Semiannual
|
||
Report
|
Claymore
|
|
April 30,
2010
|
Dividend & Income Fund
|
DCS
|
(Unaudited)
|
Dear Shareholder|
We thank you for your investment
in the Claymore Dividend & Income Fund (the “Fund”). This report
covers the Fund’s performance for the semiannual period ended April 30,
2010.
The Fund’s primary investment
objective is to provide a high level of current income, with a secondary
objective of capital appreciation. Equities are selected for the portfolio
using a highly disciplined approach to identifying stocks of companies
with substantial free cash flow relative to their market capitalization,
with an emphasis on companies that pay a significant portion of free cash
flow back to shareholders in the form of dividends.
Claymore Advisors, LLC
(“Claymore”), a wholly-owned subsidiary of Guggenheim Partners, LLC
(“Guggenheim Partners”), serves as the Adviser to the Fund. As of March
31, 2010, Claymore entities provided supervision, management, and/or
servicing on approximately $15.9 billion in assets. Guggenheim Partners,
is a global diversified financial services firm with more than $100
billion in assets under supervision.
The Fund’s investment sub-adviser,
Manning & Napier Advisors, Inc. (“Manning & Napier”), is
responsible for day-to-day management of the Fund’s investments. Founded
in 1970, Manning & Napier is an employee-owned firm that manages more
than $20 billion in client assets as of April 30,
2010.
All Fund returns cited—whether
based on net asset value (“NAV”) or market price—assume the reinvestment
of all distributions. For the six-month period ended April 30, 2010, the
Fund generated a total return based on market price of 4.24% and a return
of 15.09% based on NAV. As of April 30, 2010, the Fund’s market price of
$14.50 represented a discount of 13.28% to NAV of $16.72. As of October
31, 2009, the Fund’s market price of $14.25 represented a discount of
4.10% to NAV of $14.86.
The Fund paid quarterly dividends
of $0.100 per common share in November 2009 and February 2010. In
addition, the Fund paid a supplemental distribution of $0.161 per common
share on December 29, 2009 to shareholders of record as of December 23,
2009. This supplemental distribution, which was made from ordinary income,
was made in order to allow the Fund to meet its distribution requirements
and avoid excise taxes for 2009.
We encourage shareholders to
consider the opportunity to reinvest their distributions from the Fund
through the Dividend Reinvestment Plan (“DRIP”), which is described in
detail on page 29 of the Fund’s semiannual report. When shares trade at a
discount to NAV, the DRIP takes advantage of the discount by reinvesting
the quarterly dividend distribution in common shares of the Fund purchased
in the market at a price less than NAV. Conversely, when the market price
of the Fund’s common shares is at a premium above NAV, the DRIP reinvests
participants’ dividends in newly-issued common shares at NAV, subject to
an Internal Revenue Service (“IRS”) limitation that the purchase price
cannot be more than 5% below the market price per share. The DRIP provides
a cost-effective means to accumulate additional shares and enjoy the
potential benefits of compounding returns over time.
In January 2010, the Fund
announced that, in accordance with a previously announced in-kind tender
offer to repurchase up to 4,085,947 of its issued and outstanding common
shares of beneficial interest (“Common Shares”) at 99.5% of NAV, the Fund
had accepted 4,085,893 properly tendered shares, representing
approximately 45% of the Fund’s Common Shares outstanding, at a price per
Common Share of approximately $16.24. The total value of assets of the
Fund distributed in payment for such properly tendered Common Shares was
approximately $66.35 million.
In the past, the Fund’s leverage
has been achieved through the issuance of Auction Market Preferred Shares
(“AMPSSM”). AMPS holders received a
dividend that was reset typically every
|
seven or 28 days, depending on the
series. In August 2009, the Fund obtained a new financing facility through
BNP Paribas, a leading European bank. Since that time, the Fund completed
its redemption in February 2010 of all of its AMPS at par value, with the
redemption financed in part by the proceeds of this credit facility. As of
April 30, 2010, the Fund’s outstanding leverage was $33 million of debt
via the credit facility. On October 31, 2009, the Fund’s outstanding
leverage had been $60 million.
To learn more about the Fund’s
performance and investment strategy, we encourage you to read the
Questions
& Answers section
of the report, which begins on page 5. You will find information about
Manning & Napier’s investment philosophy and discipline, its views on
the market environment and how it structured the Fund’s portfolio based on
its views.
We appreciate your investment and
look forward to serving your investment needs in the future. For the most
up-to-date information on your investment, please visit the Fund’s website
at www.claymore.com/dcs.
