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: July 31, 2008
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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
JULY 31, 2008 (UNAUDITED)
NUMBER OF SHARES VALUE
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TOTAL INVESTMENTS - 181.2%
COMMON STOCKS - 103.0%
CONSUMER DISCRETIONARY - 0.4%
123,700 Regal Entertainment Group - Class A $ 2,059,605
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CONSUMER STAPLES - 22.6%
3,581,950 Altria Group, Inc. 72,892,683
992,659 Philip Morris International, Inc. 51,270,837
367,132 Vector Group Ltd. 6,575,334
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130,738,854
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ENERGY - 52.9%
163,800 Anadarko Petroleum Corp. 9,485,658
116,600 Apache Corp. 13,079,022
821,500 ARC Energy Trust (Canada) 23,547,073
150,000 Baytex Energy Trust (Canada) 4,648,500
889,700 Bonavista Energy Trust (Canada) (d) 28,325,817
43,800 BP Prudhoe Bay Royalty Trust 3,762,420
303,400 Chevron Corp. 25,655,504
686,200 ConocoPhillips (f) 56,007,644
1,200,900 Crescent Point Energy Trust (Canada) 40,579,267
337,000 Devon Energy Corp. (f) 31,977,930
100,000 DHT Maritime, Inc. (Marshall Islands) 938,000
403,700 Enerplus Resources Fund (Canada) 16,616,292
546,828 Harvest Energy Trust (Canada) 10,767,043
82,900 NAL Oil & Gas Trust (Canada) 1,202,271
365,600 Pengrowth Energy Trust - Class A (Canada) 6,328,536
813,000 Penn West Energy Trust (Canada) 24,381,870
100,800 San Juan Basin Royalty Trust 3,847,536
91,800 Vermilion Energy Trust (Canada) 3,548,458
57,500 Williams Coal Seam Gas Trust 542,225
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305,241,066
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FINANCIALS - 19.7%
228,300 Apollo Investment Corp. 3,636,819
540,000 Bank of America Corp. 17,766,000
250,000 Cypress Shapridge Investments, Inc. - REIT (a) (c) 4,500,000
1,515,000 Fannie Mae (f) 17,422,500
68,600 Hartford Financial Services Group, Inc. 4,348,554
724,800 KeyCorp. 7,646,640
233,600 PNC Financial Services Group, Inc. 16,653,344
415,000 Regions Financial Corp. 3,934,200
448,600 U.S. Bancorp 13,731,646
348,300 Wachovia Corp. 6,015,141
3,356,458 Washington Mutual, Inc. (f) 17,889,921
95,200 W.P. Stewart & Co. Ltd. (Bermuda) 148,512
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113,693,277
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HEALTH CARE - 4.0%
362,400 Eli Lilly & Co. 17,072,664
211,400 UnitedHealth Group, Inc. 5,936,112
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23,008,776
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INDUSTRIALS - 0.9%
333,900 Contrans Income Fund (Canada) 2,641,236
56,800 Eagle Bulk Shipping, Inc. (Marshall Island) 1,649,472
104,900 New Flyer Industries, Inc. (Canada) 1,160,718
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5,451,426
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TELECOMMUNICATIONS - 0.2%
107,000 Alaska Communications Systems Group, Inc. 1,363,180
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UTILITIES - 2.3%
261,300 Empire District Electric Co. 5,333,133
152,200 Great Plains Energy, Inc. 3,844,572
90,000 Progress Energy, Inc. 3,807,900
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12,985,605
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TOTAL COMMON STOCKS - 103.0%
(Cost $654,079,260) 594,541,789
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PREFERRED STOCKS - 47.9%
CONSUMER DISCRETIONARY - 0.3%
81,250 Red Lion Hotels Capital Trust, 9.500% 1,901,656
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CONSUMER STAPLES - 2.0%
140,000 Dairy Farmers of America, 7.875% (a) 11,261,250
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FINANCIALS - 43.1%
200,000 ABN AMRO Capital Fund Trust VII, 6.080% 3,470,000
80,000 AEGON N.V., 6.875% (Netherlands) 1,443,200
340,000 Arch Capital Group, Ltd., 7.875% (Bermuda) 7,820,000
33,400 Arch Capital Group, Ltd., 8.000% (Bermuda) 759,850
