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
Date of fiscal year end: December 31
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Date of reporting period: March 31, 2009
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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
MARCH 31, 2009 (UNAUDITED)
NUMBER
OF SHARES DESCRIPTION VALUE
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LONG-TERM INVESTMENTS 118.0%
COMMON STOCKS (A) 111.7%
COMPUTERS 1.9%
265,800 Dell, Inc. (b) $ 2,519,784
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CONSUMER DISCRETIONARY 29.7%
400,000 American Eagle Outfitters, Inc. 4,896,000
226,000 Bed Bath & Beyond, Inc. (b) 5,593,500
80,000 Best Buy Co., Inc. 3,036,800
200,000 Coach, Inc. (b) 3,340,000
140,000 Home Depot, Inc. 3,298,400
165,000 Kohl's Corp. (b) 6,982,800
210,000 Lowe's Cos., Inc. 3,832,500
230,000 Starbucks Corp. (b) 2,555,300
125,000 Target Corp. 4,298,750
232,000 Williams-Sonoma, Inc. 2,338,560
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40,172,610
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CONSUMER SERVICES 6.6%
263,400 eBay, Inc. (b) 3,308,304
100,000 Garmin, Ltd. (Cayman Islands) 2,121,000
130,000 Intuit, Inc. (b) 3,510,000
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8,939,304
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ENERGY 10.3%
68,000 Apache Corp. 4,358,120
52,000 Schlumberger, Ltd. (Netherlands Antilles) 2,112,240
38,000 Transocean, Ltd. (Switzerland) (b) 2,235,920
50,000 Unit Corp. (b) 1,046,000
70,000 Valero Energy Corp. 1,253,000
96,000 XTO Energy, Inc. 2,939,520
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13,944,800
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FINANCIALS 15.1%
60,000 Affiliated Managers Group, Inc. (b) 2,502,600
160,000 American Express Co. 2,180,800
205,278 Bank of America Corp. 1,399,996
160,000 Capital One Financial Corp. 1,958,400
170,000 Citigroup, Inc. 430,100
260,000 Marshall & Ilsley Corp. 1,463,800
150,000 Morgan Stanley 3,415,500
90,000 State Street Corp. 2,770,200
255,000 Synovus Financial Corp. 828,750
240,000 Wells Fargo & Co. 3,417,600
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20,367,746
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HEALTH CARE 17.6%
80,000 Biogen Idec, Inc. (b) 4,193,600
100,000 Community Health Systems, Inc. (b) 1,534,000
310,000 Mylan, Inc. (b) 4,157,100
270,000 Pfizer, Inc. 3,677,400
200,000 UnitedHealth Group, Inc. 4,186,000
70,000 Varian Medical Systems, Inc. (b) 2,130,800
50,000 Waters Corp. (b) 1,847,500
57,500 Zimmer Holdings, Inc. (b) 2,098,750
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23,825,150
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INDUSTRIAL 1.8%
50,000 United Parcel Services, Inc. - Class B 2,461,000
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INSURANCE 0.1%
108,800 MGIC Investment Corp. 154,496
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SOFTWARE 5.4%
160,000 Check Point Software Technologies (Israel) (b) 3,553,600
250,000 Symantec Corp. (b) 3,735,000
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7,288,600
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TECHNOLOGY 23.2%
120,000 Adobe Systems, Inc. (b) 2,566,800
100,000 Altera Corp. 1,755,000
160,000 Applied Materials, Inc. 1,720,000
397,700 Cisco Systems, Inc. (b) 6,669,429
394,000 EMC Corp. (b) 4,491,600
40,000 Fiserv, Inc. (b) 1,458,400
600,000 Flextronics International Ltd. (Singapore) (b) 1,734,000
5,000 Google, Inc. - Class A (b) 1,740,300
170,000 Microsoft Corp. 3,122,900
157,300 QLogic Corp. (b) 1,749,176
164,000 Yahoo!, Inc. (b) 2,100,840
122,000 Zebra Technologies Corp. - Class A (b) 2,320,440
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31,428,885
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TOTAL COMMON STOCKS - 111.7%
(Cost $306,930,673) 151,102,375
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EXCHANGE-TRADED FUNDS - 6.3%
150,000 Powershares QQQ 4,548,000
50,000 SPDR Trust Series 1 3,972,000
(Cost $11,067,243) ------------
8,520,000
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TOTAL LONG-TERM INVESTMENTS 118.0%
(Cost $317,997,916) 159,622,375
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SHORT-TERM INVESTMENTS 2.4%
MONEY MARKET FUNDS 2.1%
2,906,735 AIM Liquid Assets Money Market Fund (Cost $2,906,735) 2,906,735
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PRINCIPAL AMOUNT VALUE
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U.S. GOVERNMENT 0.3%
$ 370,000 U.S. Treasury Note (coupon 4.5%, maturity 4/30/09)
(Cost $371,410) 371,410
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TOTAL SHORT-TERM INVESTMENTS 2.4%
(Cost $3,278,145) 3,278,145
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TOTAL INVESTMENTS 120.4%
(Cost $321,276,061) 162,900,520
Liabilities in excess of Other Assets - (0.1%) (141,971)
Borrowings - (14.0%) (19,000,000)
Total Value of Options Written - (6.3%) (8,481,774)
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NET ASSETS 100.0% $135,276,775
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(a) All or a portion of this security position represents cover (directly or
through conversion rights) for outstanding options written.