Sincerely,
J. Thomas
Futrell
Chief Executive
Officer
Claymore Dividend & Income
Fund
May 31, 2010
|
Fund
Statistics
|
||||||||
Share Price
|
$ | 14.50 | ||||||
Common Share Net Asset
Value
|
$ | 16.72 | ||||||
Premium/Discount to
NAV
|
-13.28 | % | ||||||
Net Assets Applicable to Common
Shares ($000)
|
$ | 83,507 | ||||||
Total
Returns
|
||||||||
(Inception
1/27/04)
|
Market
|
NAV
|
||||||
Six Month
|
4.24 | % | 15.09 | % | ||||
One Year
|
65.17 | % | 50.91 | % | ||||
Three Year - average
annual
|
-45.22 | % | -45.12 | % | ||||
Five Year - average
annual
|
-25.77 | % | -25.76 | % | ||||
Since Inception - average
annual
|
-21.34 | % | -19.67 | % | ||||
% of
Long-Term
|
||||||||
Sector
Breakdown*
|
Investments
|
|||||||
Consumer
Staples
|
19.9 | % | ||||||
Health Care
|
17.8 | % | ||||||
Energy
|
16.7 | % | ||||||
Industrials
|
11.4 | % | ||||||
Financials
|
10.5 | % | ||||||
Consumer
Discretionary
|
9.3 | % | ||||||
Information
Technology
|
7.5 | % | ||||||
Materials
|
2.7 | % | ||||||
Telecommunication
Services
|
2.2 | % | ||||||
Utilities
|
2.0 | % | ||||||
% of
Long-Term
|
||||||||
Country
Breakdown
|
Investments
|
|||||||
United
States
|
76.3 | % | ||||||
United
Kingdom
|
8.7 | % | ||||||
France
|
2.6 | % | ||||||
Taiwan
|
1.6 | % | ||||||
Cayman
Islands
|
1.4 | % | ||||||
Switzerland
|
1.4 | % | ||||||
Norway
|
1.0 | % | ||||||
Japan
|
0.9 | % | ||||||
Canada
|
0.9 | % | ||||||
Spain
|
0.6 | % | ||||||
Finland
|
0.6 | % | ||||||
Netherlands
|
0.6 | % | ||||||
Ireland
|
0.5 | % | ||||||
Sweden
|
0.5 | % | ||||||
South
Africa
|
0.4 | % | ||||||
Luxembourg
|
0.4 | % | ||||||
Chile
|
0.4 | % | ||||||
Mexico
|
0.2 | % | ||||||
Germany
|
0.2 | % | ||||||
Brazil
|
0.2 | % | ||||||
Philippines
|
0.2 | % | ||||||
Israel
|
0.1 | % | ||||||
Belgium
|
0.1 | % | ||||||
Hungary
|
0.1 | % | ||||||
New Zealand
|
0.1 | % |
Past performance does not
guarantee future results. All portfolio data is subject to change daily.
For
|
more current information, please
visit www.claymore.com/dcs. The above summaries are provided
for
|
informational purposes only and
should not be viewed as recommendations.
|
* Securities are classified by
sectors that represent broad groupings of related
industries.
|
% of
Long-Term
|
||||
Top Ten
Issuers
|
Investments
|
|||
Chevron
Corp.
|
3.2 | % | ||
BP PLC
|
3.2 | % | ||
Johnson &
Johnson
|
3.1 | % | ||
Intel Corp.
|
3.0 | % | ||
Coca-Cola Co.
(The)
|
2.9 | % | ||
Pfizer,
Inc.
|
2.6 | % | ||
Total SA
|
2.6 | % | ||
PepsiCo,
Inc.
|
2.6 | % | ||
Exxon Mobil
Corp.
|
2.3 | % | ||
GlaxoSmithKline
PLC
|
2.3 | % |
Number
|
|||||||
of Shares
|
Value
|
||||||
Total
Long-Term Investments - 136.1%
|
|||||||
Common
Stocks - 109.7%
|
|||||||
Consumer
Discretionary - 8.5%
|
|||||||
2,186 |
Darden
Restaurants, Inc.
|
$ | 97,824 | ||||
3,115 |
Garmin Ltd.
(Cayman
Islands)
|
116,439 | |||||
4,273 |
Genuine Parts
Co.
|
182,884 | |||||
2,107 |
Hasbro,
Inc.
|
80,825 | |||||
46,330 |
Home Depot, Inc.
(d)
|
1,633,133 | |||||
3,999 |
Leggett &
Platt, Inc.
|
98,095 | |||||
8,885 |
Limited Brands,
Inc.
|
238,118 | |||||
9,849 |
Mattel,
Inc.
|
227,019 | |||||
28,907 |
McDonald’s Corp.
(d)
|
2,040,545 | |||||
8,507 |
McGraw-Hill Cos.,
Inc. (The)
|
286,856 | |||||
4,906 |
Omnicom Group,
Inc.
|
209,290 | |||||
15,488 |
Pearson PLC, ADR
(United
Kingdom)
|
247,343 | |||||
1,653 |
Sherwin-Williams
Co. (The)
|
129,050 | |||||
19,371 |
Thomson Reuters
Corp. (Canada)
(d)
|
695,031 | |||||
960 |
Tupperware Brands
Corp.
|
49,027 | |||||
2,933 |
VF
Corp.
|
253,470 | |||||
1,528 |
Whirlpool
Corp.
|
166,353 | |||||
7,086 |
Yum! Brands,
Inc.
|
300,588 | |||||
7,051,890 | |||||||
Consumer
Staples - 27.1%
|
|||||||
55,627 |
Altria Group,
Inc. (d)
|
1,178,736 | |||||
9,716 |
Archer-Daniels-Midland
Co.
|
271,465 | |||||
8,198 |
Avon Products,
Inc.
|
265,041 | |||||
2,180 |
Brown-Forman
Corp. - Class B
|
126,832 | |||||
9,012 |
Campbell Soup
Co.
|
323,170 | |||||
61,714 |
Coca-Cola Co.
