UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file        811-21417
number 
 
 
 
NFJ Dividend, Interest & Premium Strategy Fund 
(Exact name of registrant as specified in charter) 
 
1345 Avenue of the Americas, New York, 
New York 10105 
(Address of principal executive offices) 
(Zip code) 
 
Lawrence G. Altadonna - 1345 Avenue of the Americas, New York, New York 10105 
(Name and address of agent for service) 
 
Registrant’s telephone number, including  212-739-3371   
area code: 
 
  
 
Date of fiscal year        January 31, 2007   
end: 
 
    
 
Date of reporting  July 31, 2006 
 
period: 
 
    

Form N-CSRS is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e -1). The Commission may use the information provided on Form N-CSRS in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSRS 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 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. § 3507.

ITEM 1. REPORT TO SHAREHOLDERS

 

NFJ Dividend, Interest & Premium Strategy Fund

 

 

 

S e m i - A n n u a l  R e p o r t
J u l y  31 ,  2 0 0 6


Contents     
     
Letter to Shareholders    1 
     
Performance & Statistics    2 
     
Schedule of Investments    3-8 
     
Statement of Assets and Liabilities    9 
     
Statement of Operations    10 
     
Statement of Changes in Net Assets    11 
     
Notes to Financial Statements    12-14 
     
Financial Highlights    15 
     
Annual Shareholder Meeting Results    16 

 

 

 

 



NFJ Dividend, Interest & Premium Strategy Fund Letter to Shareholders

 

September 14, 2006

Dear Shareholder:

We are pleased to provide you with the semi-annual report of the NFJ Dividend, Interest & Premium Strategy Fund (the “Fund”) for the six-months ended July 31, 2006.

U.S. stocks remained reasonably solid during the reporting period despite significant market challenges. Geopolitical tension, interest rate tightening and record-high oil prices were among the hurdles faced by investors.

In this environment, value stocks generally outperformed growth stocks. For example, large-cap value stocks, as represented by the Russell 1000 Value Index, returned 5.06% for the reporting period while large-cap stocks, as measured by the Russell 1000 Growth Index, returned -4.49% .

Please refer to the following pages for specific Fund information. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Fund’s shareholder servicing agent at (800) 331-1710. You may also find a wide range of information and resources on our Web site, www.allianzinvestors.com/closedendfunds.

Together with Allianz Global Investors Fund Management LLC, the Fund’s investment manager, and NFJ Investment Group, Nicholas-Applegate Capital Management and PEA Capital, the Fund’s sub-advisers, we thank you for investing with us.

We remain dedicated to serving your financial needs.

Sincerely,

Robert E. Connor  Brian S. Shlissel 
Chairman  President & Chief Executive Officer 

 


| 7.31.06 | NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report 1

NFJ Dividend, Interest & Premium Strategy Fund Performance & Statistics
July 31, 2006
  • The Fund returned 4.35% at net asset value (NAV) for the six months ended July 31, 2006, outperforming the S&P 500, which returned 0.67%. At market price, the Fund returned 6.50%.
  • Within the equity portion of the portfolio, the Fund’s value focus aided performance. Continued exposure to energy and consumer staples was also a positive for performance. Energy names such as Marathon Oil, PetroBras and PetroChina posted strong returns early in the reporting period. During the last quarter, the Fund benefited from an overweighting in consumer staples, specifically Reynolds American, Anheuser-Busch and Kimberly-Clark.
  • Detracting from performance within the equity portion of the portfolio was an underweighting in the industrial sector, which generally performed well. Other detractors from performance were some of the Fund’s holdings within the industrial sector — specifically Deluxe Corp., a check manufacturer hurt by rising raw material costs.
  • The Fund’s equity index option strategy aided performance despite the fact that volatility was low across all sectors during the first half of the reporting period. However, higher volatility developed later in the reporting period — a positive for the Fund’s option strategy.
  • In the convertibles portion of the portfolio, security selection was key. Solid performers included healthcare, which benefited from robust first-quarter earnings, and insurance, which rose on solid corporate profits. Detracting from performance were cyclical industries which, despite impressive first-quarter profits, were hit hard later in the reporting period.
Total Return(1) :  Market Price  Net Asset Value (“NAV”) 
Six months  6.50%  4.35% 
1 year  4.06%  11.15% 
Commencement of Operations (2/28/05) to 7/31/06  1.09%  9.20% 


Market Price/NAV Performance:
Commencement of Operations (2/28/05) to 7/31/06
     		 Market Price/NAV:   
Market Price  $22.59 
Net Asset Value  $24.15 
Market Price Yield(2)  9.30% 
Discount to NAV  (6.46)% 
Investment Allocation
(as a percentage of total investments
before call options written)

(1) Past performance is no guarantee of future results. Total return is calculated by subtracting the value of an investment in the Fund at the beginning of the specified period from the value at the end of the period and dividing the remainder by the value of the investment at the begining of the period and expressing the result as a percentage. The calculation assumes that all income dividends and capital gain distributions have been reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total return does not reflect broker commissions or sales charges. Total return for a period of less than one year is not annualized. Total return for a period of more than one year represents the average annual return.

An investment in the Fund involves risk, including the loss of principal. Total return, price, yield and net asset value will fluctuate with changes in market conditions. This data is provided for information only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a one-time public offering and once issued, shares of closed-end funds are sold in the open market through a stock exchange. Net asset value is total assets less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.

