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 811-21582
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Madison/Claymore Covered Call & Equity Strategy Fund
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(Exact name of registrant as specified in charter)
2455 Corporate West Drive, Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
J. Thomas Futrell
Madison/Claymore Covered Call & Equity Strategy Fund
2455 Corporate West Drive, Lisle, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-505-3700
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Date of fiscal year end: December 31
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Date of reporting period: September 30, 2008
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
Attached hereto.
MCN | MADISON/CLAYMORE COVERED CALL & EQUITY STRATEGY FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2008 (UNAUDITED)
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NUMBER
OF SHARES DESCRIPTION VALUE
--------------- ------------------------------------------------- -----------------
LONG-TERM INVESTMENTS 118.0%
COMMON STOCKS 115.0%
COMPUTERS 2.1%
265,800 Dell, Inc. (a) $ 4,380,384
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CONSUMER DISCRETIONARY 25.8%
400,000 American Eagle Outfitters, Inc. 6,100,000
267,500 Bed Bath & Beyond, Inc. (a) 8,402,175
110,000 Best Buy Co., Inc. 4,125,000
156,000 Coach, Inc. (a) 3,906,240
140,000 Home Depot, Inc. 3,624,600
165,000 Kohl's Corp. (a) 7,603,200
210,000 Lowe's Cos., Inc. 4,974,900
230,000 Starbucks Corp. (a) 3,420,100
125,000 Target Corp. 6,131,250
320,000 Williams-Sonoma, Inc. 5,177,600
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53,465,065
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CONSUMER SERVICES 7.9%
263,400 eBay, Inc. (a) 5,894,892
100,000 Garmin, Ltd. (Cayman Islands) 3,394,000
225,000 Intuit, Inc. (a) 7,112,250
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16,401,142
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ENERGY 10.6%
68,000 Apache Corp. 7,091,040
52,000 Schlumberger, Ltd. (Netherlands Antilles) 4,060,680
38,000 Transocean, Inc. (Cayman Islands) 4,173,920
70,000 Valero Energy Corp. 2,121,000
96,000 XTO Energy, Inc. 4,465,920
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21,912,560
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FINANCIALS 25.1%
46,900 Affiliated Managers Group, Inc. (a) 3,885,665
112,000 American Express Co. 3,968,160
58,304 Bank of America Corp. 2,040,640
160,000 Capital One Financial Corp. 8,160,000
170,000 Citigroup, Inc. 3,486,700
248,200 Marshall & Ilsley Corp. 5,001,230
171,000 Merrill Lynch & Co., Inc. 4,326,300
150,000 Morgan Stanley 3,450,000
90,000 State Street Corp. 5,119,200
255,000 Synovus Financial Corp. 2,639,250
260,000 Wells Fargo & Co. 9,757,800
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51,834,945
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HEALTH CARE 16.2%
66,600 Amgen, Inc. (a) 3,947,382
91,000 Biogen Idec, Inc. (a) 4,576,390
100,000 Community Health Systems, Inc. (a) 2,931,000
310,000 Mylan, Inc. (a) 3,540,200
270,000 Pfizer, Inc. 4,978,800
200,000 UnitedHealth Group, Inc. 5,078,000
40,900 Varian Medical Systems, Inc. (a) 2,336,617
41,300 Waters Corp. (a) 2,402,834
57,500 Zimmer Holdings, Inc. (a) 3,712,200
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33,503,423
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INDUSTRIAL 1.5%
50,000 United Parcel Services, Inc. - Class B 3,144,500
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INSURANCE 0.4%
123,800 MGIC Investment Corp. 870,314
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SOFTWARE 4.1%
