UNITED STATES    OMB APPROVAL   
SECURITIES AND EXCHANGE COMMISSION    OMB Number: 3235-0578   
Washington, DC 20549    Expires: May 31, 2007   
    Estimated average burden   
FORM N-Q 
  hours per response: 21.09   
       
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
     

Investment Company Act File Number: 811-21417

Registrant Name: NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND

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

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

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

Date of Fiscal Year End: 1/31/07

Date of Reporting Period: 4/30/06

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
April 30, 2006 (unaudited)
         
Shares
         
(000)
     
Value*
 
 
COMMON STOCK-69.0%
     
  Agriculture-2.0%       
600
  Altria Group, Inc. (a)   
$43,896,000 
 
10
  Reynolds American, Inc.    1,096,500   
 
      44,992,500   
 
  Apparel-0.8%       
300
  VF Corp.    18,357,000   
 
  Banking-6.2%       
719
  Bank of America Corp. (a)    35,902,464   
1,000
  Keycorp (a)    38,220,000   
950
  Regions Financial Corp. (a)    34,684,500   
750
  Washington Mutual, Inc. (a)    33,795,000   
 
      142,601,964   
 
  Beverages-2.6%       
1,000
  Anheuser-Busch Cos., Inc. (a)    44,580,000   
380
  Coca-Cola Co.    15,932,212   
 
      60,512,212   
 
  Building Materials-0.7%       
544
  Masco Corp. (a)    17,359,980   
 
  Chemicals-7.3%       
2,000
  Dow Chemical Co. (a)    81,220,000   
3,600
  Lyondell Chemical Co. (a)    86,760,000   
 
      167,980,000   
 
  Commercial Services-2.1%       
1,243
  Deluxe Corp. (a)    29,633,120   
591
  RR Donnelley & Sons Co. (a)    19,924,266   
 
      49,557,386   
 
  Computers-0.0%       
10
  Seagate Technology, Inc.    265,600   
 
  Electric-4.0%       
1,100
  DTE Energy Co.    44,858,000   
1,100
  Progress Energy, Inc. (a)    47,080,000   
 
      91,938,000   
 
  Financial Services-2.1%       
241
  Freddie Mac    14,684,930   
400
  JP Morgan Chase & Co. (a)    18,152,000   
250
  Morgan Stanley    16,075,000   
 
      48,911,930   
 
  Food-2.3%       
2,300
  ConAgra Foods, Inc. (a)    52,164,000   
 
  Hand/Machine Tools-1.0%       
430
  Stanley Works    22,488,400   
 
  Home Furnishings-0.0%       
10
  Whirlpool Corp.    897,500   
 
  Household Products-1.8%       
700
  Kimberly-Clark Corp.    40,971,000   
 
  Insurance-5.1%       
800
  Allstate Corp. (a)    45,192,000   
500
  Lincoln National Corp. (a)    29,040,000   
1,000
  St. Paul Travelers Cos., Inc.    44,030,000   
 
      118,262,000   
 
 

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
April 30, 2006 (unaudited)
             
Shares
             
(000) 
         
Value*
 
 
  Oil & Gas-15.3%           
400
  Anadarko Petroleum Corp. (a)        $41,928,000   
1,400
  Chevron Corp. (a)        85,428,000   
1,100
  ConocoPhillips        73,590,000   
1,914
  KeySpan Corp. (a)        77,267,130   
500
  Marathon Oil Corp.        39,680,000   
250
  Occidental Petroleum Corp.        25,685,000   
10
  PetroChina Co., Ltd. ADR        1,124,000   
10
  Petroleo Brasileiro S.A. ADR        988,300   
200
  Sempra Energy        9,204,000   
 
          354,894,430   
 
  Pharmaceuticals-8.2%           
400
  GlaxoSmithKline PLC ADR        22,752,000   
2,400
  Merck & Co., Inc. (a)        82,608,000   
3,300
  Pfizer, Inc. (a)        83,589,000   
 
