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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, 2013 |
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Estimated average burden |
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hours per response: 5.6 |
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act File Number: |
811-21417 |
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NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND |
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(Registrant Name) |
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1345 Avenue of the Americas New York, New York 10105 |
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(Address of Principal Executive Offices) |
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Lawrence G. Altadonna – 1345 Avenue of the Americas New York, New York 10105 |
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(Name and Address of Agent for Service) |
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Registrant’s telephone number, including area code: |
212-739-3371 |
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Date of Fiscal Year End: |
January 31, 2012 |
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Date of Reporting Period: |
April 30, 2011 |
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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.
Item 1. Schedule of Investments
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NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
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April 30, 2011 (unaudited) |
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Shares |
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Value* |
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COMMON STOCK—70.4% |
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Aerospace & Defense—1.6% |
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17 |
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Huntington Ingalls Industries, Inc. (a) |
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$666,640 |
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300 |
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Lockheed Martin Corp. |
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23,775,000 |
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100 |
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Northrop Grumman Corp. |
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6,361,000 |
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30,802,640 |
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Beverages—1.5% |
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399 |
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PepsiCo, Inc. |
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27,514,666 |
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Biotechnology—0.3% |
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168 |
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Gilead Sciences, Inc. (a) |
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6,543,219 |
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Capital Markets—1.4% |
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420 |
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Ameriprise Financial, Inc. (b) |
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26,065,200 |
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Commercial Banks—2.9% |
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456 |
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PNC Financial Services Group, Inc. (b) |
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28,420,806 |
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918 |
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Wells Fargo & Co. (b) |
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26,711,336 |
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55,132,142 |
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Commercial Services & Supplies—2.7% |
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911 |
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Pitney Bowes, Inc. |
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22,364,336 |
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1,500 |
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RR Donnelley & Sons Co. (b) |
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28,290,000 |
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50,654,336 |
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Communications Equipment—0.6% |
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200 |
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Harris Corp. |
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10,626,000 |
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Diversified Telecommunication Services—3.0% |
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990 |
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AT&T, Inc. (b) |
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30,815,024 |
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150 |
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CenturyLink, Inc. |
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6,117,000 |
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530 |
