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: March 31, 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
MARCH 31, 2008 (UNAUDITED)
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NUMBER
OF SHARES DESCRIPTION VALUE
--------------- ------------------------------------------ ---------------
COMMON STOCKS 102.6%
CONSUMER DISCRETIONARY 25.7%
400,000 American Eagle Outfitters, Inc. $ 7,004,000
270,000 Bed Bath & Beyond, Inc. (a) 7,965,000
110,000 Best Buy Co., Inc. 4,560,600
183,000 Coach, Inc. (a) 5,517,450
140,000 Home Depot, Inc. 3,915,800
165,000 Kohl's Corp. (a) 7,076,850
210,000 Lowe's Cos., Inc. 4,817,400
230,000 Starbucks Corp. (a) 4,025,000
125,000 Target Corp. 6,335,000
320,000 Williams-Sonoma, Inc. 7,756,800
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58,973,900
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COMPUTERS 2.3%
265,800 Dell, Inc. (a) 5,294,736
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CONSUMER SERVICES 7.5%
263,400 eBay, Inc. (a) 7,859,856
60,000 Garmin, Ltd. (Cayman Islands) 3,240,600
225,000 Intuit, Inc. (a) 6,077,250
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17,177,706
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ENERGY 1.8%
74,000 Unit Corp. (a) 4,192,100
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FINANCIALS 19.2%
60,000 Affiliated Managers Group (a) 5,444,400
160,000 Capital One Financial Corp. 7,875,200
220,000 Citigroup, Inc. 4,712,400
320,000 Countrywide Financial Corp. 1,760,000
211,000 Marshall & Ilsley Corp. 4,895,200
140,000 Merrill Lynch & Co., Inc. 5,703,600
150,000 Morgan Stanley 6,855,000
240,000 Wells Fargo & Co. 6,984,000
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44,229,800
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HEALTH CARE 17.5%
120,000 Amgen, Inc. (a) 5,013,600
60,000 Biogen Idec, Inc. (a) 3,701,400
100,000 Community Health Systems, Inc. (a) 3,357,000
70,000 Genentech, Inc. (a) 5,682,600
310,000 Mylan, Inc. 3,596,000
270,000 Pfizer, Inc. 5,651,100
200,000 UnitedHealth Group, Inc. 6,872,000
40,900 Varian Medical System, Inc. (a) 1,915,756
57,500 Zimmer Holdings, Inc. (a) 4,476,950
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40,266,406
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INDUSTRIAL 1.6%
50,000 United Parcel Services Corp. - Class B 3,651,000
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INSURANCE 0.6%
123,800 MGIC Investment Corp. 1,303,614
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SOFTWARE 2.4%
330,000 Symantec Corp. (a) 5,484,600
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TECHNOLOGY 24.0%
65,000 Adobe Systems, Inc. (a) 2,313,350
86,100 Altera Corp. 1,586,823
160,000 Applied Materials, Inc. 3,121,600
150,000 Check Point Software Technologies (Israel) (a) 3,360,000
345,000 Cisco Systems, Inc. (a) 8,311,050
394,000 EMC Corp. (a) 5,649,960
600,000 Flextronics International Ltd. (Singapore) (a) 5,634,000
10,000 Google, Inc. - Class A (a) 4,404,700
50,000 Intel Corp. 1,059,000
180,000 Linear Technology Corp. 5,524,200
188,700 QLogic Corp. (a) 2,896,545
250,000 Yahoo!, Inc. (a) 7,232,500
122,000 Zebra Technologies Corp. - Class A (a) 4,065,040
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55,158,768
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TOTAL COMMON STOCKS 102.6% 235,732,630
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(Cost $296,720,953)
EXCHANGE-TRADED FUND 2.4%
130,000 Powershares QQQ (Cost $6,411,475) 5,683,600
