gug52910-nq.htm
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)
 
Kevin M. Robinson
 
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, 2011 – September 30, 2011

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 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, 100 F Street, NE, Washington, DC 20549-1090.  The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


 
 
 

Item 1.    Schedule of Investments.
Attached hereto.
 
MCN Madison/Claymore Covered Call & Equity Strategy Fund
    
Portfolio of Investments
        
September 30, 2011 (unaudited)
    
           
 
Number
        
 
of Shares
  
Description
  
Value
     
Long-Term Investments - 100.6%
    
     
Common Stocks (b) - 93.3%
    
     
Consumer Discretionary - 15.4%
    
 
                                  154,000
  
American Eagle Outfitters, Inc.
  
$         1,804,880
 
                                  200,000
  
Best Buy Co., Inc.
  
4,660,000
 
                                   58,700
  
Home Depot, Inc.
  
1,929,469
 
                                   60,000
  
Kohl's Corp.
  
2,946,000
 
                                  200,000
  
Lowe's Cos., Inc.
  
3,868,000
 
                                  160,000
  
Staples, Inc.
  
2,128,000
 
                                  130,000
  
Target Corp.
  
6,375,200
 
 
      
23,711,549
 
 
        
 
 
  
Energy - 7.6%
    
 
                                   35,000
  
Apache Corp.
  
2,808,400
 
                                  100,000
  
Canadian Natural Resources, Ltd. (Canada)
  
2,927,000
 
                                  150,000
  
Petroleo Brasileiro SA, ADR (Brazil)
  
3,367,500
 
                                   45,000
  
Schlumberger, Ltd. (Curacao)
  
2,687,850
 
 
      
11,790,750
 
 
        
 
 
  
Financials - 17.8%
    
 
                                   50,000
  
Affiliated Managers Group, Inc.(a)
  
3,902,500
 
                                  475,000
  
Bank of America Corp.
  
2,907,000
 
                                   43,000
  
Goldman Sachs Group, Inc.
  
4,065,650
 
                                  240,000
  
Morgan Stanley
  
3,240,000
 
                                  140,000
  
State Street Corp.
  
4,502,400
 
                                   80,000
  
T Rowe Price Group, Inc.
  
3,821,600
 
                                  210,000
  
Wells Fargo & Co.
  
5,065,200
 
 
      
27,504,350
 
 
        
 
 
  
Health Care - 21.8%
    
 
                                   22,100
  
Biogen Idec, Inc.(a)
  
2,058,615
 
                                   80,000
  
Celgene Corp.(a)
  
4,953,600
 
                                  150,600
  
Community Health Systems, Inc.(a)
  
2,505,984
 
                                  147,000
  
Gilead Sciences, Inc.(a)
  
5,703,600
 
                                  180,000
  
Mylan, Inc.(a)
  
3,060,000
 
                                  100,000
  
St. Jude Medical, Inc
  
3,619,000
 
                                   80,000
  
Stryker Corp.
  
3,770,400
 
                                  100,000
  
Teva Pharmaceutical Industries, Ltd., ADR (Israel)
  
3,722,000
 
                                   78,037
  
Zimmer Holdings, Inc.(a)
  
4,174,979
 
 
      
33,568,178
 
 
        
 
 
  
Industrials - 2.2%
    
 
                                  135,000
  
FLIR Systems, Inc.
  
3,381,750
 
 
        
 
 
  
Information Technology - 27.1%
    
 
                                  160,000
  
Adobe Systems, Inc.(a)
  
3,867,200
 
                                  160,000
  
Applied Materials, Inc.
  
1,656,000
 
                                  300,000
  
Cisco Systems, Inc.
  
4,647,000
 
                                   65,000
  
EMC Corp.(a)
  
1,364,350
 
                                  540,300
  
Flextronics International, Ltd. (Singapore)(a)
  
3,041,889
 
                                   12,500
  
Google, Inc., Class A(a)
  
6,429,750
 
                                  180,000
  
Hewlett-Packard Co.
  
4,041,000
 
                                  235,000
  
Microsoft Corp.
  
5,849,150
 
                                  170,000
  
Symantec Corp.(a)
  
2,771,000
 
                                   75,000
  
Visa, Inc., Class A
  
6,429,000
 
                                  124,000
  
Yahoo!, Inc.(a)
  
1,631,840
 
 
      
41,728,179
 
 
        
 
 
  
Materials - 1.4%
    
 
                                   70,000
  
Freeport-McMoRan Copper & Gold, Inc.
  
