|
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)
|
|
Kevin M. Robinson
2455 Corporate West Drive, Lisle, IL 60532
|
|
|
(Name and address of agent for service)
|
|
|
DCS|Claymore Dividend & Income Fund
|
||||||
|
Portfolio of Investments
|
||||||
|
January 31, 2011 (unaudited)
|
||||||
|
Number of Shares
|
Value
|
|||||
|
Total Long-Term Investments - 133.7%
|
||||||
|
Common Stocks - 108.6%
|
||||||
|
Consumer Discretionary - 8.2%
|
||||||
|
2,186
|
Darden Restaurants, Inc.
|
$ 102,982
|
||||
|
3,115
|
Garmin Ltd. (Switzerland)
|
96,035
|
||||
|
4,273
|
Genuine Parts Co.
|
221,128
|
||||
|
2,107
|
Hasbro, Inc.
|
92,898
|
||||
|
46,330
|
Home Depot, Inc. (a)
|
1,703,554
|
||||
|
3,999
|
Leggett & Platt, Inc.
|
90,097
|
||||
|
8,885
|
Limited Brands, Inc.
|
259,797
|
||||
|
9,849
|
Mattel, Inc.
|
233,224
|
||||
|
28,907
|
McDonald's Corp. (a)
|
2,129,579
|
||||
|
8,507
|
McGraw-Hill Cos., Inc. (The)
|
331,603
|
||||
|
4,906
|
Omnicom Group, Inc.
|
220,181
|
||||
|
15,488
|
Pearson PLC, ADR (United Kingdom) (a)
|
258,030
|
||||
|
19,371
|
Thomson Reuters Corp. (Canada) (a)
|
775,034
|
||||
|
960
|
Tupperware Brands Corp.
|
43,920
|
||||
|
2,933
|
VF Corp.
|
242,618
|
||||
|
1,528
|
Whirlpool Corp.
|
130,644
|
||||
|
7,086
|
Yum! Brands, Inc.
|
331,341
|
||||
|
7,262,665
|
||||||
|
Consumer Staples - 28.0%
|
||||||
|
55,627
|
Altria Group, Inc. (a)
|
1,307,791
|
||||
|
9,716
|
Archer-Daniels-Midland Co.
|
317,422
|
||||
|
8,198
|
Avon Products, Inc.
|
232,085
|
||||
|
2,180
|
Brown-Forman Corp. - Class B
|
144,643
|
||||
|
9,012
|
Campbell Soup Co.
|
307,670
|
||||
|
65,586
|
Coca-Cola Co. (The) (a)
|
4,122,080
|
||||
|
7,460
|
Colgate-Palmolive Co. (a)
|
572,704
|
||||
|
1,519
|
Delhaize Group SA, ADR (Belgium)
|
120,609
|
||||
|
16,348
|
Diageo PLC, ADR (United Kingdom) (a)
|
1,255,526
|
||||
|
1,925
|
Emotelladora Andina SA, ADR - Class B (Chile)
|
59,001
|
||||
|
16,472
|
General Mills, Inc.
|
572,896
|
||||
|
6,107
|
Hershey Co. (The)
|
285,136
|
||||
|
8,666
|
HJ Heinz Co.
|
411,635
|
||||
|
2,047
|
Hormel Foods Corp.
|
101,122
|
||||
|
2,537
|
JM Smucker Co. (The)
|
157,700
|
||||
|
10,037
|
Kellogg Co. (a)
|
504,861
|
||||
|
11,390
|
Kimberly-Clark Corp. (a)
|
737,275
|
||||
|
34,419
|
Kraft Foods, Inc. - Class A (a)
|
1,052,189
|
||||
|
3,271
|
Lorillard, Inc.
|
246,110
|
||||
|
3,229
|
McCormick & Co., Inc.
|
142,722
|
||||
|
2,864
|
Molson Coors Brewing Co. - Class B
|
134,236
|
||||
|
48,583
|
PepsiCo, Inc. (a)
|
3,124,373
|
||||
|
38,749
|
Philip Morris International, Inc. (a)
|
2,217,993
|
||||
|
44,535
|
Procter & Gamble Co. (The) (a)
|
2,811,494
|
||||
|
8,844
|
Reynolds American, Inc.
