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
------------------------------------------
Madison/Claymore Covered Call & Equity Strategy 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
Madison/Claymore Covered Call & Equity Strategy Fund
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: December 31
--------------------
Date of reporting period: July 1, 2009 - September 30, 2009
---------------------------------
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, 2009 (UNAUDITED)
NUMBER
OF SHARES DESCRIPTION VALUE
----------- -------------------------------------------- --------------------
LONG-TERM INVESTMENTS 110.1%
COMMON STOCKS (A) 106.7%
COMPUTERS 2.2%
265,800 Dell, Inc. (b) $ 4,056,108
--------------------
CONSUMER DISCRETIONARY 19.6%
332,300 American Eagle Outfitters, Inc. 5,602,578
180,000 Bed Bath & Beyond, Inc. (b) 6,757,200
80,000 Best Buy Co., Inc. 3,001,600
80,000 Coach, Inc. 2,633,600
140,000 Home Depot, Inc. 3,729,600
210,000 Lowe's Cos., Inc. 4,397,400
140,000 Starbucks Corp. (b) 2,891,000
55,000 Target Corp. 2,567,400
232,000 Williams-Sonoma, Inc. 4,693,360
--------------------
36,273,738
--------------------
CONSUMER SERVICES 7.8%
293,400 eBay, Inc. (b) 6,927,174
100,000 Garmin, Ltd. (Cayman Islands) 3,774,000
130,000 Intuit, Inc. (b) 3,705,000
--------------------
14,406,174
--------------------
ENERGY 9.7%
68,000 Apache Corp. 6,244,440
32,000 Schlumberger, Ltd. (Netherlands Antilles) 1,907,200
47,000 Transocean, Ltd. (Switzerland) (b) 4,019,910
10,000 Unit Corp. (b) 412,500
70,000 Valero Energy Corp. 1,357,300
96,000 XTO Energy, Inc. 3,966,720
--------------------
17,908,070
--------------------
FINANCIALS 18.9%
55,000 Affiliated Managers Group, Inc. (b) 3,575,550
300 American Express Co. 10,170
205,278 Bank of America Corp. 3,473,304
160,000 Capital One Financial Corp. 5,716,800
420,000 Citigroup, Inc. 2,032,800
260,000 Marshall & Ilsley Corp. 2,098,200
150,000 Morgan Stanley 4,632,000
110,000 State Street Corp. 5,786,000
255,000 Synovus Financial Corp. 956,250
240,000 Wells Fargo & Co. 6,763,200
--------------------
35,044,274
--------------------
HEALTH CARE 20.8%
60,000 Biogen Idec, Inc. (b) 3,031,200
85,000 Community Health Systems, Inc. (b) 2,714,050
85,045 Genzyme Corp. (b) 4,824,603
102,000 Gilead Sciences, Inc. (b) 4,751,160
310,000 Mylan, Inc. (b) 4,963,100
270,000 Pfizer, Inc. 4,468,500
199,800 UnitedHealth Group, Inc. 5,002,992
70,000 Varian Medical Systems, Inc. (b) 2,949,100
50,000 Waters Corp. (b) 2,793,000
57,500 Zimmer Holdings, Inc. (b) 3,073,375
--------------------
38,571,080
--------------------
INDUSTRIAL 1.5%
50,000 United Parcel Services, Inc. - Class B 2,823,500
--------------------
INSURANCE 0.4%
108,800 MGIC Investment Corp. 806,208
--------------------
SOFTWARE 3.1%
75,000 Check Point Software Technologies (Israel) (b) 2,126,250
220,000 Symantec Corp. (b) 3,623,400
--------------------
5,749,650
--------------------
TECHNOLOGY 22.7%
80,000 Adobe Systems, Inc. (b) 2,643,200
130,000 Altera Corp. 2,666,300
90,000 Applied Materials, Inc. 1,206,000
357,600 Cisco Systems, Inc. (b) 8,417,904
440,000 EMC Corp. (b) 7,497,600
600,000 Flextronics International Ltd. (Singapore) (b) 4,476,000
3,000 Google, Inc. - Class A (b) 1,487,550
190,000 Microsoft Corp. 4,919,100
157,300 QLogic Corp. (b) 2,705,560
164,000 Yahoo!, Inc. (b) 2,920,840
122,000 Zebra Technologies Corp. - Class A (b) 3,163,460
--------------------
42,103,514
--------------------
TOTAL COMMON STOCKS - 106.7%
(Cost $278,259,728) 197,742,316
--------------------
EXCHANGE-TRADED FUNDS - 3.4%
150,000 Powershares QQQ 6,337,500
--------------------
(Cost $6,442,707)
TOTAL LONG-TERM INVESTMENTS 110.1%
(Cost $284,702,435) 204,079,816
