clay49816-nq.htm
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
 
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)
 
J. Thomas Futrell
2455 Corporate West Drive, Lisle, IL 60532
(Name and address of agent for service)

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

Date of fiscal year end: October 31                                                                

Date of reporting period: May 1, 2010 – July 31, 2010                                                                                                

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.
 
DCS | Claymore Dividend & Income Fund
        
Portfolio of Investments
        
July 31, 2010 (unaudited)
        
               
 
Number of Shares
        
Value
  
     
Total Long-Term Investments - 138.8%
        
     
Common Stocks  - 110.3%
        
     
Consumer Discretionary - 8.2%
        
 
                2,186
  
Darden Restaurants, Inc.
    
 $         91,572
  
 
                3,115
  
Garmin Ltd. (Switzerland)
    
            88,809
  
 
                4,273
  
Genuine Parts Co.
    
          183,013
  
 
                2,107
  
Hasbro, Inc.
    
            88,810
  
 
              46,330
  
Home Depot, Inc.  (d)
    
        1,320,868
  
 
                3,999
  
Leggett & Platt, Inc.
    
            83,339
  
 
                8,885
  
Limited Brands, Inc.
    
          227,811
  
 
                9,849
  
Mattel, Inc.
    
          208,405
  
 
              28,907
  
McDonald's Corp.  (d)
    
        2,015,685
  
 
                8,507
  
McGraw-Hill Cos., Inc. (The)
    
          261,080
  
 
                4,906
  
Omnicom Group, Inc.
    
          182,798
  
 
              15,488
  
Pearson PLC, ADR (United Kingdom) (d)
    
          242,697
  
 
              19,371
  
Thomson Reuters Corp. (Canada) (d)
    
          725,250
  
 
                  960
  
Tupperware Brands Corp.
    
            37,814
  
 
                2,933
  
VF Corp.
    
          232,675
  
 
                1,528
  
Whirlpool Corp.
    
          127,282
  
 
                7,086
  
Yum! Brands, Inc.
    
          292,652
  
           
        6,410,560
  
     
Consumer Staples - 29.8%
        
 
              55,627
  
Altria Group, Inc.  (d)
    
        1,232,694
  
 
                9,716
  
Archer-Daniels-Midland Co.
    
          265,830
  
 
                8,198
  
Avon Products, Inc.
    
          255,204
  
 
                2,180
  
Brown-Forman Corp. - Class B
    
          137,798
  
 
                9,012
  
Campbell Soup Co.
    
          323,531
  
 
              65,586
  
Coca-Cola Co. (The) (d)
    
        3,614,444
  
 
                7,460
  
Colgate-Palmolive Co. (d)
    
          589,191
  
 
                1,519
  
Delhaize Group SA, ADR (Belgium)
    
          113,059
  
 
              16,348
  
Diageo PLC, ADR (United Kingdom) (d)
    
        1,142,398
  
 
                1,925
  
Emotelladora Andina SA, ADR - Class B (Chile)
    
            51,128
  
 
              16,472
  
General Mills, Inc.
    
          563,342
  
 
                6,107
  
Hershey Co. (The)
    
          287,029
  
 
                8,666
  
HJ Heinz Co.
    
          385,464
  
 
                2,047
  
Hormel Foods Corp.
    
            87,857
  
 
                2,537
  
JM Smucker Co. (The)
    
          155,848
  
 
              10,037
  
Kellogg Co. (d)
    
          502,352
  
 
              11,390
  
Kimberly-Clark Corp. (d)
    
          730,327
  
 
              34,419
  
Kraft Foods, Inc. - Class A (d)
    
        1,005,379
  
 
                3,271
  
Lorillard, Inc.
    
          249,381
  
 
                3,229
  
McCormick & Co., Inc.
    
          126,997
  
 
                2,864
  
Molson Coors Brewing Co. - Class B
    
          128,909
  
 
              48,583
  
PepsiCo, Inc. (d)
    
        3,153,523
  
 
              38,749
  
Philip Morris International, Inc. (d)
    
        1,977,749
  
 
              44,535
  
Procter & Gamble Co. (The) (d)
    
        2,723,761
  
 
                4,422
  
Reynolds American, Inc.
    