2,131,500
 
 
        
 
 
  
Total Common Stocks - 93.3%
    
 
 
  
(Cost $186,104,675)
  
143,816,256
 
 
        
 
 
  
Exchange Traded Funds - 5.6%
    
 
                                  100,000
  
PowerShares QQQ Trust Series 1(b)
  
                   5,252,000
 
                                   30,000
  
SPDR S&P 500 ETF Trust(b)
  
3,395,100
 
 
  
(Cost $9,111,738)
  
8,647,100
 
 
        
 
 
  
Exchange Traded Notes - 1.7%
    
 
                                   49,500
  
iPATH S&P 500 VIX Short-Term Futures ETN(a) (b)
  
                   2,641,815
     
(Cost $1,892,340)
    
           
     
Total Long-Term Investments - 100.6%
    
     
(Cost $197,108,753)
  
155,105,171
           
 
Principal
        
 
Amount
  
Description
  
Value
     
Short-Term Investments - 3.6%
    
     
Money Market Fund - 1.5%
    
 
 $                            2,369,233
  
AIM Liquid Assets Money Market Fund
  
2,369,233
     
(Cost $2,369,233)
    
           
     
US Treasury Securities - 2.1%
    
 
                               3,150,000
  
U.S. Treasury Note, 1.75%, 11/15/2011
  
3,156,101
     
(Cost $3,156,101)
    
           
     
Total Short-Term Investments - 3.6%
    
     
(Cost $5,525,334)
  
5,525,334
           
     
Total Investments - 104.2%
    
     
(Cost $202,634,087)
  
160,630,505
     
Other Assets in excess of Liabilities - 0.1%
  
59,816
     
Total Value of Options Written - (4.3%) (Premiums received $9,573,497)
  
(6,600,138)
     
Net Assets  - 100.0%
  
$              154,090,183
           
           
ADR - American Depositary Receipt
        
SA - Corporation
        
S&P - Standard & Poor's
        
           
(a)
Non-income producing security.
    
(b)
All or a portion of this security position represents cover for outstanding options written.
  
           
 
See previously submitted notes to financial statements for the period ended June 30, 2011.
 
Contracts
(100 shares
per contract)
  
 
 
Call Options Written (a)
 
Expiration
Month
 
Exercise
Price
  
 
 
Value
(590)
  
Adobe Systems, Inc.
January 2012
$   34.00
  
$        (9,735)
(700)
  
Adobe Systems, Inc.
January 2012
29.00
  
(52,500)
(188)
  
Adobe Systems, Inc.
April 2012
28.00
  
(30,456)
(100)
  
Affiliated Managers Group, Inc.
December 2011
90.00
  
(41,500)
(400)
  
Affiliated Managers Group, Inc.
December 2011
95.00
  
(116,000)
(600)
  
American Eagle Outfitters, Inc.
February 2012
13.00
  
(54,000)
(740)
  
American Eagle Outfitters, Inc.
February 2012
14.00
  
(44,400)
(350)
  
Apache Corp.
January 2012
110.00
  
(31,500)
(800)
  
Applied Materials, Inc.
January 2012
12.50
  
(20,800)
(400)
  
Applied Materials, Inc.
April 2012
13.00
  
(15,000)
(2,000)
  
Bank of America Corp.
January 2012
9.00
  
(46,000)
(900)
  
Bank of America Corp.
February 2012
8.00
  
(46,800)
(300)
  
Best Buy Co., Inc.
December 2011
33.00
  
(3,000)
(500)
  
Best Buy Co., Inc.
December 2011
32.00
  
(7,000)
(400)
  
Best Buy Co., Inc.
January 2012
34.00
  
(6,400)
(400)
  
Best Buy Co., Inc.
January 2012
27.00
  
(43,200)
(221)
  
Biogen Idec, Inc.
October 2011
82.50
  
(279,565)
(500)
  
Canadian Natural Resources, Ltd.
January 2012
45.00
  
(8,750)
(500)
  
Canadian Natural Resources, Ltd.
March 2012
40.00
  
(43,750)
(350)
  
Celgene Corp.
October 2011
57.50
  
(187,250)
(450)
  
Celgene Corp.
January 2012
60.00
  
(273,375)
(500)
  
Cisco Systems, Inc.
January 2012
19.00
  
(13,500)
(1,000)
  
Cisco Systems, Inc.
April 2012
17.00
  
(113,000)
(300)
  
Community Health Systems, Inc.
December 2011
24.00
  
(6,000)
(650)
  
EMC Corp.
October 2011
23.00
  
(15,600)
(152)
  