          188,949,000   
 
  Real Estate-0.0%           
10
  Duke Realty Corp.-REIT        354,000   
 
  Retail-1.7%           
1,500
  Limited Brands, Inc. (a)        38,460,000   
 
  Telecommunications-5.1%           
10
  Alltel Corp.        643,700   
1,000
  AT&T, Inc. (a)        26,210,000   
2,750
  Verizon Communications, Inc. (a)        90,832,500   
 
          117,686,200   
 
  Toys, Games & Hobbies-0.7%           
1,059
  Mattel, Inc.        17,129,766   
 
  Total Common Stock (cost-$1,585,246,792)        1,594,732,868   
         
 
CONVERTIBLE BONDS & NOTES-13.5% 
         
Principal
             
Amount
      Credit Rating        
(000)
      (Moody's/S&P)        
 
  Aerospace-0.2%           
$   3,500
  GenCorp, Inc., 4.00%, 1/16/24    Caa2/B-     4,711,875   
 
  Airlines-0.5%           
12,900
  Continental Airlines, Inc., 4.50%, 2/1/07    Caa2/CCC+     12,658,125   
 
  Commercial Services-1.3%           
5,000
  Bowne & Co., Inc., 5.00%, 10/1/33   
B2/B-
    5,369,000   
2,000
  Quanta Services, Inc., 4.00%, 7/1/07    NR/NR     1,975,000   
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-     8,756,250   
 
          29,349,500   
 
  Computers-1.0%           
11,250
  Electronic Data Systems Corp., 3.875%, 7/15/23   
Ba1/BBB-
    11,742,188   
10,100
  Maxtor Corp., 6.80%, 4/30/10   
B2/NR
    11,602,375   
 
          23,344,563   
 
  Electric-0.4%           
3,500
  PG&E Corp., 9.50%, 6/30/10    NR/NR     10,220,000   
 
  Electrical Components & Equipment-0.3%           
5,750
  Artesyn Technologies, Inc., 5.50%, 8/15/10    NR/NR     7,863,125   
 
  Financial Services-0.0%           
21
  E*Trade Financial Corp., 6.00%, 2/1/07    NR/NR     21,181   
 
  Household Products-0.3%           
4,900
  American Greetings Corp., 7.00%, 7/15/06   
Ba2/BB+
    8,036,000   
 
  Insurance-0.1%           
1,600
  American Equity Investment Life Holding Co., 5.25%, 12/6/24    NR/BB+     1,936,000   
 

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
April 30, 2006 (unaudited)
 
Principal
             
Amount
      Credit Rating        
(000)
      (Moody's/S&P)    
Value*
 
 
  Media-0.6%           
$13,000
  EchoStar Communications Corp., 5.75%, 5/15/08, GDR   
B2/B
    $12,886,250   
 
  Metals & Mining-0.5%           
5,060
  Freeport-McMoRan Copper & Gold, Inc., 7.00%, 2/11/11    NR/B+     10,954,900   
 
  Miscellaneous Manufacturing-0.1%           
2,435
  Tyco International Group S.A., 3.125%, 1/15/23    Baa3/BBB+     3,065,056   
 
  Oil & Gas-0.7%           
9,675
  Devon Energy Corp., 4.95%, 8/15/08    Baa2/BBB     11,634,188   
800
  Halliburton Co., 3.125%, 7/15/23    Baa1/BBB+     1,689,000   
1,000
  Hanover Compressor Co., 4.75%, 3/15/08   
B3/B
    976,250   
500
  Schlumberger Ltd., 1.50%, 6/1/23   
A1/A+
    961,875   
 
          15,261,313   
 
  Pharmaceuticals-1.4%           
6,000
  Ligand Pharmaceuticals, Inc., 6.00%, 11/16/07    NR/NR     11,985,000   
6,000
  Omnicare, Inc., 3.25%, 12/15/35   
B1/BB+
    5,917,500   
14,000
  Sepracor, Inc., 5.00%, 2/15/07    NR/B-     13,965,000   
 
