UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

   OMB APPROVAL 
OMB Number: 3235-0578
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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act File Number: 811-21417

Registrant Name: NFJ DIVIDEND, INTEREST & PREMIUM STRATEGY FUND

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

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

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

Date of Fiscal Year End: January 31, 2008

Date of Reporting Period: April 30, 2007

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, 2007 (unaudited)
           
Shares
         
(000)
                
Value*
 COMMON STOCK-74.1%
    Agriculture-3.5%      
               650   Altria Group, Inc.  
$
                44,798,000
650   Reynolds American, Inc. (a)     41,769,000
          86,567,000
    Apparel-0.9%      
250   VF Corp.     21,952,500
 
    Banking-7.6%      
900   Bank of America Corp. (a)     45,810,000
900   KeyCorp (a)     32,112,000
1,200   Regions Financial Corp. (a)     42,108,000
650   Wachovia Corp.     36,101,000
750   Washington Mutual, Inc. (a)     31,485,000
          187,616,000
    Beverages-1.8%      
500   Anheuser-Busch Cos., Inc. (a)     24,595,000
400   Coca-Cola Co.     20,876,000
          45,471,000
    Chemicals-4.3%      
2,400   Dow Chemical Co. (a)     107,064,000
 
    Commercial Services-0.7%      
36   Deluxe Corp.     1,377,740
400   RR Donnelley & Sons Co. (a)     16,080,000
          17,457,740
    Computers-3.3%      
400   International Business Machines Corp.     40,884,000
1,800   Seagate Technology, Inc. (a)     39,870,000
          80,754,000
    Diversified Financial Services-2.7%      
350   Freddie Mac     22,673,000
400   JP Morgan Chase & Co. (a)     20,840,000
276   Morgan Stanley     23,211,963
          66,724,963
    Electric-1.7%      
625   TXU Corp.     41,007,174
 
    Food-1.9%      
384   HJ Heinz Co.     18,085,529
811   Kraft Foods, Inc.     27,134,450
50   Supervalu, Inc.     2,295,000
          47,514,979
    Gas-2.9%      
1,300   KeySpan Corp. (a)     53,833,000
300   Sempra Energy     19,044,000
          72,877,000
    Hand/Machine Tools-2.1%      
900   Stanley Works     52,452,000
 
    Home Furnishings-0.0%      
10   Whirlpool Corp.     1,060,300
 
    Household Products-1.3%      
450   Kimberly-Clark Corp.     32,026,500
 
    Insurance-3.7%      
700   Allstate Corp. (a)     43,624,000
400   Lincoln National Corp. (a)     28,460,000
350   Travelers Cos., Inc.     18,935,000
          91,019,000
    Machinery-0.7%      
150   Deere & Co.     16,410,000

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
April 30, 2007 (unaudited)
               
Shares
             
(000)
                        
Value*
    Media-2.0%          
1,600   CBS Corp.       $                50,825,646
 
    Oil & Gas-16.1%          
1,300   Anadarko Petroleum Corp. (a)         60,658,000
725   Chevron Corp. (a)         56,397,750
1,000   ConocoPhillips         69,350,000
372   Marathon Oil Corp.         37,725,825
1,500   Occidental Petroleum Corp.         76,050,000
550   PetroChina Co., Ltd. ADR         61,677,000
               352   Petroleo Brasileiro SA ADR         35,663,329
              397,521,904
    Pharmaceuticals-8.4%          
1,000   GlaxoSmithKline PLC ADR         57,780,000
1,000   Merck & Co., Inc. (a)         51,440,000
3,700   Pfizer, Inc. (a)         97,902,000
              207,122,000
    Real Estate-0.0%          
10   Duke Realty Corp.—REIT         431,100
 
    Telecommunications-6.1%          
500   AT&T, Inc. (a)         19,360,000
1,500   Verizon Communications, Inc. (a)         57,270,000
5,000   Windstream Corp. (a)         73,100,000
              149,730,000
    Toys, Games & Hobbies-0.5%          
400   Mattel, Inc.         11,320,000
 
    Transportation-1.9%          
900   Norfolk Southern Corp.         47,916,000
 
    Total Common Stock (cost-$1,692,712,196)         1,832,840,806

 
CONVERTIBLE PREFERRED STOCK-15.4%
        Credit Rating      
        (Moody's/S&P)      
    Agriculture-0.5%          
117   Bunge Ltd., 4.875%, 12/31/49   Ba1/BB     12,928,675
 