20,000 Aspen Insurance Holdings Ltd., 7.401% (Bermuda) (b) 355,000
218,100 Axis Capital Holdings Ltd., Series A, 7.250% (Bermuda) 4,667,340
50,000 Axis Capital Holdings Ltd., Series B, 7.500% (Bermuda) (b) 4,035,940
10,000,000 Barclays Bank PLC, 8.550% (United Kingdom) (a) (b) 9,749,230
11,000,000 CA Preferred Funding Trust, 7.000% 10,033,617
189,300 Chevy Chase Bank, Series C, 8.000% 4,202,460
60,000 CIT Group, Inc., Series A, 6.350% 783,000
225,000 CIT Group, Inc. 8.750% 10,557,000
300,000 Deutsche Bank Capital Funding Trust VIII, 6.375% 6,087,000
412,000 Endurance Specialty Holdings, Ltd., 7.750% (Bermuda) 8,446,000
1,500,000 Fannie Mae, Series 08-1, 8.750% 36,930,000
200,000 Fannie Mae, Series E, 5.100% 3,918,760
1,500,000 Fannie Mae, 8.250% (f) 25,185,000
80,000 Fannie Mae, Series O, 7.000% (b) 2,420,000
1,060,000 Fannie Mae, 6.750% 15,454,800
280,000 Fannie Mae, Series P, 4.500% (a) (b) 2,892,400
48,700 Franklin Bank Corp., Series A, 7.500% 243,500
100,000 Freddie Mac, Series O, 5.810% 2,420,000
25,000 Freddie Mac, Series T, 6.420% 687,500
80,000 Goldman Sachs Group, Inc., 6.200% 1,749,600
200,000 Hilltop Holdings, Inc. 8.250% 3,600,000
7,042,000 HSBC Capital Funding LP, 10.176% (Channel Islands) (a) (b) 8,359,572
12,840,000 HSBC Capital Funding LP, 9.547% (Channel Islands) (a) (b) 13,363,063
100,000 HSBC Holdings PLC, Series A, 6.200% (United Kingdom) 2,060,000
140,500 Lehman Brothers Holdings, Inc., Series F, 6.500% 1,906,585
2,000,000 Lloyds TSB Bank PLC, 6.900% (United Kingdom) 1,850,000
80,000 LTC Properties, Inc. - REIT, Series F, 8.000% 1,860,000
200,000 Merrill Lynch & Co., Inc. 6.700% 3,704,000
50,000 MetLife, Inc., Series B, 6.500% 1,032,000
100,000 Morgan Stanley, Series A, 4.000% (b) 1,470,000
245,000 Odyssey Re Holdings Corp., Series A, 8.125% 5,588,450
152,100 Odyssey Re Holdings Corp., Series B, 6.020% (b) 2,768,220
400,000 Omega Healthcare Investors, Inc - REIT, Series D, 8.375% 9,240,000
31,000,000 Prudential PLC, 6.500% (United Kingdom) (d) 24,564,090
100,000 Santander Finance Preferred SA Unipersonal, 6.800% (Spain) 2,031,000
577,400 Scottish Re Group Ltd., 7.250% (Cayman Islands) (b) 1,082,625
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248,790,802
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UTILITIES - 2.5%
80,000 Alabama Power Co., 5.300% 1,686,400
120,000 PPL Electric Utilities Corp., 6.250% 2,872,500
385,500 Southern Union Co., 7.550% 9,730,020
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14,288,920
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TOTAL PREFERRED STOCKS - 47.9%
(Cost $400,898,644) 276,242,628
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CONVERTIBLE PREFERRED STOCKS - 11.6%
CONSUMER STAPLES - 5.5%
25,000 Universal Corp., 6.750% (d) 31,698,600
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FINANCIALS - 6.1%
505 Fannie Mae, 5.375% (d) 22,851,250
142 Washington Mutual, Inc. 8,649,926
11,000,000 Washington Mutual Preferred Funding LLC, 6.895% (a) (b) 3,412,255
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34,913,431
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TOTAL CONVERTIBLE PREFERRED STOCKS 66,612,031
(Cost $95,313,845) ============
INVESTMENT COMPANIES - 2.2%
116,000 Cohen & Steers REIT and Preferred Income Fund 2,200,520
246,200 Evergreen Income Advantage Fund 2,501,392
222,600 Hyperion Brookfield Total Return Fund, Inc 1,306,662
190,000 Nuveen Multi-Strategy Income and Growth Fund 2 1,759,400
161,200 Nuveen Quality Preferred Income Fund II 1,515,280
272,200 Pioneer High Income Trust 3,639,314
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TOTAL INVESTMENT COMPANIES 12,922,568
(Cost $18,999,071) ------------
OPTIONAL
PRINCIPAL AMOUNT CALL PROVISIONS
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CORPORATE BONDS - 10.5%
COMMUNICATIONS - 0.4%
$ 300,000 Idearc, Inc.,B-, 8.000%, 11/15/16 11/15/11 @ 104 138,000
2,700,000 Univision Communications,CCC, 9.75%, 3/15/15 (a) 3/15/11 @ 105 2,072,250
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2,210,250