          255,680
  
 
              18,360
  
Sara Lee Corp. (d)
    
          271,544
  
 
              15,669
  
Sysco Corp.  (d)
    
          485,269
  
 
              47,909
  
Wal-Mart Stores, Inc. (d)
    
        2,452,462
  
           
      23,268,150
  
     
Energy - 17.4%
        
 
              45,049
  
Chevron Corp. (d)
    
        3,433,184
  
 
              39,836
  
ConocoPhillips (d)
    
        2,199,744
  
 
              39,146
  
Exxon Mobil Corp. (d)
    
        2,336,233
  
 
              29,443
  
Repsol YPF SA, ADR (Spain) (d)
    
          696,327
  
 
              12,222
  
Sasol Ltd., ADR (South Africa) (d)
    
          484,480
  
 
              46,509
  
Statoil ASA, ADR (Norway) (d)
    
          945,528
  
 
              11,495
  
Tenaris SA, ADR (Luxembourg) (d)
    
          460,375
  
 
              60,123
  
Total SA, ADR (France) (d)
    
        3,044,027
  
           
      13,599,898
  
     
Financials - 0.8%
        
 
                1,803
  
Eaton Vance Corp.
    
            54,018
  
 
                2,757
  
Federated Investors, Inc. - Class B
    
            58,504
  
 
              14,387
  
Marsh & McLennan Cos., Inc. (d)
    
          338,382
  
 
                3,811
  
Plum Creek Timber Co., Inc. - REIT
    
          136,739
  
 
                1,809
  
Waddell & Reed Financial, Inc. - Class A
    
            43,108
  
           
          630,751
  
     
Health Care - 24.0%
        
 
              39,030
  
Abbott Laboratories (d)
    
        1,915,592
  
 
              38,880
  
AstraZeneca PLC, ADR (United Kingdom) (d)
    
        1,961,107
  
 
                9,387
  
Baxter International, Inc.
    
          410,869
  
 
                3,654
  
Becton Dickinson and Co.
    
          251,395
  
 
                3,162
  
Biovail Corp. (Canada)
    
            69,216
  
 
              46,136
  
Bristol-Myers Squibb Co.  (d)
    
        1,149,709
  
 
              31,013
  
Eli Lilly & Co. (d)
    
        1,104,063
  
 
                4,535
  
Fresenius Medical Care AG & Co. KGaA, ADR (Germany)
    
          247,974
  
 
              78,996
  
GlaxoSmithKline PLC, ADR (United Kingdom) (d)
    
        2,778,289
  
 
              56,783
  
Johnson & Johnson (d)
    
        3,298,524
  
 
              75,114
  
Merck & Co., Inc. (d)
    
        2,588,428
  
 
            192,181
  
Pfizer, Inc. (d)
    
        2,882,715
  
 
                1,739
  
Pharmaceutical Product Development, Inc.
    
            42,188
  
 
                  610
  
Teleflex, Inc.
    
            34,569
  
           
      18,734,638
  
     
Industrials - 12.3%
        
 
              18,564
  
3M Co. (d)
    
        1,587,965
  
 
              34,769
  
ABB Ltd., ADR (Switzerland) (d)
    
          701,638
  
 
                2,912
  
Avery Dennison Corp.
    
          104,395
  
 
                4,283
  
Cooper Industries PLC (Ireland)
    
          193,377
  
 
                3,741
  
Dover Corp.
    
          179,456
  
 
                  785
  
Dun & Bradstreet Corp.
    
            53,663
  
 
                  660
  
Elbit Systems Ltd. (Israel)
    
            36,307
  
 
              19,819
  
Emerson Electric Co. (d)
    
          981,833
  
 
                5,830
  
General Dynamics Corp.
    
          357,088
  
 
              15,282
  
Honeywell International, Inc. (d)
    
          654,987
  
 
                1,467
  
Hubbell, Inc. - Class B
    
            69,228
  
 
              13,410
  
Illinois Tool Works, Inc. (d)
    
          583,335
  
 
                2,759
  
ITT Corp.
    
          130,004
  
 
              19,256
  
Koninklijke Philips Electronics NV (Netherlands) (d)
    
          599,247
  
 
                5,765
  
Lockheed Martin Corp.
    
          433,240
  
 
                9,283
  
Masco Corp.
    
            95,429
  
 
                6,314
  
Northrop Grumman Corp.
    
          370,253
  
 
                2,157
  
Pentair, Inc.
    
            73,769
  
 
                5,595
  
Pitney Bowes, Inc.
    
          136,574
  
 
                5,904
  
Raytheon Co.
    
          273,178
  
 
                5,474
  
RR Donnelley & Sons Co.
    
            92,346
  
 
                1,389
  
Snap-On, Inc.
    
