Dreman/Claymore Dividend & Income Fund

 

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

 

Dreman/Claymore Dividend & Income Fund

(Exact name of registrant as specified in charter)

 

2455 Corporate West Drive, Lisle, IL   60532
(Address of principal executive offices)   (Zip code)

 

Nicholas Dalmaso, Chief Legal and Executive Officer

Dreman/Claymore Dividend & Income Fund

2455 Corporate West Drive, Lisle, IL 60532

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: 1-630-505-3700

 

Date of fiscal year end: October 31

 

Date of reporting period: January 31, 2005

 

Form N-Q is to be used by management investment companies, other than small business investment companies 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 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. § 3507.

 

Item 1. Schedule of Investments.

 

Attached hereto.

Dreman/Claymore Dividend & Income Fund

Portfolio of Investments | January 31, 2005 (unaudited)

 

Number of Shares
         Value
     Long-Term Investments - 143.1%       
     Common Stocks - 113.8%       
     Consumer Staples - 37.6%       
2,451,700    Altria Group, Inc. (a)    $ 156,492,011
1,452,300    Loews Corp. - Carolina Group (a)      45,587,697
842,600    Reynolds American, Inc. (a)      67,761,892
166,800    Universal Corp.      7,882,968
1,363,000    UST, Inc. (a)      69,049,580
364,775    Vector Group Ltd.      5,923,946
         
            352,698,094
         
     Energy - 11.9%       
203,600    BP Prudhoe Bay Royalty Trust      10,760,260
530,600    ChevronTexaco Corp.      28,864,640
343,100    ConocoPhillips      31,836,249
336,000    Devon Energy Corp.      13,665,120
50,900    Enerplus Resources Fund      1,930,637
201,800    Kerr-McGee Corp.      12,461,150
131,500    Pengrowth Energy Trust - Class A      2,728,625
150,800    San Juan Basin Royalty Trust      4,662,736
240,400    Williams Coal Seam Gas Royalty Trust      4,276,716
         
            111,186,133
         
     Financials - 35.2%       
185,000    American Home Mortgage Investment Corp.      6,184,550
180,900    American International Group, Inc.      11,991,861
540,000    Bank of America Corp.      25,039,800
759,100    Fannie Mae (a)      49,022,678
1,087,200    Freddie Mac (a)      70,983,288
268,500    Impac Mortgage Holdings, Inc.      6,132,540
724,800    KeyCorp      24,222,816
794,100    Luminent Mortgage Capital, Inc.      8,838,333
1,163,300    MFA Mortgage Investments, Inc.      9,725,188
150,000    New Century Financial Corp.      8,983,500
151,700    Newcastle Investment Corp.      4,587,408
254,000    Novastar Financial, Inc.      11,701,780
233,600    PNC Financial Services Group      12,584,032
415,000    Regions Financial Corp.      13,280,000
448,600    U.S. Bancorp      13,480,430
65,000    Wachovia Corp.      3,565,250
1,232,800    Washington Mutual, Inc.      49,743,480
         
            330,066,934
         

 

Dreman/Claymore Dividend & Income Fund

Portfolio of Investments | January 31, 2005 (unaudited)

 

Number of Shares
         Value
     Healthcare - 7.6%       
1,465,000    Bristol-Myers Squibb Co.    $ 34,339,600
80,700    Medco Health Solutions, Inc. (b)      3,435,399
920,100    Merck & Co., Inc.      25,808,805
300,000    Pfizer, Inc.      7,248,000
         
            70,831,804
         
     Telecommunications - 3.0%       
107,000    Alaska Communications Systems Group, Inc.      936,250
1,140,000    SBC Communications, Inc.      27,086,400
         
            28,022,650
         
     Utilities - 18.5%       
715,600    Ameren Corp.      35,865,872
659,700    Consolidated Edison, Inc.      28,941,039
224,600    DTE Energy Co.      9,839,726
361,900    Empire District Electric Co.      8,280,272
327,200    Great Plains Energy, Inc.      9,917,432
155,200    KeySpan Corp.      6,125,744
108,300    Nicor, Inc.      3,998,436
469,600    OGE Energy Corp.      12,280,040
374,700    Peoples Energy Corp.      16,048,401
317,400    Pepco Holdings, Inc.      6,935,190
433,800    Progress Energy, Inc.      19,195,650
271,700    Public Service Enterprise Group, Inc.      14,332,175
190,200    Star Gas Partners, L.P.      1,293,360
         
            173,053,337
         
     Total Common Stocks       
     (Cost $988,553,622)      1,065,858,952
         
     Preferred Stocks - 26.4%       
     Consumer Discretionary - 0.3%       
125,000    Westcoast Hospitality Co., 9.500%      3,333,750
         
     Consumer Staples - 0.4%       
40,000    Dairy Farmers Of America, 7.875% (c)      4,217,500
         
     Energy - 3.6%       
440,000    EL Paso Tennessee Pipe, Series A, 8.250%      22,247,500
385,500    Southern Union Co., 7.550%      11,083,125
         
            33,330,625
         

 

Dreman/Claymore Dividend & Income Fund

Portfolio of Investments | January 31, 2005 (unaudited)

 