160,000 Check Point Software Technologies (Israel) (a) 3,638,400
250,000 Symantec Corp. (a) 4,895,000
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8,533,400
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TECHNOLOGY 21.3%
65,000 Adobe Systems, Inc. (a) 2,565,550
100,000 Altera Corp. 2,068,000
160,000 Applied Materials, Inc. 2,420,800
345,000 Cisco Systems, Inc. (a) 7,783,200
394,000 EMC Corp. (a) 4,712,240
600,000 Flextronics International Ltd. (Singapore) (a) 4,248,000
10,000 Google, Inc. - Class A (a) 4,005,200
50,000 Linear Technology Corp. 1,533,000
170,000 Microsoft Corp. 4,537,300
157,300 QLogic Corp. (a) 2,416,128
250,000 Yahoo!, Inc. (a) 4,325,000
122,000 Zebra Technologies Corp. - Class A (a) 3,397,700
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44,012,118
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TOTAL COMMON STOCKS - 115.0%
(Cost $319,443,322) 238,057,851
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EXCHANGE-TRADED FUND - 3.0%
160,000 Powershares QQQ
(Cost $7,215,732) 6,225,600
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TOTAL LONG-TERM INVESTMENTS 118.0%
(Cost $326,659,054) 244,283,451
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SHORT-TERM INVESTMENTS 4.6%
MONEY MARKET FUNDS 3.8%
7,899,502 AIM Liquid Assets Money Market Fund (Cost $7,899,502) 7,899,502
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PRINCIPAL AMOUNT VALUE
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U.S. GOVERNMENT 0.8%
$ 1,710,000 U.S. Treasury Note (coupon 4.875%, maturity 1/31/09)
(Cost $1,734,718) 1,732,177
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TOTAL SHORT-TERM INVESTMENTS 4.6%
(Cost $9,634,220) 9,631,679
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TOTAL INVESTMENTS 122.6%
(Cost $336,293,274) 253,915,130
Liabilities in excess of Other Assets - (0.1%) (321,344)
Borrowings - (14.3%) (29,600,000)
Total Value of Options Written - (8.2%) (16,964,081)
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NET ASSETS 100.0% $ 207,029,705
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(a) Non-income producing security.
CONTRACTS
(100 SHARES
PER CONTRACT) CALL OPTIONS WRITTEN (A) EXPIRATION DATE EXERCISE PRICE VALUE
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650 Adobe Systems, Inc. January 2009 $ 35.00 $ 422,500
419 Affiliated Managers Group, Inc. December 2008 90.00 255,590
1,000 Altera Corp. January 2009 20.00 247,500
1,120 American Express Co. October 2008 40.00 72,800
666 Amgen, Inc. January 2009 50.00 755,910
580 American Eagle Outfitters, Inc. November 2008 15.00 92,800
500 American Eagle Outfitters, Inc. November 2008 20.00 7,500
2,920 American Eagle Outfitters, Inc. January 2009 25.00 29,200
377 Apache Corp. October 2008 115.00 83,883
303 Apache Corp. October 2008 120.00 37,875
1,000 Applied Materials, Inc. January 2009 17.50 55,000
600 Applied Materials, Inc. January 2009 20.00 10,500
200 Bank of America Corp. November 2008 22.50 266,000
183 Bank of America Corp. November 2008 27.50 166,987
200 Bank of America Corp. November 2008 30.00 143,500
2,675 Bed Bath & Beyond, Inc. January 2009 30.00 1,029,875
358 Best Buy Co., Inc. December 2008 42.50 51,015
400 Best Buy Co., Inc. January 2009 45.00 45,000
145 Best Buy Co., Inc. December 2008 45.00 11,962
310 Biogen Idec, Inc. January 2009 60.00 64,325
490 Biogen Idec, Inc. January 2009 65.00 57,575
1,600 Capital One Financial Corp. January 2009 45.00 1,896,000
1,600 Check Point Software Technologies (Israel) January 2009 22.50 308,000
2,300 Cisco Systems, Inc. January 2009 27.50 106,950
700 Citigroup, Inc. December 2008 20.00 220,500
1,560 Coach, Inc. February 2009 30.00 265,200
