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UNITED STATES |
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OMB APPROVAL |
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OMB Number: 3235-0578 |
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Expires: April 30, 2010 |
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Estimated average burden |
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hours per response: 10.5 |
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FORM N-Q |
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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 |
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| New York, New York 10105 |
Registrant’s telephone number, including area code: 212-739-3371
Date of Fiscal Year End: January 31, 2010
Date of Reporting Period: October 31, 2009
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 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, 100 F Street, NE, Washington, DC 20549-2001. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. Schedule of Investments |
October 31, 2009 (unaudited) |
| Shares | ||||||
| (000) | Value* | |||||
| COMMON STOCK—71.7% |
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Aerospace & Defense—2.2% |
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700 | Boeing Co. (a) | $33,460,000 |
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Automobiles—0.6% |
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1,278 |
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Ford Motor Co. (b) | 8,947,827 |
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Beverages—0.6% |
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186 |
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Coca-Cola Co. | 9,899,454 |
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Commercial Services & Supplies—1.6% |
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400 |
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RR Donnelley & Sons Co. (a) | 8,032,000 |
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573 |
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Waste Management, Inc. | 17,109,288 |
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25,141,288 |
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Communications Equipment—1.5% |
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570 |
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Harris Corp. | 23,780,400 |
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Diversified Financial Services—0.9% |
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336 |
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JP Morgan Chase & Co. (a) | 14,034,177 |
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Diversified Telecommunication Services—5.5% |
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500 |
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AT&T, Inc. (a) | 12,835,000 | ||
|
287 |
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CenturyTel, Inc. | 9,325,401 | ||
|
500 |
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Verizon Communications, Inc. (a) | 14,795,000 | ||
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5,000 |
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Windstream Corp. (a) | 48,200,000 |
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85,155,401 |
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Electric Utilities—1.2% |
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204 |
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Edison International (a) | 6,491,280 | ||
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152 |
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Entergy Corp. | 11,642,567 |
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18,133,847 |
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Energy Equipment & Services—5.1% |
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500 |
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Diamond Offshore Drilling, Inc. (a) | 47,625,000 | ||
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1,050 |
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Halliburton Co. | 30,670,500 |
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78,295,500 |