          31,867,500   
 
  Retail-0.6%           
12,800
  Sonic Automotive, Inc., 5.25%, 5/7/09   
B/B3
    12,672,000   
 
  Semi-conductors-1.0%           
11,850
  Amkor Technology, Inc., 5.75%, 6/1/06, GDR    Caa3/CCC     11,909,250   
11,500
  Fairchild Semiconductor Corp., 5.00%, 11/1/08    NR/B     11,428,125   
 
          23,337,375   
 
  Telecommunications-3.4%           
11,000
  American Tower Corp., 5.00%, 2/15/10   
B/BB-1
    10,958,750   
10,500
  CenturyTel, Inc., 4.75%, 8/1/32   
Baa2/BBB
    10,972,500   
5,410
  Ciena Corp., 3.75%, 2/1/08   
B2/B
    5,240,937   
6,260
  Harris Corp., 3.50%, 8/15/22, GDR   
Baa2/BBB
    13,020,800   
14,100
  Lucent Technologies, Inc., 8.00%, 8/1/31   
B3/CCC+
    14,276,250   
14,000
  Nextel Communications, Inc., 5.25%, 1/15/10   
Baa2/A-
    13,877,500   
11,500
  Nortel Networks Corp., 4.25%, 9/1/08, GDR   
B3/B-
    10,953,750   
 
          79,300,487   
 
  Transportation-1.1%           
11,450
  GATX Corp., 7.50%, 2/1/07, GDR    Baa3/BBB     16,244,687   
6,450
  YRC Worldwide, Inc., 5.00%, 8/8/23   
Ba1/BBB- 
    8,594,625   
 
          24,839,312   
 
  Total Convertible Bonds & Notes (cost-$306,823,248)        312,324,562   
         
 
CONVERTIBLE PREFERRED STOCK-10.4% 
         
Shares
             
(000)
             
 
  Automotive-0.2%           
171
  Ford Motor Co. Capital Trust II, 6.50%, 1/15/32   
B2/B-
    4,770,900   
 
  Banking-0.5%           
210
  Washington Mutual Capital Trust, 5.375%, 5/3/41    Baa1/BBB     11,774,700   
 
  Chemicals-0.3%           
150
  Huntsman Corp., 5.00%, 2/16/08    NR/NR     6,407,135   
 
  Commercial Services-0.5%           
245
  United Rentals, Inc., 6.50%, 8/1/28    Caa2/B-     11,698,750   
 
               

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
April 30, 2006 (unaudited)
Shares
     
Credit Rating
     
(000)
     
(Moody's/S&P)
 
Value* 
 
 
  Electric-1.0%   
     
244
  AES Trust III, 6.75%, 10/15/29   
B3/B
  $11,194,426   
48
  NRG Energy, Inc., 5.75%, 3/16/09   
B3/CCC+
  11,947,906   
 
     
  23,142,332   
 
  Financial Services-0.9%           
323
  E*Trade Financial Corp., 6.125%, 11/18/08   
B3/NR 
  10,416,750   
430
  Lehman Brothers Holdings, Inc., 6.25%, 10/15/07   
A1/A+
  11,184,300   
           
 
            21,601,050   
           
 
  Food-0.5%   
     
483
  Albertson's, Inc., 7.25%, 5/16/07   
Ba3/BBB-
  11,937,510   
 
  Insurance-2.2%   
     
300
  Genworth Financial, Inc., 6.00%, 5/16/07   
A2/A
  10,881,000   
405
  Metlife, Inc., 6.375%, 8/15/08   
NR/BBB+
  11,339,694   
165
  Platinum Underwriters Holdings Ltd., 6.00%, 2/15/09   
NR/BB+
  4,620,000   
450
  PMI Group, Inc., 5.875%, 11/15/06   
A1/A
  11,868,750   
495
  XL Capital Ltd., 6.50%, 5/15/07   
A3/A- 
  10,919,700   
 