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Verizon Communications, Inc. (b) |
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20,023,400 |
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56,955,424 |
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Electric Utilities—2.0% |
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717 |
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Edison International (b) |
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28,140,882 |
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152 |
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Entergy Corp. |
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10,580,289 |
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38,721,171 |
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Energy Equipment & Services—1.4% |
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348 |
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Diamond Offshore Drilling, Inc. (b) |
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26,395,173 |
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Food & Staples Retailing—0.4% |
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600 |
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SUPERVALU, Inc. |
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6,756,000 |
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Food Products—1.7% |
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39 |
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Bunge Ltd. |
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2,945,027 |
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849 |
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Kraft Foods, Inc. —Cl. A (b) |
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28,522,852 |
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31,467,879 |
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Health Care Equipment & Supplies—0.8% |
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368 |
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Medtronic, Inc. (b) |
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15,372,350 |
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Household Products—1.8% |
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504 |
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Kimberly-Clark Corp. |
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33,320,664 |
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Industrial Conglomerates—1.6% |
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1,453 |
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General Electric Co. (b) |
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29,718,288 |
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Insurance—5.4% |
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19 |
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American International Group, Inc. (a) |
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595,962 |
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1,104 |
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Lincoln National Corp. (b) |
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34,465,428 |
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200 |
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MetLife, Inc. |
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9,358,000 |
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800 |
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The Allstate Corp. (b) |
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27,072,000 |
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490 |
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The Travelers Cos, Inc. (b) |
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31,007,200 |
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102,498,590 |
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IT Services—0.2% |
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20 |
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International Business Machines Corp. |
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3,411,600 |
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Media—2.4% |
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1,200 |
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CBS Corp. —Cl. B |
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30,264,000 |
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399 |
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Time Warner, Inc. |
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15,087,210 |
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45,351,210 |
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Metals & Mining—1.4% |
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480 |
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Freeport-McMoRan Copper & Gold, Inc. (b) |
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26,414,400 |
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Multi-Utilities—1.8% |
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1,153 |
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Ameren Corp. (b) |
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33,782,706 |
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NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
