c45747_nq -- Converted by SECPublisher 2.1.1.9, created by BCL Technologies Inc., for SEC Filing
  UNITED STATES    OMB APPROVAL   
  SECURITIES AND EXCHANGE COMMISSION    OMB Number: 3235-0578   
  Washington, DC 20549    Expires: February 28, 2007   
      Estimated average burden   
 
FORM N-Q 
  hours per response: 20.0  
         
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
     

Investment Company Act File Number: 811-21417

Registrant Name: NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND

Address of Principal Executive Offices: 1345 Avenue of the Americas New York, New York 10105

Name and Address of Agent for Service: Lawrence G. Altadonna - 1345 Avenue of the Americas New York, New York 10105

Registrant’s telephone number, including area code: 212-739-3371

Date of Fiscal Year End: January 31, 2007

Date of Reporting Period: October 31, 2006

Form N-Q is to be used by the registered management investment company, other than a small business investment company registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b 1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

ITEM 1. Schedule of Investments

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments     
October 31, 2006 (unaudited)     
 
Shares
       
(000)
      Value* 
COMMON STOCK-67.8%     
  Agriculture-2.2%     
400     Altria Group, Inc. (a)   
$
32,532,000 
300     Reynolds American, Inc.    18,948,000 
      51,480,000 
  Apparel-0.0%     
10     VF Corp.    760,100 
  Banking-5.3%     
400     Bank of America Corp. (a)    21,548,000 
600     Keycorp (a)    22,284,000 
950     Regions Financial Corp. (a)    36,052,500 
217     Wachovia Corp.    12,065,700 
750     Washington Mutual, Inc. (a)    31,725,000 
      123,675,200 
  Beverages-1.8%     
500     Anheuser-Busch Cos., Inc. (a)    23,710,000 
400     Coca-Cola Co.    18,688,000 
      42,398,000 
  Building Materials-1.2%     
1,000     Masco Corp. (a)    27,650,000 
  Chemicals-7.3%     
2,200     Dow Chemical Co. (a)    89,738,000 
3,200     Lyondell Chemical Co. (a)    82,144,000 
      171,882,000 
  Commercial Services-2.6%     
1,243     Deluxe Corp. (a)    28,178,810 
964     RR Donnelley & Sons Co. (a)    32,647,812 
      60,826,622 
  Computers-0.1%     
12     International Business Machines Corp.    1,117,193 
10     Seagate Technology, Inc.    225,800 
      1,342,993 
  Diversified Financial Services-1.3%     
150     Freddie Mac    10,348,500 
400     JP Morgan Chase & Co. (a)    18,976,000 
10     Morgan Stanley    764,300 
      30,088,800 
  Electric-3.7%     
800     DTE Energy Co.    36,344,000 
1,100     Progress Energy, Inc. (a)    50,600,000 
      86,944,000 
  Food-3.1%     
1,800     ConAgra Foods, Inc. (a)    47,070,000 
750     Supervalu, Inc. (a)    25,050,000 
      72,120,000 
  Gas-3.8%     
1,914     KeySpan Corp. (a)    77,649,830 
200     Sempra Energy    10,608,000 
      88,257,830 
  Hand/Machine Tools-0.6%     
300     Stanley Works    14,295,000 
 
  Home Furnishings-0.7%     
200     Whirlpool Corp.    17,386,000 
  Household Products-1.7%     
600     Kimberly-Clark Corp.    39,912,000 
  Insurance-3.8%     
600     Allstate Corp. (a)    36,816,000 
250     Lincoln National Corp. (a)    15,827,500 
700     St. Paul Travelers Cos., Inc. (a)    35,791,000 
      88,434,500 
  Machinery-Diversified-1.2%     
329     Deere & Co.    27,990,744 
  Media-0.8%     
626     CBS Corp.    18,128,016 

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
     
October 31, 2006 (unaudited)         
 