            62,047
  
 
                3,258
  
Tomkins PLC, ADR (United Kingdom)
    
            66,072
  
 
                8,937
  
Tyco International Ltd. (Switzerland)
    
          342,108
  
 
              14,313
  
United Technologies Corp. (d)
    
        1,017,654
  
 
              12,999
  
Waste Management, Inc. (d)
    
          441,316
  
           
        9,636,509
  
     
Information Technology - 9.5%
        
 
              13,553
  
Automatic Data Processing, Inc. (d)
    
          559,332
  
 
                2,099
  
Broadridge Financial Solutions, Inc.
    
            42,610
  
 
                1,953
  
Harris Corp.
    
            86,967
  
 
            159,794
  
Intel Corp. (d)
    
        3,291,756
  
 
                2,094
  
Konami Corp., ADR (Japan)
    
            32,248
  
 
                5,916
  
Linear Technology Corp.
    
          188,602
  
 
                3,718
  
National Semiconductor Corp.
    
            51,308
  
 
              56,034
  
Nokia OYJ, ADR (Finland) (d)
    
          532,883
  
 
                9,883
  
Paychex, Inc.
    
          256,859
  
 
            136,782
  
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)  (d)
    
        1,381,498
  
 
              46,944
  
Telefonaktiebolaget LM Ericsson, ADR (Sweden) (d)
    
          516,384
  
 
              19,309
  
Texas Instruments, Inc. (d)
    
          476,739
  
           
        7,417,186
  
     
Materials - 2.9%
        
 
                2,915
  
Bemis Co., Inc.
    
            87,333
  
 
                  500
  
Compass Minerals International, Inc.
    
            35,345
  
 
              12,823
  
CRH PLC, ADR (Ireland) (d)
    
          269,668
  
 
              24,448
  
EI Du Pont de Nemours & Co. (d)
    
          994,300
  
 
                  889
  
Greif, Inc. - Class A
    
            53,011
  
 
                1,905
  
International Flavors & Fragrances, Inc.
    
            86,449
  
 
                2,551
  
MeadWestvaco Corp.
    
            61,122
  
 
                1,572
  
Packaging Corp. of America
    
            37,728
  
 
                4,380
  
PPG Industries, Inc.
    
          304,279
  
 
                2,473
  
RPM International, Inc.
    
            46,418
  
 
                2,456
  
Sealed Air Corp.
    
            53,123
  
 
                1,653
  
Sherwin-Williams Co. (The)
    
          114,305
  
 
                2,634
  
Sonoco Products Co.
    
            86,132
  
 
                1,499
  
Valspar Corp.
    
            47,084
  
           
        2,276,297
  
     
Telecommunication Services - 3.3%
        
 
                1,969
  
Cellcom Israel Ltd. (Israel)
    
            54,344
  
 
              19,048
  
Chunghwa Telecom Co. Ltd., ADR (Taiwan) (d)
    
          402,865
  
 
                5,207
  
Magyar Telekom Telecommunications PLC, ADR (Hungary)
    
            80,500
  
 
              67,523
  
NTT DoCoMo, Inc., ADR (Japan) (d)
    
        1,074,291
  
 
                4,011
  
Partner Communications Co. Ltd., ADR (Israel)
    
            66,382
  
 
                3,937
  
Philippine Long Distance Telephone Co., ADR (Philippines)
    
          211,417
  
 
                9,117
  
Rogers Communications, Inc. - Class B (Canada)
    
          316,542
  
 
                9,903
  
Telecom Corp. of New Zealand Ltd., ADR (New Zealand)
    
            71,500
  
 
              18,467
  
Telefonos de Mexico SAB de CV, ADR (Mexico) (d)
    
          266,848
  
           
        2,544,689
  
     
Utilities - 2.1%
        
 
                2,761
  
Cia de Saneamento Basico do Estado de Sao Paulo, ADR (Brazil)
    
          109,915
  
 
                7,639
  
Cia Energetica de Minas Gerais, ADR (Brazil)
    
          116,113
  
 
                2,402
  
DPL, Inc.
    
            60,795
  
 
                4,136
  
Empresa Nacional de Electricidad SA, ADR (Chile)
    
          204,939
  
 
                9,872
  
Enersis SA, ADR (Chile)
    
          204,745
  
 
                9,977
  
Exelon Corp. (d)
    
          417,338
  
 
              13,388
  
Public Service Enterprise Group, Inc. (d)
    
          440,465
  
 
                1,637
  
UGI Corp.
    