1,000 Community Health Systems, Inc. January 2009 35.00 100,000
658 Dell, Inc. November 2008 20.00 22,701
800 Dell, Inc. November 2008 22.00 10,800
1,200 Dell, Inc. January 2009 25.00 16,200
634 eBay, Inc. October 2008 27.50 5,706
300 eBay, Inc. October 2008 30.00 750
1,000 eBay, Inc. January 2009 35.00 6,500
500 EMC Corp. October 2008 16.00 1,250
655 EMC Corp. October 2008 17.00 3,275
2,785 EMC Corp. January 2009 17.50 48,737
2,100 Flextronics International Ltd. (Singapore) January 2009 10.00 46,200
1,700 Flextronics International Ltd. (Singapore) January 2009 12.50 16,150
400 Garmin, Ltd. (Cayman Islands) October 2008 45.00 3,000
450 Garmin, Ltd. (Cayman Islands) January 2009 50.00 16,875
150 Garmin, Ltd. (Cayman Islands) January 2009 60.00 2,250
100 Google, Inc. - Class A December 2008 490.00 137,500
328 Home Depot, Inc. February 2009 27.50 74,620
1,072 Home Depot, Inc. January 2009 30.00 117,384
493 Intuit, Inc. January 2009 30.00 179,945
1,757 Intuit, Inc. January 2009 35.00 210,840
750 Kohl's Corp. January 2009 45.00 450,000
900 Kohl's Corp. January 2009 50.00 328,500
500 Linear Technology Corp. November 2008 37.50 6,250
400 Lowe's Cos., Inc. January 2009 22.50 134,000
900 Lowe's Cos., Inc. January 2009 25.00 189,000
800 Lowe's Cos., Inc. January 2009 27.50 96,000
360 Marshall & Ilsley Corp. December 2008 17.50 165,600
1,448 Marshall & Ilsley Corp. January 2009 30.00 119,460
310 Merrill Lynch & Co., Inc. January 2009 32.50 39,060
300 Merrill Lynch & Co., Inc. January 2009 60.00 1,800
738 MGIC Investment Corp. January 2009 10.00 46,125
200 MGIC Investment Corp. January 2009 15.00 4,000
300 MGIC Investment Corp. December 2008 15.00 3,750
700 Microsoft Corp. October 2008 25.00 148,750
1,000 Microsoft Corp. October 2008 26.00 142,000
300 Morgan Stanley January 2009 44.00 1,500
400 Morgan Stanley January 2009 55.00 2,000
158 Mylan, Inc. October 2008 12.50 3,555
2,942 Mylan, Inc. January 2009 15.00 88,260
700 Pfizer, Inc. December 2008 20.00 35,700
400 Pfizer, Inc. January 2009 20.00 27,200
400 Powershares QQQ November 2008 46.00 8,600
1,573 QLogic Corp. January 2009 15.00 271,343
260 Schlumberger, Ltd. (Netherlands Antilles) November 2008 90.00 68,900
260 Schlumberger, Ltd. (Netherlands Antilles) January 2009 95.00 81,900
400 Starbucks Corp. January 2009 16.00 48,600
900 Starbucks Corp. October 2008 16.00 21,600
780 Starbucks Corp. January 2009 17.50 56,550
220 Starbucks Corp. January 2009 20.00 6,050
222 State Street Corp. February 2009 65.00 146,520
361 State Street Corp. February 2009 75.00 119,130
317 State Street Corp. November 2008 75.00 49,135
2,199 Symantec Corp. January 2009 17.50 659,700
300 Symantec Corp. April 2009 22.50 33,000
2,550 Synovus Financial Corp. February 2009 10.00 554,625
450 Target Corp. January 2009 50.00 217,125
800 Target Corp. January 2009 60.00 122,000
380 Transocean, Inc. (Cayman Islands) February 2009 130.00 207,100
1,300 UnitedHealth Group, Inc. March 2009 30.00 240,500
700 UnitedHealth Group, Inc. March 2009 31.00 112,000
500 United Parcel Services, Inc. - Class B January 2009 60.00 320,000
130 Valero Energy Corp. December 2008 35.00 28,600
570 Valero Energy Corp. December 2008 40.00 60,990
209 Varian Medical Systems, Inc. November 2008 50.00 180,785
200 Varian Medical Systems, Inc. November 2008 55.00 101,000
413 Waters Corp. November 2008 65.00 51,625
200 Wells Fargo & Co. October 2008 22.50 306,000
2,400 Wells Fargo & Co. January 2009 30.00 2,292,000
300 Williams-Sonoma, Inc. February 2009 20.00 25,500
52 Williams-Sonoma, Inc. February 2009 22.50 1,950
960 XTO Energy, Inc. January 2009 50.00 451,200
700 Yahoo!, Inc. January 2009 25.00 39,900
900 Yahoo!, Inc. January 2009 27.50 29,250
