Madison / Claymore Covered Call Fund

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 Fund

(Exact name of registrant as specified in charter)

2455 Corporate West Drive, Lisle, IL 60532

(Address of principal executive offices) (Zip code)

Nicholas Dalmaso

Madison/Claymore Covered Call 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: September 30, 2007

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, 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. § 3507.

Item 1. Schedule of Investments.

Attached hereto.

MADISON/CLAYMORE COVERED CALL & EQUITY STRATEGY FUND*

(Formerly known as Madison/Claymore Covered Call Fund)

Portfolio of Investments

September 30, 2007 (unaudited)

 

Number of Shares   

Description

    Value  
  

Common Stocks 97.9%

   
  

Consumer Discretionary 23.2%

   
120,000   

Abercrombie & Fitch Co.

    $ 9,684,000  
270,000   

American Eagle Outfitters, Inc.

      7,103,700  
232,000   

Bed Bath & Beyond, Inc. (a)

      7,915,840  
210,000   

Best Buy Co., Inc.

      9,664,200  
140,000   

Home Depot, Inc.

      4,541,600  
210,000   

Lowe’s Cos., Inc.

      5,884,200  
125,000   

Target Corp.

      7,946,250  
320,000   

Williams-Sonoma, Inc.

      10,438,400  
           
        63,178,190  
           
  

Computers 2.4%

   
234,200   

Dell, Inc. (a)

      6,463,920  
           
  

Consumer Services 8.8%

   
263,400   

EBAY, Inc. (a)

      10,277,868  
11,000   

Google, Inc.-Class A (a)

      6,239,970  
250,000   

Intuit, Inc. (a)

      7,575,000  
           
        24,092,838  
           
  

Energy 5.3%

   
120,000   

Apache Corp.

      10,807,200  
74,000   

Unit Corp. (a)

      3,581,600  
           
        14,388,800  
           
  

Financials 15.4%

   
50,000   

Affiliated Managers Group (a)

      6,375,500  
50,000   

Capital One Financial Corp.

      3,321,500  
200,000   

Citigroup, Inc.

      9,334,000  
170,000   

Countrywide Financial Corp.

      3,231,700  
15,000   

Discover Financial Services

      312,000  
140,000   

Merrill Lynch & Co., Inc.

      9,979,200  
150,000   

Morgan Stanley Co.

      9,450,000  
           
        42,003,900  
           
  

Health Care 22.2%

   
145,000   

Amgen, Inc. (a)

      8,202,650  
140,000   

Biogen Idec, Inc. (a)

      9,286,200  
136,200   

Boston Scientific Corp. (a)

      1,899,990  
100,000   

Community Health Systems, Inc. (a)

      3,144,000  
40,000   

Genentech, Inc. (a)

      3,120,800  
95,000   

Genzyme Corp. (a)

      5,886,200  
267,200   

Health Management Associates, Inc. - Class A

      1,854,368  
310,000   

Mylan Laboratories, Inc. (a)

      4,947,600  
270,000   

Pfizer, Inc.

      6,596,100  
200,000   

UnitedHealth Group, Inc.

      9,686,000  
139,000   

Varian Medical System, Inc. (a)

      5,822,710  
           
        60,446,618  
           
  

Industrial 1.4%

   
50,000   

United Parcel Services Corp. - Class B

      3,755,000  
           
  

Insurance 1.5%

   
122,000   

MGIC Investment Corp.

      3,941,820  
           
  

Software 3.6%

   
165,000   

ACI Worldwide, Inc. (a)

      3,687,750  
316,000   

Symantec Corp. (a)

      6,124,080  
           
        9,811,830  
           
  

Technology 14.1%

   
110,000   

Altera Corp.

      2,648,800  
140,000   

Applied Materials, Inc.

      2,898,000  
320,000   

Cisco Systems, Inc. (a)

      10,595,200  
510,000   

Flextronics International Ltd. (Singapore) (a)

      5,701,800  
50,000   

Intel Corp.

      1,293,000  
170,000   

Linear Technology Corp.

      5,948,300  
36,000   

Maxim Integrated Products, Inc.