            44,134
  
           
        1,598,444
  
     
Total Common Stocks - 110.3%
        
     
(Cost $78,614,758)
    
86,117,122
  
               
     
Convertible Preferred Stocks - 1.3%
        
     
Financials - 1.3%
        
 
                  342
  
Fannie Mae, 5.375%
        
     
(Cost $33,154,000)
    
        1,024,290
  
               
       
Optional
      
 
Principal Amount
    
Call Provisions
  
Value
  
     
Corporate Bonds - 26.9%
        
     
Consumer Discretionary - 4.6%
        
 
 $         400,000
  
British Sky Broadcasting Group PLC, BBB+, 9.500%, 11/15/18 (United Kingdom) (a)
N/A
  
          535,884
  
 
            394,000
  
Comcast Corp., BBB+, 6.550%, 7/1/39
N/A
  
          444,687
  
 
            410,000
  
Fortune Brands, Inc., BBB-, 6.625%, 7/15/28
N/A
  
          430,741
  
 
            394,000
  
Home Depot, Inc., BBB+, 5.875%, 12/16/36
N/A
  
          406,322
  
 
            404,000
  
International Game Technology, BBB, 7.500%, 6/15/19
N/A
  
          472,889
  
 
            399,000
  
Kohl's Corp., BBB+, 6.875%, 12/15/37
N/A
  
          480,959
  
 
            265,000
  
Time Warner, Inc., BBB, 7.700%, 5/1/32
N/A
  
          324,769
  
 
            397,000
  
Walt Disney Co. (The), A, 7.000%, 3/1/32 (d)
N/A
  
          509,958
  
           
        3,606,209
  
     
Energy - 1.2%
        
 
            405,000
  
Anadarko Petroleum Corp., BBB-, 8.700%, 3/15/19
N/A
  
          436,574
  
 
            411,000
  
Weatherford International Ltd., BBB, 9.625%, 3/1/19 (Switzerland) (d)
N/A
  
          521,278
  
           
          957,852
  
     
Financials - 11.7%
        
 
            137,000
  
American Express Co., BB, 6.800%, 9/1/66 (b)
9/1/16 @ 100.00
  
          134,603
  
 
            399,000
  
American Express Co., BBB+, 8.125%, 5/20/19 (d)
N/A
  
          507,882
  
 
            398,000
  
American International Group, Inc., A-, 5.375%, 10/18/11
N/A
  
          409,940
  
 
            301,000
  
AvalonBay Communities, Inc., BBB+, 6.100%, 3/15/20
N/A
  
          341,186
  
 
            198,000
  
Bank of America Corp., BB, 8.000%, 12/31/49 (b)
1/30/18 @ 100.00
  
          199,539
  
 
            301,000
  
Boston Properties LP, A-, 5.875%, 10/15/19
N/A
  
          328,929
  
 
            301,000
  
Camden Property Trust, BBB, 5.700%, 5/15/17
N/A
  
          320,213
  
 
            260,000
  
Caterpillar Financial Services Corp., A, 7.150%, 2/15/19
N/A
  
          323,692
  
 
            401,000
  
Citigroup, Inc., A, 8.500%, 5/22/19
N/A
  
          488,089
  
 
            400,000
  
Coffeyville Resources LLC/Coffeyville Finance, Inc., BB-, 9.000%, 4/1/15 (a)
4/1/12 @ 106.75
  