(The) (d)
|
3,298,613 | |||||
7,460 |
Colgate-Palmolive
Co. (d)
|
627,386 | |||||
1,519 |
Delhaize Group
SA, ADR (Belgium)
|
125,728 | |||||
16,348 |
Diageo PLC, ADR
(United
Kingdom)
(d)
|
1,113,953 | |||||
1,925 |
Emotelladora
Andina SA, ADR - Class B (Chile)
|
42,100 | |||||
8,236 |
General Mills,
Inc.
|
586,238 | |||||
6,107 |
Hershey Co.
(The)
|
287,090 | |||||
8,666 |
HJ Heinz
Co.
|
406,175 | |||||
2,047 |
Hormel Foods
Corp.
|
83,436 | |||||
2,537 |
JM Smucker Co.
(The)
|
154,935 | |||||
10,037 |
Kellogg
Co.
|
551,433 | |||||
11,390 |
Kimberly-Clark
Corp. (d)
|
697,751 | |||||
34,419 |
Kraft Foods, Inc.
- Class A (d)
|
1,018,802 | |||||
3,271 |
Lorillard,
Inc.
|
256,348 | |||||
3,229 |
McCormick &
Co., Inc.
|
127,772 | |||||
2,864 |
Molson Coors
Brewing Co. - Class
B
|
127,047 | |||||
44,616 |
PepsiCo, Inc.
(d)
|
2,909,856 | |||||
38,749 |
Philip Morris
International, Inc. (d)
|
1,901,801 |
41,681 |
Procter &
Gamble Co. (The) (d)
|
2,590,891 | |||||
4,422 |
Reynolds
American, Inc.
|
236,223 | |||||
18,360 |
Sara Lee
Corp.
|
261,079 | |||||
15,669 |
Sysco
Corp.
|
494,200 | |||||
47,909 |
Wal-Mart Stores,
Inc. (d)
|
2,570,318 | |||||
22,634,419 | |||||||
Energy
- 21.5%
|
|||||||
68,901 |
BP PLC, ADR
(United
Kingdom)
(d)
|
3,593,187 | |||||
44,271 |
Chevron Corp.
(d)
|
3,605,430 | |||||
39,836 |
ConocoPhillips
(d)
|
2,357,893 | |||||
39,146 |
Exxon Mobil Corp.
(d)
|
2,656,056 | |||||
29,443 |
Repsol YPF SA,
ADR (Spain)
(d)
|
690,438 | |||||
12,222 |
Sasol Ltd., ADR
(South
Africa)
|
496,824 | |||||
46,509 |
Statoil ASA, ADR
(Norway)
(d)
|
1,124,123 | |||||
11,495 |
Tenaris SA, ADR
(Luxembourg)
|
466,812 | |||||
53,890 |
Total SA, ADR
(France)
(d)
|
2,930,538 | |||||
17,921,301 | |||||||
Financials
- 0.8%
|
|||||||
1,803 |
Eaton Vance
Corp.
|
63,538 | |||||
2,757 |
Federated
Investors, Inc. - Class B
|
66,499 | |||||
14,387 |
Marsh &
McLennan Cos., Inc.
|
348,453 | |||||
3,811 |
Plum Creek Timber
Co., Inc. - REIT
|
151,678 | |||||
1,809 |
Waddell &
Reed Financial, Inc. - Class A
|
67,150 | |||||
697,318 | |||||||
Health
Care - 22.2%
|
|||||||
39,030 |
Abbott
Laboratories (d)
|
1,996,775 | |||||
38,880 |
AstraZeneca PLC,
ADR (United
Kingdom)
(d)
|
1,719,662 | |||||
9,387 |
Baxter
International, Inc.
|
443,254 | |||||
3,654 |
Becton Dickinson
and Co.
|
279,056 | |||||
3,162 |
Biovail Corp.
(Canada)
|
53,754 | |||||
46,136 |
Bristol-Myers
Squibb Co. (d)
|
1,166,780 | |||||
31,013 |
Eli Lilly &
Co.
(d)
|
1,084,525 | |||||
4,535 |
Fresenius Medical
Care AG & Co. KGaA, ADR (Germany)
|
244,618 | |||||
69,853 |
GlaxoSmithKline
PLC, ADR (United
Kingdom)
(d)
|
2,604,818 | |||||
54,946 |
Johnson &
Johnson (d)
|
3,533,028 | |||||
67,606 |
Merck & Co.,
Inc. (d)
|
2,368,914 | |||||
175,674 |
Pfizer, Inc.
(d)
|
2,937,269 | |||||
1,739 |
Pharmaceutical
Product Development, Inc.
|
47,823 | |||||
610 |
Teleflex,
Inc.
|
37,405 | |||||
18,517,681 | |||||||
Industrials
- 12.5%
|
|||||||
18,564 |
3M Co.
