSIFIED FINANCIAL SERVICES-2.1%
900 JP Morgan Chase & Co. (a) 32,958,000
10 MBNA Corp. 255,700
250 Morgan Stanley 13,602,500
-------------
46,816,200
-------------
ELECTRIC-3.0%
425 DTE Energy Co. 18,360,000
1,100 Progress Energy, Inc. 47,949,000
-------------
66,309,000
-------------
ENERGY-3.5%
1,950 KeySpan Corp. (a) 67,411,500
200 Sempra Energy 8,860,000
-------------
76,271,500
-------------
FOOD-2.1%
2,000 ConAgra Foods, Inc. 46,540,000
-------------
FOOD & BEVERAGE-1.9%
1,000 Anheuser-Busch Cos., Inc. (a) 41,260,000
-------------
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
October 31, 2005 (unaudited) (continued)
--------------------------------------------------------------------------------
Shares
(000) Value*
--------------------------------------------------------------------------------
HAND/MACHINE TOOLS-0.9%
400 The Stanley Works $ 19,172,000
-------------
HOME FURNISHINGS-1.1%
300 Whirlpool Corp. 23,550,000
-------------
HOUSEHOLD PRODUCTS-1.6%
600 Kimberly-Clark Corp. 34,104,000
-------------
INSURANCE-2.5%
700 Jefferson-Pilot Corp. 38,416,000
250 Lincoln National Corp. (a) 12,652,500
100 St. Paul Travelers Cos., Inc. 4,503,000
-------------
55,571,500
-------------
METALS & MINING-1.1%
500 Freeport-McMoRan Copper & Gold, Inc. 24,710,000
-------------
OIL & GAS-11.5%
600 Chevron Corp. (a) 34,242,000
500 ConocoPhillips (a) 32,690,000
550 Marathon Oil Corp. 33,088,000
550 Occidental Petroleum Corp. 43,384,000
1,000 PetroChina Co. Ltd. ADR (a) 76,730,000
500 Petroleo Brasileiro S.A. ADR 31,950,000
-------------
252,084,000
-------------
PHARMACEUTICALS-7.9%
250 GlaxoSmithKline PLC ADR 12,997,500
3,200 Merck & Co., Inc. (a) 90,304,000
3,200 Pfizer, Inc. (a) 69,568,000
-------------
172,869,500
-------------
REAL ESTATE-2.3%
1,500 Duke Realty Corp.-REIT 51,150,000
-------------
RETAIL-1.4%
1,500 Limited Brands, Inc. (a) 30,015,000
-------------
TELECOMMUNICATIONS-5.8%
10 Alltel Corp. 618,600
2,000 AT&T Corp. (a) 39,560,000
2,750 Verizon Communications, Inc. (a) 86,652,500
-------------
126,831,100
-------------
Total Common Stock (cost-$1,699,683,070) 1,610,149,255
-------------
--------------------------------------------------------------------------------
CONVERTIBLE BONDS & NOTES-14.6%
--------------------------------------------------------------------------------
Principal
Amount Credit Rating
(000) (Moody's/S&P)
--------- -------------
AEROSPACE/DEFENSE-0.4%
$ 6,500 GenCorp, Inc., 4.00%. 1/16/24 Caa2/B 8,498,750
-------------
AIRLINES-0.5%
12,900 Continental Airlines, Inc., 4.50%, 2/1/07 Caa2/CCC+ 11,126,250
-------------
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
October 31, 2005 (unaudited) (continued)
--------------------------------------------------------------------------------
Principal
Amount Credit Rating
(000) (Moody's/S&P) Value*
--------------------------------------------------------------------------------
AUTO PARTS & EQUIPMENT-0.5%
$ 7,075 The Goodyear Tire & Rubber Co., 4.00%,
6/15/34 (b)(c) B3/B- $ 10,232,219
-------------
CHEMICALS-0.3%
3,000 Millennium Chemicals, Inc., 4.00%,
11/15/23 B1/BB- 6,206,250
-------------
COMMERCIAL SERVICES-0.9%
10,500 Quebecor World USA, Inc., 6.00%, 10/1/07 Ba3/B+ 10,578,750
7,500 Vertrue, Inc., 5.50%, 10/1/10 NR/B- 8,465,625
-------------
19,044,375
-------------
COMPUTERS-0.5%
10,100 Maxtor Corp., 6.80%, 4/30/10 B2/NR 9,834,875
-------------
DIVERSIFIED FINANCIAL SERVICES-0.5%
11,000 E*Trade Financial Corp., 6.00%, 2/1/07 NR/B- 11,178,750
-------------
ELECTRIC-0.4%
3,500 PG&E Corp., 9.50%, 6/30/10 NR/NR 9,537,500
-------------
ELECTRICAL COMPONENTS & EQUIPMENT-0.3%
5,750 Artesyn Technologies, Inc., 5.50%, 8/15/10 NR/NR 7,216,250
-------------
HOUSEHOLD PRODUCTS-0.4%
4,900 American Greetings Corp., 7.00%, 07/15/06 Ba2/BB+ 9,058,875
-------------
LODGING-0.4%