(2) Market Price Yield is determined by dividing the annualized current quarterly per share dividend to shareholders by the market price per common share at July 31, 2006.

2 NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report | 7.31.06 |

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
July 31, 2006 (unaudited)
         
Shares 
       
(000) 
                
Value 
COMMON STOCK—75.6% 
    Agriculture—2.2%     
600    Altria Group, Inc. (a)   
$ 
47,982,000 
10    Reynolds American, Inc.     
1,267,800 
         
49,249,800 
    Apparel—0.9%     
300    VF Corp.     
20,346,000 
    Banking—5.1%     
500    Bank of America Corp. (a)     
25,765,000 
600    Keycorp (a)     
22,140,000 
950    Regions Financial Corp. (a)     
34,475,500 
750    Washington Mutual, Inc. (a)     
33,525,000 
         
115,905,500 
    Beverages—3.3%     
1,000    Anheuser-Busch Cos., Inc. (a)     
48,150,000 
600    Coca-Cola Co.     
26,700,000 
         
74,850,000 
    Building Materials—0.9%     
800    Masco Corp. (a)     
21,384,000 
    Chemicals—6.4%     
2,200    Dow Chemical Co. (a)     
76,076,000 
3,200    Lyondell Chemical Co. (a)     
71,264,000 
         
147,340,000 
    Commercial Services—2.2%     
1,243    Deluxe Corp. (a)     
21,131,000 
964    RR Donnelley & Sons Co. (a)     
28,144,998 
         
49,275,998 
    Computers—0.0%     
10    Seagate Technology, Inc. (b)     
232,000 
    Diversified Financial Services—1.4%     
241    Freddie Mac     
13,915,330 
400    JP Morgan Chase & Co. (a)     
18,248,000 
10    Morgan Stanley     
665,000 
         
32,828,330 
    Electric—4.6%     
1,100    DTE Energy Co.     
46,552,000 
1,354    Progress Energy, Inc. (a)     
58,992,830 
         
105,544,830 
    Food—3.8%     
2,300    ConAgra Foods, Inc. (a)     
49,450,000 
1,371    Supervalu, Inc. (a)     
37,167,810 
         
86,617,810 
    Gas—3.8%     
1,914    KeySpan Corp. (a)     
77,056,645 
200    Sempra Energy     
9,652,000 
         
86,708,645 

| 7.31.06 | NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report 3

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
July 31, 2006 (unaudited)
             
Shares 
                             
(000) 
 
 
 
 
 
Value 
    Hand/Machine Tools—0.9%         
430   Stanley Works     
$ 
19,527,248 
    Home Furnishings—0.9%         
260   Whirlpool Corp.        20,069,400 
    Household Products—3.3%         
353   American Greetings Corp.        7,942,689 
1,100   Kimberly-Clark Corp.        67,155,000 
            75,097,689 
    Insurance—5.2%         
800   Allstate Corp. (a)        45,456,000 
500   Lincoln National Corp. (a)        28,340,000 
1,000   St. Paul Travelers Cos., Inc.        45,800,000 
            119,596,000 
    Media—0.7%         
626   CBS Corp.        17,182,152 
    Oil & Gas—14.5%         
1,000   Anadarko Petroleum Corp. (a)        45,740,000 
1,300   Chevron Corp. (a)        85,514,000 
1,200   ConocoPhillips        82,368,000 
600   Marathon Oil Corp.        54,384,000 
400   Occidental Petroleum Corp.        43,100,000 
170   PetroChina Co., Ltd. ADR        19,448,000 
            330,554,000 
    Pharmaceuticals—8.7%         
600   GlaxoSmithKline PLC ADR        33,198,000 
1,500   Merck & Co., Inc. (a)        60,405,000 
4,000   Pfizer, Inc. (a)        103,960,000 
            197,563,000 
    Real Estate—0.0%         
10   Duke Realty Corp.-REIT        372,600 
    Telecommunications—5.4%         
10   Alltel Corp.        551,700 
1,000   AT&T, Inc. (a)        29,990,000 
2,750   Verizon Communications, Inc. (a)        93,005,000 
— (f) Windstream Corp.        4,248 
            123,550,948 
    Toys, Games & Hobbies—1.4%         
1,800   Mattel, Inc.        32,472,000 
 
    Total Common Stock (cost-$1,727,132,948)        1,726,267,950 
     
CONVERTIBLE BONDS & NOTES—13.4%         
Principal 
           
Amount 
   
Credit Rating 
     
(000) 
   
(Moody’s/S&P) 
     
    Airlines—0.6%         
$12,900   Continental Airlines, Inc., 4.50%, 2/1/07 
Caa2/CCC+ 
    12,948,375 

4 NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report | 7.31.06 |

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
July 31, 2006 (unaudited)
Principal           
Amount               Credit Rating     
(000) 
 
 
(Moody’s/S&P) 
          
 
Value 
    Commercial Services—1.3%       
$ 5,000 
  Bowne & Co., Inc., 5.00%, 10/1/33  B2/B-   
$ 
5,293,750 
3,000 
  Quanta Services, Inc., 3.75%, 4/30/26 (c) (d)  NR/NR     
3,041,250 
13,400 
  Quebecor World USA, Inc., 6.00%, 10/1/07  B2/B     
13,249,250 
7,500 
  Vertrue Corp. Ltd., 5.50%, 10/1/10  NR/B-     
8,887,500 
         