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Food & Drug Retailing—1.4% |
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1,400 |
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SUPERVALU, Inc. | 22,218,000 |
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Food Products—1.1% |
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633 |
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Kraft Foods, Inc. —Cl. A | 17,431,168 |
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Health Care Equipment & Supplies—0.5% |
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200 |
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Medtronic, Inc. (a) | 7,140,000 |
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Household Durables—2.8% |
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400 |
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Black & Decker Corp. (a) | 18,888,000 | ||
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350 |
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Whirlpool Corp. | 25,056,500 |
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43,944,500 |
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Household Products—1.4% |
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350 |
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Kimberly-Clark Corp. | 21,406,000 |
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Industrial Conglomerates—2.7% |
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300 |
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3M Co. | 22,071,000 | ||
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1,439 |
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General Electric Co. (a) | 20,518,956 |
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42,589,956 |
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Insurance—5.5% |
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700 |
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Allstate Corp. (a) | 20,699,000 | ||
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1,303 |
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Lincoln National Corp. (a) | 31,040,958 | ||
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280 |
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MetLife, Inc. | 9,527,073 | ||
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490 |
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Travelers Cos, Inc. | 24,397,100 | ||
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19 |
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XL Capital Ltd. —Cl. A | 315,564 |
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85,979,695 |
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Leisure Equipment & Products—1.7% |
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1,400 |
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Mattel, Inc. (a) | 26,502,000 |
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Machinery—1.4% |
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400 |
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Caterpillar, Inc. (a) | 22,024,000 |
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Media—1.1% |
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1,501 |
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CBS Corp. —Cl. B | 17,662,062 |
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Multi-Utilities—1.3% |
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800 |
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Ameren Corp. (a) | 19,472,000 |
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Office Electronics—1.0% |
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2,125 |
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Xerox Corp. | 15,980,000 |
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Oil, Gas & Consumable Fuels—12.4% |
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300 |
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Chevron Corp. (a) | 22,962,000 | ||
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525 |
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ConocoPhillips (a) | 26,344,500 | ||
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535 |
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EnCana Corp. (a) | 29,639,189 | ||