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CONSUMER DISCRETIONARY - 1.2%
900,000 ARAMARK Corp.,B, 8.500%, 2/01/15 2/01/11 @ 104 901,125
3,000,000 Ford Motor Co.,CCC, 7.450%, 7/16/31 N/A 1,575,000
3,000,000 General Motors Corp.,B-, 8.375%, 7/15/33 N/A 1,492,500
2,000,000 Hertz Corp. (The),B, 10.500%, 1/01/16 1/01/11 @ 105 1,750,000
2,535,000 Station Casinos, Inc.,CCC+, 6.500%, 2/01/14 2/01/09 @ 102 1,235,813
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6,954,438
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ENERGY - 0.6%
2,871,000 Compton Petroleum Finance Corp.,B, 7.625%, 12/01/13 (Canada) 12/01/09 @ 104 2,799,225
500,000 Connacher Oil and Gas Ltd.,BB, 10.250%, 12/15/15 (Canada) (a) 12/15/11 @ 105 523,750
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3,322,975
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FINANCIALS - 4.6%
3,000,000 Ford Motor Credit Co.,B-, 7.375%, 2/1/11 N/A 2,419,470
13,354,000 Old Mutual Capital Funding LP,NR, 8.000%, 5/29/49 12/22/08 @ 100 12,319,065
(Channel Island)
2,000,000 Preferred Term Securities XI Ltd., NR
Subordinate Income Notes 19.000%, 9/24/33 (a) (b) N/A 1,552,600
3,000,000 Preferred Term Securities XIX Ltd., NR
Subordinate Income Notes 13.500%, 12/22/35 (a) (b) N/A 1,395,000
2,000,000 Preferred Term Securities XX Ltd., NR
Subordinate Income Notes 14.000%, 3/22/38 (a) (b) N/A 422,800
2,000,000 Preferred Term Securities XXI Ltd., NR
Subordinate Income Notes 15.000%, 3/22/38 (b) N/A 515,400
5,400,000 RBS Capital Trust, Series B,A, 6.800%, 12/29/49 12/31/08 @ 100 4,812,750
3,250,000 Royal Bank Of Scotland Group PLC,A, 7.648%, 8/29/49 9/30/31 @ 100 2,918,454
(United Kingdom) (b) ------------
26,355,539
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HEALTH CARE - 1.8%
1,900,000 Community Health Systems Inc,B, 8.875%, 7/15/15 7/15/11 @ 104 1,923,750
2,300,000 HCA, Inc.,B-, 6.500%, 2/15/16 N/A 1,926,250
4,500,000 HCA, Inc.,BB-, 9.250%, 11/15/16 11/15/11 @ 105 4,646,250
1,600,000 ReAble Therapeutics Finance Corp.,B-, 10.875%, 11/15/04 (a) N/A 1,604,000
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10,100,250
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INDUSTRIALS - 0.6%
1,500,000 Casella Waste Systems, Inc.,B, 9.750%, 2/01/13 9/11/08 @ 105 1,492,500
2,000,000 Crown Cork & Seal Co., Inc.,B, 8.000%, 4/15/23 9/11/08 @ 102 1,790,000
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3,282,500
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MATERIALS - 0.4%
5,000,000 Abitibi-Consolidated Co.,CCC+, 8.375%, 4/01/15 (Canada) N/A 2,050,000
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RETAIL - 0.6%
1,900,000 Rite Aid Corp.,CCC+, 8.625%, 3/01/15 3/01/11 @ 104 1,230,250
2,000,000 Neiman-Marcus Group, Inc.,B+, 9.000%, 10/15/15 10/15/10 @ 105 1,970,000
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3,200,250
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UTILITIES - 0.3%
2,000,000 Texas Competitive Electric Holdings Co. LLC,CCC, 11/1/11 @ 105 2,010,000
10.25%, 11/1/15 (a) ------------
TOTAL CORPORATE BONDS - 10.5%
(Cost $75,192,355) 59,486,202
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TERM-LOANS (FUNDED) - 2.3%
2,388,000 Bausch & Lomb Term Loan, Parent Tranche, 6.051%, 4/26/15 (b) 2,329,296
360,000 Bausch & Lomb Term Loan, Delayed Tranche, 6.051%, 4/26/15 (b) 351,150
510,701 First Data Corp., Tranche B3, 5.551%, 9/24/14 (b) 470,757
7,429,299 First Data Corp., Tranche B3, 5.551%, 9/24/14 (b) 6,848,224
2,194,286 TXU Bank, Tranche B2, 6.234%, 10/10/14 (b) 2,068,114
421,071 TXU Bank, Tranche B2, 6.478%, 10/10/14 (b) 396,860
362,143 TXU Bank, Tranche B2, 5.961%, 10/10/14 (b) 341,320
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TOTAL TERM-LOANS (FUNDED) 12,805,721
(Cost $13,466,780) ------------
NUMBER OF SHARES
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LIMITED PARTNERSHIP - 0.3%
REAL ESTATE - 0.3%
Kodiak Funding, LP (c)
4,000,000 (Cost $3,570,000) 1,976,000
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SHORT-TERM INVESTMENTS - 3.3%
