UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21455
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Dreman/Claymore Dividend & Income Fund
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(Exact name of registrant as specified in charter)
2455 Corporate West Drive, Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive, Lisle, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
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Date of fiscal year end: October 31
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Date of reporting period: January 31, 2009
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 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 30b1-5 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 respond 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. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
Attached hereto.
DREMAN/CLAYMORE DIVIDEND & INCOME FUND
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2009 (UNAUDITED)
NUMBER OF SHARES VALUE
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TOTAL INVESTMENTS - 199.9%
COMMON STOCKS - 86.0%
CONSUMER DISCRETIONARY - 0.1%
4,600 Walt Disney Co. (The) $ 95,128
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CONSUMER STAPLES - 2.3%
152,500 Altria Group, Inc. 2,522,350
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ENERGY - 76.9%
422,882 Anadarko Petroleum Corp. 15,536,685
183,600 Apache Corp. 13,770,000
369,600 ARC Energy Trust (Canada) 4,970,197
326,704 Bonavista Energy Trust (Canada) 4,795,655
309,300 ConocoPhillips 14,701,029
535,502 Crescent Point Energy Trust (Canada) 10,559,379
265,000 Devon Energy Corp. 16,324,000
20,009 DHT Maritime, Inc. (Marshall Islands) 124,256
50,436 Enerplus Resources Fund (Canada) 1,042,008
42,801 Harvest Energy Trust (Canada) 368,945
24,200 Pengrowth Energy Trust - Class A (Canada) 201,102
10,994 San Juan Basin Royalty Trust 220,100
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82,613,356
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FINANCIALS - 3.3%
7,175 Apollo Investment Corp. 46,996
250,000 Cypress Shapridge Investments, Inc. - REIT (a) (b) 2,000,000
68,600 Hartford Financial Services Group, Inc. 902,776
2,090,015 Washington Mutual, Inc. (c) 83,601
25,425 Wells Fargo & Co. 480,533
6,980 W.P. Stewart & Co. Ltd. (Bermuda) (c) 20,940
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3,534,846
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HEALTH CARE - 0.1%
6,100 Pfizer, Inc. 88,938
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INDUSTRIALS - 3.3%
2,600 Caterpillar, Inc. 80,210
288,606 Contrans Income Fund (Canada) 1,258,793
145,000 General Electric Co. 1,758,850
52,400 New Flyer Industries, Inc. (Canada) 443,984
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3,541,837
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TOTAL COMMON STOCKS - 86.0%
(Cost $128,333,434) 92,396,455
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PREFERRED STOCKS - 29.6%
CONSUMER DISCRETIONARY - 0.9%
81,250 Red Lion Hotels Capital Trust, 9.500% 934,375
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CONSUMER STAPLES - 7.2%
140,000 Dairy Farmers of America, 7.875% (a) 7,748,132
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FINANCIALS - 21.5%
218,100 Axis Capital Holdings Ltd., Series A, 7.250% (Bermuda) 3,696,795
50,000 Axis Capital Holdings Ltd., Series B, 7.500% (Bermuda) (d) 3,076,565
131,200 Bank of America Corp. 6.700% 1,341,520
60,000 CIT Group, Inc., Series A, 6.350% 420,000
360,000 Endurance Specialty Holdings, Ltd., 7.750% (Bermuda) 5,839,200
1,060,000 Fannie Mae, 6.750% (c) 837,400
1,500,000 Fannie Mae, Series S, 8.250% (c) (d) (e) 1,650,000
200,000 Fannie Mae, Series E, 5.100% (c) 256,260
80,000 Fannie Mae, Series O, 7.000% (c) (d) 190,000
280,000 Fannie Mae, Series P, 4.500% (c) (d) 182,000
100,000 Freddie Mac, Series O, 5.810% (c) 106,500
25,000 Freddie Mac, Series T, 6.420% (c) 25,875
242,000 Odyssey Re Holdings Corp., Series A, 8.125% 4,477,000
577,400 Scottish Re Group Ltd., 7.250% (Cayman Islands) (d) (c) 981,580
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23,080,695
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TOTAL PREFERRED STOCKS - 29.6%
(Cost $150,702,826) 31,763,202
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CONVERTIBLE PREFERRED STOCKS - 6.2%
FINANCIALS - 6.2%
225,000 CIT Group, Inc. 8.750% 4,574,250
505 Fannie Mae, 5.375% (c) 631,250
1,500,000 Fannie Mae, Series 08-1, 8.750% (c) 1,425,000
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TOTAL CONVERTIBLE PREFERRED STOCKS 6,630,500
(Cost $136,081,000) ---------------
OPTIONAL
PRINCIPAL AMOUNT CALL PROVISIONS
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CORPORATE BONDS - 21.2%
ENERGY - 0.2%
$ 500,000 Connacher Oil and Gas Ltd.,BB+, 10.250%, 12/15/15 12/15/11 @ 105 190,000
(Canada) (a) ---------------
FINANCIALS - 21.0%
6,000,000 Barclays Bank PLC, A, 8.550%, 9/15/49 6/15/11 @ 100 2,701,320
(United Kingdom) (a) (d)
13,354,000 Old Mutual Capital Funding LP,NR, 8.000%, 5/29/49 3/22/09 @ 100 4,807,440
(Channel Islands)
2,000,000 Preferred Term Securities XI Ltd., NR
Subordinate Income Notes 0.000%, 9/24/33 (a) (c) N/A -
3,000,000 Preferred Term Securities XIX Ltd., NR
Subordinate Income Notes 0.000%, 12/22/35 (a) (c) N/A 129,600
2,000,000 Preferred Term Securities XX Ltd., NR
Subordinate Income Notes 0.000%, 3/22/38 (a) (c) N/A 18,200
2,000,000 Preferred Term Securities XXI Ltd., NR
Subordinate Income Notes 0.000%, 3/22/38 (c) N/A 1,000
31,000,000 Prudential PLC, A-, 6.500%, 6/29/49 (United Kingdom) (d) 3/23/09 @ 100 14,907,683
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22,565,243
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TOTAL CORPORATE BONDS - 21.2%
(Cost $59,458,192) 22,755,243
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NUMBER OF SHARES
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EXCHANGE-TRADED FUNDS - 12.1%
FINANCIALS - 12.1%
1,410,100 Financial Select Sector SPDR Fund
(Cost $36,397,170) 13,029,324
