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: March 31, 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 FUND

Portfolio of Investments

March 31, 2007 (unaudited)

 

NUMBER
OF SHARES		   

DESCRIPTION

    VALUE
  

COMMON STOCKS 88.9%

   
  

Consumer Discretionary 17.4%

   
100,000    Abercrombie & Fitch Co.-Class A    $ 7,568,000
135,000    Aeropostale, Inc. (a)      5,431,050
85,000    Bed Bath & Beyond, Inc. (a)      3,414,450
210,000    Best Buy Co., Inc.      10,231,200
140,000    Home Depot, Inc.      5,143,600
230,000    Lowe’s Cos., Inc.      7,242,700
24,000    Ross Stores, Inc.      825,600
150,000    Target Corp.      8,889,000
1,800    Williams-Sonoma, Inc.      63,828
         
        48,809,428
         
  

Computers 1.3%

   
154,200    Dell, Inc. (a)      3,578,982
         
  

Energy 6.7%

   
110,000    Apache Corp.      7,777,000
80,000    Transocean, Inc. (Cayman Islands) (a)      6,536,000
89,100    Unit Corp. (a)      4,507,569
         
        18,820,569
         
  

Exchange Traded Fund 2.6%

   
170,000    Nasdaq-100 Index Tracking Stock      7,400,100
         
  

Financials 12.7%

   
80,000    Capital One Financial Corp.      6,036,800
150,000    Citigroup, Inc.      7,701,000
200,000    Countrywide Financial Corp.      6,728,000
100,000    Merrill Lynch & Co., Inc.      8,167,000
90,000    Morgan Stanley Co.      7,088,400
         
        35,721,200
         
  

Health Care 15.4%

   
145,000    Amgen, Inc. (a)      8,102,600
190,000    Biogen Idec, Inc. (a)      8,432,200
40,000    Biomet, Inc.      1,699,600
136,200    Boston Scientific Corp. (a)      1,980,348
100,000    Community Health Systems, Inc. (a)      3,525,000
267,500    Health Management Associates, Inc.-Class A      2,907,725
80,000    Patterson Cos., Inc. (a)      2,839,200
213,600    Pfizer, Inc.      5,395,536
160,000    UnitedHealth Group, Inc.      8,475,200
         
        43,357,409
         
  

Industrial 1.2%

   
50,000    United Parcel Services Corp.-Class B      3,505,000
         
  

Insurance 2.6%

   
122,000    MGIC Investment Corp.      7,188,240
         
  

Software 4.0%

   
20,000    Check Point Software Technologies Ltd. (Israel) (a)      445,600
316,000    Symantec Corp. (a)      5,466,800
165,000    Transaction Systems Architects, Inc. (a)      5,344,350
         
        11,256,750
         
  

Technology 25.0%

   
80,000    Adobe Systems, Inc.      3,336,000
    290,000    Altera Corp.      5,797,100
250,000    Applied Materials, Inc.      4,580,000
280,000    Cisco Systems, Inc. (a)      7,148,400
263,400    EBAY, Inc. (a)      8,731,710
480,000    Flextronics International Ltd. (Singapore) (a)      5,251,200
9,000    Google, Inc.-Class A (a)      4,123,440
268,400    Intel Corp.      5,134,492
150,000    Linear Technology Corp.      4,738,500
90,000    Maxim Integrated Products      2,646,000
100,000    Microsoft Corp.      2,787,000
233,000    QLogic Corp. (a)      3,961,000
140,000    Qualcomm, Inc.      5,972,400

52,500    Xilinx, Inc.      1,350,825  
122,000    Zebra Technologies Corp. (a)      4,710,420  
           
        70,268,487  
           
  

TOTAL LONG TERM INVESTMENTS 88.9%

   
   (Cost $262,432,130)      249,906,165  
           
  

SHORT-TERM INVESTMENTS 15.7%

   
  

Money Market Funds 0.0%

   
74    AIM Liquid Assets Money Market Fund (Cost $74)      74  
           
PAR VALUE            
  

Repurchase Agreement 14.4%

   
$40,297,000    Morgan Stanley Co. (issued 3/30/07, yielding 5.000%;   
   collateralized by $32,245,000 par of original face of U.S.   
   Treasury Inflation Protected Securities due 01/15/08;   
   to be sold on 04/02/07 at $40,313,790)   
   (Cost $40,297,000)      40,297,000  
           