19,237,687 Dreyfus Money Market Bond Fund
(Cost $19,237,687) 19,237,687
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CONTRACTS
(100 SHARES EXPIRATION EXERCISE EXERCISE
PER CONTRACT) CALL OPTIONS PURCHASED (E) DATE PRICE VALUE
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CALL OPTIONS PURCHASED - 0.1%
4,000 Financial Select Sector SPDR Fund January 2009 30.00 92,000
44,000 Financial Select Sector SPDR Fund January 2009 33.00 440,000
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TOTAL CALL OPTIONS PURCHASED 532,000
(Cost $14,839,584) ------------
TOTAL INVESTMENTS - 181.2%
(Cost $1,295,597,226) 1,044,356,626
Liabilities in excess of Other Assets - (0.2%) (1,051,949)
Total Options Written (Premiums received $18,449,426) - (7.3%) (41,880,000)
Preferred Shares, at Liquidation Value -
(-73.7% of Net Assets Applicable to Common Shares or
-40.7% of Total Investments) (425,000,000)
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NET ASSETS APPLICABLE TO COMMON SHARES - 100.0% $576,424,677
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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 July 31, 2008,
these securities amounted to 10.9% of net assets applicable to common
shares.
(b) Floating or variable rate security.
(c) 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 $6,476,000 which represents 1.1% of Net Assets Applicable to
Common Shares.
(d) All or a portion of this security position represents cover for outstanding
options written.
(e) Non-income producing security.
(f) All or a portion of these securities have been physically segregated in
connection with swap agreements and open futures contracts.
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.
DREMAN/CLAYMORE DIVIDEND & INCOME FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2008
CONTRACTS
(100 SHARES EXPIRATION EXERCISE
PER CONTRACT) PUT OPTIONS WRITTEN (e) DATE PRICE VALUE
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48,000 Financial Select Sector SPDR Fund January 2009 30.00 41,880,000
TOTAL OPTIONS WRITTEN
(Premiums received $18,449,426) $41,880,000
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(e) Non-income producing security.
At July 31, 2008, the following futures contracts were outstanding:
UNREALIZED
SHORT NUMBER OF EXPIRATION ORIGINAL VALUE AT APPRECIATION/
CONTRACTS CONTRACTS MONTH VALUE JULY 31, 2008 (DEPRECIATION)
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S&P 500 Future 38 Sep-08 $ 12,973,386 $ 12,037,450 $ 935,936
US Treasury Bond (CBT) 2,118 Sep-08 $ 245,605,163 $ 244,629,000 $ 976,163
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$ 1,912,099
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At July 31, 2008, the following swap agreement was outstanding:
UNREALIZED
TERMINATION NOTIONAL FIXED FLOATING APPRECIATION/
COUNTERPARTY DATE AMOUNT RATE RATE (DEPRECIATION)
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Merrill Lynch & Co., Inc. 9/21/2009 $ 150,000,000 4.34% 1 Month LIBOR $ (2,620,023)
For the swap noted, the Fund pays a fixed rate and receives the floating rate.
% of Total
Country Breakdown* Investments
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United States 73.5%
Canada 16.2%
United Kingdom 3.9%
Channel Island 3.3%
Bermuda 2.5%
Marshall Islands 0.2%
Spain 0.2%
Netherlands 0.1%
Cayman Islands 0.1%
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* Subject to change daily.
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
By: /s/ J. Thomas Futrell
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J. Thomas Futrell
Chief Executive Officer
Date: September 29, 2008
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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: September 29, 2008
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By: /s/ Steven M. Hill
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Steven M. Hill
Treasurer and Chief Financial Officer
Date: September 29, 2008
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