          412,000
  
 
            300,000
  
Credit Acceptance Corp., BB-, 9.125%, 2/1/17 (a)
2/1/14 @ 104.563
  
          313,875
  
 
            300,000
  
Fidelity National Financial, Inc., BBB-, 6.600%, 5/15/17
N/A
  
          302,139
  
 
            199,000
  
GE Capital Trust I, A+, 6.375%, 11/15/67 (b)
11/15/17 @ 100.00
  
          190,294
  
 
            397,000
  
General Electric Capital Corp., AA+, 6.750%, 3/15/32
N/A
  
          438,143
  
 
            200,000
  
Goldman Sachs Capital II, BBB, 5.793%, 12/29/49 (b)
6/1/12 @ 100.00
  
          161,400
  
 
            404,000
  
Goldman Sachs Group, Inc. (The), A-, 6.750%, 10/1/2037
N/A
  
          412,849
  
 
            301,000
  
HCP, Inc., BBB, 6.700%, 1/30/18
N/A
  
          324,689
  
 
            269,000
  
Hughes Network Systems LLC/HNS Finance Corp., B, 9.500%, 4/15/14
9/2/10 @ 104.75
  
          281,105
  
 
            202,000
  
JPMorgan Chase & Co., BBB+, 7.900%, 4/29/49 (b)
4/30/18 @ 100.00
  
          211,712
  
 
            396,000
  
JPMorgan Chase & Co., A+, 6.300%, 4/23/19
N/A
  
          450,429
  
 
            405,000
  
Manufacturers & Traders Trust Co., A-, 6.625%, 12/4/17
N/A
  
          453,290
  
 
            400,000
  
Merrill Lynch & Co., Inc., A-, 6.110%, 1/29/37
N/A
  
          386,274
  
 
            400,000
  
Morgan Stanley, A, 5.550%, 4/27/17
N/A
  
          412,610
  
 
            405,000
  
PNC Bank NA, A, 5.250%, 1/15/17
N/A
  
          435,325
  
 
            300,000
  
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, B-, 8.500%, 5/15/18 (a)
5/15/14 @ 104.25
  
          309,750
  
 
            298,000
  
Simon Property Group LP, A-, 10.350%, 4/1/19
N/A
  
          404,489
  
 
            202,000
  
Wells Fargo & Co., A-, 7.980%, 3/15/49 (b)
3/15/18 @ 100.00
  
          209,070
  
           
        9,163,516
  
     
Health Care - 2.2%
        
 
            399,000
  
Aetna, Inc., A-, 6.750%, 12/15/37
N/A
  
          453,863
  
 
            404,000
  
Alere, Inc., B-, 9.000%, 5/15/16
5/15/13 @ 104.50
  
          412,080
  
 
            399,000
  
UnitedHealth Group, Inc., A-, 6.500%, 6/15/37
N/A
  
          439,366
  
 
            397,000
  
WellPoint, Inc., A-, 5.950%, 12/15/34
N/A
  
          403,903
  
           
        1,709,212
  
     
Industrials - 3.4%
        
 
            399,000
  
CSX Corp., BBB-, 6.000%, 10/1/36
N/A
  
          432,004
  
 
            400,000
  
Delta Air Lines, Inc., BB-, 9.500%, 9/15/14 (a)
9/15/11 @ 107.125
  
          435,000
  
 
            408,000
  
FedEx Corp., BBB, 8.000%, 1/15/19 (d)
N/A
  
          521,131
  
 
            407,000
  
Southwest Airlines Co., BBB, 5.125%, 3/1/17
N/A
  
          421,617
  
 
            274,000
  
Textron, Inc., BBB-, 7.250%, 10/1/19
N/A
  
          317,046
  
 
            405,000
  
Waste Management, Inc., BBB, 7.375%, 3/11/19 (d)
N/A
  
          493,254
  
           
        2,620,052
  
     
Information Technology - 0.8%
        
 
            262,000
  
Corning, Inc., BBB+, 6.625%, 5/15/19
N/A
  
          304,368
  
 
            264,000
  
Oracle Corp., A, 6.125%, 7/8/39
N/A
  
          297,520
  
           
          601,888
  
     
Materials - 1.6%
        
 
            275,000
  
Alcoa, Inc., BBB-, 6.750%, 7/15/18
N/A
  
          296,476
  
 
            411,000
  
International Paper Co., BBB, 7.500%, 8/15/21
N/A
  
          494,004
  
 
            380,000
  
Teck Resources Ltd., BBB, 10.750%, 5/15/19 (Canada)
5/15/14 @ 105.375
  
          475,259
  
           
        1,265,739
  
     
Information Technology - 0.4%
        
 
            300,000
  
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co., B+,
        
     
10.500%, 4/15/18 (South Korea) (a)
4/15/14 @ 105.25
  
          313,500
  
               
     
Utilities - 1.0%
        
 
            401,000
  
Exelon Generation Co. LLC, BBB, 6.200%, 10/1/17
N/A
  
          459,933
  
 
            264,000
  
Southwestern Electric Power Co., BBB, 6.450%, 1/15/19
N/A
  
          296,249
  
           
          756,182
  
     
Total Corporate Bonds - 26.9%
        
     
(Cost $19,028,338)
    
      20,994,150
  
               
 
Number of Shares
        
Value
  
     
Limited Partnership - 0.3%
        
     
Real Estate - 0.3%
        
 
            400,000
  
Kodiak Funding, LP (c)
        
     
(Cost $3,512,000)
    
224,000
  
               
     
Total Long-Term Investments - 138.8%
        
     
(Cost $134,309,096)
    
108,359,562
  
               
     