Shares
           
(000)
          Value* 
    Oil & Gas-15.6%         
1,000     Anadarko Petroleum Corp. (a)     
$ 
46,420,000 
1,000     Chevron Corp. (a)        67,200,000 
1,600     ConocoPhillips        96,384,000 
700     Marathon Oil Corp.        60,480,000 
1,100     Occidental Petroleum Corp.        51,634,000 
400     PetroChina Co., Ltd. ADR        44,156,000 
            366,274,000 
    Pharmaceuticals-6.2%         
600     GlaxoSmithKline PLC ADR        31,950,000 
1,061     Merck & Co., Inc. (a)        48,204,246 
2,500     Pfizer, Inc. (a)        66,625,000 
            146,779,246 
    Real Estate-0.0%         
10     Duke Realty Corp.-REIT        400,600 
 
    Telecommunications-4.4%         
500     AT&T, Inc. (a)        17,125,000 
1,700     Verizon Communications, Inc. (a)        62,900,000 
1,800     Windstream Corp.        24,696,000 
            104,721,000 
    Toys, Games & Hobbies-0.4%         
400     Mattel, Inc.        9,052,000 
 
    Total Common Stock (cost-$1,536,000,527)        1,590,798,651 
       
CONVERTIBLE BONDS & NOTES-13.5%         
Principal
           
Amount
      Credit Rating      
(000)
      (Moody's/S&P)      
    Airlines-0.9%         
$12,900     Continental Airlines, Inc., 4.50%, 2/1/07    Caa1/CCC+     13,545,000 
5,000     UAL Corp., 4.50%, 6/30/21(b)(c)    NR/NR     6,355,500 
            19,900,500 
    Commercial Services-1.3%         
5,000     Bowne & Co., Inc., 5.00%, 10/1/33   
B2/B- 
    5,368,000 
3,000     Quanta Services, Inc., 3.75%, 4/30/26 (b)(c)    NR/B     3,273,750 
13,400     Quebecor World USA, Inc., 6.00%, 10/1/07   
B3/B-
    13,215,750 
7,500     Vertrue Corp. Ltd., 5.50%, 10/1/10    NR/B-     9,431,250 
            31,288,750 
    Computers-1.2%         
15,750     Electronic Data Systems Corp., 3.875%, 7/15/23   
Ba1/BBB
    16,183,125 
10,100     Maxtor Corp., 6.80%, 4/30/10   
Ba1/NR
    11,248,875 
            27,432,000 
    Electric-0.5%         
3,500     PG&E Corp., 9.50%, 6/30/10    NR/NR     10,972,500 
 
    Electrical Components & Equipment-0.3%         
5,750     Artesyn Technologies, Inc., 5.50%, 8/15/10    NR/NR     7,872,325 
 
    Hotels/Gaming-0.9%         
8,500     Caesars Entertainment, Inc., 5.37375, 4/15/24 (d)    Baa3/BB+     10,415,900 
7,800     Hilton Hotels Corp., 3.375%, 4/15/23   
Ba2/BB
    10,500,750 
            20,916,650 
    Media-0.6%         
13,000     EchoStar Communications Corp., 5.75%, 5/15/08, GDR   
B1/B
    13,178,750 
 
    Oil & Gas-0.6%         
10,675     Devon Energy Corp., 4.95%, 8/15/08    Baa2/BBB     13,770,750 
 
    Pharmaceuticals-0.6%         
14,000     Sepracor, Inc., 5.00%, 2/15/07    NR/B-     14,000,000 
 
    Real Estate-0.5%         
6,500     Digital Realty Trust L.P., 4.125%, 8/15/26, REIT (b)(c)    NR/NR     7,250,100 
5,000     EOP Operating L.P., 4.00%, 7/15/26 (b)(c)    NR/BBB     5,518,750 
            12,768,850 
    Retail-0.5%         
12,800     Sonic Automotive, Inc., 5.25%, 5/7/09   
B2/B
    12,224,000 


NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
October 31, 2006 (unaudited)       
             