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TOTAL LONG TERM INVESTMENTS 105.0% 241,416,230
(Cost $303,132,428) ---------------
SHORT-TERM INVESTMENTS 3.0%
MONEY MARKET FUNDS 1.9%
4,302,233 AIM Liquid Assets Money Market Fund (Cost
$4,302,233) 4,302,233
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PRINCIPAL AMOUNT
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U.S. GOVERNMENT AND AGENCIES 1.1%
$ 2,500,000 U.S. Treasury Note (coupon 4.875%,
maturity 5/31/08) (Cost $2,511,932) 2,514,845
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TOTAL SHORT-TERM INVESTMENTS 3.0%
(Cost $6,814,165) 6,817,078
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TOTAL INVESTMENTS 108.0%
(Cost $309,946,593) 248,233,308
Other Assets in excess of Liabilities - 0.0% 100,959
Total Value of Options Written - (8.0%) (18,476,795)
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NET ASSETS 100.0% $ 229,857,472
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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 $325,000
150 Affiliated Managers Group September 2008 105.00 84,750
200 Affiliated Managers Group January 2009 110.00 139,000
150 Affiliated Managers Group January 2009 120.00 65,250
100 Affiliated Managers Group September 2008 80.00 176,500
861 Altera Corp. January 2009 20.00 174,352
3,500 American Eagle Outfitters, Inc. January 2009 25.00 315,000
300 Amgen, Inc. July 2008 47.50 42,750
550 Amgen, Inc. July 2008 50.00 47,300
350 Amgen, Inc. January 2009 50.00 88,025
1,000 Applied Materials, Inc. January 2009 17.50 380,000
600 Applied Materials, Inc. January 2009 20.00 151,500
1,779 Bed Bath & Beyond, Inc. January 2009 30.00 791,655
200 Bed Bath & Beyond, Inc. August 2008 30.00 64,000
721 Bed Bath & Beyond, Inc. August 2008 32.50 153,213
197 Best Buy Co., Inc. September 2008 47.50 45,803
303 Best Buy Co., Inc. June 2008 50.00 19,695
200 Best Buy Co., Inc. September 2008 52.50 22,000
600 Biogen Idec, Inc. January 2009 65.00 459,000
1,000 Capital One Financial Corp. January 2009 45.00 1,225,000
600 Capital One Financial Corp. June 2008 50.00 315,000
1,500 Check Point Software Technologies (Israel) January 2009 22.50 416,250
500 Cisco Systems, Inc. April 2008 25.00 17,750
1,800 Cisco Systems, Inc. January 2009 27.50 326,700
650 Cisco Systems, Inc. January 2009 30.00 73,775
500 Citigroup, Inc. June 2008 32.50 5,000
1,795 Countrywide Financial Corp. January 2009 10.00 60,133
400 Countrywide Financial Corp. July 2008 10.00 5,000
45 Countrywide Financial Corp. July 2008 6.00 3,713
255 Countrywide Financial Corp. October 2008 6.00 26,775
705 Countrywide Financial Corp. July 2008 7.50 21,503
1,830 Coach, Inc. August 2008 30.00 713,700
1,000 Community Health Systems, Inc. January 2009 35.00 415,000
634 eBay, Inc. October 2008 27.50 318,585
500 eBay, Inc. October 2008 30.00 182,500
300 eBay, Inc. January 2009 35.00 76,350
662 EMC Corp. October 2008 17.00 57,594
1,200 EMC Corp. January 2009 17.50 128,400
923 Flextronics International Ltd. (Singapore) January 2009 12.50 46,150
600 Garmin, Ltd. (Cayman Islands) July 2008 65.00 195,000
300 Genentech, Inc. September 2008 70.00 417,000
400 Genentech, Inc. January 2009 70.00 620,000
50 Google, Inc. - Class A June 2008 510.00 52,250
50 Google, Inc. - Class A June 2008 540.00 28,500
328 Home Depot, Inc. August 2008 30.00 56,088
800 Home Depot, Inc. January 2009 30.00 229,200
500 Intel Corp. April 2008 20.00 81,500
190 Intuit, Inc. July 2008 32.50 7,600
2,000 Intuit, Inc. January 2009 35.00 180,000
750 Kohl's Corp. July 2008 45.00 285,000