30,471,750 
  Computers—1.0%       
11,250 
  Electronic Data Systems Corp., 3.875%, 7/15/23  Ba1/BBB-     
11,320,312 
10,100 
  Maxtor Corp., 6.80%, 4/30/10  Ba1/NR     
11,248,875 
           
22,569,187 
    Electric—0.5%       
3,500 
  PG&E Corp., 9.50%, 6/30/10  NR/NR     
10,631,250 
  Electrical Components & Equipment—0.3%       
5,750 
  Artesyn Technologies, Inc., 5.50%, 8/15/10  NR/NR     
7,872,325 
  Hotel/Gaming—0.9%       
8,500 
  Caesars Entertainment, Inc., 5.50688, 4/15/24 (e)  Baa3/BBB-     
9,826,000 
8,800 
  Hilton Hotels Corp., 3.375%, 4/15/23  Ba2/BB     
10,351,000 
         
20,177,000 
  Media—0.6%       
13,000 
  EchoStar Communications Corp., 5.75%, 5/15/08, GDR  B2/B     
13,032,500 
  Metals & Mining—0.4%       
5,060 
  Freeport-McMoRan Copper & Gold, Inc., 7.00%, 2/11/11  NR/B+     
9,247,150 
  Oil & Gas—0.6%       
10,425 
  Devon Energy Corp., 4.95%, 8/15/08  Baa2/BBB     
13,213,688 
1,000 
  Hanover Compressor Co., 4.75%, 3/15/08  B3/B     
976,250 
         
14,189,938 
  Pharmaceuticals—0.8%       
5,000 
  New River Pharmaceuticals, Inc., 3.50%, 8/1/13 (c)(d)  NR/NR     
4,718,750 
14,000 
  Sepracor, Inc., 5.00%, 2/15/07  NR/B-     
13,965,000 
         
18,683,750 
  Real Estate—0.2%       
5,000 
  EOP Operating L.P., 4.00%, 7/15/26 (c)(d)  NR/BBB     
5,193,750 
  Retail—0.5%       
12,800 
  Sonic Automotive, Inc., 5.25%, 5/7/09  B3/B     
12,672,000 
  Semi-conductors—0.5%       
11,500 
  Fairchild Semiconductor Corp., 5.00%, 11/1/08  NR/B     
11,370,625 
  Telecommunications—4.2%       
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     
10,959,375 
11,510 
  Ciena Corp., 3.75%, 2/1/08  B2/B     
11,092,762 
5,855 
  Harris Corp., 3.50%, 8/15/22, GDR  Baa2/BBB     
11,914,925 
13,300 
  Level 3 Communications, Inc., 6.00%, 3/15/10  Ca/CCC-     
11,321,625 
14,100 
  Lucent Technologies, Inc., 8.00%, 8/1/31  B3/CCC+     
14,188,125 
14,000 
  Nextel Communications, Inc., 5.25%, 1/15/10  Baa2/BBB+     
13,807,500 
11,500 
  Nortel Networks Corp., 4.25%, 9/1/08, GDR  B3/B-     
10,838,750 
         
95,123,062 

| 7.31.06 | NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report 5

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
July 31, 2006 (unaudited)
Principal 
         
Amount 
    Credit Rating              
(000) 
 
 
(Moody’s/S&P) 
          
 
Value 
    Transportation—0.4%       
$   6,450    YRC Worldwide, Inc., 5.00%, 8/8/23  Ba1/BBB-   
$ 
8,425,313 
    Trucking/Leasing—0.6%       
11,450    GATX Corp., 7.50%, 2/1/07  Baa3/BBB     
13,654,125 
 
    Total Convertible Bonds & Notes (cost-$306,641,252)       
306,262,100 
     
CONVERTIBLE PREFERRED STOCK—9.2% 
Shares           
(000)           
    Automotive—0.6%       
575    General Motors Corp., 6.25%, 7/15/33  Caa1/B-     
12,365,024 
    Banking—0.5%       
195    Washington Mutual Capital Trust, 5.375%, 5/1/41  Baa1/BBB     
10,896,600 
    Commercial Services—0.5%       
245    United Rentals, Inc., 6.50%, 8/1/28  Caa2/B-     
11,453,750 
    Diversified Financial Services—0.9%       
293    E*Trade Financial Corp., 6.125%, 11/18/08  Ba3/NR     
8,936,500 
430    Lehman Brothers Holdings, Inc., 6.25%, 10/15/07  A1/A+     
11,210,100 
           
20,146,600 
    Electric—1.0%       
244    AES Trust III, 6.75%, 10/15/29  B3/B     
11,646,011 
48    NRG Energy, Inc., 5.75%, 3/16/09  B3/CCC+     
12,116,781 
           
23,762,792 
    Food—0.5%       
483    Albertson’s, Inc., 7.25%, 5/16/07  B2/B     
12,077,667 
    Insurance—2.1%       
300    Genworth Financial, Inc., 6.00%, 5/16/07  A2/A     
11,070,000 
405    Metlife, Inc., 6.375%, 8/15/08  NR/BBB+     
11,113,062 
165    Platinum Underwriters Holdings Ltd., 6.00%, 2/15/09  NR/BB+     
4,702,500 
450    PMI Group, Inc., 5.875%, 11/15/06  A1/A     
11,250,000 
495    XL Capital Ltd., 6.50%, 5/15/07  A3/A-     
10,518,750 
           