    Automotive-0.5%          
575   General Motors Corp., 6.25%, 7/15/33, Ser. C   Caa1/B-     13,215,802
 
    Banking-0.4%          
195   Washington Mutual Capital Trust, 5.375%, 5/3/41, Ser. UNIT   A3/BBB     10,781,550
 
    Commercial Services-0.3%          
161   United Rentals, Inc., 6.50%, 8/1/28   B3/B-     7,937,130
 
    Diversified Financial Services-6.5%          
416   E*Trade Financial Corp., 6.125%, 11/18/08   Ba3/NR     12,064,000
    Goldman Sachs Group, Inc.,          
495      12.00%, 12/12/07, Ser. CSCO   Aa3/NR     12,701,516
608      20.00%, 12/31/07, Ser. TWX   Aa3/NR     11,878,146
322      20.00%, 3/6/08, Ser. DISH   Aa3/NR     13,749,318
120   Lazard Ltd., 6.625%, 5/15/08   Ba1/NR     5,541,948
    Lehman Brothers Holdings, Inc.,          
430      6.25%, 10/15/07, Ser. GIS   A1/A+     12,126,000
144      8.00%, 3/9/08, Ser. AAPL   A1/A+     13,627,941
206      20.00%, 8/15/07, Ser. UTX   A1/A+     12,138,885
389      20.00%, 2/24/08, Ser. HPQ   A1/A+     16,056,123
    Morgan Stanley,          
184      20.00%, 12/15/07, Ser. XOM   Aa3/A+     13,368,995
337      20.00%, 1/31/08, Ser. T   Aa3/A+     12,401,938
26      20.00%, 3/8/08, Ser. GOOG   NR/NR     11,760,141
362      20.00%, 3/24/08, Ser. DIS   Aa3/NR     12,487,527
              159,902,478

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
April 30, 2007 (unaudited)
               
Shares
      Credit Rating      
(000)
               (Moody's/S&P)        
Value*
    Electric-1.8%          
               244   AES Trust III, 6.75%, 10/15/29   B3/B   $                12,197,677
230   Entergy Corp., 7.625%, 2/17/09   NR/BBB     15,939,000
48   NRG Energy, Inc., 5.75%, 3/16/09   B2/CCC+     16,935,750
              45,072,427
    Insurance-1.8%          
300   Genworth Financial, Inc., 6.00%, 5/16/07   A2/A     11,583,000
405   Metlife, Inc., 6.375%, 8/15/08   NR/BBB+     13,310,583
165   Platinum Underwriters Holdings Ltd., 6.00%, 2/15/09, Ser. A   NR/BB+     5,341,875
    XL Capital Ltd.,          
386  
       6.50%, 5/15/07
  A3/A-     9,841,788
136  
       7.00%, 2/15/09
  A3/A-     3,733,250
              43,810,496
    Metals & Mining-0.5%          
121   Freeport-McMoRan Copper & Gold, Inc., 6.75%, 5/1/10   NR/B+     13,165,902
 
    Oil & Gas-0.5%          
104   Chesapeake Energy Corp., 5.00%, 12/31/49   NR/B     11,605,237
 
    Pharmaceuticals-0.7%          
239   Schering-Plough Corp., 6.00%, 9/14/07   Baa3/BBB     17,267,922
 
    Real Estate-0.5%          
465   FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A,—REIT   B2/B-     12,037,050
 
    Retail-0.3%          
5   Blockbuster, Inc., 7.50%, 12/31/49   NR/NR     6,955,200
 
    Telecommunications-0.6%          
239   Crown Castle International Corp., 6.25%, 8/15/12   NR/NR     13,736,462
 
    Waste Disposal-0.5%          
38   Allied Waste Industries, Inc., 6.25%, 3/1/08, Ser. D   B3/B     13,487,400
 
    Total Convertible Preferred Stock (cost-$355,665,500)         381,903,731

 
 CONVERTIBLE BONDS & NOTES-8.9%
Principal              
Amount       Credit Rating      
(000)
      (Moody's/S&P)      
    Airlines-0.5%          
$8,945   UAL Corp., 4.50%, 6/30/21 (b)(c)   NR/CCC+     11,985,584
 
