gug54292-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: January 1, 2012 – March 31, 2012

 
 
 
Item 1.    Schedule of Investments.
        Attached hereto.

MCN Madison/Claymore Covered Call & Equity Strategy Fund
      
Portfolio of Investments
    
March 31, 2012 (unaudited)
  
         
 
Number
      
 
of Shares
  
Description
Value
     
Long-Term Investments - 91.0%
  
     
Common Stocks - 86.4%
  
     
Consumer Discretionary - 11.4%
  
 
20,000
  
American Eagle Outfitters, Inc. (b)
$        343,800
 
20,000
  
Bed Bath & Beyond, Inc.(a)(b)
1,315,400
 
200,000
  
Best Buy Co., Inc.(b)
4,736,000
 
80,000
  
Kohl's Corp.(b)
4,002,400
 
160,000
  
Staples, Inc.(b)
2,588,800
 
130,000
  
Target Corp.(b)
7,575,100
       
20,561,500
         
     
Energy - 9.3%
  
 
60,000
  
Apache Corp. (b)
6,026,400
 
100,000
  
Canadian Natural Resources, Ltd. (Canada)(b)
3,318,000
 
120,000
  
Petroleo Brasileiro SA, ADR (Brazil)(b)
3,187,200
 
60,000
  
Schlumberger, Ltd. (Curacao)(b)
4,195,800
       
16,727,400
         
     
Financials - 18.6%
  
 
30,000
  
Affiliated Managers Group, Inc.(a)(b)
3,354,300
 
474,500
  
Bank of America Corp.(b)
4,540,965
 
50,000
  
Goldman Sachs Group, Inc.(b)
6,218,500
 
240,000
  
Morgan Stanley(b)
4,713,600
 
140,000
  
State Street Corp.(b)
6,370,000
 
40,000
  
T Rowe Price Group, Inc.(b)
2,612,000
 
162,000
  
Wells Fargo & Co.(b)
5,530,680
       
33,340,045
         
     
Health Care - 18.9%
  
 
160,000
  
Community Health Systems, Inc.(a)(b)
3,558,400
 
140,000
  
Gilead Sciences, Inc.(a)(b)
6,839,000
 
200,000
  
Mylan, Inc.(a)(b)
4,690,000
 
100,000
  
St. Jude Medical, Inc. (b)
4,431,000
 
65,000
  
Stryker Corp.(b)
3,606,200
 
130,000
  
Teva Pharmaceutical Industries, Ltd., ADR (Israel)(b)
5,857,800
 
75,700
  
Zimmer Holdings, Inc.(b)
4,865,996
       
33,848,396
         
     
Industrials - 1.5%
  
 
40,000
  
Norfolk Southern Corp.
2,633,200
         
     
Materials - 2.1%
  
 
100,000
  
Freeport-McMoRan Copper & Gold, Inc.(b)
3,804,000
         
     
Information Technology - 24.6%
  
 
90,000
  
Adobe Systems, Inc.(a)(b)
3,087,900
 
50,000
  
Altera Corp.
1,991,000
 
5,500
  
Apple, Inc.(b)
3,297,085
 
160,000
  
Applied Materials, Inc.(b)
1,990,400
 
297,500
  
Cisco Systems, Inc.(b)
6,292,125
 
570,000
  
Flextronics International, Ltd. (Singapore)(a)(b)
4,121,100
 
160,000
  
FLIR Systems, Inc.(b)
4,049,600
 
10,000
  
Google, Inc., Class A(a)(b)
6,412,400
 
220,000
  
Hewlett-Packard Co.(b)
5,242,600
 
70,000
  
Microsoft Corp.(b)
2,257,500
 
190,000
  
Symantec Corp.(a)(b)
3,553,000
 
124,000
  
Yahoo!, Inc.(a)(b)
1,887,280
       
44,181,990
         
     
Total Common Stocks - 86.4%
  
     
(Cost $166,093,105)
155,096,531
         
     
Exchange Traded Funds - 4.6%
  
 
100
  
PowerShares QQQ Trust Series 1(b)
6,755
 
20,000
  
SPDR S&P 500 ETF Trust(b)
2,814,400
 
30,000
  
SPDR S&P MidCap 400 ETF Trust(b)
5,420,100
     
(Cost $8,160,729)
8,241,255
         
     
Total Long-Term Investments - 91.0%
  
     
(Cost $174,253,834)
163,337,786
         
     
Short-Term Investments - 22.3%
  
     
Money Market Fund - 15.1%
  
 
27,006,248
  
Invesco Liquid Assets Money Market Fund
27,006,248
     
(Cost $27,006,248)
  