(d)
|
1,646,070 | |||||
34,769 |
ABB Ltd., ADR
(Switzerland)
(d)
|
666,174 | |||||
2,912 |
Avery Dennison
Corp.
|
113,655 | |||||
4,283 |
Cooper Industries
PLC (Ireland)
|
210,295 |
Number
|
|||||||
of Shares
|
Value
|
||||||
Industrials
(continued)
|
|||||||
3,741 |
Dover
Corp.
|
$ | 195,355 | ||||
785 |
Dun &
Bradstreet Corp.
|
60,422 | |||||
660 |
Elbit Systems
Ltd. (Israel)
|
40,689 | |||||
19,819 |
Emerson Electric
Co. (d)
|
1,035,146 | |||||
5,830 |
General Dynamics
Corp.
|
445,179 | |||||
15,282 |
Honeywell
International, Inc. (d)
|
725,437 | |||||
1,467 |
Hubbell, Inc. -
Class B
|
68,171 | |||||
13,410 |
Illinois Tool
Works, Inc. (d)
|
685,251 | |||||
2,759 |
ITT
Corp.
|
153,318 | |||||
19,256 |
Koninklijke
Philips Electronics NV (Netherlands)
(d)
|
641,995 | |||||
5,765 |
Lockheed Martin
Corp.
|
489,391 | |||||
9,283 |
Masco
Corp.
|
150,663 | |||||
6,314 |
Northrop Grumman
Corp.
|
428,279 | |||||
2,157 |
Pentair,
Inc.
|
77,997 | |||||
5,595 |
Pitney Bowes,
Inc.
|
142,113 | |||||
5,904 |
Raytheon
Co.
|
344,203 | |||||
5,474 |
RR Donnelley
& Sons Co.
|
117,636 | |||||
1,389 |
Snap-On,
Inc.
|
66,922 | |||||
3,258 |
Tomkins PLC, ADR
(United
Kingdom)
|
49,750 | |||||
8,937 |
Tyco
International Ltd. (Switzerland)
|
346,666 | |||||
14,313 |
United
Technologies Corp. (d)
|
1,072,759 | |||||
12,999 |
Waste Management,
Inc.
|
450,805 | |||||
10,424,341 | |||||||
Information
Technology - 9.4%
|
|||||||
13,553 |
Automatic Data
Processing, Inc.
|
587,658 | |||||
2,099 |
Broadridge
Financial Solutions, Inc.
|
49,977 | |||||
1,953 |
Harris
Corp.
|
100,541 | |||||
148,950 |
Intel Corp.
(d)
|
3,400,529 | |||||
2,094 |
Konami Corp., ADR
(Japan)
|
40,940 | |||||
5,916 |
Linear Technology
Corp.
|
177,835 | |||||
3,718 |
National
Semiconductor Corp.
|
54,952 | |||||
56,034 |
Nokia OYJ, ADR
(Finland)
(d)
|
681,373 | |||||
9,883 |
Paychex,
Inc.
|
302,420 | |||||
136,782 |
Taiwan
Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)
(d)
|
1,448,521 | |||||
46,944 |
Telefonaktiebolaget
LM Ericsson, ADR (Sweden)
|
539,856 | |||||
19,309 |
Texas
Instruments, Inc.
|
502,227 | |||||
7,886,829 | |||||||
Materials
- 2.7%
|
|||||||
2,915 |
Bemis Co.,
Inc.
|
88,645 | |||||
500 |
Compass Minerals
International, Inc.
|
37,655 | |||||
12,823 |
CRH PLC, ADR
(Ireland)
(d)
|
366,610 | |||||
24,448 |
EI Du Pont de
Nemours & Co.
(d)
|
974,008 | |||||
889 |
Greif, Inc. -
Class A
|
52,611 | |||||
1,905 |
International
Flavors & Fragrances, Inc.
|
95,421 | |||||
2,551 |
MeadWestvaco
Corp.
|
69,311 |
1,572 |
Packaging Corp.
of America
|
38,876 | ||||||
4,380 |
PPG Industries,
Inc.
|
308,221 | ||||||
2,473 |
RPM
International, Inc.
|
54,604 | ||||||
2,456 |
Sealed Air
Corp.
|
52,804 | ||||||
2,634 |
Sonoco Products
Co.
|
87,264 | ||||||
1,499 |
Valspar
Corp.
|
46,949 | ||||||
2,272,979 | ||||||||
Telecommunication
Services - 3.1%
|
||||||||
1,969 |
Cellcom Israel
Ltd. (Israel)
|
59,661 | ||||||
19,048 |
Chunghwa Telecom
Co. Ltd., ADR (Taiwan)
|
371,817 | ||||||
5,207 |
Magyar Telekom
Telecommunications PLC, ADR (Hungary)
|
92,372 | ||||||
67,523 |
NTT DoCoMo, Inc.,
ADR (Japan)
(d)
|
1,047,282 | ||||||
4,011 |
Partner
Communications Co. Ltd., ADR (Israel)
|
78,776 | ||||||
3,937 |
Philippine Long
Distance Telephone Co., ADR (Philippines)
|
221,417 | ||||||
9,117 |
Rogers
Communications, Inc. - Class B (Canada)
|
324,656 | ||||||
9,903 |
Telecom Corp. of
New Zealand Ltd., ADR (New
Zealand)
|
77,540 | ||||||
18,467 |
Telefonos de
Mexico SAB de CV, ADR (Mexico)
|
283,468 | ||||||
2,556,989 | ||||||||
Utilities
- 1.9%
|
||||||||
2,761 |
Cia de Saneamento
Basico do Estado de Sao Paulo, ADR (Brazil)
|
108,645 | ||||||
7,640 |
Cia Energetica de
Minas Gerais, ADR (Brazil)
|
123,378 | ||||||
2,402 |
DPL,
Inc.