7,250 Hilton Hotels Corp., 3.375%, 4/15/23 Baa3/BBB- 7,757,500
-------------
MEDIA-0.5%
11,000 EchoStar Communications Corp., 5.75%,
5/15/08 GDR B2/B 10,821,250
-------------
METALS & MINING-0.7%
8,475 Freeport-McMoRan Copper & Gold, Inc.,
7.00%, 2/11/11 NR/B+ 14,354,531
-------------
MISCELLANEOUS MANUFACTURING-0.3%
5,535 Tyco International Group S.A., 3.125%,
1/15/23 Baa3/BBB+ 7,105,556
-------------
OIL & GAS-0.5%
9,675 Devon Energy Corp., 4.95%, 8/15/08 Baa2/BBB 11,210,906
-------------
PHARMACEUTICALS-0.9%
6,000 Ligand Pharmaceuticals, Inc., 6.00%,
11/16/07 NR/NR 8,482,500
12,000 Sepracor, Inc., 5.00%, 2/15/07 NR/CCC+ 11,985,000
-------------
20,467,500
-------------
PRINTING & PUBLISHING-0.2%
5,000 Bowne & Co., Inc., 5.00%, 10/1/33 B2/B- 5,384,500
-------------
REAL ESTATE-0.1%
500 Affordable Residential Communities-
REIT, 7.50%, 8/15/25 (b)(c) NR/NR 502,500
2,300 Capital Automotive-REIT, 6.00%, 5/15/24 NR/NR 2,515,625
-------------
3,018,125
-------------
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
October 31, 2005 (unaudited) (continued)
--------------------------------------------------------------------------------
Principal
Amount Credit Rating
(000) (Moody's/S&P) Value*
--------------------------------------------------------------------------------
RETAIL-0.9%
$ 5,650 Guitar Center, Inc., 4.00%, 7/15/13 B1/BB- $ 8,764,563
11,800 Sonic Automotive, Inc., 5.25%, 5/7/09 B3/B 11,637,750
-------------
20,402,313
-------------
SEMI-CONDUCTORS-1.1%
10,500 Advanced Micro Devices, Inc., 4.75%,
2/1/22 GDR (d) B3/B- 11,550,000
11,850 Amkor Technology, Inc., 5.75%, 6/1/06 GDR Caa3/CCC 11,464,875
-------------
23,014,875
-------------
TELECOMMUNICATIONS-3.4%
11,000 American Tower Corp., 5.00%, 2/15/10 B1/BB- 11,000,000
10,500 CenturyTel, Inc., 4.75%, 8/1/32 Baa2/BBB+ 10,906,875
6,750 Harris Corp., 3.50%, 8/15/22 GDR Baa2/BBB 12,487,500
8,600 Lucent Technologies, Inc., 8.00%, 8/1/31 B3/CCC+ 8,890,250
11,000 Nextel Communications, Inc., 5.25%,
1/15/10 Baa2/A- 11,151,250
3,225 NII Holdings, Inc., 3.50%, 9/15/33 NR/NR 10,207,125
11,500 Nortel Networks Corp., 4.25%, 9/1/08 GDR NR/B- 10,795,625
-------------
75,438,625
-------------
TRANSPORTATION-0.4%
6,450 Yellow Roadway Corp., 5.00%, 8/8/23 Ba1/BBB- 9,626,625
-------------
TRUCKING & LEASING-0.5%
9,450 GATX Corp., 7.50%, 2/1/07 GDR Baa3/BBB- 11,375,438
-------------
Total Convertible Bonds & Notes
(cost-$327,024,620) 321,911,838
-------------
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK-10.0%
--------------------------------------------------------------------------------
Shares
(000)
----------
ADVERTISING-0.2%
4 Interpublic Group of Cos., Inc., 5.25%,
12/31/49 (b)(c) NR/NR 3,465,000
-------------
AUTOMOTIVE-0.7%
191 Ford Motor Co. Capital Trust II, 6.50%,
1/15/32 Ba2/B+ 6,090,990
460 General Motors Corp., 6.25%, 7/15/33,
Ser. C B1/BB- 8,441,000
-------------
14,531,990
-------------
BANKING-0.5%
210 Washington Mutual Capital Trust I,
5.375%, 5/3/41 Baa1/BBB 10,809,750
-------------
CHEMICALS-0.3%
150 Huntsman Corp., 5.00%, 2/16/08 NR/NR 6,617,205
-------------
COMMERCIAL SERVICES-0.4%
205 United Rentals Trust I, 6.50%, 8/1/28 Caa2/B 8,328,125
-------------
ELECTRIC-1.5%
217 AES Trust III, 6.75%, 10/15/29 B3/CCC+ 10,065,620
183 FPL Group, Inc., 8.00%, 2/16/06 NR/A- 11,851,080
153 Public Service Enterprise Group, Inc.,
10.25%, 11/16/05 Baa3/BBB- 12,174,210
-------------
34,090,910
-------------
FOOD-0.5%
483 Albertson's, Inc., 7.25%, 5/16/07 Baa3/BBB- 11,695,860
-------------
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
October 31, 2005 (unaudited) (continued)
--------------------------------------------------------------------------------
Shares Credit Rating
(000) (Moody's/S&P) Value*
--------------------------------------------------------------------------------