48,654,312 
    Oil & Gas—1.0%       
104    Chesapeake Energy Corp., 5.00%, 12/31/49  B2/B     
11,137,912 
90    Hess Corp., 7.00%, 12/1/06  Ba3/BB     
12,009,900 
           
23,147,812 
    Pharmaceuticals—0.6%       
270    Schering-Plough Corp., 6.00%, 9/14/07  Baa3/BBB     
14,347,424 
    Real Estate—0.5%       
465    FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A  B2/CCC+     
11,397,400 
    Telecommunications—0.5%       
204    Crown Castle International Corp., 6.25%, 8/15/12  NR/NR     
11,443,607 
    Waste Disposal—0.5%       
38    Allied Waste Industries, Inc., 6.25%, 3/1/08  Caa3/B     
10,915,650 
 
    Total Convertible Preferred Stock (cost-$205,311,196)       
210,608,638 

6 NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report | 7.31.06 |

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
July 31, 2006 (unaudited)
Principal 
         
Amount 
         
(000) 
                 Value 
SHORT-TERM INVESTMENTS—3.1% 
    Time Deposits—3.1%       
$12,926    BNP Paribas— Grand Cayman, 4.61%, 8/01/06   
$ 
12,925,520 
42,685   
Rabobank—Grand Cayman, 4.61%, 8/01/06 
    42,685,007 
14,621    Wachovia Bank— Grand Cayman, 4.61%, 8/01/06      14,621,065 
 
   
Total Time Deposits (cost-$70,231,592) 
    70,231,592 
 
    Total Investments, before call options written       
    (cost-$2,309,316,988)—101.3%      2,313,370,280 
   
CALL OPTIONS WRITTEN (b)—(1.8)%       
Contracts 
         
    American Stock Exchange Morgan Stanley Cyclical Index,       
150   
     strike price $790, expires 9/16/06 
    (244,500)
400   
     strike price $800, expires 9/16/06 
    (484,000)
100   
     strike price $810, expires 9/16/06 
    (78,000)
100   
     strike price $820, expires 8/19/06 
    (5,500)
550   
     strike price $830, expires 8/19/06 
    (22,000)
100   
     strike price $840, expires 8/19/06 
    (4,000)
   
American Stock Exchange Oil Index, 
     
300   
     strike price $1100, expires 8/16/06 
    (3,195,000)
250   
     strike price $1110, expires 8/19/06 
    (2,435,000)
100   
     strike price $1120, expires 8/19/06 
    (878,000)
100   
     strike price $1130, expires 8/19/06 
    (796,000)
300   
     strike price $1150, expires 8/19/06 
    (1,872,000)
150   
     strike price $1160, expires 8/19/06 
    (829,500)
200   
     strike price $1180, expires 8/19/06 
    (810,000)
100   
     strike price $1190, expires 8/25/06 
    (401,600)
150   
     strike price $1210, expires 9/16/06 
    (594,000)
300   
     strike price $1230, expires 9/16/06 
    (918,000)
200   
     strike price $1250, expires 9/16/06 
    (454,000)
100   
     strike price $1280, expires 9/16/06 
    (128,000)
   
American Stock Exchange Pharmaceutical Index, 
     
300   
     strike price $325, expires 8/19/06 
    (591,000)
200   
     strike price $330, expires 8/19/06 
    (298,000)
500   
     strike price $340, expires 9/16/06 
    (450,000)
   
Pharmaceutical HOLDRS, 
     
5,000   
     strike price $100.85, expires 8/19/06 
    (4,665,000)
5,000   
     strike price $101.25, expires 9/22/06 
    (2,245,000)
   
Philadelphia Stock Exchange KBW Bank Sector Index, 
     
4,750   
     strike price $107.50, expires 8/19/06 
    (1,900,000)
3,250   
     strike price $110, expires 8/19/06 
    (674,375)
1,000   
     strike price $110, expires 9/16/06 
    (285,000)
5,500   
     strike price $112.50, expires 9/16/06 
    (825,000)
2,000   
     strike price $112.70, expires 9/22/06 
    (340,000)

| 7.31.06 | NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report 7

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
July 31, 2006 (unaudited)
         
Contracts 
          
 
 
Value 
    Philadelphia Stock Exchange Utility Index,     
150       strike price $435, expires 8/19/06 
$ 
(307,500)
500       strike price $437.50, expires 8/25/06    (930,500)
650       strike price $440, expires 8/19/06    (1,046,500)
200       strike price $445, expires 9/16/06    (300,000)
150       strike price $450, expires 8/19/06    (123,000)
200       strike price $450, expires 9/16/06    (230,000)
100       strike price $455, expires 9/16/06    (85,000)
1,400       strike price $460, expires 9/16/06    (854,000)
100       strike price $465, expires 9/16/06    (41,000)
    Standard & Poors 500 Flex Index,     
300       strike price $1295, expires 9/1/06    (360,318)
250       strike price $1295, expires 9/22/06    (300,265)
300       strike price $1297.50, expires 9/22/06    (498,000)
    Standard & Poors 500 Index,     
200       strike price $1265, expires 8/19/06    (477,000)
300       strike price $1270, expires 8/19/06    (610,500)
100       strike price $1270, expires 9/16/06    (318,500)
250       strike price $1275, expires 8/19/06    (430,000)
100       strike price $1275, expires 9/16/06    (286,500)
100       strike price $1280, expires 8/19/06    (142,000)
500       strike price $1280, expires 9/16/06    (1,277,500)
200       strike price $1285, expires 8/19/06    (230,000)
300       strike price $1285, expires 9/16/06    (676,500)
500       strike price $1290, expires 9/16/06    (990,000)
    Telecommunication Basket Index,     
5,000       strike price $101.25, expires 8/4/06    (2,435,000)
5,000       strike price $101.25, expires 8/11/06    (2,350,000)
 