  

U.S. Government and Agencies 1.3%

   
3,700,000    U.S. Treasury Note (coupon 3.875%, maturity 07/31/07)   
   (Cost $3,686,317)      3,686,850  
           
  

TOTAL SHORT-TERM INVESTMENTS

   
   (Cost $43,983,391)      43,983,924  
           
  

TOTAL INVESTMENTS 104.6%

   
   (Cost $306,415,521)      293,890,089  
   Liabilities in excess of other assets (0.0%)      (78,544 )
   Total Value of Options Written (4.6%)      (12,836,749 )
           
   Net Assets 100.0%    $ 280,974,796  
           

 

Contracts
(100 shares per
contract)		   

CALL OPTIONS WRITTEN

   

Expiration Date

    Exercise Price    Value
500    Abercrombie & Fitch Co.    May 2007    $ 70.00    $ 362,500
500    Abercrombie & Fitch Co.    May 2007      75.00      190,000
800    Adobe Systems, Inc.    April 2007      37.50      352,000
1,350    Aeropostale, Inc.    April 2007      35.00      729,000
1,400    Altera Corp.    June 2007      20.00      161,000
900    Altera Corp.    January 2008      20.00      225,000
600    Altera Corp.    September 2007      22.50      48,000
300    Amgen, Inc.    January 2008      75.00      18,750
928    Amgen, Inc.    July 2007      75.00      6,960
222    Amgen, Inc.    July 2007      80.00      1,110
150    Apache Corp.    April 2007      65.00      88,500
200    Apache Corp.    July 2007      70.00      85,000
750    Apache Corp.    January 2008      70.00      558,750
500    Applied Materials, Inc.    January 2008      20.00      62,500
300    Applied Materials, Inc.    July 2007      18.00      39,000
700    Applied Materials, Inc.    April 2007      19.00      8,750
1,000    Applied Materials, Inc.    July 2007      19.00      80,000
636    Bed Bath & Beyond, Inc.    May 2007      42.50      41,340
210    Bed Bath & Beyond, Inc.    August 2007      42.50      36,225

500    Best Buy Co., Inc.    June 2007    50.00    97,500
500    Best Buy Co., Inc.    June 2007    52.50    52,500
800    Best Buy Co., Inc.    January 2008    55.00    228,000
500    Biogen Idec, Inc.    July 2007    50.00    33,750
1,400    Biogen Idec, Inc.    January 2008    50.00    336,000
400    Biomet, Inc.    April 2007    40.00    109,000
500    Boston Scientific Corp.    August 2007    20.00    7,500
862    Boston Scientific Corp.    January 2008    20.00    45,255
300    Capital One Financial Corp.    June 2007    80.00    58,500
500    Capital One Financial Corp.    January 2008    85.00    212,500
200    Check Point Software Technologies Ltd. (Israel)    April 2007    22.50    9,000
    2,350    Cisco Systems, Inc.    April 2007    27.50    17,625
450    Cisco Systems, Inc.    October 2007    27.50    66,375
415    Community Health Systems, Inc.    January 2008    40.00    61,213
400    Countrywide Financial Corp.    April 2007    42.50    2,000
200    Countrywide Financial Corp.    October 2007    40.00    33,500
200    Countrywide Financial Corp.    January 2008    45.00    21,500
1,086    Countrywide Financial Corp.    April 2007    35.00    89,595
700    Dell, Inc.    May 2007    25.00    22,750
400    Dell, Inc.    August 2007    25.00    39,000
442    Dell, Inc.    May 2007    27.50    3,315
1,300    EBAY, Inc.    January 2008    32.50    617,500
584    EBAY, Inc.    January 2008    35.00    204,400
750    EBAY, Inc.    April 2007    35.00    37,500
500    Flextronics International Ltd. (Singapore)    July 2007    12.50    12,000
4,300    Flextronics International Ltd. (Singapore)    January 2008    12.50    344,000
90    Google, Inc.    September 2007    450.00    392,400
600    Home Depot, Inc.    May 2007    40.00    16,500
800    Home Depot, Inc.    May 2007    42.50    6,000
450    Intel Corp.    April 2007    20.00    11,700
1,150    Intel Corp.    July 2007    20.00    90,850
500    Intel Corp.    April 2007    22.50    1,750
584    Intel Corp.    July 2007    22.50    13,724
1,500    Linear Technology Corp.    January 2008    35.00    262,500
200    Lowe’s Cos., Inc.    April 2007    30.00    35,000
1,900    Lowe’s Cos., Inc.    April 2007    32.50    61,750
200    Lowe’s Cos., Inc.    October 2007    32.50    47,000
300    Maxim Integrated Products    May 2007    30.00    38,250
261    Maxim Integrated Products    August 2007    30.00    57,420