--------------------
SHORT-TERM INVESTMENTS 1.9%
MONEY MARKET FUNDS 1.9%
3,425,371 AIM Liquid Assets Money Market Fund 3,425,371
--------------------
(Cost $3,425,371)
TOTAL INVESTMENTS 112.0%
(Cost $288,127,806) 207,505,187
Other Assets in excess of Liabilities - 1.0% 1,878,927
Borrowings - (1.6%) (3,000,000)
Total Value of Options Written - (11.4%) (21,063,465)
--------------------
NET ASSETS 100.0% $ 185,320,649
====================
(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 EXERCISE
PER CONTRACT) CALL OPTIONS WRITTEN (B) EXPIRATION DATE PRICE VALUE
----------------------------------------------------------- -------------------- ------------ -----------------
200 Adobe Systems, Inc. January 2010 $ 22.50 $ 214,000
450 Adobe Systems, Inc. January 2010 30.00 195,750
150 Adobe Systems, Inc. October 2009 25.00 120,750
300 Affiliated Managers Group, Inc. January 2010 50.00 487,500
250 Affiliated Managers Group, Inc. December 2009 55.00 293,750
400 Altera Corp. December 2009 16.00 184,000
400 Altera Corp. January 2010 17.50 138,000
300 Altera Corp. January 2010 20.00 52,500
200 Altera Corp. March 2010 20.00 43,000
2 American Express Co. October 2009 27.50 1,300
1,300 American Eagle Outfitters, Inc. January 2010 12.50 598,000
1,000 American Eagle Outfitters, Inc. January 2010 15.00 265,000
365 Apache Corp. October 2009 75.00 615,025
315 Apache Corp. January 2010 95.00 173,250
300 Applied Materials, Inc. January 2010 15.00 14,250
600 Applied Materials, Inc. January 2010 12.50 96,000
1,500 Bed Bath & Beyond, Inc. January 2010 30.00 1,230,000
300 Bed Bath & Beyond, Inc. November 2009 32.50 165,000
400 Best Buy Co., Inc. January 2010 35.00 182,000
200 Best Buy Co., Inc. December 2009 38.00 51,000
200 Biogen Idec, Inc. April 2010 55.00 63,000
400 Biogen Idec, Inc. January 2010 50.00 160,000
300 Capital One Financial Corp. December 2009 31.00 195,000
600 Capital One Financial Corp. January 2010 36.00 240,000
400 Capital One Financial Corp. January 2010 40.00 92,000
750 Check Point Software Technologies (Israel) January 2010 25.00 307,500
300 Cisco Systems, Inc. October 2009 19.00 135,750
1,899 Cisco Systems, Inc. January 2010 20.00 754,853
500 Cisco Systems, Inc. January 2010 22.50 104,750
400 Cisco Systems, Inc. April 2010 24.00 75,400
400 Coach, Inc. November 2009 20.00 516,000
400 Coach, Inc. November 2009 26.00 288,000
200 Community Health Systems, Inc. January 2010 30.00 82,000
450 Community Health Systems, Inc. March 2010 35.00 118,125
700 Dell, Inc. January 2010 12.50 220,500
1,600 Dell, Inc. January 2010 15.00 232,000
358 Dell, Inc. February 2010 17.00 29,177
1,000 eBay, Inc. January 2010 15.00 867,500
400 eBay, Inc. January 2010 17.50 254,000
234 eBay, Inc. January 2010 20.00 100,035
800 eBay, Inc. January 2010 24.00 141,600
500 eBay, Inc. April 2010 26.00 82,500
1,700 EMC Corp. January 2010 15.00 430,950
1,200 EMC Corp. January 2010 12.50 558,000
400 EMC Corp. April 2010 17.00 70,200
500 EMC Corp. January 2010 17.50 51,250
400 Flextronics International Ltd. (Singapore) October 2009 5.00 99,000
1,500 Flextronics International Ltd. (Singapore) April 2010 7.50 184,500
600 Garmin, Ltd. (Cayman Islands) October 2009 25.00 771,000
200 Garmin, Ltd. (Cayman Islands) January 2010 34.00 114,000
300 Genzyme Corp. January 2010 55.00 163,500
550 Genzyme Corp. January 2010 60.00 166,375
215 Gilead Sciences, Inc. January 2010 48.00 52,675
125 Gilead Sciences, Inc. November 2009 50.00 10,625
30 Google, Inc. December 2009 410.00 268,500
200 Home Depot, Inc. November 2009 27.50 16,300
1,000 Home Depot, Inc. February 2010 28.00 132,000
600 Intuit, Inc. January 2010 30.00 57,000
300 Intuit, Inc. April 2010 27.50 86,250
300 Lowe's Cos., Inc. January 2010 22.50 27,750