Principal
           
Amount
        Credit Rating    
(000)
        (Moody's/S&P)   Value* 
 
    Semi-conductors-0.5%       
$11,500     Fairchild Semiconductor Corp., 5.00%, 11/1/08    NR/B  
$
11,456,875 
           
    Telecommunications-4.1%       
11,000     American Tower Corp., 5.00%, 2/15/10   
Ba3/BB-
  11,027,500 
10,500     CenturyTel, Inc., 4.75%, 8/1/32   
Baa2/BBB
  11,169,375 
11,510     Ciena Corp., 3.75%, 2/1/08   
B2/B
  11,222,250 
5,855     Harris Corp., 3.50%, 8/15/22, GDR    Baa2/BBB   11,124,500 
13,300     Level 3 Communications, Inc., 6.00%, 3/15/10    Caa3/CCC-   12,103,000 
14,100     Lucent Technologies, Inc., 8.00%, 8/1/31   
B3/CCC+
  14,223,375 
14,000     Nextel Communications, Inc., 5.25%, 1/15/10    Baa3/BBB+   13,982,500 
11,500     Nortel Networks Corp., 4.25%, 9/1/08, GDR   
B3/B-
  11,097,500 
          95,950,000 
    Transportation-0.4%       
600     CSX Corp., 0.00%, 10/30/21    Baa2/BBB   773,250 
6,450     YRC Worldwide, Inc., 5.00%, 8/8/23   
Ba1/BBB- 
  8,320,500 
          9,093,750 
    Trucking/Leasing-0.6%       
11,900     GATX Corp., 7.50%, 2/1/07    Baa3/BBB   15,246,875 
 
    Total Convertible Bonds & Notes (cost-$311,779,897)      316,072,575 
       
 
CONVERTIBLE PREFERRED STOCK-9.6%       
Shares
         
(000)
         
    Automotive-0.6%       
575     General Motors Corp., 6.25%, 7/15/33    Caa1/B-   13,646,939 
 
    Banking-0.4%       
195     Washington Mutual Capital Trust, 5.375%, 5/1/41    Baa1/BBB   10,689,900 
 
    Commercial Services-0.3%       
175     United Rentals, Inc., 6.50%, 8/1/28   
B3/B- 
  8,540,951 
 
    Diversified Financial Services-0.9%   
   
293     E*Trade Financial Corp., 6.125%, 11/18/08   
Ba3/NR
  8,826,625 
430     Lehman Brothers Holdings, Inc., 6.25%, 10/15/07   
A1/A+ 
  11,825,000 
       
  20,651,625 
    Electric-1.6%   
   
244     AES Trust III, 6.75%, 10/15/29   
B3/B 
  11,802,235 
230     Entergy Corp., 7.625%, 2/17/09    NR/BBB   12,995,000 
48     NRG Energy, Inc., 5.75%, 3/16/09   
B2/CCC+
  11,923,781 
       
  36,721,016 
    Food-0.5%   
   
483     Albertson's, Inc., 7.25%, 5/16/07   
B1/B 
  12,150,162 
 
    Insurance-2.2%       
300     Genworth Financial, Inc., 6.00%, 5/16/07   
A2/A
  10,815,000 
405     Metlife, Inc., 6.375%, 8/15/08    NR/BBB+   11,987,214 
165     Platinum Underwriters Holdings Ltd., 6.00%, 2/15/09    NR/BB+   4,888,125 
450     PMI Group, Inc., 5.875%, 11/15/06   
A1/A 
  11,250,000 
535     XL Capital Ltd., 6.50%, 5/15/07   
A3/A-
  12,198,000 
          51,138,339 
    Oil & Gas-0.9%       
104     Chesapeake Energy Corp., 5.00%, 12/31/49    NR/B   11,319,650 
90     Hess Corp., 7.00%, 12/1/06   
Ba3/BB
  9,639,525 
          20,959,175 
    Pharmaceuticals-0.7%       
289     Schering-Plough Corp., 6.00%, 9/14/07    Baa3/BBB   15,934,364 
 