         
 
Principal
      
 
Amount
  
Description
Value
     
U.S. Government - 7.2%
  
 
 $                3,250,000
  
U.S. Treasury Bill, 0.09%, 06/21/2012 (b)
3,249,346
 
750,000
  
U.S. Treasury Bill, 0.08%  08/23/2012 (b)
749,775
 
2,000,000
  
U.S. Treasury Bill, 0.12%, 08/30/2012 (b)
1,998,978
 
5,750,000
  
U.S. Treasury Bill, 0.14%, 09/20/2012 (b)
5,746,838
 
1,200,000
  
U.S. Treasury Note, 1.50%, 07/15/2012 (b)
1,204,922
     
(Cost $12,949,861)
12,949,859
         
     
Total Short-Term Investments - 22.3%
  
     
(Cost $39,956,109)
39,956,107
         
     
Total Investments - 113.3%
  
     
(Cost $214,209,943)
203,293,893
     
Liabilities in Excess of Other Assets - (8.0%)
(14,257,118)
     
Total Value of Options Written - (5.3%) (Premiums received $7,908,730)
(9,571,660)
     
Net Assets  - 100.0%
$              179,465,115
         
 
ADR - American Depositary Receipt
      
SA - Corporation
      
S&P - Standard & Poor's
  
         
(a)
Non-income producing security.
  
(b)
All or a portion of this security is segregated as collateral for written options. As of March 31, 2012, the total amount segregated was $182,861,719.
         
See previously submitted notes to financial statements for the period ended December 31, 2011.
 
Contracts (100 shares per contract)
  