|
281,328
|
||||
|
18,360
|
Sara Lee Corp. (a)
|
311,569
|
||||
|
15,669
|
Sysco Corp. (a)
|
456,595
|
||||
|
47,909
|
Wal-Mart Stores, Inc. (a)
|
2,686,258
|
||||
|
24,675,023
|
||||||
|
Energy - 19.3%
|
||||||
|
45,049
|
Chevron Corp. (a)
|
4,276,502
|
||||
|
39,836
|
ConocoPhillips (a)
|
2,846,681
|
||||
|
39,146
|
Exxon Mobil Corp. (a)
|
3,158,299
|
||||
|
29,443
|
Repsol YPF SA, ADR (Spain) (a)
|
934,521
|
||||
|
12,222
|
Sasol Ltd., ADR (South Africa) (a)
|
596,800
|
||||
|
46,509
|
Statoil ASA, ADR (Norway) (a)
|
1,135,750
|
||||
|
11,495
|
Tenaris SA, ADR (Luxembourg) (a)
|
542,219
|
||||
|
60,123
|
Total SA, ADR (France) (a)
|
3,533,429
|
||||
|
17,024,201
|
||||||
|
Financials - 0.9%
|
||||||
|
1,803
|
Eaton Vance Corp.
|
54,631
|
||||
|
2,757
|
Federated Investors, Inc. - Class B
|
74,660
|
||||
|
14,387
|
Marsh & McLennan Cos., Inc. (a)
|
401,110
|
||||
|
3,811
|
Plum Creek Timber Co., Inc. - REIT
|
159,567
|
||||
|
1,809
|
Waddell & Reed Financial, Inc. - Class A
|
65,341
|
||||
|
755,309
|
||||||
|
Health Care - 21.9%
|
||||||
|
39,030
|
Abbott Laboratories (a)
|
1,762,595
|
||||
|
38,880
|
AstraZeneca PLC, ADR (United Kingdom) (a)
|
1,901,232
|
||||
|
9,387
|
Baxter International, Inc.
|
455,176
|
||||
|
3,654
|
Becton Dickinson and Co.
|
303,099
|
||||
|
46,136
|
Bristol-Myers Squibb Co. (a)
|
1,161,704
|
||||
|
31,013
|
Eli Lilly & Co. (a)
|
1,078,322
|
||||
|
4,535
|
Fresenius Medical Care AG & Co. KGaA, ADR (Germany)
|
265,570
|
||||
|
78,996
|
GlaxoSmithKline PLC, ADR (United Kingdom) (a)
|
2,869,925
|
||||
|
56,783
|
Johnson & Johnson (a)
|
3,393,920
|
||||
|
75,114
|
Merck & Co., Inc. (a)
|
2,491,531
|
||||
|
192,181
|
Pfizer, Inc. (a)
|
3,501,538
|
||||
|
1,739
|
Pharmaceutical Product Development, Inc.
|
50,674
|
||||
|
610
|
Teleflex, Inc.
|
34,965
|
||||
|
19,270,251
|
||||||
|
Industrials - 12.5%
|
||||||
|
18,564
|
3M Co. (a)
|
1,632,147
|
||||
|
34,769
|
ABB Ltd., ADR (Switzerland) (a)
|
822,982
|
||||
|
2,912
|
Avery Dennison Corp.
|
122,566
|
||||
|
4,283
|
Cooper Industries PLC (Ireland)
|
262,377
|
||||
|
3,741
|
Dover Corp.
|
239,798
|
||||
|
785
|
Dun & Bradstreet Corp.
|
66,686
|
||||
|
660
|
Elbit Systems Ltd. (Israel)
|
33,541
|
||||
|
19,819
|
Emerson Electric Co. (a)
|
1,166,943
|
||||
|
5,830
|
General Dynamics Corp.
|
439,582
|
||||
|
15,282
|
Honeywell International, Inc. (a)
|
855,945
|
||||
|
1,467
|
Hubbell, Inc. - Class B
|
89,839
|
||||
|
13,410
|
Illinois Tool Works, Inc. (a)
|
717,301
|
||||
|
2,759
|
ITT Corp.
|
162,560
|
||||
|
19,256
|
Koninklijke Philips Electronics NV (Netherlands) (a)
|
601,365
|
||||
|
5,765
|
Lockheed Martin Corp.
|
458,894
|
||||
|
9,283
|
Masco Corp.