800 Lowe's Cos., Inc. January 2010 24.00 42,000
1,000 Lowe's Cos., Inc. January 2010 25.00 32,500
182 MGIC Investment Corp. January 2010 10.00 15,015
500 Microsoft Corp. October 2009 25.00 51,250
800 Microsoft Corp. January 2010 24.00 206,000
600 Microsoft Corp. January 2010 25.00 115,500
340 Mylan, Inc. January 2010 12.50 127,500
1,460 Mylan, Inc. January 2010 15.00 262,800
700 Mylan, Inc. October 2009 15.00 77,000
500 Powershares QQQ December 2009 36.00 332,250
1,000 Powershares QQQ December 2009 40.00 337,000
400 QLogic Corp. January 2010 12.50 196,000
1,173 QLogic Corp. January 2010 15.00 328,440
320 Schlumberger, Ltd. (Netherlands Antilles) January 2010 60.00 160,000
1,000 Starbucks Corp. January 2010 12.50 825,000
200 Starbucks Corp. October 2009 13.00 153,500
200 Starbucks Corp. January 2010 19.00 55,300
300 State Street Corp. November 2009 40.00 391,500
600 State Street Corp. November 2009 50.00 312,000
700 Symantec Corp. October 2009 17.50 8,750
700 Symantec Corp. January 2010 20.00 17,500
350 Target Corp. October 2009 40.00 234,500
100 Target Corp. January 2010 44.00 47,250
100 Target Corp. January 2010 46.00 35,250
270 Transocean, Ltd. (Switzerland) January 2010 85.00 202,500
100 Unit Corp. December 2009 40.00 42,000
150 United Parcel Services, Inc. January 2010 55.00 57,750
200 United Parcel Services, Inc. October 2009 55.00 44,000
150 United Parcel Services, Inc. January 2010 60.00 22,500
533 Varian Medical Systems, Inc. January 2010 40.00 223,860
167 Varian Medical Systems, Inc. November 2009 35.00 123,580
100 Waters Corp. January 2010 45.00 117,000
400 Waters Corp. January 2010 50.00 310,000
600 Wells Fargo & Co. October 2009 27.00 97,500
900 Wells Fargo & Co. January 2010 30.00 162,000
820 Williams-Sonoma, Inc. November 2009 15.00 438,700
600 Williams-Sonoma, Inc. November 2009 20.00 94,500
500 Williams-Sonoma, Inc. February 2010 17.50 200,000
100 XTO Energy, Inc. November 2009 38.00 45,000
860 XTO Energy, Inc. January 2010 45.00 172,000
540 Yahoo!, Inc. October 2009 15.00 153,630
800 Yahoo!, Inc. January 2010 17.50 135,600
600 Zebra Technologies Corp. - Class A November 2009 22.50 222,000
220 Zebra Technologies Corp. - Class A February 2010 25.00 56,650
200 Zebra Technologies Corp. - Class A November 2009 25.00 35,500
275 Zebra Technologies Corp. - Class A December 2009 45.00 247,500
150 Zimmer Holdings, Inc. March 2010 55.00 56,250
-----------------
TOTAL VALUE OF CALL OPTIONS WRITTEN
(Premiums received $12,500,822) $ 21,063,465
-----------------
(b)Non-income producing security.
Country Allocation*
-------------------------------------------------------------------------
United States 92.2%
Singapore 2.2%
Switzerland 1.9%
Cayman Islands 1.8%
Israel 1.0%
Netherlands Antilles 0.9%
* Based on Total Investments (which does not take into consideration the
Value of Options Written). Subject to change daily.
On July 17, 2009, Claymore Group Inc., the parent company of Claymore Advisors,
LLC (the "Adviser"), entered into an Agreement and Plan of Merger between and
among Claymore Group Inc., Claymore Holdings, LLC and GuggClay Acquisition,
Inc., (with the latter two entities being wholly-owned, indirect subsidiaries of
Guggenheim Partners, LLC ("Guggenheim")) whereby GuggClay Acquisition, Inc. will
merge into Claymore Group Inc. which will be the surviving entity. This
transaction was completed on October 14, 2009 (the "Effective Date") and
resulted in a change-of-control whereby Claymore Group Inc. and its
subsidiaries, including the Adviser, became indirect, wholly-owned subsidiaries
of Guggenheim. The transaction is not expected to affect the daily operations of
the Fund or the investment management activities of the Adviser.