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April 30, 2011 (unaudited) |
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Shares |
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Value* |
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Office Electronics—1.4% |
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2,572 |
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Xerox Corp. (b) |
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$25,953,498 |
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Oil, Gas & Consumable Fuels—12.8% |
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800 |
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Chesapeake Energy Corp. (b) |
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26,936,000 |
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307 |
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Chevron Corp. (b) |
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33,630,912 |
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650 |
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ConocoPhillips (b) |
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51,304,500 |
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400 |
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EnCana Corp. |
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13,408,000 |
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400 |
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Marathon Oil Corp. (b) |
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21,616,000 |
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550 |
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Royal Dutch Shell PLC —Cl. A - ADR (b) |
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42,614,000 |
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800 |
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Total SA - ADR (b) |
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51,384,000 |
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240,893,412 |
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Paper & Forest Products—0.6% |
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379 |
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International Paper Co. |
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11,706,608 |
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Pharmaceuticals—10.3% |
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1,200 |
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GlaxoSmithKline PLC - ADR (b) |
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52,392,000 |
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619 |
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Johnson & Johnson (b) |
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40,655,575 |
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3,000 |
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Pfizer, Inc. (b) |
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62,880,000 |
|
800 |
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Sanofi-Aventis S.A. - ADR |
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31,616,000 |
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132 |
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Teva Pharmaceutical Industries Ltd. - ADR |
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6,051,999 |
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193,595,574 |
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Real Estate Investment Trust—0.4% |
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400 |
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Annaly Capital Management, Inc. |
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7,136,000 |
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Semiconductors & Semiconductor Equipment—3.4% |
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2,790 |
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Intel Corp. (b) |
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64,700,100 |
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Software—1.8% |
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986 |
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Microsoft Corp. |
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25,650,516 |
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461 |
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Symantec Corp. (a) |
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9,052,519 |
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34,703,035 |
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Textiles, Apparel & Luxury Goods—0.3% |
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50 |
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VF Corp. |
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5,028,000 |
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Thrifts & Mortgage Finance—2.0% |
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2,000 |
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Hudson City Bancorp, Inc. (b) |
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19,060,000 |
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1,141 |
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New York Community Bancorp, Inc. (b) |
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18,940,600 |