|
123,649
|
||||
|
6,314
|
Northrop Grumman Corp.
|
437,560
|
||||
|
2,157
|
Pentair, Inc.
|
78,019
|
||||
|
5,595
|
Pitney Bowes, Inc.
|
135,847
|
||||
|
5,904
|
Raytheon Co.
|
295,141
|
||||
|
5,474
|
RR Donnelley & Sons Co.
|
96,999
|
||||
|
1,389
|
Snap-On, Inc.
|
78,659
|
||||
|
8,937
|
Tyco International Ltd. (Switzerland)
|
400,646
|
||||
|
14,313
|
United Technologies Corp. (a)
|
1,163,647
|
||||
|
12,999
|
Waste Management, Inc. (a)
|
492,272
|
||||
|
10,974,965
|
||||||
|
Information Technology - 9.6%
|
||||||
|
13,553
|
Automatic Data Processing, Inc. (a)
|
649,189
|
||||
|
2,099
|
Broadridge Financial Solutions, Inc.
|
48,046
|
||||
|
1,953
|
Harris Corp.
|
90,893
|
||||
|
159,794
|
Intel Corp. (a)
|
3,429,179
|
||||
|
2,094
|
Konami Corp., ADR (Japan)
|
42,110
|
||||
|
5,916
|
Linear Technology Corp.
|
205,818
|
||||
|
3,718
|
National Semiconductor Corp.
|
56,365
|
||||
|
56,034
|
Nokia OYJ, ADR (Finland) (a)
|
599,564
|
||||
|
9,883
|
Paychex, Inc.
|
316,256
|
||||
|
136,782
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) (a)
|
1,787,741
|
||||
|
46,944
|
Telefonaktiebolaget LM Ericsson, ADR (Sweden) (a)
|
580,697
|
||||
|
19,309
|
Texas Instruments, Inc. (a)
|
654,768
|
||||
|
8,460,626
|
||||||
|
Materials - 3.1%
|
||||||
|
2,915
|
Bemis Co., Inc.
|
94,883
|
||||
|
500
|
Compass Minerals International, Inc.
|
45,935
|
||||
|
12,823
|
CRH PLC, ADR (Ireland) (a)
|
279,670
|
||||
|
24,448
|
EI Du Pont de Nemours & Co. (a)
|
1,239,025
|
||||
|
889
|
Greif, Inc. - Class A
|
56,051
|
||||
|
1,905
|
International Flavors & Fragrances, Inc.
|
108,680
|
||||
|
2,551
|
MeadWestvaco Corp.
|
73,035
|
||||
|
1,572
|
Packaging Corp. of America
|
44,409
|
||||
|
4,380
|
PPG Industries, Inc.
|
369,146
|
||||
|
2,473
|
RPM International, Inc.
|
57,942
|
||||
|
2,456
|
Sealed Air Corp.
|
65,551
|
||||
|
1,653
|
Sherwin-Williams Co. (The)
|
140,059
|
||||
|
2,634
|
Sonoco Products Co.
|
93,639
|
||||
|
1,499
|
Valspar Corp.
|
56,018
|
||||
|
2,724,043
|
||||||
|
Telecommunication Services - 3.2%
|
||||||
|
1,969
|
Cellcom Israel Ltd. (Israel)
|
60,133
|
||||
|
15,238
|
Chunghwa Telecom Co. Ltd., ADR (Taiwan) (a)
|
455,171
|
||||
|
5,207
|
Magyar Telekom Telecommunications PLC, ADR (Hungary)
|
71,076
|
||||
|
67,523
|
NTT DoCoMo, Inc., ADR (Japan) (a)
|
1,212,038
|
||||
|
4,011
|
Partner Communications Co. Ltd., ADR (Israel)
|
76,209
|
||||
|
3,937
|
Philippine Long Distance Telephone Co., ADR (Philippines)
|
219,291
|
||||
|
9,117
|
Rogers Communications, Inc. - Class B (Canada)
|
318,366
|
||||
|
9,903
|
Telecom Corp. of New Zealand Ltd., ADR (New Zealand)
|
87,741
|
||||
|
18,467
|
Telefonos de Mexico SAB de CV, ADR (Mexico) (a)
|
319,664
|
||||
|
2,819,689
|
||||||
|
Utilities - 1.9%
|
||||||
|
2,761
|
Cia de Saneamento Basico do Estado de Sao Paulo, ADR (Brazil)
|
136,863
|
||||
|
7,639
|
Cia Energetica de Minas Gerais, ADR (Brazil)
|
126,196
|
||||
|
2,402
|
DPL, Inc.