    Real Estate-0.5%       
465     FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A   
B2/B-
  11,688,150 
 
    Telecommunications-0.5%       
204     Crown Castle International Corp., 6.25%, 8/15/12    NR/NR   11,290,686 
 
    Waste Disposal-0.5%       
38     Allied Waste Industries, Inc., 6.25%, 3/1/08    Caa1/B   12,625,388 
 
    Total Convertible Preferred Stock (cost-$217,061,987)      226,036,695 

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments   
October 31, 2006 (unaudited)   
 
Principal
     
Amount
     
(000)
    Value*  
 
SHORT-TERM INVESTMENTS-10.9%   
    Time Deposits-10.9%   
$36,675     BNP Paribas— Grand Cayman, 4.61%, 11/1/06  $ 36,675,476  
12,202     Royal Bank of Canada—Grand Cayman, 4.61%, 11/1/06  12,202,376  
207,092     Societe Generale, 4.61%, 11/1/06  207,092,183  
 
   
Total Time Deposits (cost-$255,970,035) 
255,970,035  
 
 
 
    Total Investments, before call options written (cost-$2,320,812,446)- 101.8%  2,388,877,956  
     
 
 
 
 
CALL OPTIONS WRITTEN (e)-(1.5)%   
Contracts
     
    American Stock Exchange Morgan Stanley Cyclical Flex Index,   
200    
   strike price $817, expires 11/3/06
(756,600 ) 
200    
   strike price $875, expires 12/22/06
(148,000 ) 
    American Stock Exchange Morgan Stanley Cyclical Index,   
250    
      strike price $840, expires 11/18/06 
(531,250 ) 
250    
      strike price $870, expires 12/16/06 
(322,500 ) 
600    
      strike price $880, expires 12/16/06 
(546,000 ) 
200    
      strike price $890, expires 12/16/06 
(123,000 ) 
   
American Stock Exchange Oil Flex Index, 
 
200    
      strike price $1112, expires 11/10/06 
(622,200 ) 
200    
      strike price $1119.50, expires 11/10/06 
(519,200 ) 
200    
      strike price $1175, expires 1/5/06 
(549,200 ) 
200    
      strike price $1248, expires 11/3/06 
-  
   
 American Stock Exchange Oil Index, 
 
200    
      strike price $1105.50, expires 11/10/06 
(718,200 ) 
100    
      strike price $1110, expires 11/18/06 
(366,500 ) 
500    
      strike price $1120, expires 11/18/06 
(1,507,500 ) 
75    
      strike price $1130, expires 12/16/06 
(291,750 ) 
100    
      strike price $1130, expires 11/18/06 
(242,500 ) 
200    
      strike price $1134, expires 12/01/06 
(622,200 ) 
175    
      strike price $1140, expires 12/16/06 
(590,625 ) 
150    
      strike price $1180, expires 12/16/06 
(264,000 ) 
200    
      strike price $1190, expires 12/16/06 
(293,000 ) 
150    
      strike price $1200, expires 12/16/06 
(182,250 ) 
150    
      strike price $1210, expires 12/16/06 
(150,000 ) 
    Pharmaceutical HOLDRS,   
5,000    
      strike price $100.60, expires 1/5/07 
(770,000 ) 
5,000    
      strike price $101.25, expires 11/24/06 
(510,000 ) 
    Philadelphia Stock Exchange KBW Bank Sector Flex Index,   
2,000    
      strike price $112, expires 11/3/06 
(380,000 ) 
1,300    
      strike price $112.50, expires 11/3/06 
(189,800 ) 
1,500    
      strike price $114.38, expires 11/10/06 
(102,000 ) 
2,000    
      strike price $115, expires 12/22/06 
(362,000 ) 
    Philadelphia Stock Exchange KBW Bank Sector Index,   
4,000    
      strike price $115, expires 11/18/06 
(240,000 ) 
4,000    
      strike price $115, expires 12/16/06 
(580,000 ) 
1,500    
      strike price $115, expires 12/1/06 
(183,000 ) 
    Philadelphia Stock Exchange Utility Flex Index,   
450    
      strike price $466, expires 11/3/06 
(706,950 ) 
   