      1,056,600  
290,000   

QLogic Corp. (a)

      3,900,500  
122,000   

Zebra Technologies Corp. (a)

      4,451,780  
           
        38,493,980  
           
  

Total Common Stocks 97.9%

(Cost $284,607,529)

      266,576,896  
           
  

Exchange-Traded Fund 2.8%

   
150,000   

Powershares QQQ

(Cost $7,127,275)

      7,711,500  
           
  

Total Long Term Investments 100.7%

(Cost $291,734,804)

      274,288,396  
           
  

Short-term Investments 7.4%

   
  

Money Market Funds 0.0%

   
15,055   

AIM Liquid Assets Money Market Fund

   
  

(Cost $15,055)

      15,055  
           
Par Value            
  

Repurchase Agreement 5.1%

   
$13,807,000   

Morgan Stanley Co. (issued 9/28/07, yielding 3.800%;

   
  

collateralized by $12,935,000 original face of U.S.

   
  

Treasury Inflation Protected Securities due 7/15/14;

   
  

to be sold on 10/01/07 at $13,811,372)

   
  

(Cost $13,807,000)

      13,807,000  
           
  

U.S. Government and Agencies 2.3%

   
3,700,000   

U.S. Treasury Note (coupon 4.25%, maturity 11/30/07)

      3,702,605  
2,500,000   

U.S. Treasury Note (coupon 4.375%, maturity 1/31/08)

      2,503,517  
           
  

(Cost $6,197,850)

      6,206,122  
           
  

Total Short-term Investments 7.4%

   
  

(Cost $20,019,905)

      20,028,177  
           
  

Total Investments 108.1%

   
  

(Cost $311,754,709)

      294,316,573  
  

Liabilities in excess of Other Assets - (0.1%)

      (151,443 )
  

Total Value of Options Written - (8.0%)

      (21,883,515 )
           
  

Net Assets 100.0%

    $ 272,281,615  
           

 

Contracts
(100 shares per
contract)		    