|
62,884
|
||||
|
4,136
|
Empresa Nacional de Electricidad SA, ADR (Chile)
|
215,899
|
||||
|
9,872
|
Enersis SA, ADR (Chile)
|
204,943
|
||||
|
9,977
|
Exelon Corp. (a)
|
424,122
|
||||
|
13,388
|
Public Service Enterprise Group, Inc. (a)
|
434,173
|
||||
|
1,637
|
UGI Corp.
|
51,320
|
||||
|
1,656,400
|
||||||
|
Total Common Stocks - 108.6%
|
||||||
|
(Cost $78,511,294)
|
95,623,172
|
|||||
|
Convertible Preferred Stocks - 1.3%
|
||||||
|
Financials - 1.3%
|
||||||
|
342
|
Fannie Mae, 5.375%
|
|||||
|
(Cost $33,154,000)
|
1,162,807
|
|||||
|
Optional
|
||||||
|
Principal Amount
|
Call Provisions
|
Value
|
||||
|
Corporate Bonds - 23.5%
|
||||||
|
Consumer Discretionary - 4.3%
|
||||||
|
$ 400,000
|
British Sky Broadcasting Group PLC, BBB+, 9.500%, 11/15/18 (United Kingdom) (b)
|
N/A
|
535,522
|
|||
|
394,000
|
Comcast Corp., BBB+, 6.550%, 7/1/39
|
N/A
|
417,213
|
|||
|
410,000
|
Fortune Brands, Inc., BBB-, 6.625%, 7/15/28
|
N/A
|
393,234
|
|||
|
394,000
|
Home Depot, Inc., BBB+, 5.875%, 12/16/36
|
N/A
|
399,226
|
|||
|
404,000
|
International Game Technology, BBB, 7.500%, 6/15/19
|
N/A
|
463,255
|
|||
|
399,000
|
Kohl's Corp., BBB+, 6.875%, 12/15/37
|
N/A
|
456,699
|
|||
|
265,000
|
Time Warner, Inc., BBB, 7.700%, 5/1/32
|
N/A
|
317,939
|
|||
|
325,000
|
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH, BB-, 8.125%, 12/01/17 (Germany) (b)
|
12/1/12 @ 108.125
|
352,625
|
|||
|
397,000
|
Walt Disney Co. (The), A, 7.000%, 3/1/32 (a)
|
N/A
|
480,512
|
|||
|
3,816,225
|
||||||
|
Energy - 1.2%
|
||||||
|
405,000
|
Anadarko Petroleum Corp., BBB-, 8.700%, 3/15/19
|
N/A
|
496,795
|
|||
|
411,000
|
Weatherford International Ltd., BBB, 9.625%, 3/1/19 (Bermuda) (a)
|
N/A
|
536,509
|
|||
|
1,033,304
|
||||||
|
Financials - 10.4%
|
||||||
|
137,000
|
American Express Co., BB, 6.800%, 9/1/66 (c)
|
9/1/16 @ 100.00
|
138,199
|
|||
|
399,000
|
American Express Co., BBB+, 8.125%, 5/20/19 (a)
|
N/A
|
495,688
|
|||
|
398,000
|
American International Group, Inc., A-, 5.375%, 10/18/11
|
N/A
|
411,432
|
|||
|
301,000
|
AvalonBay Communities, Inc., BBB+, 6.100%, 3/15/20
|
N/A
|
339,260
|
|||
|
198,000
|
Bank of America Corp., BB+, 8.000% (c) (d)
|
1/30/18 @ 100.00
|
205,534
|
|||
|
301,000
|
Boston Properties LP, A-, 5.875%, 10/15/19
|
N/A
|
329,698
|
|||
|
301,000
|
Camden Property Trust, BBB, 5.700%, 5/15/17
|
N/A
|
332,412
|
|||
|
260,000
|
Caterpillar Financial Services Corp., A, 7.150%, 2/15/19
|
N/A
|
319,728
|
|||
|
401,000
|
Citigroup, Inc., A, 8.500%, 5/22/19
|
N/A
|
491,609
|
|||
|
360,000
|
Coffeyville Resources LLC/Coffeyville Finance, Inc., BB-, 9.000%, 4/1/15 (b)
|
4/1/12 @ 106.75
|
394,200
|
|||
|
300,000
|
Credit Acceptance Corp., BB, 9.125%, 2/1/17 (b)
|
2/1/14 @ 104.563
|
324,000
|
|||
|
300,000
|
Fidelity National Financial, Inc., BBB-, 6.600%, 5/15/17