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38,000,600 |
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Tobacco—2.5% |
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654 |
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Altria Group, Inc. (b) |
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17,542,624 |
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800 |
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Reynolds American, Inc. (b) |
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29,688,000 |
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47,230,624 |
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Total Common Stock (cost-$1,369,381,332) |
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1,326,451,109 |
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Credit Rating |
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CONVERTIBLE PREFERRED STOCK—13.1% |
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Airlines—0.3% |
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140 |
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Continental Airlines Finance Trust II, 6.00%, 11/15/30 |
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Caa1/CCC |
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5,032,545 |
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Auto Components—0.6% |
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185 |
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Goodyear Tire & Rubber Co., 5.875%, 4/1/14 (a) |
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NR/NR |
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11,030,307 |
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Automobiles—0.5% |
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205 |
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General Motors Co., 4.75%, 12/1/13 |
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NR/NR |
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10,222,755 |
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Capital Markets—0.5% |
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188 |
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AMG Capital Trust I, 5.10%, 4/15/36 |
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NR/BB |
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9,419,361 |
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Commercial Banks—0.9% |
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75 |
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Fifth Third Bancorp, 8.50%, 6/30/13, Ser. G (c) |
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Ba1/BB |
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10,725,920 |
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6 |
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Wells Fargo & Co., 7.50%, 3/15/13, Ser. L (c) |
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Baa3/A- |
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5,937,140 |
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|
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16,663,060 |
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Commercial Services & Supplies—0.4% |
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|
|
|
|
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161 |
|
United Rentals, Inc., 6.50%, 8/1/28 |
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Caa1/CCC |
|
|
7,584,593 |
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|
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Diversified Financial Services—3.0% |
|
|
|
|
|
|
689 |
|
2010 Swift Mandatory Common Exchange Security Trust, 6.00%, 12/31/13 (d) |
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NR/NR |
|
|
9,480,148 |
|
10 |
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Bank of America Corp., 7.25%, 1/30/13, Ser. L (c) |
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Ba3/BB+ |
|
|
9,918,000 |
|
74 |
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Citigroup, Inc., 7.50%, 12/15/12 |
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NR/NR |
|
|
9,624,911 |
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|
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Credit Suisse Securities USA LLC, |
|
|
|
|
|
|
173 |
|
7.00%, 7/27/11 (Target Corp.) (e) |
|
Aa2/A |
|
|
8,558,310 |
|
340 |
|
8.00%, 9/20/11 (Bristol-Myers Squibb Co.) (e) |
|
Aa2/A |
|
|
8,909,700 |
|
140 |
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JP Morgan Chase & Co., 7.00%, 7/25/11 (McDonald’s Corp.) (e) |
|
Aa3/A+ |
|
|
10,601,981 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
57,093,050 |
|
|
|
|
|
|
|
||
|
|
|
NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
|
April 30, 2011 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
Credit
Rating |
|
Value* |
|
|
|
|
|
Electric Utilities—0.4% |
|
|
|
|
|
|
|
|
|
NextEra Energy, Inc., |
|
|
|
|
|
|
|
50 |
|
7.00%, 9/1/13 |
|
NR/NR |
|
|
$2,595,000 |
|
|
88 |
|
8.375%, 6/1/12 |
|
NR/NR |
|
|
4,533,992 |
|
|
|
|
|
|
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||
|
|
|
|
|
|
|
|
|
7,128,992 |
|
|
|
|
|
|
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|
|
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Food Products—1.1% |
|
|
|
|
|
|
|
174 |
|
Archer-Daniels-Midland Co., 6.25%, 6/1/11 |
|
NR/NR |
|
|
8,168,451 |
|
|
114 |
|
Bunge Ltd., 4.875%, 12/1/11 (c) |