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900 |
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Marathon Oil Corp. (a) | 28,773,000 | ||
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550 |
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Royal Dutch Shell PLC —Cl. A - ADR | 32,675,500 | ||
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500 |
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Total SA - ADR | 30,035,000 | ||
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1,200 |
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Valero Energy Corp. (a) | 21,720,000 |
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192,149,189 |
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Pharmaceuticals—6.4% |
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1,180 |
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GlaxoSmithKline PLC - ADR (a) | 48,572,916 | ||
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169 |
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Johnson & Johnson | 9,956,893 | ||
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2,500 |
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Pfizer, Inc. (a) | 42,575,000 |
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101,104,809 |
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NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
October 31, 2009 (unaudited) |
| Shares | |||||||||
| (000) | Value* | ||||||||
| Real Estate Investment Trusts (REIT)—1.3% | |||||||||
| 1,200 | Annaly Capital Management, Inc. | $20,292,000 | |||||||
| Road & Rail—0.3% | |||||||||
| 100 | Norfolk Southern Corp. | 4,662,000 | |||||||
| Software—1.4% | |||||||||
| 800 | Microsoft Corp. (a) | 22,184,000 | |||||||
| Specialty Retail—1.8% | |||||||||
| 1,104 | Home Depot, Inc. (a) | 27,704,378 | |||||||
| Textiles, Apparel & Luxury Goods—0.9% | |||||||||
| 200 | VF Corp. (a) | 14,208,000 | |||||||
| Thrifts & Mortgage Finance—3.2% | |||||||||
| 2,000 | Hudson City Bancorp, Inc. (a) | 26,280,000 | |||||||
| 2,200 | New York Community Bancorp, Inc. (a) | 23,738,000 | |||||||
| 50,018,000 | |||||||||
| Tobacco—2.9% | |||||||||
| 1,300 | Altria Group, Inc. (a) | 23,543,000 | |||||||
| 450 | Reynolds American, Inc. (a) | 21,816,000 | |||||||
| 45,359,000 | |||||||||
| Total Common Stock (cost- $1,437,459,965) | 1,116,878,651 |
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NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
October 31, 2009 (unaudited) |
| Principal | |||||||||
| Amount | Credit Rating | ||||||||
| (000) | (Moody's/S&P) | Value* | |||||||
| CONVERTIBLE BONDS & NOTES — 13.9% | |||||||||
| Auto Components—0.4% | |||||||||
| $5,000 | BorgWarner, Inc., 3.50%, 4/15/12 | NR/BBB | $6,050,000 | ||||||
| Automobiles—0.2% | |||||||||
| 2,500 | Ford Motor Co., 4.25%, 12/15/36 | Caa2/CCC- | 2,465,625 | ||||||
| Biotechnology—0.1% | |||||||||
| 1,500 | United Therapeutics Corp., 0.50%, 10/15/11 | NR/NR | 1,843,125 | ||||||
| Commercial Services & Supplies—0.5% | |||||||||
| 7,000 | Covanta Holding Corp., 3.25%, 6/1/14 (e) (f) | Ba3/B | 7,875,000 | ||||||
| Communications Equipment—0.2% | |||||||||
| 6,585 | Nortel Networks Corp., 2.125%, 4/15/14 (c) | WR/NR | 3,679,369 | ||||||
| Computers & Peripherals—0.9% | |||||||||
| 4,000 | EMC Corp., 1.75%, 12/1/13 | NR/A- | 4,820,000 | ||||||
| 8,500 | Maxtor Corp., 2.375%, 8/15/12 | NR/B | 8,744,375 | ||||||
| 13,564,375 | |||||||||
| Construction & Engineering—0.6% | |||||||||
| 7,930 | Quanta Services, Inc., 3.75%, 4/30/26 | NR/NR | 8,832,037 | ||||||
| Diversified Consumer Services—0.1% | |||||||||
| 2,000 | Coinstar, Inc., 4.00%, 9/1/14 | NR/BB | 2,122,500 | ||||||
| Diversified Telecommunication Services—0.3% | |||||||||
| 5,495 | tw telecom, Inc., 2.375%, 4/1/26 | B3/B- | 5,220,250 | ||||||
| Electrical Equipment—1.8% | |||||||||
| 9,780 | EnerSys, 3.375%, 6/1/38 (d) | B2/BB | 8,850,900 | ||||||
| 7,510 | General Cable Corp., 0.875%, 11/15/13 | B1/B+ | 6,749,613 | ||||||
| 14,000 | JA Solar Holdings Co., Ltd., 4.50%, 5/15/13 | NR/NR | 10,412,500 | ||||||
| 1,000 | SunPower Corp., 4.75%, 4/15/14 | NR/NR | 1,163,750 | ||||||
| 27,176,763 | |||||||||
| Energy Equipment & Services—0.5% | |||||||||