|
67,688 | ||||||
4,136 |
Empresa Nacional
de Electricidad SA, ADR (Chile)
|
192,117 | ||||||
9,872 |
Enersis SA, ADR
(Chile)
|
196,354 | ||||||
9,977 |
Exelon
Corp.
|
434,898 | ||||||
13,388 |
Public Service
Enterprise Group, Inc.
|
430,156 | ||||||
1,637 |
UGI
Corp.
|
45,001 | ||||||
1,598,237 | ||||||||
Total
Common Stocks - 109.7%
|
||||||||
(Cost
$79,859,127)
|
91,561,984 | |||||||
Preferred
Stocks - 1.7%
|
||||||||
Financials
- 1.7%
|
||||||||
204,504 |
Scottish Re Group
Ltd., 7.250% (Cayman
Islands)
(b)
|
|||||||
(Cost
$5,096,600)
|
1,431,528 | |||||||
Convertible
Preferred Stocks - 1.5%
|
||||||||
Financials
- 1.5%
|
||||||||
342 |
Fannie Mae,
5.375%
|
|||||||
(Cost
$33,154,000)
|
1,282,500 | |||||||
Principal
|
Optional
|
|||||||
Amount
|
Call
Provisions
|
Value
|
||||||
Corporate
Bonds - 23.0%
|
||||||||
Consumer
Discretionary - 4.2%
|
||||||||
$ | 400,000 |
British Sky
Broadcasting Group PLC, BBB+, 9.500%, 11/15/18
|
||||||
(United
Kingdom)
(a)
|
N/A
|
520,605 | ||||||
394,000 |
Comcast Corp.,
BBB+, 6.550%, 7/1/39
|
N/A
|
418,319 |
Principal
Amount
|
Optional
Call
Provisions
|
Value
|
||||||
Consumer
Discretionary (continued)
|
||||||||
$ | 410,000 |
Fortune Brands,
Inc., BBB-, 6.625%, 7/15/28
|
N/A | $ | 412,105 | |||
394,000 |
Home Depot, Inc.,
BBB+, 5.875%, 12/16/36
|
N/A | 395,556 | |||||
404,000 |
International
Game Technology, BBB, 7.500%, 6/15/19
|
N/A | 471,200 | |||||
399,000 |
Kohl’s Corp.,
BBB+, 6.875%, 12/15/37
|
N/A | 459,186 | |||||
265,000 |
Time Warner,
Inc., BBB, 7.700%, 5/1/32
|
N/A | 311,867 | |||||
397,000 |
Walt Disney Co.
(The), A, 7.000%, 3/1/32
|
N/A | 482,946 | |||||
3,471,784 | ||||||||
Energy
- 1.3%
|
||||||||
405,000 |
Anadarko
Petroleum Corp., BBB-, 8.700%, 3/15/19
|
N/A | 510,015 | |||||
411,000 |
Weatherford
International Ltd., BBB, 9.625%, 3/1/19 (Switzerland)
|
N/A | 532,386 | |||||
1,042,401 | ||||||||
Financials
- 10.0%
|
||||||||
137,000 |
American Express
Co., BB, 6.800%, 9/1/66 (b)
|
9/1/16@
100.00
|
135,973 | |||||
399,000 |
American Express
Co., BBB+, 8.125%, 5/20/19
|
N/A | 489,508 | |||||
398,000 |
American
International Group, Inc., A-, 5.375%, 10/18/11
|
N/A | 406,473 | |||||
301,000 |
AvalonBay
Communities, Inc., BBB+, 6.100%, 3/15/20
|
N/A | 326,812 | |||||
198,000 |
Bank of America
Corp., BB, 8.000%, 12/31/49 (b)
|
1/30/18@
100.00
|
199,605 | |||||
301,000 |
Boston Properties LP,
A-, 5.875%, 10/15/19
|
N/A | 319,778 | |||||
301,000 |
Camden Property Trust,
BBB, 5.700%, 5/15/17
|
N/A | 300,047 | |||||
260,000 |
Caterpillar
Financial Services Corp., A, 7.150%, 2/15/19
|
N/A | 311,149 | |||||
401,000 |
Citigroup, Inc.,
A, 8.500%, 5/22/19
|
N/A | 474,165 | |||||
400,000 |
Coffeyville
Resources LLC/Coffeyville Finance, Inc., BB-,
|
|||||||
9.000%, 4/1/15
(a)
|
4/1/12@
106.75
|
410,000 | ||||||
300,000 |
Fidelity National
Financial, Inc., BBB-, 6.600%, 5/15/17
|
N/A | 300,294 | |||||
199,000 |
GE Capital Trust
I, A+, 6.375%, 11/15/67 (b)
|
11/15/17@
100.00
|
191,786 | |||||
397,000 |
General Electric
Capital Corp., AA+, 6.750%, 3/15/32
|
N/A | 434,238 | |||||
200,000 |
Goldman Sachs
Capital II, BBB, 5.793%, 12/29/49 (b)
|
6/1/12@
100.00
|
159,250 | |||||
404,000 |
Goldman Sachs
Group, Inc. (The), A-, 6.750%, 10/1/2037
|
N/A | 392,923 | |||||
301,000 |
HCP, Inc., BBB,
6.700%, 1/30/18