|
Ba1/BB |
|
|
12,231,034 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
20,399,485 |
|
|
|
|
|
|
|
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||
|
|
|
|
Household Durables—0.8% |
|
|
|
|
|
|
|
98 |
|
Newell Financial Trust I, 5.25%, 12/1/27 |
|
WR/BB |
|
|
4,527,875 |
|
|
93 |
|
Stanley Black & Decker, Inc., 4.75%, 11/17/15 |
|
Baa3/BBB+ |
|
|
10,937,504 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
15,465,379 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Insurance—1.3% |
|
|
|
|
|
|
|
460 |
|
American International Group, Inc., 8.50%, 8/1/11 |
|
Baa2/NR |
|
|
1,381,050 |
|
|
66 |
|
Assured Guaranty Ltd., 8.50%, 6/1/12 |
|
NR/NR |
|
|
4,665,540 |
|
|
121 |
|
MetLife, Inc., 5.00%, 9/11/13 |
|
NR/BBB- |
|
|
10,602,407 |
|
|
212 |
|
XL Group PLC, 10.75%, 8/15/11 |
|
Baa2/BBB- |
|
|
6,967,089 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
23,616,086 |
|
|
|
|
|
|
|
|
||
|
|
|
|
IT Services—0.1% |
|
|
|
|
|
|
|
31 |
|
Unisys Corp., 6.25%, 3/1/14 |
|
NR/NR |
|
|
2,749,958 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Multi-Utilities—0.6% |
|
|
|
|
|
|
|
244 |
|
AES Trust III, 6.75%, 10/15/29 |
|
B3/B+ |
|
|
11,851,055 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Oil, Gas & Consumable Fuels—1.4% |
|
|
|
|
|
|
|
140 |
|
Apache Corp., 6.00%, 8/1/13 |
|
NR/NR |
|
|
9,860,238 |
|
|
45 |
|
ATP Oil & Gas Corp., 8.00%, 10/1/14 (c)(d)(f) |
|
NR/NR |
|
|
4,690,400 |
|
|
115 |
|
Chesapeake Energy Corp., 5.00%, 12/31/49 |
|
NR/B+ |
|
|
11,882,956 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
26,433,594 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Real Estate Investment Trust—1.2% |
|
|
|
|
|
|
|
177 |
|
Alexandria Real Estate Equities, Inc., 7.00%, 4/20/13 (c) |
|
NR/NR |
|
|
4,711,720 |
|
|
602 |
|
FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A (c) |
|
Caa3/CCC- |
|
|
16,306,968 |
|
|
35 |
|
Health Care REIT, Inc., 6.50%, 4/20/18 (a)(c) |
|
Baa3/BB |
|
|
1,898,759 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
22,917,447 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Preferred Stock (cost-$243,224,316) |
|
|
|
|
247,607,667 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
CONVERTIBLE BONDS & NOTES—12.6% |
|
|
|
|
|
|||
|
|
|
|
Automobiles—0.2% |
|
|
|
|
|
|
|
$2,000 |
|
Ford Motor Co., 4.25%, 11/15/16 |
|
Ba3/B+ |
|
|
3,740,000 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Building Products—0.4% |
|
|
|
|
|
|
|
5,875 |
|
Griffon Corp., 4.00%, 1/15/17 (d)(f) |
|
NR/NR |
|
|
6,653,437 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Capital Markets—0.4% |
|
|
|
|
|
|
|
7,580 |
|
Ares Capital Corp., 5.75%, 2/1/16 (d)(f) |
|
NR/BBB |
|
|
8,072,700 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Communications Equipment—0.4% |
|
|
|
|
|
|
|
4,660 |
|
Ciena Corp., 0.875%, 6/15/17 |
|
NR/B |
|
|
4,625,050 |
|
|
2,000 |
|
JDS Uniphase Corp., 1.00%, 5/15/26 |
|
NR/NR |
|
|
2,190,000 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
6,815,050 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Computers & Peripherals—0.6% |
|
|
|
|
|
|
|
1,650 |
|
NetApp, Inc., 1.75%, 6/1/13 |
|
NR/NR |
|
|
2,776,125 |
|
|
6,500 |
|
SanDisk Corp., 1.50%, 8/15/17 |
|
NR/BB- |
|
|
7,564,375 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
10,340,500 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Construction & Engineering—0.1% |
|
|
|
|
|
|
|
635 |
|
MasTec, Inc., 4.00%, 6/15/14 |
|
NR/NR |
|
|
1,012,031 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Diversified Telecommunication Services—0.3% |
|
|
|
|
|
|
|
4,905 |
|
tw telecom, Inc., 2.375%, 4/1/26 |
|
B3/B- |
|
|
6,217,087 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Electrical Equipment—1.1% |
|
|
|
|
|
|
|
8,965 |
|
EnerSys, 3.375%, 6/1/38 (g) |
|
B1/BB |
|
|
10,567,494 |
|
|
1,500 |
|
General Cable Corp., 0.875%, 11/15/13 |
|
Ba3/B+ |
|
|
1,738,125 |
|
|
9,000 |
|
JA Solar Holdings Co., Ltd., 4.50%, 5/15/13 |
|
NR/NR |
|
|
8,673,750 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
20,979,369 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Health Care Equipment & Supplies—0.1% |
|
|
|
|
|
|
|
2,000 |
|
Hologic, Inc., 2.00%, 12/15/37 (g) |
|
NR/BB+ |
|
|
2,422,500 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Hotels, Restaurants & Leisure—0.7% |
|
|
|
|
|
|
|
3,495 |
|
International Game Technology, 3.25%, 5/1/14 |
|
Baa2/BBB |
|
|
4,167,788 |
|
|
9,295 |
|
MGM Resorts International, 4.25%, 4/15/15 |
|
Caa1/CCC+ |
|
|
9,701,656 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
13,869,444 |
|
|
|
|
|
|
|
|
||
|
|
|
NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
|
April 30, 2011 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit
Rating |
|
Value* |
|
|
|
|
|
Insurance—0.1% |
|
|
|
|
|
|
|
$2,000 |
|
American Equity Investment Life Holding Co., 3.50%, 9/15/15 (d)(f) |
|
NR/NR |
|
|
$2,397,500 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Internet—0.2% |
|
|
|
|
|
|
|
2,500 |
|
Symantec Corp., 1.00%, 6/15/13 |
|
NR/BBB |
|
|
3,096,875 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Internet Software & Services—0.2% |
|
|
|
|
|
|
|
4,200 |
|
Equinix, Inc., 2.50%, 4/15/12 |
|
NR/B- |
|
|
4,483,500 |
|
|
|
|
|
|
|
|
||
|
|
|
|
IT Services—0.5% |
|
|
|
|
|
|
|
6,325 |
|
Alliance Data Systems Corp., 1.75%, 8/1/13 |
|
NR/NR |
|
|
8,159,250 |
|
|
1,500 |
|
VeriFone Systems, Inc., 1.375%, 6/15/12 |
|
NR/B |
|
|