Flextronics International, Ltd.
April 2012
7.00
  
(6,156)
(600)
  
FLIR Systems, Inc.
January 2012
26.00
  
(133,500)
(750)
  
FLIR Systems, Inc.
April 2012
27.00
  
(195,000)
(500)
  
Freeport-McMoRan Copper & Gold, Inc.
November 2011
52.00
  
(3,500)
(200)
  
Freeport-McMoRan Copper & Gold, Inc.
January 2012
50.00
  
(6,600)
(400)
  
Gilead Sciences, Inc.
November 2011
43.00
  
(22,800)
(300)
  
Gilead Sciences, Inc.
January 2012
44.00
  
(32,700)
(300)
  
Gilead Sciences, Inc.
February 2012
40.00
  
(88,500)
(130)
  
Goldman Sachs Group, Inc.
April 2012
115.00
  
(85,475)
(50)
  
Google, Inc.
December 2011
550.00
  
(117,000)
(75)
  
Google, Inc.
January 2012
620.00
  
(88,875)
(287)
  
Home Depot, Inc.
November 2011
33.00
  
(52,521)
(300)
  
Home Depot, Inc.
January 2012
35.00
  
(46,800)
(495)
  
iPATH S&P 500 VIX Short-Term Futures ETN
December 2011
27.00
  
(1,316,700)
(400)
  
Kohl's Corp.
January 2012
50.00
  
(160,000)
(300)
  
Lowe's Cos., Inc.
October 2011
20.00
  
(13,950)
(1,000)
  
Lowe's Cos., Inc.
January 2012
21.00
  
(98,000)
(700)
  
Lowe's Cos., Inc.
January 2012
24.00
  
(19,250)
(1,800)
  
Microsoft Corp.
January 2012
27.50
  
(135,900)
(250)
  
Microsoft Corp.
April 2012
29.00
  
(20,250)
(800)
  
Morgan Stanley
January 2012
24.00
  
(14,400)
(200)
  
Mylan, Inc.
October 2011
23.00
  
(800)
(400)
  
Mylan, Inc.
January 2012
24.00
  
(7,000)
(300)
  
Mylan, Inc.
January 2012
19.00
  
(31,650)
(600)
  
Mylan, Inc.
January 2012
20.00
  
(43,800)
(300)
  
Mylan, Inc.
April 2012
22.00
  
(21,750)
(600)
  
Petroleo Brasileiro SA
January 2012
35.00
  
(1,200)
(600)
  
Petroleo Brasileiro SA
January 2012
30.00
  
(13,800)
(250)
  
PowerShares QQQ Trust Series 1
October 2011
54.00
  
(33,875)
(750)
  
Powershares QQQ Trust Series 1
December 2011
57.00
  
(114,000)
(450)
  
Schlumberger, Ltd.
January 2012
85.00
  
(22,500)
(300)
  
SPDR S&P 500 ETF Trust
October 2011
117.00
  
(71,400)
(400)
  
St Jude Medical, Inc.
October 2011
42.50
  
(2,000)
(300)
  
St Jude Medical, Inc.
January 2012
45.00
  
(15,000)
(300)
  
St Jude Medical, Inc.
April 2012
47.50
  
(23,250)
(900)
  
Staples, Inc.
January 2012
16.00
  
(36,000)
(400)
  
Staples, Inc.
January 2012
15.00
  
(27,000)
(300)
  
State Street Corp.
November 2011
47.00
  
(1,350)
(300)
  
State Street Corp.
January 2012
47.00
  
(6,600)
(500)
  
State Street Corp.
February 2012
38.00
  
(88,250)
(200)
  
Stryker Corp.
January 2012
50.00
  
(51,500)
(600)
  
Stryker Corp.
March 2012
50.00
  
(204,000)
(500)
  
Symantec Corp.
October 2011
18.00
  
(10,000)
(700)
  
Symantec Corp.
January 2012
20.00
  
(31,150)
(600)
  
T Rowe Price Group, Inc.
January 2012
55.00
  
(151,500)
(200)
  
T Rowe Price Group, Inc.
January 2012
60.00
  
(26,500)
(600)
  
Target Corp.
January 2012
50.00
  
(186,000)
(700)
  
Target Corp.
January 2012
52.50
  
(140,000)
(300)
  
Teva Pharmaceutical Industries, Ltd.
December 2011
42.50
  
(22,050)
(300)
  
Teva Pharmaceutical Industries, Ltd.
March 2012
45.00
  
(30,150)
(300)
  
Visa, Inc.
December 2011
87.50
  
(174,750)
(450)
  