Under the Investment Company Act of 1940, the consummation of this transaction
resulted in the automatic termination of the Advisory Agreement. Accordingly, on
September 28, 2009, the Board of Trustees approved an interim investment
advisory agreement between Madison/Claymore Covered Call & Equity Strategy Fund
(the "Fund") and the Adviser (the "Interim Advisory Agreement"). The Interim
Advisory Agreement takes effect as of the Effective Date and will terminate upon
the earlier of: (a) 150 calendar days after the Effective Date or (b) the
approval of a new investment advisory agreement by the shareholders of the Fund.
In addition, the advisory fees earned by the Adviser pursuant to the Interim
Advisory Agreement will be held in an interest-bearing escrow account with the
Fund's custodian during the term of the Interim Advisory Agreement. If the
Fund's shareholders approve a new advisory agreement with the Adviser prior to
the expiration of the term of the Interim Advisory Agreement, the amount in the
escrow account (including any interest earned) with respect to the Fund shall be
paid to the Adviser. If the Fund's shareholders do not approve a new advisory
agreement with the Adviser prior to the expiration of the term of the Interim
Advisory Agreement, the Adviser shall be paid, put of the escrow account with
respect to the Fund, the lesser of (i) the Adviser's costs incurred in providing
the services under the Interim Advisory Agreement (including any interest earned
on that amount while in escrow) with respect to the Fund; or (ii) the total
amount in the escrow account (including any interest earned) with respect to the
Fund. Other than the effective dates and the provisions set forth above
regarding the advisory fees' placement into an escrow account, the terms and
conditions of the Interim Advisory Agreement are substantively identical to
those of the Advisory Agreement.
See previously submitted notes to financial statements for the period ending
June 30, 2009.
In September, 2006, the Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standards No. 157, "Fair Valuation
Measurements" ("FAS 157"). The Fund adopted FAS 157 effective on January 1,
2008. 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 (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). In April
2009, the FASB issued FSP FAS 157-4, "Determining Fair Value When Volume and
Level of Activity for the Asset or Liability Have Significantly Decreased and
Identifying Transactions That Are Not Orderly" (FSP 157-4). FSP 157-4 provides
guidance on how to determine the fair value of assets and liabilities when the
volume and level of activity for the asset/liability has significantly
decreased. FSP 157-4 requires disclosure in interim and annual periods of the
inputs and valuation techniques used to measure fair value and a discussion of
changes in valuation techniques. FSP 157-4 is effective for interim and annual
reporting periods ending June 15, 2009. The Fund adopted FSP 157-4 effective on
June 30, 2009. 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 September 30, 2009:
Description Level 1 Level 2 Level 3 Total
------------------- ----------------- ----------------- -------------------
(value in $000s)
Assets:
Common Stocks:
Computers $ 4,056 $ - $ - $ 4,056
Consumer Discretionary 36,274 - - 36,274
Consumer Services 14,406 - - 14,406
Energy 17,908 - - 17,908
Financials 35,044 - - 35,044
Health Care 38,571 - - 38,571
Industrials 2,823 - - 2,823
Insurance 806 - - 806
Software 5,750 - - 5,750
Technology 42,104 - - 42,104
Exchange-Traded Funds 6,338 - - 6,338
Money Market Fund 3,425 - - 3,425
------------------- ----------------- ----------------- -------------------
Total $ 207,505 $ - $ - $ 207,505
=================== ================= ================= ===================
Liabilities:
Written Options $ 21,063 $ - $ - $ 21,063
------------------- ----------------- ----------------- -------------------
Total $ 21,063 $ - $ - $ 21,063
=================== ================= ================= ===================
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
-------------------------------------------------------------------
By: /s/ J. Thomas Futrell
---------------------------------------------------------------------------
J. Thomas Futrell
Chief Executive Officer
Date: November 24, 2009
--------------------------------------------------------------------------
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: November 24, 2009
--------------------------------------------------------------------------
By: /s/ Steven M. Hill
---------------------------------------------------------------------------
Steven M. Hill
Treasurer and Chief Financial Officer
Date: November 24, 2009
--------------------------------------------------------------------------