|
N/A
|
300,535
|
|||
|
199,000
|
GE Capital Trust I, A+, 6.375%, 11/15/67 (c)
|
11/15/17 @ 100.00
|
201,736
|
|||
|
397,000
|
General Electric Capital Corp., AA+, 6.750%, 3/15/32
|
N/A
|
435,626
|
|||
|
200,000
|
Goldman Sachs Capital II, BBB-, 5.793% (c) (d)
|
6/1/12 @ 100.00
|
169,750
|
|||
|
404,000
|
Goldman Sachs Group, Inc. (The), A-, 6.750%, 10/1/2037
|
N/A
|
406,696
|
|||
|
301,000
|
HCP, Inc., BBB, 6.700%, 1/30/18
|
N/A
|
336,252
|
|||
|
269,000
|
Hughes Network Systems LLC/HNS Finance Corp., B, 9.500%, 4/15/14
|
3/17/11 @ 104.75
|
279,087
|
|||
|
202,000
|
JPMorgan Chase & Co., BBB+, 7.900% (c) (d)
|
4/30/18 @ 100.00
|
218,465
|
|||
|
396,000
|
JPMorgan Chase & Co., A+, 6.300%, 4/23/19
|
N/A
|
447,262
|
|||
|
405,000
|
Manufacturers & Traders Trust Co., A-, 6.625%, 12/4/17
|
N/A
|
460,174
|
|||
|
400,000
|
Merrill Lynch & Co., Inc., A-, 6.110%, 1/29/37
|
N/A
|
364,048
|
|||
|
400,000
|
Morgan Stanley, A, 5.550%, 4/27/17
|
N/A
|
416,748
|
|||
|
405,000
|
PNC Bank NA, A, 5.250%, 1/15/17
|
N/A
|
434,179
|
|||
|
300,000
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, B-, 8.500%, 5/15/18 (b)
|
5/15/14 @ 104.25
|
314,250
|
|||
|
298,000
|
Simon Property Group LP, A-, 10.350%, 4/1/19
|
N/A
|
407,707
|
|||
|
202,000
|
Wells Fargo & Co., A-, 7.980% (c) (d)
|
3/15/18 @ 100.00
|
217,150
|
|||
|
9,191,425
|
||||||
|
Health Care - 2.0%
|
||||||
|
399,000
|
Aetna, Inc., A-, 6.750%, 12/15/37
|
N/A
|
449,591
|
|||
|
404,000
|
Alere, Inc., B-, 9.000%, 5/15/16
|
5/15/13 @ 104.50
|
427,735
|
|||
|
399,000
|
UnitedHealth Group, Inc., A-, 6.500%, 6/15/37
|
N/A
|
437,890
|
|||
|
397,000
|
WellPoint, Inc., A-, 5.950%, 12/15/34
|
N/A
|
406,426
|
|||
|
1,721,642
|
||||||
|
Industrials - 2.8%
|
||||||
|
399,000
|
CSX Corp., BBB-, 6.000%, 10/1/36
|
N/A
|
411,444
|
|||
|
408,000
|
FedEx Corp., BBB, 8.000%, 1/15/19 (a)
|
N/A
|
501,673
|
|||
|
300,000
|
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co., B+,
|
|||||
|
10.500%, 4/15/18 (South Korea)
|
4/15/14 @ 105.25
|
327,750
|
||||
|
407,000
|
Southwest Airlines Co., BBB, 5.125%, 3/1/17
|
N/A
|
422,673
|
|||
|
274,000
|
Textron, Inc., BBB-, 7.250%, 10/1/19
|
N/A
|
316,709
|
|||
|
405,000
|
Waste Management, Inc., BBB, 7.375%, 3/11/19 (a)
|
N/A
|
487,755
|
|||
|
2,468,004
|
||||||
|
Information Technology- 1.0%
|
||||||
|
262,000
|
Corning, Inc., BBB+, 6.625%, 5/15/19
|
N/A
|
302,177
|
|||
|
264,000
|
Oracle Corp., A, 6.125%, 7/8/39
|
N/A
|
285,371
|
|||
|
300,000
|
Wind Acquisition Finance SA, BB-, 7.250%, 2/15/18 (Luxembourg) (b)
|
11/15/13 @ 105.438
|
311,250
|
|||
|
898,798
|
||||||
|
Materials - 0.9%
|
||||||
|
275,000
|
Alcoa, Inc., BBB-, 6.750%, 7/15/18
|
N/A
|
307,317
|
|||
|
411,000
|
International Paper Co., BBB, 7.500%, 8/15/21
|
N/A
|
486,733
|
|||
|
794,050
|
||||||
|
Utilities - 0.9%
|