    Banking-0.4%          
10,000   UBS AG Jersey, 22.00%, 8/15/07 (b)(c)   NR/NR     9,900,000
 
    Commercial Services-1.5%          
3,000   Quanta Services, Inc., 3.75%, 4/30/26 (b)(c)   NR/B     4,170,000
7,930   Quanta Services, Inc., 3.75%, 4/30/26 GDR   NR/B     11,022,700
13,400   Quebecor World USA, Inc., 6.00%, 10/1/07   Caa1/B-     13,366,500
7,500   Vertrue, Inc., 5.50%, 10/1/10   NR/B-     9,328,125
              37,887,325
    Computers-1.6%          
10,000   DST Systems, Inc., 4.125%, 8/15/23   NR/NR     16,775,000
11,750   Electronic Data Systems Corp., 3.875%, 7/15/23   Ba1/BBB-     12,278,750
10,100   Maxtor Corp., 6.80%, 4/30/10   Ba1/NR     11,046,875
              40,100,625
    Electric-0.5%          
3,500   PG&E Corp., 9.50%, 6/30/10   NR/NR     12,691,875
 
    Electrical Components & Equipment-0.0%          
750   General Cable Corp., 0.875%, 11/15/13   B1/B+     971,250
 
    Hotel/Gaming-0.3%          
2,300   Hilton Hotels Corp., 3.375%, 4/15/23   Ba1/BB+     3,544,875
1,695   Mandalay Resort Group, 6.10%, 3/21/33 (d)   Ba2/BB     2,398,425
              5,943,300

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
April 30, 2007 (unaudited)
Principal
                          
Amount
      Credit Rating      
(000)
      (Moody's/S&P)    
Value*
    Oil & Gas-0.5%          
$8,825   Devon Energy Corp., 4.95%, 8/15/08   Baa2/BBB  
$
                12,928,625 
 
    Real Estate-0.5%          
9,500
  Digital Realty Trust L.P., 4.125%, 8/15/26,—REIT (b)(c)   NR/NR     12,498,295 
 
    Retail-0.5%          
12,800   Sonic Automotive, Inc., 5.25%, 5/7/09   B2/B     12,624,000 
 
    Semi-conductors-0.2%          
4,000
  Intel Corp., 2.95%, 12/15/35   NR/A-     3,660,000 
 
    Telecommunications-2.4%          
10,500   CenturyTel, Inc., 4.75%, 8/1/32   Baa2/BBB     12,455,625 
5,855
  Harris Corp., 3.50%, 8/15/22 GDR   Baa2/BBB+     13,327,444 
13,300   Level 3 Communications, Inc., 6.00%, 3/15/10   Caa3/CCC     12,751,375 
14,000   Nextel Communications, Inc., 5.25%, 1/15/10   Baa3/BBB     14,017,500 
6,500
  Nortel Networks Corp., 4.25%, 9/1/08 GDR   B3/B-     6,443,125 
              58,995,069 
 
    Total Convertible Bonds & Notes (cost-$201,201,685)         220,185,948 
 
 
 SHORT-TERM INVESTMENT-4.3%
    Time Deposits-4.3%          
97,248   Societe Generale—Grand Cayman, 4.63%, 5/1/07         97,248,209 
8,222
  Citbank—Nassau, 4.63%, 5/1/07         8,222,448 
    Total Time Deposits (cost-$105,470,657)         105,470,657 
 
 
    Total Investments, before call options written (cost-$2,355,050,038)- 102.7%     2,540,401,142 
 
 
 