218 Zebra Technologies Corp. - Class A February 2009 35.00 11,445
200 Zebra Technologies Corp. - Class A November 2008 35.00 1,000
201 Zebra Technologies Corp. - Class A November 2008 40.00 1,005
400 Zimmer Holdings, Inc. January 2009 70.00 96,000
175 Zimmer Holdings, Inc. January 2009 75.00 20,563
TOTAL VALUE OF CALL OPTIONS WRITTEN
(Premiums received $22,673,360) 16,800,331
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PUT OPTIONS WRITTEN
500 Cisco Systems, Inc. January 2009 22.50 96,250
200 Cisco Systems, Inc. January 2009 25.00 67,500
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TOTAL VALUE OF PUT OPTIONS WRITTEN
(Premiums received $151,512) 163,750
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TOTAL OPTIONS WRITTEN
(Premiums received $22,824,872) $ 16,964,081
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(a) Non-income producing security.
See previously submitted notes to financial statements for the period ending
June 30, 2008.
Country Allocation*
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United States 92.3%
Cayman Islands 3.0%
Singapore 1.7%
Netherlands Antilles 1.6%
Israel 1.4%
* Based on Total Investments (which does not take into consideration the
Value of Options Written). Subject to change daily.
In September, 2006, the FASB issued Statement of Financial Accounting Standards
No. 157, "Fair Valuation Measurements" ("FAS 157"). This standard clarifies the
definition of fair value for financial reporting, establishes a framework for
measuring fair value and requires additional disclosures about the use of fair
value measurements. FAS 157 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 quoted prices in inactive
markets or based upon significant observable inputs (i.e. yield curves;
benchmark interest rates; indices). Level 3 valuations are those based upon
unobservable inputs (i.e. discounted cash flow analysis; non-market based
methods used to determine fair valuation).
Valuations at September 30, 2008
Description Securities Derivatives Total
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(value in $000s)
Assets:
Level 1 $ 252,183 $ 252,183
Level 2 1,732 - 1,732
Level 3 - - -
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Total $ 253,915 $ - $ 253,915
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Liabilities:
Level 1 $ - $ 16,964 $ 16,964
Level 2 - - -
Level 3 - - -
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Total $ - $ 16,964 $ 16,964
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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 in this Form N-Q was recorded, processed, summarized and
reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There was no change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940, as amended) that occurred during the registrant's last fiscal
quarter that may have materially affected or is 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 of 1940, as amended (17 CFR 270.30a-2(a)), is
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.
Madison/Claymore Covered Call & Equity Strategy Fund
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By: /s/ J. Thomas Futrell
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J. Thomas Futrell
Chief Executive Officer
Date: November 21, 2008
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ J. Thomas Futrell
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J. Thomas Futrell
Chief Executive Officer
Date: November 21, 2008
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By: /s/ Steven M. Hill
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Steven M. Hill
Treasurer and Chief Financial Officer
Date: November 21, 2008
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