   
Total Call Options Written (premiums received-$18,804,250) 
  (41,722,058)
 
    Total Investments, net of call options written     
    (cost-$2,290,512,738)—99.5%    2,271,648,222 
 
    Other assets less liabilities—0.5%    10,717,463 
 
    Net Assets—100.0%  $ 2,282,365,685 
 
Notes to Schedule of Investments:
(a)    
All or partial amount segregated as collateral for call options written. 
(b) 
Non-income producing. 
(c) 
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. 
(d) 
Private Placement. Restricted as to resale and may not have a readily available market. 
(e) 
Variable rate security. Interest rate disclosed reflects the rate in effect on July 31, 2006. 
(f) 
Less than 500. 
Glossary:
ADR — American Depositary Receipt
GDR — Global Depositary Receipt
NR — Not Rated
REIT — Real Estate Investment Trust

8 NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report | 7.31.06 | See accompanying Notes to Financial Statements

NFJ Dividend, Interest & Premium Strategy Fund Statement of Assets and Liabilities
July 31, 2006 (unaudited)
Assets:     
Investments, at value (cost–$2,309,316,988)    $ 2,313,370,280  
Receivable for investments sold    21,924,725  
Dividends and interest receivable    11,660,527  
Prepaid expenses    78,590  
   Total Assets    2,347,034,122  
 
Liabilities:     
Call options written, at value (premiums received–$18,804,250)    41,722,058  
Payable for investments purchased    20,976,885  
Investment management fees payable    1,724,032  
Accrued expenses    245,462  
   Total Liabilities    64,668,437  
Net Assets    $ 2,282,365,685  
 
Composition of Net Assets:     
Common Stock:     
   Par value ($0.00001 per share applicable to 94,524,325 shares issued and outstanding) 
 
$
945  
          
   Paid-in-capital in excess of par   
2,253,871,358  
Undistributed net investment income   
6,801,804  
Accumulated net realized gain   
40,556,094  
Net unrealized depreciation of investments and call options written   
(18,864,516 ) 
Net Assets   
$
2,282,365,685  
Net Asset Value Per Share   
$
24.15  

See accompanying Notes to Financial Statements | 7.31.06 | NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report 9

NFJ Dividend, Interest & Premium Strategy Fund Statement of Operations
For the six months ended July 31, 2006 (unaudited)
Investment Income:     
Dividends (net of foreign withholding taxes of $56,674)   
$
35,916,226  
          
Interest    11,637,168  
   Total Investment Income    47,553,394  
 
Expenses:     
Investment management fees    10,194,097  
Shareholder communications    237,530  
Custodian and accounting agent fees    191,665  
Trustees’ fees and expenses    73,347  
Audit and tax services    40,163  
Legal fees    33,755  
Insurance expense    22,750  
Transfer agent fees    15,791  
Investor relations    8,965  
Miscellaneous    4,354  
   Total expenses    10,822,417  
 
Net Investment Income    36,730,977  
 
Realized and Change in Unrealized Gain (Loss):     
Net realized gain on:     
   Investments    69,021,554  
   Call options written    5,173,644  
Net change in unrealized appreciation/depreciation of:     
   Investments    (6,454,486 ) 
   Call options written    (8,507,736 ) 
Net realized and change in unrealized gain on investments and call options written    59,232,976  
Net Increase in Net Assets Resulting from Investment Operations   
$
95,963,953  

10 NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report | 7.31.06 | See accompanying Notes to Financial Statements

NFJ Dividend, Interest & Premium Strategy Fund 
Statement of Changes in 
 
Net Assets
   
Six Months
For the Period
 
   
ended
February 28, 2005*
 
   
July 31, 2006
through
 
   
(unaudited)
January 31, 2006
 
          
Investment Operations:         
Net investment income   
$
36,730,977    
$
66,409,897  
          
Net realized gain on investments and call options written    74,195,198     124,754,433  
Net change in unrealized appreciation/depreciation of investments         
   and call options written    (14,962,222 )    (3,902,294 ) 
Net increase in net assets resulting from investment operations    95,963,953     187,262,036  
 
Dividends and Distributions to Shareholders from:         
Net investment income    (34,850,410 )    (61,637,263 ) 
Net realized gains    (64,400,132 )    (93,844,802 ) 
Total dividends and distributions to shareholders    (99,250,542 )    (155,482,065 ) 
 
Capital Share Transactions:         
Net proceeds from the sale of common stock    —     2,234,700,000  
Offering costs charged to paid-in capital in excess of par    —     (2,412,896 ) 
Reinvestment of dividends and distributions    —     21,485,187  
Net increase from capital share transactions    —     2,253,772,291  
Total increase (decrease) in net assets    (3,286,589 )    2,285,552,262  
 
Net Assets:         
Beginning of period    2,285,652,274     100,012  
End of period (including undistributed net investment income         
   of $6,801,804 and $4,921,237, respectively)   
$
2,282,365,685    
$
2,285,652,274  
 
Shares Issued and Reinvested:         
Issued    —     93,600,000  
Issued in reinvestment of dividends and distributions    —     920,136  
Net Increase    —     94,520,136  

* Commencement of operations.