(b) Non-income producing security.
CONTRACTS
(100 SHARES PER
CONTRACT) CALL OPTIONS WRITTEN (B) EXPIRATION DATE EXERCISE PRICE VALUE
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400 Adobe Systems, Inc. July 2009 $ 20.00 $ 136,000
200 Adobe Systems, Inc. January 2010 22.50 76,000
200 Adobe Systems, Inc. January 2010 30.00 29,500
250 Adobe Systems, Inc. April 2009 25.00 3,125
150 Adobe Systems, Inc. October 2009 25.00 32,250
200 Affiliated Managers Group, Inc. June 2009 35.00 210,000
100 Affiliated Managers Group, Inc. June 2009 45.00 51,000
300 Affiliated Managers Group, Inc. January 2010 50.00 237,000
500 Altera Corp. June 2009 17.50 80,000
500 Altera Corp. January 2010 20.00 95,000
300 American Express Co. July 2009 22.50 10,500
180 American Express Co. April 2009 25.00 900
300 American Eagle Outfitters, Inc. August 2009 10.00 96,000
1,000 American Eagle Outfitters, Inc. May 2009 12.50 100,000
1,300 American Eagle Outfitters, Inc. January 2010 12.50 328,250
315 Apache Corp. July 2009 80.00 82,687
365 Apache Corp. April 2009 90.00 1,825
700 Applied Materials, Inc. April 2009 11.00 28,000
500 Applied Materials, Inc. January 2010 12.50 67,500
300 Applied Materials, Inc. January 2010 15.00 20,250
460 Bed Bath & Beyond, Inc. May 2009 25.00 82,800
300 Bed Bath & Beyond, Inc. May 2009 27.50 25,500
1,500 Bed Bath & Beyond, Inc. January 2010 30.00 330,000
200 Best Buy Co., Inc. June 2009 27.50 226,000
200 Best Buy Co., Inc. June 2009 32.50 148,000
400 Best Buy Co., Inc. January 2010 35.00 352,000
400 Biogen Idec, Inc. January 2010 50.00 400,000
200 Biogen Idec, Inc. July 2009 55.00 86,000
200 Biogen Idec, Inc. April 2009 45.00 152,000
500 Check Point Software Technologies (Israel) January 2010 25.00 98,750
900 Check Point Software Technologies (Israel) July 2009 20.00 297,000
200 Check Point Software Technologies (Israel) July 2009 22.50 36,500
500 Cisco Systems, Inc. April 2009 18.00 7,750
500 Cisco Systems, Inc. January 2010 20.00 74,250
400 Coach, Inc. August 2009 15.00 148,000
800 Coach, Inc. May 2009 20.00 36,000
200 Community Health Systems, Inc. June 2009 20.00 12,000
400 Dell, Inc. January 2010 12.50 35,200
400 Dell, Inc. May 2009 13.00 1,600
400 Dell, Inc. January 2010 15.00 17,200
1,000 eBay, Inc. April 2009 15.00 3,000
1,634 eBay, Inc. April 2009 17.00 2,451
500 EMC Corp. April 2009 12.00 16,500
300 EMC Corp. July 2009 12.00 34,350
600 EMC Corp. January 2010 12.50 97,500
800 EMC Corp. July 2009 13.00 64,400
200 Fiserv, Inc. June 2009 35.00 76,000
200 Fiserv, Inc. September 2009 35.00 102,000
350 Garmin, Ltd. (Cayman Islands) April 2009 20.00 68,250
50 Google, Inc. - Class A June 2009 350.00 143,500
772 Home Depot, Inc. May 2009 27.50 20,458
743 Intuit, Inc. April 2009 25.00 170,890
200 Intuit, Inc. July 2009 27.50 46,000
1,150 Kohl's Corp. April 2009 35.00 862,500
500 Kohl's Corp. April 2009 40.00 165,000
365 Lowe's Cos., Inc. April 2009 22.50 1,825
700 Lowe's Cos., Inc. January 2010 25.00 77,000
500 Marshall & Ilsley Corp. June 2009 15.00 2,500
400 Microsoft Corp. July 2009 21.00 33,800
500 Microsoft Corp. July 2009 23.00 19,750
800 Microsoft Corp. April 2009 27.00 4,000
500 Morgan Stanley April 2009 25.00 53,750
390 Mylan, Inc. July 2009 12.50 79,950
340 Mylan, Inc. January 2010 12.50 102,000
670 Mylan, Inc. January 2010 15.00 115,575
1,500 Powershares QQQ May 2009 31.00 202,500
200 QLogic Corp. July 2009 12.50 11,000
573 QLogic Corp. January 2010 15.00 27,218
200 Schlumberger, Ltd. (Netherlands Antilles) May 2009 50.00 19,500