 CALL OPTIONS WRITTEN (e)-(1.8)%
Contracts
             
    American Stock Exchange Morgan Stanley Cyclical Flex Index,          
               250
   strike price $975, expires 6/1/07         (863,750)
250
   strike price $977, expires 6/1/07         (823,000)
  American Stock Exchange Morgan Stanley Cyclical Index,          
600
   strike price $970, expires 5/19/07         (2,112,000)
300
   strike price $980, expires 5/19/07         (799,500)
125
   strike price $990, expires 6/16/07         (353,125)
125
   strike price $995, expires 6/16/07         (310,625)
400
   strike price $1015, expires 6/16/07         (522,000)
100
   strike price $1020, expires 6/16/07         (105,000)
  American Stock Exchange Oil Flex Index,          
200
   strike price $1283, expires 6/1/07         (450,600)
200
   strike price $1295, expires 6/8/07         (416,400)
  American Stock Exchange Oil Index,          
200
   strike price $1190, expires 5/19/07         (1,683,000)
200
   strike price $1200, expires 5/19/07         (1,497,000)
250
   strike price $1210, expires 5/19/07         (1,646,250)
100
   strike price $1220, expires 5/19/07         (570,500)
150
   strike price $1240, expires 5/19/07         (615,750)
150
   strike price $1250, expires 5/19/07         (509,250)
250
   strike price $1265, expires 5/25/07         (683,750)
200
   strike price $1300, expires 6/16/07         (464,000)
250
   strike price $1310, expires 6/16/07         (485,000)
325
   strike price $1320, expires 6/16/07         (523,250)
225
   strike price $1330, expires 6/16/07         (298,125)
  Nasdaq 100 Stock Index,          
100
   strike price $1810, expires 5/19/07         (719,500)
25
   strike price $1850, expires 6/16/07         (152,750)
50
   strike price $1875, expires 6/16/07         (226,500)
100
   strike price $1900, expires 6/16/07         (319,000)

NFJ Dividend, Interest & Premium Strategy Fund Schedule of Investments
April 30, 2007 (unaudited)
 
Contracts
                
Value*
    Pharmaceutical HOLDRS,      
5,000    strike price $100.80, expires 5/4/07  
$
 (3,735,000)
5,000    strike price $101, expires 5/25/07     (4,320,000)
5,000    strike price $101, expires 6/22/07     (1,395,000)
    Philadelphia Stock Exchange KBW Bank Sector Flex Index,      
2,000    strike price $116, expires 6/8/07                    (478,000)
1,500    strike price $116.20, expires 5/11/07     (160,500)
2,000    strike price $116.50, expires 5/25/07     (332,000)
2,000    strike price $117.50, expires 5/4/07     (20,000)
    Philadelphia Stock Exchange KBW Bank Sector Index,      
               400    strike price $112.50, expires 5/19/07     (168,000)
6,050    strike price $115, expires 5/19/07     (1,331,000)
2,000    strike price $115, expires 6/16/07     (620,000)
4,050    strike price $117.50, expires 5/19/07     (344,250)
400    strike price $117.50, expires 6/16/07     (70,000)
1,500    strike price $120, expires 5/19/07     (37,500)
1,100    strike price $120, expires 6/16/07     (93,500)
    Standard & Poors 500 Flex Index,      
250    strike price $1418, expires 5/11/07     (1,998,250)
200    strike price $1432, expires 5/4/07     (1,296,800)
200    strike price $1443, expires 6/1/07     (1,258,200)
200    strike price $1463, expires 6/8/07     (973,600)
250    strike price $1465, expires 5/4/07     (518,750)
    Standard & Poors 500 Index,      
200    strike price $1425, expires 5/19/07     (1,269,000)
100    strike price $1450, expires 5/19/07     (418,000)
300    strike price $1455, expires 5/19/07     (1,131,000)
300    strike price $1480, expires 6/16/07     (933,000)
550    strike price $1500, expires 6/16/07     (1,053,250)
100    strike price $1505, expires 6/16/07     (168,000)
200    strike price $1511, expires 7/6/07     (411,200)
    Telecommunication Basket Index,      
4,000    strike price $102.30, expires 5/11/07     (1,280,000)
    Utilities HOLDRS,      
5,000    strike price $101, expires 6/22/07     (495,000)
 
    Total Call Options Written (premium received-$22,890,975)     (43,458,425)
 
    Total Investments, net of call options written (cost-$2,332,159,063) -100.9%     2,496,942,717 
 
    Liabilities in excess of other assets-(0.9%)     (23,425,360)
    Net Assets-100.0%  
$
 2,473,517,357 

 

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 including over-the-counter options, 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 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. Securities with an aggregate market value of $38,553,879, representing 1.56% of net assets are restricted.
(d)

Variable rate security. Interest rate disclosed reflects the rate in effect on April 30, 2007.
(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 over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.3a-3(d)) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits

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

SIGNATURES

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

Registrant: NFJ Dividend, Interest & Premium Strategy Fund

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

Date: June 19, 2007

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

Date: June 19, 2007

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 19, 2007

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

Date: June 19, 2007