|
N/A | 314,996 | |||||
269,000 |
Hughes Network
Systems LLC/HNS Finance Corp., B,
|
|||||||
9.500%,
4/15/14
|
6/4/10@
104.75
|
278,415 | ||||||
202,000 |
JPMorgan Chase
& Co., BBB+, 7.900%, 4/29/49 (b)
|
4/30/18@
100.00
|
212,857 | |||||
396,000 |
JPMorgan Chase
& Co., A+, 6.300%, 4/23/19
|
N/A | 440,234 | |||||
405,000 |
Manufacturers
& Traders Trust Co., A-, 6.625%, 12/4/17
|
N/A | 441,201 | |||||
400,000 |
Merrill Lynch
& Co., Inc., A-, 6.110%, 1/29/37
|
N/A | 371,125 | |||||
400,000 |
Morgan Stanley,
A, 5.550%, 4/27/17
|
N/A | 402,500 | |||||
405,000 |
PNC Bank NA, A,
5.250%, 1/15/17
|
N/A | 420,020 | |||||
298,000 |
Simon Property
Group LP, A-, 10.350%, 4/1/19
|
N/A | 386,759 | |||||
202,000 |
Wells Fargo &
Co., A-, 7.980%, 3/15/49 (b)
|
3/15/18@
100.00
|
214,120 | |||||
8,334,228 | ||||||||
Health
Care - 2.0%
|
||||||||
399,000 |
Aetna, Inc., A-,
6.750%, 12/15/37
|
N/A | 441,181 | |||||
404,000 |
Inverness Medical
Innovations, Inc., B-,
|
|||||||
9.000%,
5/15/16
|
5/15/13@
104.50
|
413,090 | ||||||
399,000 |
UnitedHealth
Group, Inc., A-, 6.500%, 6/15/37
|
N/A | 423,023 | |||||
397,000 |
WellPoint, Inc.,
A-, 5.950%, 12/15/34
|
N/A | 399,273 | |||||
1,676,567 |
Industrials
- 3.0%
|
||||||||
399,000 |
CSX Corp., BBB-,
6.000%, 10/1/36
|
N/A | 409,966 | |||||
400,000 |
Delta Air Lines,
Inc., BB-, 9.500%, 9/15/14 (a)
|
9/15/11@
107.125
|
425,500 | |||||
408,000 |
FedEx Corp., BBB,
8.000%, 1/15/19
|
N/A | 510,275 | |||||
407,000 |
Southwest
Airlines Co., BBB, 5.125%, 3/1/17
|
N/A | 404,398 | |||||
274,000 |
Textron, Inc.,
BBB-, 7.250%, 10/1/19
|
N/A | 301,806 | |||||
405,000 |
Waste Management,
Inc., BBB, 7.375%, 3/11/19
|
N/A | 481,537 | |||||
2,533,482 | ||||||||
Information
Technology - 0.7%
|
||||||||
262,000 |
Corning, Inc.,
BBB+, 6.625%, 5/15/19
|
N/A | 299,065 | |||||
264,000 |
Oracle Corp., A,
6.125%, 7/8/39
|
N/A | 289,245 | |||||
588,310 | ||||||||
Materials
- 0.9%
|
||||||||
275,000 |
Alcoa, Inc.,
BBB-, 6.750%, 7/15/18
|
N/A | 292,094 | |||||
411,000 |
International
Paper Co., BBB, 7.500%, 8/15/21
|
N/A | 483,718 | |||||
775,812 | ||||||||
Utilities
- 0.9%
|
||||||||
401,000 |
Exelon Generation
Co. LLC, BBB, 6.200%, 10/1/17
|
N/A | 445,216 | |||||
264,000 |
Southwestern
Electric Power Co., BBB, 6.450%, 1/15/19
|
N/A | 294,326 | |||||
739,542 | ||||||||
Total
Corporate Bonds - 23.0%
|
||||||||
(Cost
$17,677,003)
|
19,162,126 | |||||||
Number
of Shares
|
Value
|
|||||||
Limited
Partnership - 0.2%
|
||||||||
Real
Estate - 0.2%
|
||||||||
400,000 |
Kodiak Funding,
LP (c)
|
|||||||
(Cost
$3,516,000)
|
192,000 | |||||||
Total
Long-Term Investments - 136.1%
|
||||||||
(Cost
$139,302,730)
|
113,630,138 | |||||||
Short-Term
Investments - 2.8%
|
||||||||
2,372,916 |
Dreyfus Money
Market Bond Fund
|
|||||||
(Cost
$2,372,916)
|
2,372,916 | |||||||
Total
Investments - 138.9%
|
||||||||
(Cost
$141,675,646)
|
116,003,054 | |||||||
Other Assets in
excess of Liabilities - 0.6%
|
503,524 | |||||||
Borrowings -
(39.5%)
|
(33,000,000 | ) | ||||||
Net Assets
Applicable to Common Shares - 100.0%
|
$ | 83,506,578 |
(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 April 30, 2010, these
securities amounted to 1.6% 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 $192,000 which
represents 0.2% of Net Assets Applicable to Common
Shares.