||||||
|
401,000
|
Exelon Generation Co. LLC, BBB, 6.200%, 10/1/17
|
N/A
|
450,122
|
|||
|
264,000
|
Southwestern Electric Power Co., BBB, 6.450%, 1/15/19
|
N/A
|
294,253
|
|||
|
744,375
|
||||||
|
Total Corporate Bonds - 23.5%
|
||||||
|
(Cost $18,777,126)
|
20,667,823
|
|||||
|
Number of Shares
|
Value
|
|||||
|
Limited Partnership - 0.3%
|
||||||
|
Real Estate - 0.3%
|
||||||
|
400,000
|
Kodiak Funding, LP (e)
|
|||||
|
(Cost $3,502,000)
|
280,000
|
|||||
|
Total Long-Term Investments - 133.7%
|
||||||
|
(Cost $133,944,420)
|
117,733,802
|
|||||
|
Short-Term Investments - 3.1%
|
||||||
|
2,744,104
|
Dreyfus Money Market Bond Fund
|
|||||
|
(Cost $2,744,104)
|
2,744,104
|
|||||
|
Total Investments - 136.8%
|
||||||
|
(Cost $136,688,524)
|
120,477,906
|
|||||
|
Other Assets in excess of Liabilities - 0.7%
|
610,023
|
|||||
|
Borrowings - (37.5%)
|
(33,000,000)
|
|||||
|
Net Assets Applicable to Common Shares - 100.0%
|
$ 88,087,929
|
|||||
|
ADR - American Depositary Receipt
|
|||
|
AG - Stock Corporation
|
|||
|
ASA - Stock Company
|
|||
|
GmbH - Limited Liability
|
|||
|
GmbH & Co. KG - Limited Partnership
|
|||
|
KGaA - Limited Partnership
|
`
|
||
|
LLC - Limited Liability Company
|
|||
|
LP - Limited Partnership
|
|||
|
OYJ - Public Traded Company
|
|||
|
NV - Publicly Limited Liability Corporation
|
|||
|
PLC - Public Limited Company
|
|||
|
REIT - Real Estate Investment Trust
|
|||
|
SA - Corporation
|
|||
|
SAB de CV - Variable Capital Company
|
|||
|
|
|||
|
(a)
|
All or a portion of these securities were segregated as collateral for the borrowings. As of January 31, 2011, the total amount
|
||
|
segregated was $79,818,760.
|
|||
|
(b)
|
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, 2011, these securities amounted to 2.9% of net assets applicable to Common Shares.
|
|||
|
(c)
|
Floating or variable rate security.
|
||
|
(d)
|
Perpetual maturity.
|
||
|
(e)
|
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 $280,000 which represents 0.3% of Net Assets Applicable
|
|||
|
to Common Shares.
|
|||
|
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.
|
|||
|
% of Total
|
|||
|
Country Breakdown*
|
Investments
|
||
|
United States
|
79.0%
|
||
|
United Kingdom
|
5.7%
|
||
|
France
|
2.9%
|
||
|
Taiwan
|
1.9%
|
||
|
Switzerland
|
1.1%
|
||
|
Japan
|
1.0%
|
||
|
Norway
|
0.9%
|
||
|
Canada
|
0.9%
|
||
|
Spain
|
0.8%
|
||
|
Luxembourg
|
0.7%
|
||
|
Germany
|
0.5%
|
||
|
Netherlands
|
0.5%
|
||
|
Finland
|
0.5%
|
||
|
South Africa
|
0.5%
|
||
|
Sweden
|
0.5%
|
||
|
Ireland
|
0.4%
|
||
|
Bermuda
|
0.4%
|
||
|
Chile
|
0.4%
|
||
|
South Korea
|
0.3%
|
||
|
Mexico
|
0.3%
|
||
|
Brazil
|
0.2%
|
||
|
Philippines
|
0.2%
|
||
|
Israel
|
0.1%
|
||
|
Belgium
|
0.1%
|
||
|
New Zealand
|
0.1%
|
||
|
Hungary
|
0.1%
|
||
|
* Subject to change daily.