2,013,750 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
10,173,000 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Lodging—0.1% |
|
|
|
|
|
|
|
1,000 |
|
Gaylord Entertainment Co., 3.75%, 10/1/14 (d)(f) |
|
NR/NR |
|
|
1,462,500 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Machinery—1.1% |
|
|
|
|
|
|
|
6,485 |
|
AGCO Corp., 1.25%, 12/15/36 |
|
NR/BB+ |
|
|
9,849,094 |
|
|
1,000 |
|
Greenbrier Cos, Inc., 3.50%, 4/1/18 (d)(f) |
|
NR/NR |
|
|
1,032,500 |
|
|
7,000 |
|
Navistar International Corp., 3.00%, 10/15/14 |
|
NR/B |
|
|
10,683,750 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
21,565,344 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Media—0.2% |
|
|
|
|
|
|
|
7,160 |
|
Liberty Media LLC, 3.50%, 1/15/31 |
|
B1/BB- |
|
|
4,045,400 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Metals & Mining—0.4% |
|
|
|
|
|
|
|
250 |
|
Alcoa, Inc., 5.25%, 3/15/14 |
|
Baa3/NR |
|
|
680,625 |
|
|
4,805 |
|
Steel Dynamics, Inc., 5.125%, 6/15/14 |
|
NR/BB+ |
|
|
6,042,288 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
6,722,913 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Multiline Retail—0.1% |
|
|
|
|
|
|
|
1,940 |
|
Saks, Inc., 2.00%, 3/15/24 |
|
B2/BB- |
|
|
2,095,200 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Oil, Gas & Consumable Fuels—1.6% |
|
|
|
|
|
|
|
8,100 |
|
Alpha Natural Resources, Inc., 2.375%, 4/15/15 |
|
NR/BB |
|
|
10,773,000 |
|
|
2,000 |
|
Chesapeake Energy Corp., 2.50%, 5/15/37 |
|
Ba3/BB+ |
|
|
2,202,500 |
|
|
7,475 |
|
Peabody Energy Corp., 4.75%, 12/15/41 |
|
Ba3/B+ |
|
|
9,624,062 |
|
|
350 |
|
Pioneer Natural Resources Co., 2.875%, 1/15/38 |
|
NR/BB+ |
|
|
623,000 |
|
|
4,455 |
|
Western Refining, Inc., 5.75%, 6/15/14 |
|
NR/CCC+ |
|
|
7,818,525 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
31,041,087 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Real Estate Investment Trust—1.0% |
|
|
|
|
|
|
|
3,125 |
|
Boston Properties LP, 3.75%, 5/15/36 |
|
NR/A- |
|
|
3,699,219 |
|
|
8,800 |
|
Developers Diversified Realty Corp., 1.75%, 11/15/40 |
|
NR/NR |
|
|
9,581,000 |
|
|
5,000 |
|
Health Care REIT, Inc., 4.75%, 12/1/26 |
|
Baa2/BBB- |
|
|
5,787,500 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
19,067,719 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Road & Rail—0.2% |
|
|
|
|
|
|
|
2,000 |
|
Hertz Global Holdings, Inc., 5.25%, 6/1/14 |
|
NR/B- |
|
|
4,395,000 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Semiconductors & Semiconductor Equipment—0.8% |
|
|
|
|
|
|
|
1,000 |
|
Micron Technology, Inc., 1.875%, 6/1/27 |
|
NR/NR |
|
|
1,198,750 |
|
|
9,530 |
|
SunPower Corp., 4.75%, 4/15/14 |
|
NR/NR |
|
|
10,578,300 |
|
|
1,000 |
|
Teradyne, Inc., 4.50%, 3/15/14 |
|
NR/NR |
|
|
3,032,500 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
14,809,550 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Software—1.3% |
|
|
|
|
|
|
|
2,000 |
|
Cadence Design Systems, Inc., 2.625%, 6/1/15 (d)(f) |
|
NR/NR |
|
|
2,992,500 |
|
|
3,000 |
|
Concur Technologies, Inc., 2.50%, 4/15/15 (d)(f) |
|
NR/NR |
|
|
3,802,500 |
|
|
7,980 |
|
Nuance Communications, Inc., 2.75%, 8/15/27 |
|
NR/BB- |
|
|
10,244,325 |
|
|
4,000 |
|
Salesforce.com, Inc., 0.75%, 1/15/15 |
|
NR/NR |
|
|
6,880,000 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
23,919,325 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Thrifts & Mortgage Finance—0.5% |
|
|
|
|
|
|
|
8,020 |
|
MGIC Investment Corp., 5.00%, 5/1/17 |
|
NR/CCC+ |
|
|
8,541,300 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Bonds & Notes (cost-$226,223,644) |
|
|
|
|
237,938,331 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
YANKEE BOND—0.2% |
|
|
|
|
|
|||
|
|
|
|
Marine—0.2% |
|
|
|
|
|
|
|
3,090 |
|
DryShips, Inc., 5.00%, 12/1/14 (cost-$3,476,922) |
|
NR/NR |
|
|
3,012,750 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS—5.1% |
|
|
|
|
|
|||
|
|
|
|
Time Deposits—5.1% |
|
|
|
|
|
|
|
19,000 |
|
JP Morgan Chase & Co.-London, 0.03%, 5/2/11 |
|
|
|
|
19,000,122 |
|
|
77,051 |
|
Societe Generale-Grand Cayman, 0.03%, 5/2/11 |
|
|
|
|
77,051,012 |
|
|
|
|
|
|
|
|
||
|
|
|
|
Total Short Term Investments (cost-$96,051,134) |
|
|
|
|
96,051,134 |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments, before call options written |
|
|
|
|
|
|
|
|
|
(cost-$1,938,357,348) (h)—101.4% |
|
|
|
|
1,911,060,991 |
|
|
|
|
|
|
|
|
||
|
|
|
NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
|
April 30, 2011 (unaudited) |
|
|
|
|
|
|
|
|
|
Contracts |
|
|
|
Value* |
||
|
CALL OPTIONS WRITTEN (a)—(1.3)% |
|
|
|
|||
|
|
|
|
Morgan Stanley Cyclical Flex Index, |
|
|
|
|
|
350 |
|
strike price $1110, expires 6/3/11 |
|
|
$(1,212,033) |
|
|
|
|
Morgan Stanley Cyclical Index, |
|
|
|
|
|
350 |
|
strike price $1110, expires 6/18/11 |
|
|
(1,438,500) |
|
|
300 |
|
strike price $1130, expires 5/21/11 |
|
|
(447,000) |
|
|
275 |
|
strike price $1150, expires 6/18/11 |
|
|
(495,000) |
|
|
|
|
NASDAQ 100 Flex Index, |
|
|
|
|
|
100 |
|
strike price $2350, expires 5/13/11 |
|
|
(618,335) |
|
|
100 |
|
strike price $2385, expires 6/3/11 |
|
|
(523,130) |
|
|
|
|
NASDAQ 100 Index, |
|
|
|
|
|
100 |
|
strike price $2350, expires 5/21/11 |
|
|
(727,500) |
|
|
75 |
|
strike price $2400, expires 6/18/11 |
|
|
(442,875) |
|
|
100 |
|
strike price $2420, expires 6/18/11 |
|
|
(473,500) |
|
|
|
|
New York Stock Exchange Arca Mini Oil Flex Index, |
|
|
|
|
|
5,000 |
|