Number of Shares
         Value
     Financials - 21.9%       
7,000,000    Abbey National Capital Trust I, 8.963% (d)    $ 10,114,951
58,000    Abbey National PLC, Series B, 7.375%      1,578,180
200,000    ABN AMRO Capital Fund Trust VII, 6.080%      5,040,000
200,000    Affordable Residential, Series A, 8.250%      5,260,000
18,000    Apartment Investment & Management Co., 10.100%      481,320
80,000    Banco Santander, Series 1, 6.410% (c)      2,068,000
10,000,000    Barclays Bank PLC, 8.550% (c)(d)      12,193,300
9,000,000    CA Preferred Fund Trust, 7.000%      9,434,970
189,300    Chevy Chase Bank, 8.000%      5,442,375
1,000    Doral Financial Corp., Series B, 8.350%      28,130
8,660    Doral Financial Corp., Series C, 7.250%      230,312
80,000    Fannie Mae, 7.000%      4,537,504
200,000    Fannie Mae, Series E, 5.100%      8,362,500
12,840,000    HSBC Capital Funding LP, 9.547% (c)(d)      15,908,246
7,042,000    HSBC Capital Funding LP, 10.176% (c)(d)      11,125,980
140,500    Lehman Brothers Holdings, Inc., Series F, 6.500%      3,813,170
2,000,000    Lloyds TSB Bank PLC, 6.900%      2,099,200
80,000    LTC Properties, Inc., Series F, 8.000%      2,100,000
21,000    Novastar Financial, Inc., Series C, 8.900%      539,070
13,354,000    Old Mutual Cap Funding, 8.000%      14,231,358
400,000    OMEGA Healthcare, Series D, 8.375%      10,487,520
31,000,000    Prudential PLC, 6.500%      31,395,808
6,400,000    RBS Capital Trust B, 6.800%      6,655,296
5,750,000    Royal Bank Of Scotland Group PLC 7.648% (d)      7,239,233
12,000,000    Royal Bank Of Scotland Group PLC, Series 1, 9.118% (d)      14,527,008
16,775,000    UBS Preferred Funding Trust I, 8.622% (d)      20,064,628
         
            204,958,059
         
     Utilities - 0.2%       
80,000    Alabama Power Co., 5.300%      2,024,000
         
     Total Preferred Stocks       
     (Cost $241,560,608)      247,863,934
         
     Convertible Preferred Stocks - 0.1%       
5    Fannie Mae, 5.375%       
     (Cost $500,000)      517,500
         

 

Dreman/Claymore Dividend & Income Fund

Portfolio of Investments | January 31, 2005 (unaudited)

 

Number of Shares
         Value
  
       Investment Companies - 2.3%         
  116,000    Cohen & Steers REIT and Preferred Income Fund, Inc.    $ 3,019,480  
  296,200    Evergreen Income Advantage Fund      4,517,050  
  232,600    Hyperion Total Return Fund      2,374,846  
  240,000    Nuveen Preferred and Convertible Income Fund II      3,355,200  
  211,200    Nuveen Quality Preferred Income Fund II      3,174,336  
  295,200    Pioneer High Income Trust      4,820,616  
  6,400    Salomon Brothers Worldwide Income Fund, Inc.      108,288  
           
       Total Investment Companies         
       (Cost $21,925,956)      21,369,816  
           
Principal Amount
            
       Corporate Bonds - 0.5%         
       Financials - 0.5%         
$ 5,000,000    BF Saul REIT, B+         
       7.500%, 3/01/14      5,175,000  
           
       (Cost $5,000,000)         
       Total Long-Term Investments         
       (Cost $1,257,540,186)      1,340,785,202  
           
Number of Shares
            
       Short-Term Investments - 0.9%         
       Money Market Fund - 0.9%         
  8,469,653    JP Morgan Prime Money Market Fund         
       (Cost $8,469,653)      8,469,653  
           
       Total Investments         
       (Cost $1,266,009,839) - 144.0%      1,349,254,855  
       Other Assets in Excess of Liabilities - 1.4%      12,719,990  
       Preferred Shares, at Liquidation Value - ( -45.4% of Net Assets Available to Common Shares or - 31.5% of Total Investments)      (425,000,000 )
           
       Net Assets Applicable to Common Shares - 100.0%    $ 936,974,845  
           

 

Ratings shown are per Standard & Poor’s, securities classified NR are not rated by Standard & Poor’s.

 

PLC - Public Limited Company.

 

  (a) All or a portion of these securities have been physically segregated in connection with open futures contracts.

 

  (b) Non-income producing security.

 

  (c) 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, 2005, these securities amounted to $45,513,026 or 4.86% of net assets.

 

  (d) Floating or variable rate security.

 

All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.

 

At January 31, 2005, the following futures contracts were outstanding:

 

Short
Contracts

    Number of
Contracts
    Expiration
Month
    Original
Value
    Value at
January 31, 2005
    Unrealized
Depreciation
  

US Treasury Bonds (CBT)

    2,889    Mar-05    $ 326,646,576    $ 331,783,594    $ (5,137,018 )
    
  
  
  
  

 

Country Allocation*

 

United States

    91.3 %

United Kingdom

    5.1 %

Cayman Islands

    1.9 %

China

    1.2 %

Canada

    0.3 %

Spain

    0.2 %

 

* 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 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 were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act (17 CFR 270.30a-2(a)), exactly as set forth below: 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/    NICHOLAS DALMASO

   

Nicholas Dalmaso

   

Chief Legal and Executive Officer

Date:

  

March 23, 2005

 

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/    NICHOLAS DALMASO

   

Nicholas Dalmaso

   

Chief Legal and Executive Officer

Date:

  

March 23, 2005

By:

  

/S/    STEVEN M. HILL

   

Steven M. Hill

   

Treasurer and Chief Financial Officer

Date:

  

March 23, 2005