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: January 1, 2010 - March 31, 2010
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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, 2010 (UNAUDITED)
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NUMBER
OF SHARES DESCRIPTION VALUE
------------------ ------------------------------------------------------------ ---------------------
LONG-TERM INVESTMENTS 77.1%
COMMON STOCKS (a) 75.1%
COMPUTERS 2.1%
265,800 Dell, Inc. (b) $ 3,989,658
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CONSUMER DISCRETIONARY 11.3%
204,000 American Eagle Outfitters, Inc. 3,778,080
80,000 Best Buy Co., Inc. 3,403,200
138,700 Home Depot, Inc. 4,486,945
210,000 Lowe's Cos., Inc. 5,090,400
35,000 Target Corp. 1,841,000
118,500 Williams-Sonoma, Inc. 3,115,365
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21,714,990
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CONSUMER SERVICES 7.2%
291,400 eBay, Inc. (b) 7,853,230
90,400 Garmin, Ltd. (Cayman Islands) 3,478,592
70,000 Intuit, Inc. (b) 2,403,800
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13,735,622
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ENERGY 6.4%
41,900 Apache Corp. 4,252,850
32,000 Schlumberger, Ltd. (Netherlands Antilles) 2,030,720
47,000 Transocean, Ltd. (Switzerland) (b) 4,059,860
70,000 Valero Energy Corp. 1,379,000
14,000 XTO Energy, Inc. 660,520
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12,382,950
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FINANCIALS 15.6%
205,278 Bank of America Corp. 3,664,212
160,000 Capital One Financial Corp. 6,625,600
420,000 Citigroup, Inc. (b) 1,701,000
260,000 Marshall & Ilsley Corp. 2,093,000
150,000 Morgan Stanley 4,393,500
110,000 State Street Corp. 4,965,400
255,000 Synovus Financial Corp. 838,950
180,000 Wells Fargo & Co. 5,601,600
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29,883,262
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HEALTH CARE 17.5%
90,000 Biogen Idec, Inc. (b) 5,162,400
30,000 Community Health Systems, Inc. (b) 1,107,900
85,045 Genzyme Corp. (b) 4,407,883
102,000 Gilead Sciences, Inc. (b) 4,638,960
166,800 Mylan, Inc. (b) 3,788,028
270,000 Pfizer, Inc. 4,630,500
199,800 UnitedHealth Group, Inc. 6,527,466
55,200 Zimmer Holdings, Inc. (b) 3,267,840
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33,530,977
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INDUSTRIAL 1.2%
35,000 United Parcel Services, Inc. - Class B 2,254,350
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INSURANCE 0.6%
108,800 MGIC Investment Corp. (b) 1,193,536
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SOFTWARE 1.9%
220,000 Symantec Corp. (b) 3,722,400
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TECHNOLOGY 11.3%
89,100 Applied Materials, Inc. 1,201,068
247,700 Cisco Systems, Inc. (b) 6,447,631
141,300 EMC Corp. (b) 2,549,052
592,300 Flextronics International Ltd. (Singapore) (b) 4,643,632
75,000 QUALCOMM, Inc. 3,149,250
164,000 Yahoo!, Inc. (b) 2,710,920
30,800 Zebra Technologies Corp. - Class A (b) 911,680
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21,613,233
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TOTAL COMMON STOCKS - 75.1%
(Cost $210,839,664) 144,020,978
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EXCHANGE-TRADED FUNDS (a) - 2.0%
80,000 Powershares QQQ 3,854,400
(Cost $3,692,600) ---------------------
TOTAL LONG-TERM INVESTMENTS 77.1%
(Cost $214,532,264) 147,875,378
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SHORT-TERM INVESTMENTS 26.5%
MONEY MARKET FUNDS 26.5%
50,841,136 AIM Liquid Assets Money Market Fund 50,841,136
(Cost $50,841,136) ---------------------
TOTAL INVESTMENTS 103.6%
(Cost $265,373,400) 198,716,514
Liabilities in excess of Other Assets - (0.0%*) (49,681)
Total Value of Options Written - (3.6%) (6,865,142)
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NET ASSETS 100.0% $ 191,801,691
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*Less than 0.1%
(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
------------------ ----------------------------------------- --------------------- ----------------- -----------------
300 American Eagle Outfitters, Inc. May 2010 $ 17.50 $ 46,500
354 American Eagle Outfitters, Inc. August 2010 17.50 76,110
400 American Eagle Outfitters, Inc. January 2011 20.00 66,000
304 Apache Corp. April 2010 105.00 22,800
115 Apache Corp. October 2010 110.00 57,500
200 Best Buy Co., Inc. September 2010 38.00 119,500
300 Best Buy Co., Inc. January 2011 40.00 168,750
200 Biogen Idec, Inc. April 2010 55.00 55,500
200 Biogen Idec, Inc. July 2010 55.00 99,000
200 Biogen Idec, Inc. January 2011 60.00 89,000
600 Capital One Financial Corp. June 2010 41.00 180,000
500 Capital One Financial Corp. September 2010 40.00 241,250
400 Cisco Systems, Inc. April 2010 24.00 83,400
1,000 Cisco Systems, Inc. July 2010 25.00 187,500
300 Cisco Systems, Inc. October 2010 25.00 73,200
300 Cisco Systems, Inc. January 2012 30.00 66,150
200 Community Health Systems, Inc. June 2010 35.00 76,000
900 eBay, Inc. July 2010 25.00 271,800
500 eBay, Inc. October 2010 27.00 128,500