| 500 | Cameron International Corp., 2.50%, 6/15/26 | Baa1/BBB+ | 626,875 | ||||||
| 8,480 | Hornbeck Offshore Services, Inc., 1.625%, 11/15/26 (d) | NR/BB- | 7,449,680 | ||||||
| 8,076,555 | |||||||||
| Health Care Equipment & Supplies—0.2% | |||||||||
| 1,000 | China Medical Technologies, Inc., 4.00%, 8/15/13, Ser. CMT | NR/NR | 733,750 | ||||||
| 3,000 | Inverness Medical Innovations, Inc., 3.00%, 5/15/16 | NR/B- | 3,210,000 | ||||||
| 3,943,750 | |||||||||
| Hotels Restaurants & Leisure—0.5% | |||||||||
| 5,495 | International Game Technology, 3.25%, 5/1/14 (e) (f) | Baa2/BBB | 6,497,838 | ||||||
| 1,000 | Wyndham Worldwide Corp., 3.50%, 5/1/12 | Ba2/BBB- | 1,480,000 | ||||||
| 7,977,838 | |||||||||
| Household Durables—0.1% | |||||||||
| 1,000 | Newell Rubbermaid, Inc., 5.50%, 3/15/14 | NR/BBB- | 1,858,750 | ||||||
| Industrial Conglomerates—0.2% | |||||||||
| 2,000 | Textron, Inc., 4.50%, 5/1/13 | NR/BBB- | 3,115,000 | ||||||
| Internet Software & Services—0.5% | |||||||||
| 4,200 | Equinix, Inc., 2.50%, 4/15/12 | NR/B- | 4,294,500 | ||||||
| 2,950 | VeriSign, Inc., 3.25%, 8/15/37 | NR/NR | 2,518,563 | ||||||
| 6,813,063 | |||||||||
| IT Services—0.9% | |||||||||
| Alliance Data Systems Corp., | |||||||||
| 2,000 | 4.75%, 5/15/14 (e) (f) | NR/NR | 2,755,000 | ||||||
| 8,020 | 1.75%, 8/1/13 | NR/NR | 7,619,000 | ||||||
| 2,540 | DST Systems, Inc., 4.125%, 8/15/23 (d) | NR/NR | 2,660,650 | ||||||
| 13,034,650 | |||||||||
| Lodging—0.1% | |||||||||
| 1,402 | Mandalay Resort Group, 1.042%, 3/21/33, FRN (c) (g) (h) | Caa2/CCC+ | 1,513,970 | ||||||
| Machinery—0.4% | |||||||||
| 6,035 | AGCO Corp., 1.25%, 12/15/36 | NR/BB | 5,695,531 | ||||||
| Media—0.2% | |||||||||
| 3,765 | Liberty Media LLC, 3.125%, 3/30/23 | Ba2/BB+ | 3,727,350 | ||||||
| Metals & Mining—0.5% | |||||||||
| 2,000 | Alcoa, Inc., 5.25%, 3/15/14 | Baa3/NR | 4,195,000 | ||||||
|
NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
October 31, 2009 (unaudited) |
| Principal | |||||||||
| Amount | Credit Rating | ||||||||
| (000) | (Moody's/S&P) | Value* | |||||||
| $2,500 | Steel Dynamics, Inc., 5.125%, 6/15/14 | NR/BB+ | $2,715,625 | ||||||
| 6,910,625 | |||||||||
| Oil, Gas & Consumable Fuels—0.8% | |||||||||
| 3,500 | Chesapeake Energy Corp., 2.50%, 5/15/37 | Ba3/BB | 3,101,875 | ||||||
| 9,675 | Peabody Energy Corp., 4.75%, 12/15/41 | Ba3/B+ | 8,961,469 | ||||||
| 12,063,344 | |||||||||
| Pharmaceuticals—0.8% | |||||||||
| 5,500 | Biovail Corp., 5.375%, 8/1/14 (e) (f) | NR/NR | 6,318,125 | ||||||
| 4,500 | Mylan, Inc., 3.75%, 9/15/15 (e) (f) | NR/BB- | 6,339,375 | ||||||
| 12,657,500 | |||||||||
| Real Estate Investment Trusts (REIT)—1.1% | |||||||||
| 2,950 | Boston Properties LP, 3.75%, 5/15/36 | NR/A- | 2,946,312 | ||||||
| 45 | Developers Diversified Realty Corp., 3.00%, 3/15/12 | NR/BB | 40,500 | ||||||
| 5,800 | Digital Realty Trust LP, 4.125%, 8/15/26 (e) (f) | NR/NR | 8,402,750 | ||||||
| 5,000 | Health Care REIT, Inc., 4.75%, 12/1/26 | Baa2/BBB- | 5,550,000 | ||||||
| 16,939,562 | |||||||||
| Road & Rail—0.1% | |||||||||
| 1,500 | Hertz Global Holdings, Inc., 5.25%, 6/1/14 | NR/CCC+ | 2,049,375 | ||||||
| Semiconductors & Semiconductor Equipment—0.9% | |||||||||
| 11,785 | Advanced Micro Devices, Inc., 5.75%, 8/15/12 | NR/CCC+ | 9,987,787 | ||||||
| 3,000 | Teradyne, Inc., 4.50%, 3/15/14 | NR/NR | 5,160,000 | ||||||
| 15,147,787 | |||||||||
| Software—1.0% | |||||||||
| 7,500 | Lawson Software, Inc., 2.50%, 4/15/12 | NR/NR | 7,293,750 | ||||||
| 8,200 | Nuance Communications, Inc., 2.75%, 8/15/27 | NR/B- | 8,323,000 | ||||||
| 15,616,750 | |||||||||
| Total Convertible Bonds & Notes (cost-$212,954,907) | 215,970,444 |
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NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
October 31, 2009 (unaudited) |
| CONVERTIBLE PREFERRED STOCK— 12.1% | |||||||||
| Shares | Credit Rating | ||||||||
| (000) | (Moody's/S&P) | Value* | |||||||
| Capital Markets—0.2% | |||||||||
| Lehman Brothers Holdings, Inc. (c) (g) (i), | |||||||||
| 630 | 6.00%, 10/12/10, Ser. GIS (General Mills, Inc.) | WR/NR | $2,028,488 | ||||||
| 98 | 28.00%, 3/6/09, Ser. RIG (Transocean, Inc.) | WR/NR | 1,331,778 | ||||||
| 3,360,266 | |||||||||
| Chemicals—0.6% | |||||||||
| 270 | Celanese Corp., 4.25%, 12/31/49 | NR/NR | 9,490,500 | ||||||