 

See accompanying Notes to Financial Statements | 7.31.06 | NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report 11

NFJ Dividend, Interest & Premium Strategy Fund Notes to Financial Statements
July 31, 2006 (unaudited)

1. Organization and Significant Accounting Policies
NFJ Dividend, Interest & Premium Strategy Fund (the “Fund”) was organized as a Massachusetts business trust on August 20, 2003. Prior to commencing operations on February 28, 2005, the Fund had no operations other than matters relating to its organization and registration as a diversified, closed-end management investment company registered under the Investment Company Act of 1940 and the rules and regulations there under, as amended, and the sale and issuance of 4,189 shares of beneficial interest at an aggregate par of $100,012 to Allianz Global Investors of America L.P. (“Allianz Global”). Allianz Global Investors Fund Management LLC (the “Investment Manager”), is an indirect wholly-owned subsidiary of Allianz Global. Allianz Global is an indirect, majority-owned subsidiary of Allianz AG. The Fund has an unlimited amount of $0.00001 par value common stock authorized.

The Fund issued 86,100,000 shares of common stock in its initial public offering. An additional 7,500,000 shares were issued in connection with the underwriter’s over-allotment option. These shares were all issued at $25.00 per share before an underwriting discount of $1.125 per share. Offering costs of $2,412,896 (representing $0.02578 per share) were offset against the proceeds of the offering and over-allotment option and have been charged to paid-in capital in excess of par.

The Fund’s primary investment objective is to seek current income and gains, with a secondary objective of long-term capital appreciation. The Fund will pursue its investment objectives by investing in a diversified portfolio of dividend-paying common stocks and income-producing convertible securities. The Fund will also employ a strategy of writing (selling) call options on equity indexes in an attempt to generate gains from option premiums.

The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

In July 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes-an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation establishes for all entities, including pass-through entities such as the Fund, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. The Interpretation is effective for fiscal years beginning after December 15, 2006, and is to be applied to all open tax years as of the date of effectiveness. Fund management has recently begun to evaluate the application of the Interpretation, and is not in a position at this time to estimate the significance of its impact, if any, on the Fund’s financial statements.

In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been asserted. However, the Fund expects the risk of any loss to be remote.

The following is a summary of significant accounting policies followed by the Fund:

(a) Valuation 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, are fair-valued, in good faith, pursuant to guidelines 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 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. 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 the differences could be material to the financial statements. The Fund’s net asset value is determined daily 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.

12 NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report | 7.31.06 |

NFJ Dividend, Interest & Premium Strategy Fund Notes to Financial Statements
July 31, 2006 (unaudited)

1. Organization and Significant Accounting Policies (continued)

(b) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Interest income is recorded on an accrual basis. Discounts or premiums on debt securities purchased are accreted or amortized to interest income over the lives of the respective securities using the effective interest method. Dividend income is recorded on the ex-dividend date.

(c) Federal Income Taxes
The Fund intends to distribute all of its taxable income and to comply with the other requirements of the U.S. Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required.

(d) Dividends and Distributions
The Fund declares quarterly dividends and distributions from net investment income and gains from index option premiums and the sale of portfolio securities. The Fund records dividends and distributions to its shareholders on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles. These “book-tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their income tax treatment; temporary differences do not require reclassification. To the extent dividends and/or distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as dividends and/or distributions of paid-in capital in excess of par.

(e) Call Option Transactions
The Fund employs a strategy of writing (selling) call options on equity indexes in an attempt to generate gains from option premiums. When an option is written, the premium received is recorded as an asset with an equal liability, which is subsequently adjusted to the current market value of the option. Premiums received from writing options, which expire unexercised, are recorded on the expiration date as a realized gain. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transactions, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security or index option in determining whether there has been a realized gain or loss.

The Fund, as writer of a call option, may have no control over whether the underlying securities or index option may be sold (called). As a result, the Fund bears the market risk of an unfavorable change in the price of the security or index underlying the written call option.

The use of derivative transactions may involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities.

(f) Concentration of Risk
It is the Fund’s policy to invest a portion of its assets in convertible securities. Although convertible securities do derive part of their value from that of the securities into which they are convertible, they are not considered derivative financial instruments. However, certain of the Fund’s investments include features which render them more sensitive to price changes in their underlying securities. Consequently, this exposes the Fund to greater downside risk than traditional convertible securities, but still less than that of the underlying common stock.

2. Investment Manager/Sub-Advisers
The Fund has entered into an Investment Management Agreement (the “Agreement”) with the Investment Manager. Subject to the supervision of the Fund’s Board of Trustees, the Investment Manager is responsible for managing, either directly or through others selected by it, the Fund’s investment activities, business affairs and administrative matters. Pursuant to the Agreement, the Fund pays the Investment Manager an annual fee, payable monthly, at the annual rate of 0.90% of the Fund’s average daily total managed assets. Total managed assets refer to the total assets of the Fund (including assets attributable to borrowings) minus accrued liabilities (other than liabilities representing borrowings). The Investment Manager has retained its affiliates, NFJ Investment Group L.P (“NFJ”), Nicholas-Applegate Capital Management LLC (“NACM”), and PEA Capital LLC (“PEA”) (the “Sub-Advisers”), to manage the Fund’s equity component, convertible component and index option strategy, respectively. Subject to the supervision of the Investment Manager, the Sub-Advisers make all of the Fund’s investment decisions in connection with their respective components of the Fund’s investments. For their services, pursuant to Sub-Advisory agreements, the Investment Manager and not the Fund, pays the Sub-Advisers a monthly fee.

| 7.31.06 | NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report 13

NFJ Dividend, Interest & Premium Strategy Fund Notes to Financial Statements
July 31, 2006 (unaudited)

3. Investment in Securities

For the six months ended July 31, 2006, purchases and sales of investments, other than short-term securities and U.S. government obligations, were $771,793,613 and $676,951,955, respectively.