INSURANCE-2.3%
300 Genworth Financial, Inc., 6.00%, 5/16/07 A2/A $ 10,509,000
337 Metlife Capital Trust I, 6.375%, 8/15/08 NR/BBB+ 9,214,215
360 Platinum Underwriters Holdings Ltd.,
7.00%, 11/16/05 NR/BBB 9,632,675
450 PMI Group, Inc., 5.875%, 11/15/06 A1/A 10,917,000
495 XL Capital Ltd., 6.50%, 5/15/07 A2/A 10,637,550
-------------
50,910,440
-------------
IRON/STEEL-0.4%
71 U.S. Steel Corp., 7.00%, 6/15/06, Ser. B NR/B 8,310,187
-------------
OFFICE/BUSINESS EQUIPMENT-0.5%
95 Xerox Corp., 6.25%, 7/1/06 B1/B- 11,013,930
-------------
OIL & GAS-1.6%
113 Amerada Hess Corp., 7.00%, 12/1/06 Ba3/BB 12,073,248
69 Chesapeake Energy Corp., 5.00%, 12/31/49 B2/B 13,693,875
259 Oneok, Inc., 8.50%, 2/16/06 Baa2/BBB 8,938,930
-------------
34,706,053
-------------
PHARMACEUTICALS-0.5%
205 Schering-Plough Corp., 6.00%, 9/14/07 Baa3/BBB 10,828,688
-------------
PUBLIC RELATIONS-0.5%
110 Williams Cos., Inc., 5.50%, 6/1/33 NR/B- 11,577,500
-------------
TELECOMMUNICATIONS-0.1%
50 Crown Castle International Corp.,
6.25%, 8/15/12 NR/NR 2,575,000
-------------
Total Convertible Preferred Stock
(cost-$227,655,697) 219,460,638
-------------
Principal
Amount
(000)
----------
TIME DEPOSITS-1.7%
$ 10,729 BNP Paribas, 3.48%, due 11/1/2005 10,728,773
2,851 Citibank, 3.48%, due 11/1/2005 2,851,453
24,067 Rabobank, 3.48%, due 11/1/2005 24,066,535
-------------
Total Time Deposits (cost-$37,646,761) 37,646,761
-------------
TOTAL INVESTMENTS, BEFORE CALL OPTIONS WRITTEN
(cost-$2,292,010,148)-99.7% 2,189,168,492
-------------
--------------------------------------------------------------------------------
CALL OPTIONS WRITTEN (e)-(0.9)%
--------------------------------------------------------------------------------
Contracts
----------
American Stock Exchange Morgan Stanley Cyclical Index,
300 strike price $710, expires 1/21/06 (798,000)
200 strike price $720, expires 12/17/05 (278,000)
300 strike price $720, expires 1/21/06 (624,000)
300 strike price $730, expires 1/21/06 (477,000)
200 strike price $730, expires 11/19/05 (62,000)
100 strike price $730, expires 12/17/05 (97,000)
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
October 31, 2005 (unaudited)
--------------------------------------------------------------------------------
Contracts Value*
================================================================================
300 strike price $740, expires 12/17/05 $ (180,000)
300 strike price $745, expires 11/3/05 (1,323)
450 strike price $750, expires 11/19/05 (18,000)
50 strike price $760, expires 11/19/05 (2,000)
American Stock Exchange Oil Index,
600 strike price $1020, expires 12/17/05 (1,596,000)
100 strike price $1030, expires 12/17/05 (227,000)
100 strike price $1030, expires 1/21/06 (337,000)
200 strike price $1040, expires 12/17/05 (394,000)
300 strike price $1060, expires 12/17/05 (432,000)
100 strike price $1060, expires 1/21/06 (238,000)
100 strike price $1090, expires 11/19/05 (16,500)
100 strike price $1100, expires 11/19/05 (12,000)
200 strike price $1120, expires 11/19/05 (20,000)
100 strike price $1120, expires 12/17/05 (47,000)
200 strike price $1140, expires 12/17/05 (58,000)
American Stock Exchange Pharmaceutical Index,
700 strike price $310, expires 12/17/05 (413,000)
500 strike price $315, expires 1/21/05 (305,000)
300 strike price $320, expires 12/17/05 (63,000)
500 strike price $325, expires 12/17/05 (67,500)
500 strike price $330, expires 12/17/05 (35,000)
Financial Basket Index,
5,000 strike price $100.70, expires 11/25/05 (1,285,000)
5,000 strike price $100.75, expires 11/04/05 (1,865,000)
Health Basket Index,
5,000 strike price $100, expires 11/04/05 (90,000)
Ishares DJ U.S. Real Estate Index,
2,000 strike price $63, expires 12/17/05 (300,000)
2,000 strike price $64, expires 12/17/05 (210,000)
Nasdaq 100 Stock Index,