     
  49,629,144   
 
  Iron/Steel-0.7%   
     
71
  United States Steel Corp., 7.00%, 6/15/06, Ser. B   
NR/B
  15,439,500   
 
  Office/Business Equipment-0.5%   
     
95
  Xerox Corp., 6.25%, 7/1/06   
B1/B+
  10,973,862   
 
  Oil & Gas-1.0%   
     
90
  Hess Corp., 7.00%, 12/1/06   
Ba3/BB
  10,891,083   
113
  Chesapeake Energy Corp., 5.00%, 12/31/49   
B2/B
  12,893,884   
 
     
  23,784,967   
 
  Pharmaceuticals-0.5%   
     
235
  Schering-Plough Corp., 6.00%, 9/14/07   
Baa3/BBB
  12,047,772   
 
  Real Estate-0.5%   
     
465
  FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A   
B2/CCC+
  11,571,850   
 
  Telecommunications-0.5%   
     
204
  Crown Castle International Corp., 6.25%, 8/15/12   
NR/NR
  11,265,199   
 
  Waste Disposal-0.6%   
     
38
  Allied Waste Industries, Inc., 6.25%, 3/1/08   
Caa3/B
  14,625,638   
 
  Total Convertible Preferred Stock (cost-$237,163,799)   
  240,670,309   
     
 
SHORT-TERM INVESTMENTS-8.3% 
 
     
Principal
     
     
Amount
     
     
(000
     
     
  Time Deposits-8.3%   
     
$   59,605
    BNP Paribas— Grand Cayman, 4.14%, 5/01/06   
  59,605,431   
4,384
    JP Morgan Chase & Co.—Grand Cayman, 4.14%, 5/01/06   
  4,383,853   
110,406
    Rabobank—Grand Cayman, 4.14%, 5/01/06   
  110,406,010   
17,754
    Societe Generale, 4.14%, 5/01/06   
  17,753,587   
 
  Total Time Deposits (cost-$192,148,881)   
  192,148,881   
 
  Total Investments before call options written (cost-$2,321,382,720)- 101.2%   
  2,339,876,620   
 

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
April 30, 2006 (unaudited)
           
Contracts 
     
Value*
 
 
CALL OPTIONS WRITTEN (b)-(1.1)% 
   
 
American Stock Exchange Morgan Stanley Cyclical Index,     
650 
 
strike price $820, expires 5/20/06 
  $(2,125,500 ) 
150 
 
strike price $830, expires 5/20/06 
  (366,000 ) 
200 
 
strike price $842, expires 6/2/06 
  (348,200 ) 
350 
 
strike price $860, expires 6/17/06 
  (423,500 ) 
150 
 
strike price $870, expires 6/17/06 
  (120,000 ) 
American Stock Exchange Oil Index, 
   
150 
 
strike price $1090, expires 5/5/06 
  (576,000 ) 
100 
 
strike price $1090, expires 5/20/06 
  (484,000 ) 
200 
 
strike price $1100, expires 5/5/06 
  (597,200 ) 
300 
 
strike price $1100, expires 5/20/06 
  (1,260,000 ) 
100 
 
strike price $1110, expires 5/20/06 
  (343,000 ) 
100 
 
strike price $1120, expires 5/20/06 
  (278,000 ) 
100 
 
strike price $1130, expires 5/20/06 
  (232,000 ) 
200 
 
strike price $1200, expires 6/17/06 
  (252,000 ) 
200 
 
strike price $1210, expires 6/17/06 
  (190,000 ) 
200 
 
strike price $1220, expires 6/17/06 
  (154,000 ) 
300 
 
strike price $1230, expires 6/17/06 
  (174,000 ) 
American Stock Exchange Pharmaceutical Index, 
   