| Commercial Banks—0.9% | |||||||||
| 58 | Fifth Third Bancorp, 8.50%, 12/31/49, Ser. G | Baa3/BB | 6,577,325 | ||||||
| 10 | Wells Fargo & Co., 7.50%, 12/31/49, Ser. L | Ba3/A- | 8,636,750 | ||||||
| 15,214,075 | |||||||||
| Commercial Services & Supplies—0.3% | |||||||||
| 1 | Avery Dennison Corp., 7.875%, 11/15/20 | NR/BB+ | 41,525 | ||||||
| 161 | United Rentals, Inc., 6.50%, 8/1/28 | Caa1/CCC | 4,582,987 | ||||||
| 4,624,512 | |||||||||
| Consumer Finance—0.6% | |||||||||
| 16 | SLM Corp., 7.25%, 12/15/10 | Ba3/BB- | 8,669,700 | ||||||
| Diversified Financial Services—2.5% | |||||||||
| 15 | Bank of America Corp., 7.25%, 12/31/49, Ser. L | B3/B | 12,811,302 | ||||||
| Credit Suisse Securities USA LLC, | |||||||||
| 367 | 10.00%, 9/1/10 | Aa2/A- | 8,017,421 | ||||||
| 239 | 10.00%, 9/9/10 | Aa2/A- | 7,402,362 | ||||||
| Vale Capital Ltd. (i), | |||||||||
| 21 | 5.50%, 6/15/10, Ser. RIO (Compania Vale do Rio Doce) | NR/NR | 1,042,313 | ||||||
| 175 | 5.50%, 6/15/10, Ser. RIO-P (Compania Vale ADS) | NR/NR | 9,191,000 | ||||||
| 38,464,398 | |||||||||
| Electric—0.7% | |||||||||
| 244 | AES Trust III, 6.75%, 10/15/29 | B3/B | 10,398,660 | ||||||
| Food Products—0.7% | |||||||||
| 38 | Archer-Daniels-Midland Co., 6.25%, 6/1/11 | NR/BBB+ | 1,612,102 | ||||||
| Bunge Ltd., | |||||||||
| 4 | 5.125%, 12/1/10 | NR/BB | 2,325,000 | ||||||
| 96 | 4.875%, 12/31/49 | Ba1/BB | 7,852,525 | ||||||
| 11,789,627 | |||||||||
| Household Durables—0.8% | |||||||||
| 16 | Stanley Works, 5.125%, 5/17/12, FRN (h) | A3/BBB+ | 12,778,225 | ||||||
| Housewares—0.2% | |||||||||
| 73 | Newell Financial Trust I, 5.25%, 12/1/27 | WR/BB | 2,587,950 | ||||||
| Insurance—0.6% | |||||||||
| 5 | Assured Guaranty Ltd., 8.50%, 6/1/14 | NR/NR | 359,875 | ||||||
| 347 | XL Capital Ltd., 10.75%, 8/15/11 | Baa2/BBB- | 8,887,725 | ||||||
| 9,247,600 | |||||||||
| Media—0.0% | |||||||||
| 1 | Interpublic Group of Cos, 5.25%, 12/31/49 | NR/CCC+ | 523,047 | ||||||
| Metals & Mining—0.6% | |||||||||
| 82 | Freeport-McMoRan Copper & Gold, Inc., 6.75%, 5/1/10 | NR/BB | 8,755,275 | ||||||
| Oil, Gas & Consumable Fuels—0.9% | |||||||||
| 45 | ATP Oil & Gas Corp., 8.00%, 12/30/49 (b) (f) | NR/NR | 4,631,094 | ||||||
| 85 | Chesapeake Energy Corp., 5.00%, 12/31/49 | NR/B | 7,093,325 | ||||||
| 6 | Whiting Petroleum Corp., 6.25%, 12/31/49 | NR/B | 987,471 | ||||||
| 12,711,890 | |||||||||
|
NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
October 31, 2009 (unaudited) |
| Shares | Credit Rating | ||||||||
| (000) | (Moody's/S&P) | Value* | |||||||
| Pharmaceuticals—0.6% | |||||||||
| 39 | Schering-Plough Corp., 6.00%, 8/13/10 | Baa3/BBB | $9,300,187 | ||||||
| Real Estate Investment Trusts (REIT)—1.1% | |||||||||
| 177 | Alexandria Real Estate Equities, Inc., 7.00%, 12/30/49 | NR/NR | 3,509,480 | ||||||
| 602 | FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A | Caa3/C | 7,048,080 | ||||||
| 131 | Simon Property Group, Inc., 6.00%, 12/31/49, Ser. I | Baa1/BBB | 7,729,000 | ||||||
| 18,286,560 | |||||||||
| Wireless Telecommunication Services—0.8% | |||||||||
| 239 | Crown Castle International Corp., 6.25%, 8/15/12 | NR/NR | 12,960,054 | ||||||
| Total Convertible Preferred Stock (cost-$229,425,680) | 189,162,526 | ||||||||
| SHORT-TERM INVESTMENTS—1.9% | |||||||||
| Principal | |||||||||
| Amount | |||||||||
| (000) | |||||||||
| Time Deposit—1.9% | |||||||||
| $10,720 | BNP Paribas-Grand Cayman, 0.03%, 11/2/09 | 10,720,422 | |||||||
| 18,436 | Societe Generale-Grand Cayman, 0.03%, 11/2/09 | 18,435,754 | |||||||
| Total Short Term Investments (cost-$29,156,176) | 29,156,176 | ||||||||
| Total Investments, before call options written (cost- | |||||||||
| $1,908,996,728—99.6%) | 1,551,167,797 | ||||||||
| CALL OPTIONS WRITTEN (b)— (0.4)% | |||||||||
| Contracts | |||||||||
| American Stock Exchange Morgan Stanley Cyclical Index, | |||||||||
| 400 | strike price $790, expires 11/21/09 | ( 238,000) | |||||||
| 400 | strike price $830, expires 12/19/09 | ( 140,000) | |||||||
| American Stock Exchange Oil Flex Index, | |||||||||
| 400 | strike price $1085, expires 11/13/09 | ( 391,440) | |||||||
| 300 | strike price $1100, expires 12/4/09 | ( 553,950) | |||||||
| American Stock Exchange Oil Index, | |||||||||
| 300 | strike price $1070, expires 11/21/09 | ( 657,000) | |||||||