339    Maxim Integrated Products    January 2008    35.00    52,545
500    Merrill Lynch & Co., Inc.    October 2007    85.00    252,500
500    Merrill Lynch & Co., Inc.    January 2008    90.00    220,000
220    MGIC Investment Corp.    April 2007    55.00    124,300
500    MGIC Investment Corp.    September 2007    65.00    175,000
500    MGIC Investment Corp.    January 2008    70.00    152,500
1,000    Microsoft Corp.    April 2007    27.50    71,000
211    Morgan Stanley Co.    April 2007    70.00    187,790
389    Morgan Stanley Co.    July 2007    75.00    270,355
300    Morgan Stanley Co.    October 2007    75.00    264,000
376    Nasdaq-100 Index Tracking Stock    April 2007    43.00    43,240
1,324    Nasdaq-100 Index Tracking Stock    April 2007    44.00    70,834
400    Patterson Cos., Inc.    April 2007    35.00    44,000
400    Patterson Cos., Inc.    July 2007    35.00    95,000
300    Pfizer, Inc.    September 2007    27.50    12,750
630    QLogic Corp.    July 2007    20.00    20,475
1,700    QLogic Corp.    January 2008    20.00    144,500
600    Qualcomm, Inc.    April 2007    40.00    186,000
400    Qualcomm, Inc.    July 2007    40.00    194,000
400    Qualcomm, Inc.    July 2007    42.50    134,000
240    Ross Stores, Inc.    May 2007    30.00    114,000
860    Symantec Corp.    January 2008    17.50    176,300
    2,000    Symantec Corp.    July 2007    20.00    65,000
300    Symantec Corp.    January 2008    20.00    31,500
900    Target Corp.    April 2007    55.00    409,500
600    Target Corp.    April 2007    57.50    147,000
401    Transaction Systems Architects, Inc.    August 2007    30.00    176,440
413    Transaction Systems Architects, Inc.    May 2007    35.00    27,878
706    Transaction Systems Architects, Inc.    August 2007    35.00    132,375
60    Transaction Systems Architects, Inc.    May 2007    40.00    300
70    Transaction Systems Architects, Inc.    May 2007    40.00    4,375
500    Transocean, Inc.    May 2007    75.00    410,000
300    Transocean, Inc.    September 2007    80.00    141,000
691    Unit Corp.    September 2007    50.00    324,770
200    Unit Corp.    June 2007    55.00    20,500
700    UnitedHealth Group, Inc.    September 2007    55.00    238,000
900    UnitedHealth Group, Inc.    January 2008    55.00    450,000
500    United Parcel Services Corp.    April 2007    75.00    3,750

18    Williams-Sonoma, Inc.    April 2007    35.00      1,890
525    Xilinx, Inc.    June 2007    25.00      97,125
    1,220    Zebra Technologies Corp.    August 2007    40.00      259,250
               
   TOTAL OPTIONS WRITTEN (Premiums received $17,433,663)          $ 12,836,749
               

 

(a) Non-income producing security.

See previously submitted notes to financial statements for the period ending December 31, 2006.

 

Country Allocation*

       

United States

    95.8 %

Cayman Islands

    2.2 %

Singapore

    1.8 %

Israel

    0.2 %

 

* Based on Total Investments (which excludes 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 controls 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:   May 25, 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:   May 25, 2007
By:   /s/ Steven M. Hill
  Steven M. Hill
  Treasurer and Chief Financial Officer
Date:   May 25, 2007