Call Options Written
Expiration
Month
Exercise
Price
Value
            100
  
Adobe Systems, Inc.
July 2012
$30.00
$  (50,000)
            300
  
Adobe Systems, Inc.
July 2012
32.00
(105,000)
            290
  
Adobe Systems, Inc.
July 2012
33.00
(81,925)
            210
  
Adobe Systems, Inc.
April 2012
28.00
(133,350)
            300
  
Affiliated Managers Group, Inc.
June 2012
105.00
(279,000)
            200
  
American Eagle Outfitters, Inc.
May 2012
15.00
(47,000)
            350
  
Apache Corp.
July 2012
105.00
(140,000)
            150
  
Apache Corp.
July 2012
95.00
(138,750)
             55
  
Apple, Inc.
August 2012
625.00
(209,688)
            400
  
Applied Materials, Inc.
April 2012
12.00
(22,000)
            800
  
Applied Materials, Inc.
July 2012
13.00
(31,200)
            200
  
Applied Materials, Inc.
October 2012
13.00
(13,000)
            800
  
Bank of America Corp.
August 2012
9.00
(104,400)
            800
  
Bank of America Corp.
November 2012
10.00
(83,600)
            928
  
Bank of America Corp.
April 2012
6.00
(331,760)
         1,500
  
Bank of America Corp.
August 2012
8.00
(297,000)
            200
  
Bed Bath & Beyond, Inc.
August 2012
62.50
(125,000)
            500
  
Best Buy Co., Inc.
September 2012
28.00
(31,500)
            200
  
Best Buy Co., Inc.
September 2012
27.00
(17,100)
            500
  
Best Buy Co., Inc.
June 2012
25.00
(41,250)
            250
  
Canadian Natural Resources, Ltd.
September 2012
39.00
(26,250)
            500
  
Canadian Natural Resources, Ltd.
June 2012
41.00
(7,500)
            500
  
Cisco Systems, Inc.
October 2012
21.00
(75,000)
         1,000
  
Cisco Systems, Inc.
July 2012
20.00
(169,500)
            975
  
Cisco Systems, Inc.
April 2012
17.00
(404,625)
            300
  
Community Health Systems, Inc.
September 2012
24.00
(61,500)
            300
  
Community Health Systems, Inc.
September 2012
21.00
(106,500)
            600
  
Community Health Systems, Inc.
June 2012
20.00
(189,000)
            500
  
Flextronics International, Ltd.
April 2012
7.00
(16,000)
         1,000
  
Flextronics International, Ltd.
July 2012
6.00
(136,000)
         2,000
  
Flextronics International, Ltd.
January 2013
7.50
(142,000)
            200
  
FLIR Systems, Inc.
October 2012
27.00
(20,000)
            750
  
FLIR Systems, Inc.
April 2012
27.00
(3,750)
            246
  
Freeport-McMoRan Copper & Gold, Inc.
August 2012
46.00
(18,573)
            454
  
Freeport-McMoRan Copper & Gold, Inc.
May 2012
41.00
(36,774)
            500
  
Gilead Sciences, Inc.
August 2012
49.00
(200,000)
            270
  
Gilead Sciences, Inc.
August 2012
43.00
(209,925)
            400
  
Gilead Sciences, Inc.
May 2012
40.00
(369,000)
            130
  
Goldman Sachs Group, Inc.
April 2012
115.00
(133,900)
             11
  
Goldman Sachs Group, Inc.
July 2012
120.00
(11,660)
             75
  
Google, Inc.
June 2012
665.00
(155,250)
             25
  
Google, Inc.
September 2012
625.00
(137,875)
            400
  
Hewlett-Packard Co.
August 2012
29.00
(7,400)
         1,000
  
Hewlett-Packard Co.
May 2012
29.00
(2,000)
            400
  
Kohl's Corp.
October 2012
50.00
(140,000)
            200
  
Kohl's Corp.
July 2012
55.00
(14,000)
            200
  
Kohl's Corp.
July 2012
52.50
(29,000)
            250
  
Microsoft Corp.
April 2012
29.00
(82,500)
            400
  
Microsoft Corp.
July 2012
32.00
(57,800)
         1,000
  
Morgan Stanley
July 2012
19.00
(209,000)
            700
  
Morgan Stanley
May 2012
21.00
(43,400)
            400
  
Mylan, Inc
July 2012
24.00
(40,200)
            400
  
Mylan, Inc.
July 2012
23.00
(61,600)
            300
  
Mylan, Inc.
April 2012
22.00
(46,800)
            300
  
Petroleo Brasileiro SA
April 2012
26.00
(31,350)
            200
  
Petroleo Brasileiro SA
July 2012
33.00
(2,700)
            400
  
Petroleo Brasileiro SA
July 2012
30.00
(19,600)
            300
  
Petroleo Brasileiro SA
October 2012
31.00
(22,200)
               1
  
PowerShares QQQ Trust Series 1
April 2012
56.00
(1,162)
            450
  
Schlumberger, Ltd.
May 2012
75.00
(44,325)
            200
  
SPDR S&P 500 ETF Trust
June 2012
141.00
(74,500)
             50
  
SPDR S&P MidCap 400 ETF Trust
June 2012
162.00
(101,750)
            250
  
SPDR S&P MidCap 400 ETF Trust
June 2012
181.00
(150,000)
            300
  
St. Jude Medical, Inc.
July 2012
37.50
(223,500)
            150
  
St. Jude Medical, Inc.
April 2012
40.00
(67,500)
            300
  
St. Jude Medical, Inc.
July 2012
45.00
(64,500)
            250
  
St. Jude Medical, Inc.
July 2012
40.00
(135,000)
            800
  
Staples, Inc.
June 2012
15.00
(124,000)
            400
  
Staples, Inc.
September 2012
17.00
(31,000)
            300
  
State Street Corp.
August 2012
44.00
(114,000)
            300
  
State Street Corp.
May 2012
41.00
(152,250)
            200
  
Stryker Corp.
September 2012
55.00
(68,000)
            500
  
Symantec Corp.
July 2012
17.00
(107,500)
            800
  
Symantec Corp.
January 2013
20.00
(98,000)
            200
  
T Rowe Price Group, Inc.
April 2012
60.00
(108,000)
            200
  
T Rowe Price Group, Inc.
May 2012
65.00
(50,000)
            800
  
Target Corp.
July 2012
52.50
(508,000)
            300
  
Teva Pharmaceutical Industries, Ltd.
June 2012
45.00
(51,600)
            500
  
Wells Fargo & Co.
July 2012
31.00
(192,500)
            600
  
Wells Fargo & Co.
July 2012
29.00
(330,000)
             20
  
Wells Fargo & Co.
April 2012
27.00
(14,300)
            600
  
Yahoo!, Inc.
July 2012
17.00
(25,200)
            300
  
Yahoo!, Inc.
July 2012
16.00
(21,900)
            437
  
Zimmer Holdings, Inc.
September 2012
60.00
(279,680)
            200
  
Zimmer Holdings, Inc.
June 2012
55.00
(193,000)
 