400 EMC Corp. April 2010 17.00 44,000
600 EMC Corp. April 2010 18.00 20,100
413 EMC Corp. October 2010 19.00 40,681
2,000 Flextronics International Ltd. April 2010 7.50 91,000
700 Flextronics International Ltd. January 2011 10.00 25,550
26 Garmin, Ltd. April 2010 34.00 11,830
552 Garmin, Ltd. July 2010 33.00 306,360
400 Genzyme Corp. April 2010 55.00 12,000
450 Genzyme Corp. July 2010 55.00 105,750
176 Gilead Sciences, Inc. May 2010 48.00 11,088
620 Gilead Sciences, Inc. August 2010 46.00 161,200
16 Gilead Sciences, Inc. January 2011 50.00 3,936
200 Home Depot, Inc. May 2010 29.00 71,000
600 Home Depot, Inc. August 2010 32.00 110,700
200 Home Depot, Inc. January 2011 35.00 25,200
300 Intuit, Inc. April 2010 27.50 205,500
390 Intuit, Inc. July 2010 30.00 183,300
325 Lowe's Cos., Inc. July 2010 24.00 42,412
500 Lowe's Cos., Inc. October 2010 25.00 67,250
300 Lowe's Cos., Inc. January 2011 25.00 54,450
400 Morgan Stanley April 2010 32.00 2,400
300 Morgan Stanley July 2010 30.00 50,400
400 Morgan Stanley July 2010 32.00 36,600
290 Mylan, Inc. April 2010 17.50 153,700
600 Mylan, Inc. July 2010 19.00 243,000
500 Mylan, Inc. July 2010 20.00 155,000
278 Mylan, Inc. October 2010 22.00 62,550
500 Pfizer, Inc. June 2010 20.00 2,500
800 Powershares QQQ June 2010 46.00 244,400
250 QUALCOMM, Inc. April 2010 40.00 54,625
250 QUALCOMM, Inc. October 2010 40.00 110,000
250 QUALCOMM, Inc. January 2011 40.00 129,375
320 Schlumberger, Ltd. August 2010 70.00 67,680
500 State Street Corp. May 2010 45.00 105,000
400 State Street Corp. August 2010 47.00 104,000
300 Symantec Corp. April 2010 18.00 2,250
300 Symantec Corp. July 2010 18.00 14,250
600 Symantec Corp. July 2010 19.00 13,500
200 Target Corp. July 2010 49.00 96,000
150 Target Corp. July 2010 50.00 61,500
132 Transocean, Ltd. August 2010 95.00 37,950
200 Transocean, Ltd. January 2011 90.00 146,000
150 United Parcel Services, Inc. April 2010 60.00 67,125
200 United Parcel Services, Inc. July 2010 60.00 107,000
400 UnitedHealth Group, Inc. June 2010 30.00 143,000
300 UnitedHealth Group, Inc. June 2010 32.00 67,350
400 Valero Energy Corp. June 2010 18.00 91,200
200 Wells Fargo & Co. April 2010 29.00 44,600
300 Wells Fargo & Co. April 2010 30.00 41,850
400 Wells Fargo & Co. July 2010 29.00 127,000
500 Wells Fargo & Co. July 2010 30.00 125,750
246 Williams-Sonoma, Inc. May 2010 22.50 100,860
400 Williams-Sonoma, Inc. August 2010 25.00 124,000
100 XTO Energy, Inc. May 2010 44.00 35,500
40 XTO Energy, Inc. May 2010 46.00 7,780
240 Yahoo!, Inc. July 2010 18.00 9,000
400 Yahoo!, Inc. January 2011 17.50 50,400
108 Zebra Technologies Corp. May 2010 30.00 10,530
300 Zimmer Holdings, Inc. June 2010 60.00 66,750
102 Zimmer Holdings, Inc. January 2011 60.00 51,000
TOTAL VALUE OF CALL OPTIONS WRITTEN
(Premiums received $6,341,267) $ 6,865,142
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(b) Non-income producing security.
Country Allocation**
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United States 92.9%
Singapore 2.3%
Switzerland 2.0%
Cayman Islands 1.8%
Netherlands Antilles 1.0%
** Based on Total Investments (which does not take into consideration the
Value of Options Written). Subject to change daily.
See previously submitted notes to financial statements for the year ended
December 31, 2009.
At March 31, 2010, the cost and related gross unrealized appreciation and
depreciation on investments for tax purposes are as follows:
Net Tax
Gross Tax Gross Tax Unrealized
Cost of Investments for Unrealized Unrealized Depreciation on
Tax Purposes Appreciation Depreciation Investments
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$ 266,267,743 $ 3,649,696 $(71,200,925) $ (67,551,229)
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In accordance with ASC 820, Fair Value Measurements and Disclosures (formerly
known as the Statement of Financial Accounting Standard ("FAS") No. 157, fair
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. ASC 820 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 (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 March 31, 2010.
Description Level 1 Level 2 Level 3 Total
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(value in $000s)
Assets:
Common stocks $ 144,021 $ - $ - $ 144,021
Exchange-Traded Funds 3,855 3,855
Money Market Funds 50,841 - - 50,841
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Total $ 198,717 $ - $ - $ 198,717
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Liabilities:
Written Options 6,865 - - 6,865
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Total $ 6,865 $ - $ - $ 6,865
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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 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 20, 2010
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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 20, 2010
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By: /s/ Steven M. Hill
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Steven M. Hill
Treasurer and Chief Financial Officer
Date: May 20, 2010
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