(a) Transactions in call options written for the six months ended July 31, 2006 were:

 
 
Contracts
 
 
Premiums
 
Options outstanding, January 31, 2006    52,800             
$ 
22,554,436  
Options written    139,880    
61,105,210  
Options terminated in closing purchase transactions    (65,355 )   
(35,955,001 ) 
Options expired    (79,325 )   
(28,900,395 ) 
 
 
Options outstanding, July 31, 2006    48,000    
$ 
18,804,250  
 
 

4. Income Tax Information
The cost basis of portfolio securities of $2,309,316,988 is substantially the same for both federal income tax and financial reporting purposes. Aggregated gross unrealized appreciation for securities in which there is an excess value over tax cost is $115,623,268; aggregated gross unrealized depreciation for securities in which there is an excess of tax cost over value is $111,569,976; net unrealized appreciation for federal income tax purposes is $4,053,292.

5. Legal Proceedings
In June and September 2004, the Investment Manager, certain of its affiliates (including Allianz Global Investors Distributors LLC and PEA Capital LLC) and Allianz Global, agreed to settle, without admitting or denying the allegations, claims brought by the Securities and Exchange Commission (the “Commission”), the New Jersey Attorney General and the California Attorney General alleging violations of federal and state securities laws with respect to certain open-end funds for which the Investment Manager serves as investment adviser. Two settlements (with the Commission and New Jersey) related to an alleged “market timing” arrangement in certain open-end funds sub-advised by PEA Capital LLC. Two settlements (with the Commission and California) related to the alleged use of cash and fund portfolio commissions to finance “shelf-space” arrangements with broker-dealers for open-end funds. The Investment Manager and its affiliates agreed to pay a total of $68 million to settle the claims related to market timing and $20.6 million to settle the claims related to shelf space. The settling parties also agreed to make certain corporate governance changes. None of the settlements allege that any inappropriate activity took place with respect to the Fund.

Since February 2004, the Investment Manager and certain of its affiliates and their employees have been named as defendants in fifteen lawsuits filed in various jurisdictions. Eleven of those lawsuits concern market timing and have been transferred to and consolidated for pre-trial proceedings in a multi-district litigation proceeding in the U.S. District Court for the District of Maryland; the other four lawsuits concern revenue sharing and have been consolidated into a single action in the U.S. District Court for the District of Connecticut. The lawsuits generally relate to the same allegations that are the subject of the regulatory proceedings discussed above. The lawsuits seek, among other things, unspecified compensatory damages plus interest and, in some cases, punitive damages, the rescission of investment advisory contracts, the return of fees paid under those contracts, restitution, and waiver of or return of certain sales charges paid by open-end fund shareholders.

The Investment Manager and the Sub-Adviser believe that these matters are not likely to have a material adverse effect on the Fund or on their ability to perform their respective investment advisory activities relating to the Fund.

The foregoing speaks only as of the date hereof.

6. Subsequent Event—Appointment of Trustee
On September 12, 2006, the Fund’s Board of Trustees appointed William B. Ogden IV as a trustee.

14 NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report | 7.31.06 |

NFJ Dividend, Interest & Premium Strategy Fund Financial Highlights
For a share outstanding throughout each period:
   
Six Months
For the Period
 
   
ended
February 28, 2005*
 
   
July 31, 2006
through
 
   
(unaudited)
January 31, 2006
 
          
Net asset value, beginning of period   
$
24.18    
$
23.88 ** 
          
Investment Operations:   
   
 
Net investment income   
0.39    
0.70  
Net realized and change in unrealized gain on investments and call options written   
0.63    
1.28  
Total from investment operations   
1.02    
1.98  
Dividends and Distributions to Shareholders from:   
   
 
Net investment income   
(0.37 )   
(0.65 ) 
Net realized gains   
(0.68 )   
(1.00 ) 
Total dividends and distributions to shareholders   
(1.05 )   
(1.65 ) 
Capital Share Transactions:   
   
 
Offering costs charged to paid-in capital in excess of par   
—    
(0.03 ) 
Net asset value, end of period   
$
24.15    
$
24.18  
Market price, end of period   
$
22.59    
$
22.20  
Total Investment Return (1)   
6.50 %   
(4.65 )% 
RATIOS/SUPPLEMENTAL DATA:   
   
 
Net assets, end of period (000)   
$
2,282,366    
$
2,285,652  
Ratio of expenses to average net assets (2)   
0.96 %   
0.94 % 
Ratio of net investment income to average net assets (2)   
3.24 %   
3.27 % 
Portfolio turnover   
31 %   
97 % 
*
Commencement of operations.
**
Initial public offering price of $25.00 per share less underwriting discount of $1.125 per share.
(1)   
Total investment return is calculated assuming a purchase of a share at the current market price on the first day of the period and a sale of a share at the current market price on the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions or sales charges. Total investment return for a period of less than one year is not annualized.
(2)
Annualized.