200 Schlumberger, Ltd. (Netherlands Antilles) January 2010 60.00 47,000
500 SPDR Trust Series 1 April 2009 88.00 14,750
700 Starbucks Corp. April 2009 10.00 91,350
400 Starbucks Corp. July 2009 11.00 59,800
700 State Street Corp. May 2009 50.00 21,000
200 State Street Corp. January 2010 60.00 41,500
300 Symantec Corp. April 2009 15.00 18,750
800 Symantec Corp. July 2009 15.00 148,000
400 Symantec Corp. April 2009 17.50 2,000
500 Symantec Corp. January 2010 20.00 43,750
800 Target Corp. April 2009 37.50 35,600
100 Target Corp. July 2009 40.00 17,300
180 Transocean, Ltd. (Switzerland) August 2009 55.00 194,400
200 Transocean, Ltd. (Switzerland) May 2009 70.00 27,000
200 Unit Corp. June 2009 25.00 21,000
200 UnitedHealth Group, Inc. June 2009 30.00 5,000
500 United Parcel Services, Inc. - Class B April 2009 55.00 8,750
500 Valero Energy Corp. June 2009 25.00 16,250
318 Varian Medical Systems, Inc. January 2010 40.00 56,445
50 Varian Medical Systems, Inc. May 2009 40.00 750
200 Varian Medical Systems, Inc. May 2009 45.00 1,000
300 Waters Corp. May 2009 45.00 18,750
200 Waters Corp. January 2010 50.00 36,500
1,300 Wells Fargo & Co. July 2009 21.00 188,500
500 Wells Fargo & Co. January 2010 30.00 51,250
1,000 Williams-Sonoma, Inc. August 2009 10.00 195,000
560 XTO Energy, Inc. May 2009 45.00 4,200
400 XTO Energy, Inc. January 2010 45.00 85,000
300 Yahoo!, Inc. July 2009 15.00 28,500
400 Yahoo!, Inc. April 2009 16.00 3,200
200 Yahoo!, Inc. January 2010 17.50 19,600
400 Zebra Technologies Corp. - Class A May 2009 20.00 34,000
200 Zebra Technologies Corp. - Class A August 2009 20.00 34,500
475 Zimmer Holdings, Inc. June 2009 45.00 30,875
TOTAL VALUE OF CALL OPTIONS WRITTEN
(Premiums received $12,416,499) 8,476,774
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PUT OPTIONS WRITTEN
200 Garmin, Ltd. (Cayman Islands) April 2009 17.50 5,000
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TOTAL VALUE OF PUT OPTIONS WRITTEN
(Premiums received $57,804) 5,000
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TOTAL OPTIONS WRITTEN
(Premiums received $12,474,303) $ 8,481,774
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(b) Non-income producing security.
See previously submitted notes to financial statements for the period ending
December 31, 2008.
Country Allocation*
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United States 92.8%
Israel 2.2%
Switzerland 1.4%
Cayman Islands 1.3%
Netherlands Antilles 1.3%
Singapore 1.0%
* 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 March 31, 2009
Description Securities Derivatives Total
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(value in $000s)
Assets:
Level 1 $ 162,529 $ 162,529
Level 2 372 - 372
Level 3 - - -
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Total $ 162,901 $ - $ 162,901
========= ======= =========
Liabilities:
Level 1 $ - $ 8,482 $ 8,482
Level 2 - - -
Level 3 - - -
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Total $ - $ 8,482 $ 8,482
========= ======= =========
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 has 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: May 19, 2009
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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: May 19, 2009
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By: /s/ Steven M. Hill
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Steven M. Hill
Treasurer and Chief Financial Officer
Date: May 19, 2009
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