|
(d)
|
All or a portion of these
securities were segregated as collateral for the borrowings. As of April
30, 2010, the total amount segregated was
$71,037,407.
|
Assets
|
||||
Investments in
securities, at value (cost $141,675,646)
|
$ | 116,003,054 | ||
Dividends and
interest receivable
|
445,753 | |||
Cash
|
385,670 | |||
Other
assets
|
79,105 | |||
Total
assets
|
116,913,582 | |||
Liabilities
|
||||
Borrowings
|
33,000,000 | |||
Payable for
securities purchased
|
299,691 | |||
Advisory fee
payable
|
74,263 | |||
Interest due on
borrowings
|
2,494 | |||
Administrative
fee payable
|
2,154 | |||
Accrued expenses
and other liabilities
|
28,402 | |||
Total
liabilities
|
33,407,004 | |||
Net Assets Applicable to Common
Shareholders
|
$ | 83,506,578 | ||
Composition of Net Assets
Applicable to Common Shareholders
|
||||
Common stock,
$.01 par value per share; unlimited number of shares authorized, 4,993,991
shares issued and outstanding
|
$ | 49,940 | ||
Additional
paid-in capital
|
777,393,650 | |||
Accumulated net
unrealized depreciation on investments
|
(25,672,592 | ) | ||
Accumulated net
realized loss on investments, and currency
transactions
|
(668,620,131 | ) | ||
Accumulated
undistributed net investment income
|
355,711 | |||
Net Assets Applicable to Common
Shareholders
|
$ | 83,506,578 | ||
Net Asset Value Applicable to
Common Shareholders
|
||||
(based on
4,993,991 common shares outstanding)
|
$ | 16.72 |
Investment
Income
|
||||||||
Dividends (net of
foreign withholding taxes of $70,369)
|
$ | 2,211,648 | ||||||
Interest
|
892,154 | |||||||
Total
income
|
$ | 3,103,802 | ||||||
Expenses
|
||||||||
Advisory
fee
|
631,817 | |||||||
Professional
fees
|
137,081 | |||||||
Trustees’ fees
and expenses
|
83,627 | |||||||
Printing
expenses
|
64,638 | |||||||
Fund
accounting
|
29,017 | |||||||
Administrative
fee
|
20,383 | |||||||
Custodian
fee
|
15,913 | |||||||
Auction agent fee
- preferred shares
|
15,178 | |||||||
Transfer agent
fee
|
10,597 | |||||||
Insurance
expense
|
9,122 | |||||||
Rating agency
fee
|
8,652 | |||||||
NYSE listing
fee
|
6,335 | |||||||
Miscellaneous
|
47,857 | |||||||
Interest
expense
|
190,840 | |||||||
Total
expenses
|
1,271,057 | |||||||
Advisory fees
waived
|
(59,465 | ) | ||||||
Net
expenses
|
1,211,592 | |||||||
Net
investment income
|
1,892,210 | |||||||
Realized and Unrealized Gain
(Loss) on Investments and Foreign Currency
Transactions
|
||||||||
Net realized gain
on:
|
||||||||
Investments
|
3,708,048 | |||||||
Foreign currency
transactions
|
97 | |||||||
Net change in
unrealized appreciation on:
|
||||||||
Investments
|
12,373,378 | |||||||
Foreign currency
translation
|
2 | |||||||
Net
gain on investments and foreign currency
transactions
|
16,081,525 | |||||||
Net Increase in Net Assets
Applicable to Common Shareholders Resulting from
Operations
|
17,973,735 | |||||||
Distributions to Preferred Shares
from
|
||||||||
Net investment
income
|
(126,017 | ) | ||||||
Net Increase in Net Assets
Applicable to Common Shareholders Resulting from
Operations
|
$ | 17,847,718 |
For the
Six Months
Ended
April 30, 2010
(unaudited)
|
For the
Year Ended
October 31,
2009
|
|||||||
Increase (decrease) in Net Assets
Applicable to Common
|
||||||||
Shareholders
Resulting from Operations
|
||||||||
Net investment
income
|
$ | 1,892,210 | $ | 8,154,646 | ||||
Net realized gain
(loss) on investments, redemption - in kind, futures, options and currency
transactions
|
3,708,145 | (440,501,096 | ) | |||||
Net change in
unrealized appreciation on investments, futures, options and currency
transactions
|
12,373,380 | 396,803,212 | ||||||
Distributions to Preferred
Shareholders from
|
||||||||
Net investment
income
|
(126,017 | ) | (1,895,225 | ) | ||||
Net increase
(decrease) in net assets applicable to common shareholders resulting from
operations
|
17,847,718 | (37,438,463 | ) | |||||
Distributions to Common