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LIMITED PARTNERSHIP - 0.4%
REAL ESTATE - 0.4%
400,000 Kodiak Funding, LP (b)
(Cost $3,562,000) 400,000
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SHORT-TERM INVESTMENTS - 44.4%
47,717,485 Dreyfus Money Market Bond Fund (f)
(Cost $47,717,485) 47,717,485
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TOTAL INVESTMENTS - 199.9%
(Cost $562,252,107) 214,692,209
Liabilities in excess of Other Assets - (6.8%) (7,272,165)
Preferred Shares, at Liquidation Value - (93.1% of Net Assets Applicable
to Common Shares or 46.6% of Total Investments) (g) (100,000,000)
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NET ASSETS APPLICABLE TO COMMON SHARES - 100.0% $ 107,420,044
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LP - Limited Partnership
REIT - Real Estate Investment Trust
(a) Securities are exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At January 31,
2009, these securities amounted to 11.9% of net assets applicable to common
shares.
(b) Security is valued in accordance with Fair Valuation procedures established
in good faith by the Board of Trustees. The total market value of such
securities is $2,400,000 which represents 2.2% of Net Assets Applicable to
Common Shares.
(c) Non-income producing security.
(d) Floating or variable rate security.
(e) All or a portion of these securities have been physically segregated in
connection with open futures contracts.
(f) Includes $15,025,000 segregated for the announced redemption of $15,000,000
of auction market preferred shares.
(g) Reflects the announced redemption and defeasance of $15,000,000 of auction
market preferred shares on January 29, 2009.
Ratings shown are per Standard & Poor's; securities classified NR are not rated
by Standard & Poor's.
All percentages shown in the Portfolio of Investments are based on Net Assets
Applicable to Common Shares unless otherwise noted.
At January 31, 2009, the following futures contracts were outstanding:
UNREALIZED
SHORT NUMBER OF EXPIRATION ORIGINAL VALUE AT APPRECIATION/
CONTRACTS CONTRACTS MONTH VALUE JANUARY 31, 2009 (DEPRECIATION)
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S&P 500 Future 38 Mar-09 $ 8,444,694 $ 7,813,750 $ 630,944
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$ 630,944
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% of Total
Country Breakdown* Investments
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United States 72.0%
Canada 11.1%
United Kingdom 8.2%
Bermuda 5.9%
Channel Island 2.2%
Cayman Islands 0.5%
Marshall Islands 0.1%
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* Subject to change daily.
In September, 2006, the Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standards No. 157, "Fair Valuation
Measurements" ("FAS 157"). This standard clarifies the definition of fair value
for financial reporting, establishes a framework for measuring fair value and
requires additional disclosures about the use of fair value measurements. FAS
157 establishes three different categories for valuations. Level 1 valuations
are those based upon quoted prices in active markets. Level 2 valuations are
those based upon quoted prices in inactive markets or based upon significant
observable inputs (i.e. yield curves; benchmark interest rates; indices). Level
3 valuations are those based upon unobservable inputs (i.e. discounted cash flow
analysis; non-market based methods used to determine fair valuation). Details of
the valuations as of January 31, 2009 were as follows:
DESCRIPTION SECURITIES DERIVATIVES TOTAL
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(value in $000s)
Assets:
Level 1 $ 189,537 $ - $ 189,537
Level 2 22,755 631 23,386
Level 3 2,400 - 2,400
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Total $ 214,692 $ 631 $ 215,323
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Liabilities:
Level 1 $ - $ - $ -
Level 2 - - -
Level 3 - - -
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Total $ - $ - $ -
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LEVEL 3 HOLDINGS SECURITIES DERIVATIVES TOTAL
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Beginning Balance at 10/31/08 $ 2,900 $ - $ 2,900
Total Realized Gain/Loss - - -
Change in Unrealized Gain/Loss (500) - (500)
Net Purchases and Sales - - -
Net Transfers In/Out - - -
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Ending Balance at 1/31/09 $ 2,400 $ - $ 2,400
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ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officer have evaluated the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940) within 90 days of this filing and have concluded, based on
such evaluation, that the registrant's disclosure controls and
procedures were effective, as of that date, in ensuring that
information required to be disclosed by the registrant in this Form N-Q
was recorded, processed, summarized and reported within the time
periods specified in the Securities and Exchange Commission's rules and
forms.
(b) There was no change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940) 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.
Separate certifications for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, are attached hereto.
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.
Dreman/Claymore Dividend & Income Fund
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By: /s/ J. Thomas Futrell
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J. Thomas Futrell
Chief Executive Officer
Date: March 25, 2009
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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/ J. Thomas Futrell
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J. Thomas Futrell
Chief Executive Officer
Date: March 25, 2009
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By: /s/ Steven M. Hill
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Steven M. Hill
Treasurer and Chief Financial Officer
Date: March 25, 2009
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