strike price $68.50, expires 5/6/11 |
|
|
(869,800) |
|
|
5,000 |
|
strike price $69.25, expires 5/13/11 |
|
|
(692,000) |
|
|
9,500 |
|
strike price $72, expires 5/27/11 |
|
|
(499,795) |
|
|
|
|
New York Stock Exchange Arca Mini Oil Index, |
|
|
|
|
|
14,000 |
|
strike price $70, expires 5/21/11 |
|
|
(1,540,000) |
|
|
4,000 |
|
strike price $70, expires 6/18/11 |
|
|
(740,000) |
|
|
|
|
Philadelphia Stock Exchange KBW Bank Flex Index, |
|
|
|
|
|
6,000 |
|
strike price $54.50, expires 5/27/11 |
|
|
(140,760) |
|
|
7,000 |
|
strike price $54.70, expires 5/6/11 |
|
|
(3,920) |
|
|
|
|
Philadelphia Stock Exchange KBW Bank Index, |
|
|
|
|
|
3,500 |
|
strike price $52, expires 6/18/11 |
|
|
(350,000) |
|
|
10,500 |
|
strike price $53, expires 6/18/11 |
|
|
(682,500) |
|
|
7,500 |
|
strike price $55, expires 5/21/11 |
|
|
(375,000) |
|
|
7,000 |
|
strike price $56, expires 5/21/11 |
|
|
(245,000) |
|
|
|
|
Standard & Poor’s 500 Flex Index, |
|
|
|
|
|
300 |
|
strike price $1315, expires 5/31/11 |
|
|
(1,467,930) |
|
|
300 |
|
strike price $1330, expires 5/6/11 |
|
|
(1,010,232) |
|
|
250 |
|
strike price $1340, expires 5/6/11 |
|
|
(610,347) |
|
|
600 |
|
strike price $1340, expires 6/3/11 |
|
|
(2,012,220) |
|
|
300 |
|
strike price $1345, expires 6/10/11 |
|
|
(970,194) |
|
|
300 |
|
strike price $1350, expires 5/27/11 |
|
|
(727,287) |
|
|
|
|
Standard & Poor’s 500 Index, |
|
|
|
|
|
300 |
|
strike price $1325, expires 5/21/11 |
|
|
(1,260,000) |
|
|
250 |
|
strike price $1330, expires 5/21/11 |
|
|
(945,000) |
|
|
300 |
|
strike price $1330, expires 6/18/11 |
|
|
(1,392,000) |
|
|
300 |
|
strike price $1350, expires 6/18/11 |
|
|
(979,500) |
|
|
|
|
|
|
||
|
|
|
|
Total Call Options Written (premiums received-$15,170,583) |
|
|
(23,891,358) |
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments, net of call options written |
|
|
|
|
|
|
|
(cost-$1,923,186,765)—100.1% |
|
|
1,887,169,633 |
|
|
|
|
|
|
||
|
|
|
|
Other liabilities in excess of other assets—(0.1)% |
|
|
(2,153,226) |
|
|
|
|
|
|
||
|
|
|
|
Net Assets—100.0% |
|
|
$1,885,016,407 |
|
|
|
|
|
|
||
|
|
|
NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
|
April 30, 2011 (unaudited) |
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. |
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|
|
|
|
|
|
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. 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. Short-term securities 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 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) |
Non-income producing. |
|
(b) |
All or partial amount segregated as collateral for the benefit of the counterparty for call options written. |
|
(c) |
Perpetual maturity. Maturity date shown is the first call date. |
|
(d) |
144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
|
(e) |
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 (synthetic convertible securities). Such entity is identified in the parenthetical. |
|
(f) |
Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate market value of $31,104,037, representing 1.65% of net assets. |
|
(g) |
Step Bond—Coupon is a fixed rate for an initial period then resets at a specific date and rate. |
(h) |
At April 30, 2011, the cost basis of portfolio securities for federal income tax purposes is $1,939,176,420. Gross unrealized appreciation is $130,165,907; gross unrealized depreciation is $158,281,336; and net unrealized depreciation is $28,115,429. The difference between book and tax cost basis is primarily attributable to wash sales. |
|
|
|
NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
|
April 30, 2011 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Premiums |
|
||
|
|
|
|
|
||||
|
Options outstanding, January 31, 2011 |
|
|
83,350 |
|
$ |
14,849,891 |
|
|
Options written |
|
|
115,725 |
|
|
22,394,297 |
|
|
Options terminated in closing purchase transactions |
|
|
(54,450 |
) |
|
(10,353,493 |
) |
|
Options expired |
|
|
(60,675 |
) |
|
(11,720,112 |
) |
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
Options outstanding, April 30, 2011 |
|
|
83,950 |
|
$ |
15,170,583 |
|
|
|
|
||||||
|
|
|
|
|
|
• |
Level 1 – quoted prices in active markets for identical investments that the Fund has the ability to access |
|
|
• |
Level 2 – valuations based on other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) or quotes from inactive exchanges |
|
|
• |
Level 3 – valuations based on significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
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 used.
The valuation techniques used by the Fund to measure fair value during the three months ended April 30, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities the Fund utilized multi-dimensional relational pricing models.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities, for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles.
Equity Securities (Common and Preferred Stock) – Equity securities traded in inactive markets are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2. To the extent that these inputs are unobservable the values are categorized as Level 3.
Convertible Bonds & Notes – Convertible bonds and notes are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of convertible bonds and notes are categorized as Level 2. To the extent that these inputs are unobservable the values are categorized as Level 3.