Call Options Written

    Expiration Date    Exercise
Price		    Value
1,200     Abercrombie & Fitch Co.    November 2007    $ 72.50    $ 1,212,000
60     ACI Worldwide, Inc.    February 2008      25.00      9,450
165     ACI Worldwide, Inc.    October 2007      25.00      2,888
210     ACI Worldwide, Inc.    February 2008      30.00      12,600
473     ACI Worldwide, Inc.    November 2007      35.00      2,365
500     Affiliated Managers Group    December 2007      105.00      1,257,500
900     Altera Corp.    January 2008      20.00      423,000
200     Altera Corp.    January 2008      22.50      56,000
1,200     American Eagle Outfitters, Inc.    January 2008      25.00      396,000
300     American Eagle Outfitters, Inc.    November 2007      25.00      72,000
800 (b)   American Eagle Outfitters, Inc.    January 2008      26.63      291,000
300     Amgen, Inc.    October 2007      55.00      71,100
800     Amgen, Inc.    October 2007      57.50      76,800
350     Amgen, Inc.    January 2008      65.00      23,625
750     Apache Corp.    January 2008      70.00      1,593,750
75     Apache Corp.    January 2008      75.00      126,000
175     Apache Corp.    January 2008      80.00      221,375
200     Apache Corp.    January 2008      85.00      181,000
1,395     Applied Materials, Inc.    January 2008      20.00      265,050
200     Bed Bath & Beyond, Inc.    February 2008      35.00      51,000
270     Bed Bath & Beyond, Inc.    February 2008      37.50      39,825
1,413     Bed Bath & Beyond, Inc.    January 2008      40.00      84,780
400     Best Buy Co., Inc.    March 2008      47.50      126,000
900     Best Buy Co., Inc.    December 2007      47.50      166,500
497     Best Buy Co., Inc.    December 2007      50.00      47,215
1,400     Biogen Idec, Inc.    January 2008      50.00      2,450,000
1,362     Boston Scientific Corp.    October 2007      12.50      217,920
123     Capital One Financial Corp.    January 2008      70.00      47,355
200     Capital One Financial Corp.    January 2008      75.00      40,500
1,500     Cisco Systems, Inc.    January 2008      27.50      956,250
1,500     Cisco Systems, Inc.    January 2008      30.00      641,250
200     Cisco Systems, Inc.    January 2008      32.50      50,200
750     Citigroup, Inc.    March 2008      50.00      119,250
1,000     Community Health Systems, Inc.    January 2008      40.00      37,500
771     Countrywide Financial Corp.    January 2008      22.50      102,158
200     Countrywide Financial Corp.    January 2008      25.00      15,000
300     Countrywide Financial Corp.    January 2008      27.50      13,500
429     Countrywide Financial Corp.    October 2007      17.50      90,090
1,900     Dell, Inc.    January 2008      27.50      394,250
442     Dell, Inc.    November 2007      27.50      59,670
1,300     EBAY, Inc.    January 2008      32.50      988,000
1,334     EBAY, Inc.    January 2008      35.00      747,040
5,100     Flextronics International Ltd. (Singapore)    January 2008      12.50      196,350
400     Genentech, Inc.    January 2008      75.00      260,000
950     Genzyme Corp.    January 2008      65.00      266,000
110     Google, Inc. - Class A    December 2007      500.00      871,200
2,672     Health Management Associates, Inc. - Class A    October 2007      7.50      13,360
1,128     Home Depot, Inc.    Febuary 2008      37.50      84,600
272     Home Depot, Inc.    Febuary 2008      40.00      10,200
500     Intel Corp.    January 2008      22.50      201,250
840     Intuit, Inc.    January 2008      30.00      193,200
1,660     Intuit, Inc.    January 2008      32.50      182,600
1,700     Linear Technology Corp.    January 2008      35.00      365,500
200     Lowe’s Cos., Inc.    January 2008      27.50      46,000
300     Lowe’s Cos., Inc.    January 2008      30.00      33,750
1,600     Lowe’s Cos., Inc.    January 2008      32.50      76,000
360     Maxim Integrated Products, Inc.    January 2008      30.00      70,200
700     Merrill Lynch & Co., Inc.    January 2008      75.00      266,000
700     Merrill Lynch & Co., Inc.    January 2008      80.00      147,000
424     MGIC Investment Corp.    October 2007      30.00      137,800
440     MGIC Investment Corp.    December 2007      35.00      108,900
356     MGIC Investment Corp.    January 2008      40.00      48,950
100     Morgan Stanley Co.    January 2008      60.00      62,500
1,100     Morgan Stanley Co.    January 2008      65.00      396,000
300 (c)   Morgan Stanley Co.    October 2007      75.00      32,250
1,100     Mylan Laboratories, Inc.    January 2008      17.50      79,750
400     Mylan Laboratories, Inc.    April 2008      17.50      50,000
1,592     Pfizer, Inc.    January 2008      25.00      147,260
1,108     Pfizer, Inc.    December 2007      27.50      19,390
1,500     Powershares QQQ    October 2007      48.00      559,500
201     Qlogic Corp.    January 2008      12.50      36,180
314     Qlogic Corp.    April 2008      15.00      32,970
73     Qlogic Corp.    January 2008      17.50      2,007
860     Symantec Corp.    January 2008      17.50      227,900
2,300     Symantec Corp.    January 2008      20.00      264,500
350     Target Corp.    January 2008      60.00      248,500
900     Target Corp.    January 2008      65.00      387,000
200     Unit Corp.    December 2007      55.00      15,500
500     UnitedHealth Group, Inc.    January 2008      50.00      107,500
900     UnitedHealth Group, Inc.    January 2008      55.00      58,500
200     UnitedHealth Group, Inc.    March 2008      55.00      24,000
500     United Parcel Services Corp. - Class B    January 2008      75.00      175,000
400     Varian Medical Systems, Inc.    November 2007      40.00      126,000
180     Varian Medical Systems, Inc.    January 2008      45.00      29,250
401     Varian Medical Systems, Inc.    November 2007      45.00      29,072
2,950     Williams-Sonoma, Inc.    February 2008      32.50      914,500
250     Williams-Sonoma, Inc.    November 2007      32.50      48,125
620     Zebra Technologies Corp.    February 2008      35.00      235,600
              
 

Total Value of Call Options Written

(Premiums received $19,367,262)

            21,666,370
              
  Put Options Written         
1,141     American Eagle Outfitters, Inc.    November 2007      25.00      108,395
1,500     Mylan Laboratories, Inc.    January 2008      15.00      108,750
              
 

Total Value of Put Options Written

(Premiums received $309,018)

            217,145
              
 

Total Options Written

(Premiums received $19,676,280)

          $ 21,883,515
              
* Name change effective November 1, 2007
(a) Non-income producing security.
(b) Represents 150 shares per contract.
(c) Represents 100 shares of Morgan Stanley Co. and 50 shares of Discover Financial Services due to a spin-off.

See previously submitted notes to financial statements for the period ending June 30, 2007.

 

Country Allocation**

  

United States

    98.1 %

Singapore

    1.9 %
** 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 Fund
By:   /s/ Nicholas Dalmaso
  Nicholas Dalmaso
  Chief Legal and Executive Officer
Date:   November 20, 2007

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/ Nicholas Dalmaso
  Nicholas Dalmaso
  Chief Legal and Executive Officer
Date:   November 20, 2007

 

By:   /s/ Steven M. Hill
  Steven M. Hill
  Treasurer and Chief Financial Officer
Date:   November 20, 2007