1,000 
 
strike price $339.50, expires 5/12/06 
  (29,630 ) 
500 
 
strike price $340, expires 5/20/06 
  (15,000 ) 
Financial Basket Index, 
   
5,000 
 
strike price $100.85, expires 5/12/06 
  (1,445,000 ) 
Pharmaceutical HOLDRS, 
   
5,000 
 
strike price $101, expires 6/23/06 
  (1,245,000 ) 
5,000 
 
strike price $101.25, expires 5/5/06 
  (165,000 ) 
Philadelphia Stock Exchange KBW Bank Sector Index, 
   
4,000 
 
strike price $107.50, expires 5/20/06 
  (2,280,000 ) 
2,000 
 
strike price $107.50, expires 6/17/06 
  (1,240,000 ) 
2,000 
 
strike price $107.75, expires 5/5/06 
  (1,026,000 ) 
2,000 
 
strike price $108.75, expires 5/12/06 
  (850,000 ) 
3,500 
 
strike price $110, expires 5/20/06 
  (1,225,000 ) 
3,000 
 
strike price $110, expires 6/17/06 
  (1,230,000 ) 
1,500 
 
strike price $112.50, expires 6/17/06 
  (356,250 ) 
Philadelphia Stock Exchange Utility Index, 
   
200 
 
strike price $420, expires 6/17/06 
  (174,000 ) 
1,100 
 
strike price $425, expires 6/17/06 
  (693,000 ) 
900 
 
strike price $430, expires 5/20/06 
  (153,000 ) 
180 
 
strike price $430, expires 6/17/06 
  (79,200 ) 
100 
 
strike price $435, expires 5/20/06 
  (8,000 ) 
300 
 
strike price $440, expires 5/20/06 
  (9,000 ) 
Standard & Poors 500 Flex Index, 
   
250 
 
strike price $1315, expires 5/12/06 
  (204,515 ) 
Standard & Poors 500 Index, 
   
200 
 
strike price $1300, expires 5/5/06 
  (298,746 ) 
200 
 
strike price $1300, expires 5/20/06 
  (447,000 ) 
100 
 
strike price $1305, expires 5/20/06 
  (188,000 ) 
100 
 
strike price $1310, expires 6/17/06 
  (247,500 ) 
500 
 
strike price $1315, expires 5/20/06 
  (620,000 ) 
100 
 
strike price $1315, expires 6/17/06 
  (216,500 ) 
600 
 
strike price $1320, expires 5/20/06 
  (582,000 ) 
350 
 
strike price $1320, expires 6/17/06 
  (658,000 ) 
550 
 
strike price $1325, expires 6/17/06 
  (877,250 ) 
200 
 
strike price $1330, expires 6/17/06 
  (250,000 ) 
300 
 
strike price $1425, expires 5/20/06 
  (220,500 ) 
Telecommunication Basket Index, 
   
5,000 
 
strike price $100.80, expires 6/2/06 
  (155,000 ) 
5,000 
 
strike price $101, expires 6/2/06 
  (155,000 ) 
     
 
 
Total Call Options Written (premiums received-$18,949,560) 
  (25,266,491 ) 
 
         
 
Total Investments net of call options written (cost-$2,302,433,160) -100.1% 
  2,314,610,129  
 
Liabilities in excess of other assets-(0.1)% 
  (2,439,292 ) 
 
 
Net Assets-100.0% 
  $2,312,170,837  
 

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
April 30, 2006 (unaudited)

Notes to Schedule of Investments:
*      Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, may be fair-valued, in good faith, pursuant to guidelines established by the Board of Trustees. The Fund's investments are valued daily using prices supplied by an independent pricing service or dealer quotations, using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Exchange traded options are valued at the settlement price determined by the relevant exchange. Short-term investments maturing in 60 days or less are valued at amortized cost, if their original 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)  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.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, 2006

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

Date: June 20, 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: June 20, 2006

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

Date: June 20, 2006