Option Contracts — Option contracts traded over the counter (“OTC”) are valued by independent pricing services based on pricing models that incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable, the values of OTC option contracts are categorized as Level 2. To the extent that these inputs are unobservable the values are categorized as Level 3.
|
|
|
NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
|
April 30, 2011 (unaudited) |
The Fund’s policy is to recognize transfers between levels at the end of the reporting period.
A summary of the inputs used at April 30, 2011 in valuing the Fund’s assets and liabilities is listed below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 2- |
|
Level 3- |
|
|
|
||||
|
|
|
|
|
Other Significant |
|
Significant |
|
|
|
||||
|
|
|
Level 1- |
|
Observable |
|
Unobservable |
|
Value at |
|
||||
|
|
|
Quoted Prices |
|
Inputs |
|
Inputs |
|
4/30/11 |
|
||||
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock |
|
|
$1,326,451,109 |
|
|
— |
|
|
— |
|
|
$1,326,451,109 |
|
|
Convertible Preferred Stock: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services |
|
|
29,023,059 |
|
|
$28,069,991 |
|
|
— |
|
|
57,093,050 |
|
|
Oil, Gas & Consumable Fuels |
|
|
21,743,194 |
|
|
4,690,400 |
|
|
— |
|
|
26,433,594 |
|
|
All Other |
|
|
164,081,023 |
|
|
— |
|
|
— |
|
|
164,081,023 |
|
|
Convertible Bonds & Notes |
|
|
— |
|
|
237,938,331 |
|
|
— |
|
|
237,938,331 |
|
|
Yankee Bond |
|
|
— |
|
|
3,012,750 |
|
|
— |
|
|
3,012,750 |
|
|
Short-Term Investments |
|
|
— |
|
|
96,051,134 |
|
|
— |
|
|
96,051,134 |
|
|
Total Investments in Securities - Assets |
|
|
$1,541,298,385 |
|
|
$369,762,606 |
|
|
— |
|
|
$1,911,060,991 |
|
|
Investments in Securities - Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Written, at value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market Price |
|
|
$ (12,553,375 |
) |
|
$ (11,357,983 |
) |
|
— |
|
|
$(23,891,358 |
) |
|
Total Investments |
|
|
$1,528,745,010 |
|
|
$358,404,623 |
|
|
— |
|
|
$1,887,169,633 |
|
There were no significant transfers into and out of levels 1 and 2 during the three months ended April 30, 2011.
|
|
|
NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments |
|
April 30, 2011 (unaudited) |
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the period ended April 30, 2011, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Change |
|
|
|
|
|
|
|
|||||||||
|
|
|
Beginning |
|
|
|
|
|
Accrued |
|
Realized |
|
in Unrealized |
|
Transfers |
|
Transfers |
|
Ending |
|
|||||||||
|
|
|
Balance |
|
Net |
|
Net |
|
Discounts/ |
|
Gain/ |
|
Appreciation/ |
|
into |
|
out of |
|
Balance |
|
|||||||||
|
|
|
1/31/11 |
|
Purchases |
|
Sales |
|
(Premiums) |
|
(Losses) |
|
Depreciation |
|
Level 3* |
|
Level 3* |
|
4/30/11 |
|
|||||||||
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Convertible Preferred Stock: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets |
|
|
$3,360,266 |
|
|
— |
|
|
$ (5,941,004 |
) |
|
— |
|
|
$ (23,933,476 |
) |
|
$26,514,214 |
|
|
— |
|
|
— |
|
|
— |
|
|
Convertible Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure |
|
|
1,513,970 |
|
|
— |
|
|
(1,216,082 |
) |
|
— |
|
|
(763,460 |
) |
|
465,572 |
|
|
— |
|
|
— |
|
|
— |
|
|
Total Investments |
|
|
$4,874,236 |
|
|
— |
|
|
$ (7,157,086 |
) |
|
— |
|
|
$ (24,696,936 |
) |
|
$26,979,786 |
|
|
— |
|
|
— |
|
|
— |
|
* There were no transfers into and out of Level 3 during the three months ended April 30, 2011.
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: June 20, 2011
By: /s/ Lawrence G.
Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: June 20, 2011
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: June 20, 2011
By: /s/ Lawrence G.
Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: June 20, 2011