60 strike price $1625, expires 11/19/05 (23,700)
50 strike price $1625, expires 12/17/05 (71,750)
40 strike price $1650, expires 11/19/05 (6,200)
Philadelphia Stock Exchange KBW Bank Sector Index,
6,500 strike price $97.50, expires 12/17/05 (2,112,500)
8,000 strike price $100, expires 11/19/05 (720,000)
2,000 strike price $100.50, expires 11/03/05 (20,000)
Philadelphia Stock Exchange Utility Index,
200 strike price $425, expires 1/21/06 (286,000)
1,050 strike price $430, expires 1/21/06 (1,260,000)
350 strike price $435, expires 1/21/06 (346,500)
300 strike price $445, expires 12/17/05 (105,000)
500 strike price $450, expires 11/19/05 (17,500)
500 strike price $460, expires 11/19/05 (12,500)
Standard & Poors 500 Index,
200 strike price $1200, expires 1/21/06 (734,000)
200 strike price $1205, expires 1/21/06 (672,000)
300 strike price $1210, expires 12/17/05 (651,000)
200 strike price $1210, expires 1/21/06 (612,000)
300 strike price $1220, expires 1/21/06 (663,000)
NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND SCHEDULE OF INVESTMENTS
October 31, 2005 (unaudited)
--------------------------------------------------------------------------------
Contracts Value*
--------------------------------------------------------------------------------
300 strike price $1225, expires 11/3/05 $ (17,934)
300 strike price $1230, expires 12/2/05 (243,273)
500 strike price $1230, expires 12/17/05 (595,000)
200 strike price $1235, expires 11/19/05 (60,000)
400 strike price $1235, expires 12/17/05 (396,000)
300 strike price $1245, expires 11/19/05 (42,000)
200 strike price $1255, expires 11/19/05 (12,000)
Telecommunication Basket Index,
5,000 strike price $100.60, expires 11/04/05 (95,000)
5,000 strike price $100.75, expires 11/25/05 (355,000)
--------------
Total Call Options Written
(premiums received-$25,100,328) (20,678,180)
--------------
TOTAL INVESTMENTS, NET OF CALL OPTIONS WRITTEN
(cost-$2,266,909,820)-98.8% 2,168,490,312
Other assets less liabilities-1.2% 25,397,941
--------------
NET ASSETS-100.0% $2,193,888,253
==============
----------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS:
---------------------------------
* Portfolio securities and other financial instruments for which market
quotations are readily available are stated at market value. Portfolio
securities and other financial instruments for which market quotations are
not readily available or if a development/event occurs that may
significantly impact the value of a security may be fair-valued, in good
faith, pursuant to guidelines established by the Board of Trustees. The
Fund's investments are valued daily by an independent pricing service,
dealer quotations (such in the case for the Fund's investments in
over-the-counter written call options), 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. 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 term to 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. 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) All or a portion of security is pledged as collateral for call options
written.
(b) 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 buyers.
Unless otherwise indicated, these securities are not considered to be
illiquid.
(c) Private placement. Restricted as to resale and may not have a readily
available market.
(d) Variable rate security. Interest rate disclosed reflects the rate in effect
on October 31, 2005.
(e) Non-income producing.
GLOSSARY:
---------
ADR-American Depositary Receipt
GDR-Global Depositary Receipt
REIT-Real Estate Investment Trust
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: December 19, 2005
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: December 19, 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: December 19, 2005
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: December 19, 2005