300 Kohl's Corp. April 2008 50.00 4,500
600 Kohl's Corp. January 2009 50.00 264,000
1,100 Linear Technology Corp. August 2008 30.00 310,750
200 Linear Technology Corp. August 2008 32.50 32,500
2,100 Lowe's Cos., Inc. July 2008 27.50 115,500
400 Marshall & Ilsley Corp. June 2008 25.00 53,000
288 Marshall & Ilsley Corp. September 2008 25.00 61,200
1,422 Marshall & Ilsley Corp. January 2009 30.00 177,750
500 Merrill Lynch & Co., Inc. July 2008 55.00 66,250
500 Merrill Lynch & Co., Inc. January 2009 60.00 114,250
400 Merrill Lynch & Co., Inc. January 2009 65.00 61,200
479 MGIC Investment Corp. September 2008 20.00 13,173
259 MGIC Investment Corp. June 2008 22.50 1,295
500 MGIC Investment Corp. June 2008 25.00 2,500
800 Morgan Stanley January 2009 55.00 324,000
2,900 Mylan, Inc. January 2009 15.00 253,750
700 Powershares QQQ April 2008 46.00 17,850
600 Powershares QQQ April 2008 45.00 33,300
314 QLogic Corp. April 2008 15.00 23,550
1,573 QLogic Corp. January 2009 15.00 373,587
80 Starbucks Corp. July 2008 22.50 2,000
1,400 Starbucks Corp. January 2009 22.50 139,300
301 Symantec Corp. January 2009 15.00 96,320
2,199 Symantec Corp. January 2009 17.50 412,312
800 Symantec Corp. July 2008 17.50 76,000
250 Target Corp. July 2008 55.00 76,875
1,000 Target Corp. January 2009 60.00 420,000
400 Unit Corp. June 2008 50.00 316,000
340 Unit Corp. September 2008 50.00 311,100
700 UnitedHealth Group, Inc. January 2009 55.00 21,000
400 UnitedHealth Group, Inc. June 2008 60.00 2,000
500 United Parcel Services Corp. - Class B July 2008 70.00 275,000
409 Varian Medical System, Inc. May 2008 45.00 157,465
2,400 Wells Fargo & Co. July 2008 27.50 924,000
2,450 Williams-Sonoma, Inc. August 2008 27.50 385,875
750 Williams-Sonoma, Inc. August 2008 25.00 193,125
700 Yahoo!, Inc. January 2009 25.00 413,000
.
900 Yahoo!, Inc. July 2008 25.00 477,000
900 Yahoo!, Inc. January 2009 27.50 375,750
819 Zebra Technologies Corp. - Class A August 2008 35.00 169,942
201 Zebra Technologies Corp. - Class A May 2008 40.00 3,517
400 Zimmer Holdings, Inc. January 2009 70.00 514,000
175 Zimmer Holdings, Inc. January 2009 75.00 171,500
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TOTAL VALUE OF CALL OPTIONS WRITTEN
(Premiums received $22,207,203) 18,368,795
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PUT OPTIONS WRITTEN
200 Cisco Systems, Inc. January 2009 22.50 42,500
200 Cisco Systems, Inc. January 2009 25.00 65,500
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TOTAL VALUE OF PUT OPTIONS WRITTEN
(Premiums received $97,807) 108,000
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TOTAL OPTIONS WRITTEN
(Premiums received $22,305,010) $ 18,476,795
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(a) Non-income producing security.
See previously submitted notes to financial statements for the period ending
December 31, 2007.
Country Allocation*
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United States 95.1%
Singapore 2.3%
Israel 1.3%
Cayman Islands 1.3%
* Based on Total Investments (which does not take into
consideration the Value of Options Written). Subject to
change daily.
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: May 30, 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: May 30, 2008
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By: /s/ Steven M. Hill
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Steven M. Hill
Treasurer and Chief Financial Officer
Date: May 30, 2008
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