Short-Term Investments - 2.4%
        
 
         1,853,555
  
Dreyfus Money Market Bond Fund
        
     
(Cost $1,853,555)
    
1,853,555
  
               
     
Total Investments - 141.2%
        
     
(Cost $136,162,651)
    
    110,213,117
  
     
Other Assets in excess of Liabilities - 1.1%
    
          863,681
  
     
Borrowings - (42.3%)
    
     (33,000,000
 ) 
     
Net Assets Applicable to Common Shares - 100.0%
    
 $   78,076,798
  
               
 ADR - American Depositary Receipt
        
 AG - Stock Corporation
          
 ASA - Stock Company
          
 KGaA - Limited Partnership
        
 LLC - Limited Liability Company
        
 LP - Limited Partnership
          
 NV - Publicly Limited Liability Corporation
        
 PLC - Public Limited Company
        
 REIT - Real Estate Investment Trust
        
 SA - Corporation
            
 SAB de CV - Variable Capital Company
        
               
(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, 2010, these securities amounted to 3.0% 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 $224,000 which represents 0.3% of Net Assets Applicable
      
 
to Common Shares.
          
(d)
All or a portion of these securities were segregated as collateral for the borrowings.  As of July 31, 2010, the total amount
      
 
segregated was $72,018,212.
        
               
               
Ratings (unaudited) 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.
            
               
See previously submitted notes to financial statements for the period ended April 30, 2010.
        
 
 
 
 
 
At July 31, 2010, the cost and related gross unrealized appreciation and depreciation on investments
  
for tax purposes are as follows:
            


Cost of Investments for Tax Purposes
  
Gross Tax
Unrealized
Appreciation
 
Gross Tax
Unrealized
Depreciation
 
Net Tax Unrealized
Depreciation on
Investments
 $                                136,207,052
  
 $      11,720,226
  
 $      (37,714,161)
  
 $               (25,993,935)
             
             
In accordance with ASC 820, Fair Value Measurements and Disclosures (“ASC820”) (formerly known as the Statement
of Financial Accounting Standard No. 157), value is defined as the price that the Fund would receive to sell an
  
investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a
principal market the most advantageous market for the investment or liability. ASC820 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 based
quoted prices in inactive markets or upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices).
Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods
used to determine fair valuation). The following table represents the Fund's investments carried on the Statement of Assets and
Liabilities by caption and by level within the fair value hierarchy as of July 31, 2010:
  
 
             
             
Description
  
Level 1
Level 2
Level 3
Total
  
(value in $000s)
            
Assets:
            
Common stocks
  
 $             86,117
 $         -
 $                    -
 $    86,117
  
Convertible Preferred Stocks
  
                        -
       1,024
                         -
         1,024
  
Corporate Bonds
  
                        -
     20,994
                         -
       20,994
  
Limited Partnerships
  
                        -
              -
                    224
           224
  
Money Market Fund
  
                 1,854
              -
                         -
         1,854
  
Total
  
 $             87,971
 $   22,018
 $                  224
 $  110,213
  
             
Liabilities:
  
                        -
              -
                         -
                -
  
Total
  
 $                     -
 $           -
 $                      -
 $             -
  
             
 
            
For fair valuations using unobservable inputs, FAS 157 requires a reconciliation of the beginning to ending balances
for reported market values that presents changes attributable to total realized and unrealized gains or losses,
  
purchases and sales, and transfers in/out of the Level 3 category during the period.  The following table presents the
reconciliation of the Fund's investments measured at fair value using significant unobservable inputs (Level 3
  
valuations) for the period ended July 31, 2010.
          
             
Level 3 holdings
  
Securities
        
Beginning Balance at 10/31/09
  
 $                 192
        
Total Realized Gain/Loss
  
                        -
        
Change in Unrealized Gain/Loss
  
                      32
        
Net Purchases and Sales
  
                        -
        
Net Transfers In/Out
  
                        -
        
Ending Balance at 7/31/10
  
 $                 224
        
 
 
 
 
 
 
 
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, as amended) as of a date within 90 days of the filing date of this report 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 on 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, as amended) 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, as amended (17 CFR 270.30a-2(a)) 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.

Claymore Dividend & Income Fund

By:
 /s/ J. Thomas Futrell 
J. Thomas Futrell
Chief Executive Officer

Date:
 September 24, 2010 

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 
J. Thomas Futrell
Chief Executive Officer

Date:
 September 24, 2010   

By:
 /s/ Steven M. Hill 
Steven M. Hill
Treasurer and Chief Financial Officer

Date:
 September 24, 2010