Visa, Inc.
January 2012
87.50
  
(311,625)
(400)
  
Wells Fargo & Co.
October 2011
27.00
  
(12,000)
(1,000)
  
Wells Fargo & Co.
January 2012
30.00
  
(54,000)
(500)
  
Wells Fargo & Co.
April 2012
27.00
  
(107,250)
(1,240)
  
Yahoo!, Inc.
January 2012
17.50
  
(73,780)
(300)
  
Zimmer Holdings, Inc.
January 2012
65.00
  
(27,750)
(280)
  
Zimmer Holdings, Inc.
January 2012
70.00
  
(11,200)
(200)
  
Zimmer Holdings, Inc.
March 2012
60.00
  
(59,500)
   
Total Value of Call Options Written
      
(6,412,888)
   
(Premiums received $9,410,000)
        
             
   
Put Options Written
        
(500)
  
Cisco Systems, Inc.
October 2011
17.00
  
(83,750)
(500)
  
Microsoft Corp.
January 2012
25.00
  
(103,500)
   
Total Value of Put Options Written
      
(187,250)
   
(Premiums received $163,497)
        
             
   
Total Value of Options Written
        
   
(Premiums received $9,573,497)
      
$(6,600,138)
             
 
(a)
Non-income producing security.
        
 
             
 
Country Allocation*
          
 
United States
90.2%
        
 
Israel
2.3%
        
 
Brazil
2.1%
        
 
Singapore
1.9%
        
 
Canada
1.8%
        
 
Curacao
1.7%
        
 
* Based on Total Investments (which does not take into consideration the Value of Options Written). Subject to change daily.
             
 
 
 
 
 
 
At September 30, 2011, the cost and related gross unrealized appreciation and depreciation on investments for
  
tax purposes are as follows:
          
 
Cost of Investments for Tax
Purposes
  
Gross Tax
Unrealized
Appreciation
  
Gross Tax
Unrealized
Depreciation
    
Net Tax Unrealized
Depreciation on
Investments
$ 203,148,612   $ 3,299,861   $ (45,817,968 )   $ (42,518,107 )
 
           
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. There are 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 Fund adopted the Accounting Standards Update, Fair Value Measurements and
  
Disclosures (Topic 820): Improving Disclosures about Fair Value Measurements which provides
  
guidance on how investment assets and liabilities are to be valued and disclosed. Specifically,
  
the amendment requires reporting entities to disclose: i) the input and valuation techniques
  
used to measure fair value for both recurring and nonrecurring fair value measurements, for
  
Level 2 or Level 3 positions, ii) transfers between all levels (including Level 1 and Level 2) on
  
a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the
  
reason(s) for the transfer, and iii) purchases, sales, issuances and settlements must be shown
  
on a gross basis in the Level 3 rollforward rather than as one net number.
  
           
The Fund values Level 1 securities using readily available market quotations in active markets.
  
The Fund values Level 2 fixed income securities using independent pricing providers
  
who employ matrix pricing models utilizing market prices, broker quotes and prices of securities
with comparable maturities and qualities. The Fund values Level 2 equity securities
  
using various observable market inputs in accordance with procedures established in good
  
faith by management and approved by the Board of Fundees.  The Fund
    
did not have any Level 3 securities during the period ended September 30, 2011.  There were no
  
transfers between Level 1 and Level 2 during the period ended September 30, 2011.
  
           
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, 2011:
  
 
                         
Description
  
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                        
Assets:
                        
Common Stocks
   $ 143,816     $ -     $ -     $ 143,816  
Exchange Traded Funds
     8,647       -       -       8,647  
Exchange Traded Notes
     2,642       -       -       2,642  
Money Market Fund
     2,369       -       -       2,369  
U.S. Government
     -       3,156       -       3,156  
Total
   $ 157,474     $ 3,156     $ -     $ 160,630  
                                 
Liabilities:
                                
Written Options
   $ 6,600     $ -     $ -     $ 6,600  
Total
   $ 6,600     $ -     $ -     $ 6,600  
 
 

 
 
 
 
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 on 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, 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/ Kevin M. Robinson
Kevin M. Robinson
Chief Executive Officer and Chief Legal Officer

Date:
   November 15, 2011

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/ Kevin M. Robinson
   Kevin M. Robinson
   Chief Executive Officer and Chief Legal Officer

Date:
   November 15, 2011
 

 
By:
   /s/ John Sullivan
   John Sullivan
   Chief Financial Officer, Chief Accounting Officer and Treasurer
 
Date:
   November 15, 2011