|
|||
|
See previously submitted notes to financial statements at October 31, 2010.
|
|||
|
At January 31, 2011, 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
|
|||||||||||
| $ 136,710,459 | 19,847,526 | (36,080,079 | ) | $ (16,232,553 | ) | |||||||||
|
The Fund adopted the Accounting Standards Update, Fair Value Measurements and Disclosures (Topic 820): Improving Disclosures about Fair Value Measurements
|
|||||||
|
which provides guidance on how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose
|
|||||||
|
i) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, ii)
|
|||||||
|
transfers between all levels (including Level 1 and Level 2) will be required to be disclosed on a gross basis (i.e. transfers out must be disclosed separately from
|
|||||||
|
transfers in) as well as the reason(s) for the transfer, and iii) purchases, sales, issuances and settlements must be shown on a gross basis in the Level 3 rollforward
|
|||||||
|
rather than as one net number. The effective date of the amendment is for interim and annual periods beginning after December 15, 2009, however, the requirement
|
|||||||
|
to provide the Level 3 activity for purchases, sales, issuances and settlements on a gross basis will be effective for interim and annual periods beginning after
|
|||||||
|
December 15, 2010. The Fund adopted the disclosures required by this amendment, which did not have a material impact on the financial statements.
|
|||||||
|
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent
|
|||||||
|
pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities.
|
|||||||
|
The Funds value Level 2 equity securities using various observable market inputs in accordance with procedures approved by the Board of Trustees as described above.
|
|||||||
|
The fair value estimate for the Level 3 security in the Fund was determined in good faith by the Pricing Committee pursuant to the Valuation Procedures adopted by
|
|||||||
|
Board of Trustees. There were various factors considered in reaching fair value determination, including, but not limited, to the following: the type of security,
|
|||||||
|
the extent of public trading of the security, analysis of the company’s performance and the present value of potential future earnings of the investment.
|
|||||||
|
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
|
|||||||
|
January 31, 2011.
|
|||||||
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
(value in $000s)
|
||||||||||||||||
|
Assets:
|
||||||||||||||||
|
Common Stocks
|
$ | 95,623 | $ | - | $ | - | $ | 95,623 | ||||||||
|
Convertible Preferred Stocks
|
- | 1,163 | - | 1,163 | ||||||||||||
|
Corporate Bonds
|
- | 20,668 | - | 20,668 | ||||||||||||
|
Limited Partnerships
|
- | - | 280 | 280 | ||||||||||||
|
Money Market Fund
|
2,744 | - | - | 2,744 | ||||||||||||
|
Total
|
$ | 98,367 | $ | 21,831 | $ | 280 | $ | 120,478 | ||||||||
|
Level 3 holdings
|
Securities
|
|||||||||||||||
|
Beginning Balance at 10/31/10
|
$ | 248 | ||||||||||||||
|
Total Realized Gain/Loss
|
- | |||||||||||||||
|
Change in Unrealized Gain/Loss
|
32 | |||||||||||||||
|
Net Purchases and Sales
|
- | |||||||||||||||
|
Net Transfers In/Out
|
- | |||||||||||||||
|
Ending Balance at 1/31/2011
|
$ | 280 | ||||||||||||||
|
There were no transfers between Level 1 and Level 2. There were no Level 3 transfers.
|
||||||||||||||||
|
|
(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.
|
|
Claymore Dividend & Income Fund
|
|
By:
|
/s/ Kevin M. Robinson |
|
Date:
|
March 17, 2011 |
|
By:
|
/s/ Kevin M. Robinson |
|
Date:
|
March 17, 2011 |
|
By:
|
/s/ John Sullivan |
|
Date:
|
March 17, 2011 |