 

See accompanying Notes to Financial Statements | 7.31.06 | NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report 15

NFJ Dividend, Interest & Premium Strategy Fund   Annual Shareholder 
July 31, 2006 (unaudited) 
Meeting Results 
The Fund held its annual meeting of shareholders on May 3, 2006. Shareholders voted to re-elect Paul Belica and Hans W. Kertess and elect David C. Flattum and R. Peter Sullivan III as trustees as indicated below.

The resulting vote count was:

 
Withheld 
 
Affirmative 
Authority 
Re-election of Paul Belica — Class I to serve until 2009 
76,759,878 
871,278 
Election of David C. Flattum — Class III to serve until 2008 
76,831,155 
800,001 
Re-election of Hans W. Kertess — Class I to serve until 2009 
76,784,287 
846,869 
Election of R. Peter Sullivan III — Class II to serve until 2007 
76,816,207 
814,949 

Robert E. Connor and John J. Dalessandro II continue to serve as Trustees of the Fund.

 

16 NFJ Dividend, Interest & Premium Strategy Fund Semi-Annual Report | 7.31.06 |

Trustees and Principal Officers   
Robert E. Connor  R. Peter Sullivan III 
   Trustee, Chairman of the Board of Trustees     Trustee 
Paul Belica  Brian S. Shlissel 
   Trustee     President & Chief Executive Officer 
John J. Dalessandro II  Lawrence G. Altadonna 
   Trustee 
   Treasurer, Principal Financial & Accounting Officer 
David C. Flattum  Thomas J. Fuccillo 
   Trustee 
   Vice President, Secretary & Chief Legal Officer 
Hans W. Kertess  Youse E. Guia 
   Trustee     Chief Compliance Officer 
William B. Ogden IV   
   Trustee   

Investment Manager
Allianz Global Investors Fund Management LLC
1345 Avenue of the Americas
New York, NY 10105

Sub-Advisers
NFJ Investment Group L.P.
2100 Ross Avenue, Suite 1840
Dallas, Texas 75201

Nicholas-Applegate Capital Management
600 West Broadway, 30th Floor
San Diego, California 92101

PEA Capital LLC
1345 Avenue of the Americas,50th Floor,
New York, New York 10105

Custodian & Accounting Agent
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109

Transfer Agent, Dividend Paying Agent and Registrar
PFPC Inc.
P.O. Box 43027
Providence, RI 02940-3027

Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
300 Madison Avenue
New York, NY 10017

Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02210-2624

This report, including the financial information herein, is transmitted to the shareholders of NFJ Dividend, Interest & Premium Strategy Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.

The financial information included herein is taken from the records of the Fund without examination by an independent registered public accounting firm, who did not express an opinion hereon.

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase shares of its common stock in the open market.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of its fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The information on Form N-Q is also available on the Fund’s website at www.allianzinvestors.com/closedendfunds.

On May 4, 2006, the Fund submitted a CEO annual certification to the New York Stock Exchange (“NYSE”) on which the Fund’s principal executive officer certified that he was not aware, as of the date, of any violation by the Fund of the NYSE’s Corporate Governance listing standards. In addition, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and related SEC rules, the Fund’s principal executive and principal financial officer made quarterly certifications, included in filings with the SEC on Forms N-CSR and N-Q relating to, among other things, the Fund’s disclosure controls and procedures and internal control over financial reporting, as applicable.

A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities and information about how the Fund voted proxies relating to portfolio securities held during the twelve months ended June 30, 2006 is available (i) without charge, upon request by calling the Fund’s shareholder servicing agent at (800) 331-1710; (ii) on that Fund’s website at www.allianzinvestors.com/closedendfunds; and (iii) on the Securities and Exchange Commission website at www.sec.gov. Information on the Fund is available at www.allianzinvestors.com/closedendfunds or by calling the Fund’s shareholder servicing agent at (800) 331-1710.

 


ITEM 2. CODE OF ETHICS

          Not required in this filing.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT

          Not required in this filing.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES

          Not required in this filing.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANT

          Not required in this filing.

ITEM 6. SCHEDULE OF INVESTMENTS Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

          Not required in this filing.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES

          Not required in this filing.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED COMPANIES.

          None

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

     There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.

ITEM 11. 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 12. EXHIBITS

(a)      (1)      Exhibit 99.302 CERT – Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

(b)                Exhibit 99.906 Cert. - Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

Signature

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.

NFJ Dividend, Interest & Premium Strategy Fund

 

By
 /s/ Brian S. Shlissel   
 
 
  Brian S. Shlissel, President & Chief Executive Officer
     
  Date: October 3, 2006  
     
     
By
 /s/ Lawrence G. Altadonna   
 
 
  Lawrence G. Altadonna, Treasurer, Principal Financial & Accounting Officer
     
  Date: October 3, 2006  
     
     
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   
 
 
  Brian S. Shlissel, President & Chief Executive Officer
     
  Date: October 3, 2006  
     
     
By
 /s/ Lawrence G. Altadonna   
 
 
  Lawrence G. Altadonna, Treasurer, Principal Financial & Accounting Officer
     
  Date: October 3, 2006