Philadelphia Stock Exchange Utility Index, 
 
1,100    
      strike price $455, expires 11/18/06 
(2,893,000 ) 
875    
      strike price $460, expires 11/18/06 
(1,881,250 ) 
150    
      strike price $465, expires 11/18/06 
(250,500 ) 
400    
      strike price $480, expires 12/16/06 
(320,000 ) 
100    
      strike price $485, expires 12/16/06 
(53,000 ) 
   
      Standard & Poors 500 Flex Index, 
 
200    
      strike price $1323, expires 11/03/06 
(1,086,600 ) 
200    
      strike price $1344, expires 12/1/06 
(849,200 ) 
200    
      strike price $1347, expires 12/1/06 
(799,800 ) 
200    
      strike price $1355, expires 12/1/06 
(672,200 ) 
250    
      strike price $1389, expires 12/22/06 
(467,725 ) 

 

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
  
October 31, 2006 (unaudited)  
 
Contracts      Value*  
 
    Standard & Poors 500 Index,     
150       strike price $1320, expires 11/18/06  
$
(898,500 ) 
250       strike price $1325, expires 11/18/06    (1,377,500 ) 
250       strike price $1330, expires 11/18/06    (1,260,000 ) 
550       strike price $1335, expires 11/18/06    (2,519,000 ) 
550       strike price $1340, expires 11/18/06    (2,266,000 ) 
200       strike price $1360, expires 12/16/06    (686,000 ) 
100       strike price $1380, expires 12/16/06    (212,000 ) 
250       strike price $1385, expires 12/16/06    (457,500 ) 
350       strike price $1390, expires 12/16/06    (549,500 ) 
50       strike price $1395, expires 12/16/06    (67,000 ) 
150       strike price $1400, expires 12/16/06    (168,000 ) 
    Telecommunication Basket Index,     
5,000       strike price $102, expires 12/8/06    (1,185,000 ) 
5,000       strike price $102.50, expires 12/8/06    (820,000 ) 
 
 
    Total Call Options Written (premiums received-$21,863,824)    (35,109,500 ) 
 
 
    Total Investments, net of call options written (cost-$2,298,948,622) -100.3%    2,353,768,456  
 
    Liabilities in excess of other assets-(0.3)%    (6,444,547 ) 
 
    Net Assets-100.0%   
$
2,347,323,909  
 

____________________________________________________________
Notes to Schedule of Investments:

*      Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, 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 using the last sale price on the exchange that is the primary market for such securities, or the quoted mean 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 or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold. The Fund's net asset value is determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business.
 
(a) All or partial amount segregated as collateral for call options written.
(b) 144A Security-Security exempt from registration under Rule 144A of the Securities Act of 1933.
  These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers.
Unless otherwise indicated, these securities are not considered to be illiquid.
(c) Private Placement. Restricted as to resale and may not have a readily available market.
(d) Variable rate security. Interest rate disclosed reflects the rate in effect on October 31, 2006.
(e) Non-income producing.
 

Glossary:
ADR-American Depositary Receipt
GDR-Global Depositary Receipt
NR-Not Rated
REIT-Real Estate Investment Trust



Item 2. Controls and Procedures

a) The registrant's President and Chief Executive Officer and Principal Financial Officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

(b) There were no significant changes in the registrant's internal controls or in factors that could affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 3. Exhibits

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





SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: NFJ Dividend, Interest & Premium Strategy Fund

By /s/ Brian S. Shlissel
President & Chief Executive Officer

Date: December 26, 2006

By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer

Date: December 26, 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 dated indicated.

By /s/ Brian S. Shlissel
President & Chief Executive Officer

Date: December 26, 2006

By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer

Date: December 26, 2006