| 400 | strike price $1090, expires 11/21/09 | ( 590,000) | |||||||
| 300 | strike price $1120, expires 12/19/09 | ( 565,500) | |||||||
| 300 | strike price $1150, expires 12/19/09 | ( 354,000) | |||||||
| 300 | strike price $1160, expires 12/19/09 | ( 300,000) | |||||||
| Morgan Stanley Cyclical Flex Index, | |||||||||
| 400 | strike price $780, expires 12/17/09 | ( 460,000) | |||||||
| 400 | strike price $810, expires 11/6/09 | – | |||||||
| 400 | strike price $810, expires 12/4/09 | ( 111,560) | |||||||
| 400 | strike price $835, expires 12/11/09 | ( 96,760) | |||||||
| Philadelphia Stock Exchange KBW Bank Flex Index, | |||||||||
| 7,000 | strike price $51, expires 11/6/09 | – | |||||||
| Philadelphia Stock Exchange KBW Bank Index, | |||||||||
| 3,000 | strike price $50, expires 11/21/09 | ( 45,000) | |||||||
| 5,000 | strike price $52.5, expires 11/21/09 | ( 75,000) | |||||||
| Standard & Poor's 500 Flex Index, | |||||||||
| 400 | strike price $1090, expires 11/13/09 | ( 103,920) | |||||||
| 300 | strike price $1100, expires 12/4/09 | ( 223,110) | |||||||
| 300 | strike price $1115, expires 12/11/09 | ( 178,950) | |||||||
| Standard & Poor's 500 Index, | |||||||||
| 400 | strike price $1070, expires 11/21/09 | ( 408,000) | |||||||
| 300 | strike price $1080, expires 11/21/09 | ( 219,000) | |||||||
| 300 | strike price $1080, expires 12/19/09 | ( 519,000) | |||||||
| 400 | strike price $1085, expires 11/6/09 | ( 186,064) | |||||||
| 300 | strike price $1085, expires 11/21/09 | ( 183,000) | |||||||
| 300 | strike price $1110, expires 12/19/09 | ( 267,000) | |||||||
| Total Call Options Written (premiums received-$18,206,539) | ( 6,866,254) | ||||||||
| Total Investments, net of call options written | ||||
| (cost-$1,890,790,189)—99.2% | 1,544,301,543 | |||
| Other assets less other liabilities—0.8% | 12,919,283 | |||
| Net Assets—100.0% | $1,557,220,826 |
Notes to Schedule of Investments:
* |
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. |
| Portfolio securities and other financial instruments for which market quotations are not readily available or for which a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees or persons acting at their discretion pursuant to procedures established by the Board of Trustees. The Fund's investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask 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. Synthetic convertible securities are valued based on quotations obtained from unaffiliated brokers who are the principal market-makers in such securities. Such valuations are derived by the brokers from proprietary models which are generally based on readily available market information including valuations of the common stock underlying the synthetic security, and the volatility observed in the market on such common stocks. Exchange traded options are valued at the settlement price determined by the relevant exchange. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days 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 and these differences could be material. The Fund's net asset value is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business. | |
|
|
|
(a) |
All or partial amount segregated as collateral for call options written. |
|
(b) |
Non-income producing. |
|
(c) |
In default. |
|
(d) |
Step Bond: Coupon is a fixed rate for an initial period then resets at a specific date and rate. |
|
(e) |
Private Placement. Restricted as to resale and may not have a readily available market. Securities with an aggregate market value of $38,188,088, representing 2.45% of net assets. |
|
(f) |
144A—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. |
|
(g) |
Fair-valued—Securities with an aggregate value of $4,874,236 representing 0.31% of net assets. |
|
(h) |
Variable rate. Interest rate disclosed reflects the rate in effect on October 31, 2009. |
|
(i) |
Securities exchangeable or convertible into securities of an entity different than the issuer or structured by the issuer to provide exposure to securities of an entity different than the issuer. Such entity is identified in the parenthetical. |
Glossary:
ADR-American Depositary Receipt
FRN-Floating Rate Note. The interest rate disclosed reflects the rate in effect
on October 31, 2009.