Shareholders
|
||||||||
From and in
excess of net investment income
|
(2,869,249 | ) | (5,901,925 | ) | ||||
Capital Share
Transactions
|
||||||||
Cost of common
shares repurchased
|
(66,354,778 | ) | – | |||||
Total decrease in
net assets applicable to common shareholders
|
(51,376,309 | ) | (43,340,388 | ) | ||||
Net Assets
|
||||||||
Beginning of
period
|
134,882,887 | 178,223,275 | ||||||
End of period
(including accumulated undistributed net investment income of $355,711
and
|
||||||||
$ 1,458,767,
respectively)
|
$ | 83,506,578 | $ | 134,882,887 |
Cash Flows from Operating
Activities:
|
||||
Net increase in
net assets resulting from operations
|
$ | 17,973,735 | ||
Adjustments to Reconcile Net
Increase in Net Assets Resulting from Operations to
|
||||
Net
Cash Used in Operating and Investing Activities:
|
||||
Net change in
unrealized appreciation on investments
|
(12,373,378 | ) | ||
Net realized gain
on investments
|
(3,708,048 | ) | ||
Purchase of
long-term investments
|
(29,887,914 | ) | ||
Proceeds from
sale of long-term investments
|
60,548,111 | |||
Amortization of
premium and other
|
17,358 | |||
Net sales of
short-term investments
|
1,871,865 | |||
Decrease in
dividends and interest receivable
|
253,121 | |||
Increase in other
assets
|
(37,088 | ) | ||
Increase in
securities purchased payable
|
299,691 | |||
Decrease in
advisory fee payable
|
(55,652 | ) | ||
Decrease in
dividends payable - preferred shares
|
(6,731 | ) | ||
Decrease in
administrative fee payable
|
(1,981 | ) | ||
Decrease in
accrued expenses and other liabilities
|
(263,704 | ) | ||
Decrease in
interest expense payable
|
(31,423 | ) | ||
Decrease in due
to custodian payable
|
(37,888 | ) | ||
Net Cash Provided
in Operating and Investing Activities
|
34,560,074 | |||
Cash Flows From Financing
Activities:
|
||||
Redemption of
auction market preferred shares
|
(30,000,000 | ) | ||
Distributions to
preferred shareholders
|
(126,017 | ) | ||
Dividends paid to
common shareholders
|
(2,869,249 | ) | ||
Proceeds from
borrowings
|
3,000,000 | |||
Cash payment in
connection with common shares tendered for
repurchase
|
(4,179,138 | ) | ||
Net Cash Provided
by Financing Activities
|
(34,174,404 | ) | ||
Net increase in
cash
|
385,670 | |||
Cash at Beginning of
Period
|
– | |||
Cash at End of
Period
|
$ | 385,670 | ||
Supplemental Disclosure of Cash
Flow Information: Cash paid during the period for
interest
|
$ | 188,346 |
Per share operating performance
for a common share outstanding throughout the period
*
|
For the
Six Months
Ended
April 30, 2010
(unaudited)
|
For the
Year Ended
October 31,
2009
|
For the
Year Ended
October 31,
2008
|
For the
Year Ended
October 31,
2007
|
For the
Year Ended
October 31,
2006
|
For the
Year Ended
October 31,
2005
|
||||||||||||
Net asset value, beginning of
period
|
$
|
14.86
|
$
|
19.65
|
$
|
113.95
|
$
|
119.55
|
$
|
103.10
|
$
|
94.45
|
||||||
Income from investment
operations
|
||||||||||||||||||
Net investment
income (a)
|
0.28
|
0.90
|
6.75
|
7.70
|
7.09
|
6.00
|
||||||||||||
Net realized and
unrealized gain (loss) on investments, futures and swap
transactions
|
1.96
|
(4.83
|
)
|
(92.50
|
)
|
(4.30
|
)
|
18.08
|
10.55
|
|||||||||
Distributions
to Preferred Shareholders
|
||||||||||||||||||
From net
investment income and return of capital (common share equivalent
basis)
|
(0.02
|
)
|
(0.21
|
)
|
(2.05
|
)
|
(2.50
|
)
|
(2.22
|
)
|
(1.40
|
)(h) | ||||||
Total from
investment operations
|
2.22
|
(4.14
|
)
|
(87.80
|
)
|
0.90
|
4.59
|
15.15
|
||||||||||
Distributions to Common
Shareholders
|
||||||||||||||||||
From and in
excess of net investment income
|
(0.36
|
)
|
(0.65
|
)
|
(4.73
|
)(e) |
(6.50
|
)
|
(6.50
|
)
|
(6.50
|
)
|
||||||
Return of
capital
|
—
|
—
|
(1.77
|
)(e) |
—
|
—
|
0.00
|
(i)
|
||||||||||
Total
distributions to Common Shareholders
|
(0.36
|
)
|
(0.65
|
)
|
(6.50
|
)
|
(6.50
|
)
|
(6.50
|
)
|
(6.50
|