  
Total Value of Call Options Written
    
(9,053,822)
 
  
(Premiums received $7,143,711)
      
 
          
 
  
Put Options Written
      
             55
  
Apple, Inc.
August 2012
575.00
(204,738)
            200
  
Bed Bath & Beyond, Inc.
August 2012
57.50
(32,100)
            200
  
Best Buy Co., Inc.
September 2012
23.00
(40,600)
            500
  
Best Buy Co., Inc.
June 2012
21.00
(27,500)
             15
  
Google, Inc.
June 2012
595.00
(19,725)
            250
  
Microsoft Corp.
April 2012
29.00
(1,125)
            400
  
Microsoft Corp.
July 2012
31.00
(38,400)
            600
  
Morgan Stanley
July 2012
18.00
(65,100)
            300
  
Mylan, Inc.
April 2012
23.00
(8,550)
            200
  
Stryker Corp.
September 2012
50.00
(30,000)
            400
  
Symantec Corp.
January 2013
17.50
(50,000)
 
  
Total Value of Put Options Written
    
(517,838)
 
  
(Premiums received $765,019)
      
           
   
Total Value of Options Written
      
   
(Premiums received $7,908,730)
    
$(9,571,660)
 
Country Allocation*
  
United States
89.8%
Israel
2.9%
Curacao
2.1%
Singapore
2.0%
Canada
1.6%
Brazil
1.6%
* Based on Total Investments (which does not take into consideration the Value of Options Written). Subject to change daily.
 
 
 
 
 
 
 
 
At March 31, 2012, 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
  
$ 214,240,035   $ 7,529,221   $ (18,705,363 ) $ (11,176,142 )
                       
 
Readily marketable portfolio securities listed on an exchange or traded in the over-the-counter market are generally valued at their last reported sale price. If no sales are reported, the securities are valued at the mean of the closing bid and asked prices on such day. If no bid or asked prices are quoted on such day, then the security is valued in accordance with procedures established in good faith by management and approved by the Board of Trustees. Securities traded on NASDAQ are valued at the NASDAQ official closing price. Portfolio securities traded on more than one securities exchange are valued at the last sale price at the close of the exchange representing the principal market for such securities. Debt securities are valued using the mean of the closing bid and asked prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. Exchange-traded options are valued at the mean of the best bid and best asked prices across all option exchanges. Short-term debt securities having a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.
 
For those securities whose bid or asked prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees. Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value”. Fair value is the amount that the Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination should be based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g., the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
 
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 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 Trustees as described above. The Fund did not have any Level 3 securities during the period ended March 31, 2012.
 
In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2011-04 (“ASU”), modifying Topic 820, Fair Value Measurements and Disclosures. At the same time, the International Accounting Standards Board (“IASB”) issued International Financial Reporting Standard (“IFRS”) 13, Fair Value Measurement. The objective of the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, the ASU requires reporting entities to disclose (i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers, (ii) for Level 3 fair value measurements, quantitative information about significant unobservable inputs used, (iii) a description of the valuation processes used by the reporting entity, and (iv) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The Fund has adopted the disclosures required by this update.
 
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of March 31, 2012:
 
                         
                         
Description
  
Level 1
    
Level 2
    
Level 3
    
Total
  
(value in $000s)
                        
Assets:
                        
Common Stocks
   $ 155,097     $ -     $ -     $ 155,097  
Exchange Traded Fund
     8,241       -       -       8,241  
Money Market Fund
     27,006       -       -       27,006  
U.S. Government
     -       12,950       -       12,950  
Total
   $ 190,344     $ 12,950     $ -     $ 203,294  
                                 
Liabilities:
                                
Written Options
   $ 9,572     $ -     $ -     $ 9,572  
Total
   $ 9,572     $ -     $ -     $ 9,572  
                                 
There were no transfers between levels.
                          
 
 
 
 
 
 
 
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:
 May 22, 2012

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:
 May 22, 2012

By:
  /s/ John Sullivan
  John Sullivan
  Chief Financial Officer, Chief Accounting Officer and Treasurer
 
Date:
 May 22, 2012