NR-Not Rated
REIT-Real Estate Investment Trust
WR-Withdrawn rating
Other Investments:
| Transactions in call options written for the nine months ended October 31, 2009: | ||||
| Contracts | Premiums | |||
| Options outstanding, January 31, 2009 | 28,100 | $16,215,450 | ||
| Options written | 175,950 | 87,102,077 | ||
| Options terminated in closing purchase transactions | (77,099) | (46,608,119) | ||
| Options expired | (104,250) | (38,502,833) | ||
| Options exercised | (1) | (36) | ||
| Options outstanding, October 31, 2009 | 22,700 | $18,206,539 |
Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:
An investment asset's or liability's level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique method.
The valuation techniques used by the Fund to measure fair value during the nine month period ended October 31, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities, the Fund utilized a multi-dimensional relational pricing models.
A summary of the inputs used at October 31, 2009 in valuing the Fund's assets and liabilities is listed below:
| Level 2- | Level 3- | |||||||
| Other Significant | Significant | |||||||
| Level 1- | Observable | Observable | Value at | |||||
| Quoted Prices | Inputs | Inputs | 10/31/09 | |||||
| Investments in Securities - Assets | ||||||||
| Common Stock | $1,116,878,651 | – | – | $1,116,878,651 | ||||
| Convertible Bonds & Notes: | ||||||||
| Lodging | – | – | $1,513,970 | 1,513,970 | ||||
| All Other | – | $214,456,474 | – | 214,456,474 | ||||
| Convertible Preferred Stock: | ||||||||
| Capital Markets | – | – | 3,360,266 | 3,360,266 | ||||
| All Other | 170,022,602 | 15,779,658 | – | 185,802,260 | ||||
| Short-Term Instruments | – | 29,156,176 | – | 29,156,176 | ||||
| Total Investments in Securities - Assets | $1,286,901,253 | $259,392,308 | $4,874,236 | $1,551,167,797 | ||||
| Investments in Securities - Liabilities | ||||||||
| Call Options Written | $(5,020,500) | $(1,845,754) | – | $(6,866,254) | ||||
| Total Investments in Securities | $1,281,880,753 | $257,546,554 | $4,874,236 | $1,544,301,543 |
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended October 31, 2009, were as follows:
| Total | Total Change | |||||||||||||
| Beginning | Net Purchases | Accrued | Realized | in Unrealized | Transfers in | Ending | ||||||||
| Balance | (Sales) and | Discounts | Gain | Appreciation | and/or out | Balance | ||||||||
| 1/31/09 | Settlements | (Premiums) | (Loss) | (Depreciation) | of Level 3 | 10/31/09 | ||||||||
| Investments in Securities - Assets | ||||||||||||||
| Convertible Bonds & Notes: Lodging | $1,513,970 | – | – | – | – | – | $1,513,970 | |||||||
| Convertible Preferred Stock: Capital Markets | 21,508,497 | $(24,948,141) | – | – | $6,799,910 | – | 3,360,266 | |||||||
| Total Investments in Securities - Assets | $23,022,467 | $(24,948,141) | – | – | $6,799,910 | – | $4,874,236 |
There was no change in unrealized appreciation/depreciation of Level 3 securities for the nine month period ended October 31, 2009.
Item 2. Controls and Procedures
| (a) | The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Act (17 CFR 270.30a-3(c))), 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 over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
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 18, 2009 | |
| By: By: /s/ Lawrence G. Altadonna | |
| Treasurer, Principal Financial & Accounting Officer | |
| Date: December 18, 2009 | |
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/ Brian S. Shlissel | |
| President & Chief Executive Officer | |
| Date: December 18, 2009 | |
| By: /s/ Lawrence G. Altadonna | |
| Treasurer, Principal Financial & Accounting Officer | |
| Date: December 18, 2009 | |