Madison Strategic Sector Premium Fund Form N-Q September 30, 2007

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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 811-21713

Madison Strategic Sector Premium Fund
(Exact name of registrant as specified in charter)

550 Science Drive, Madison, WI  53711
(Address of principal executive offices)(Zip code)

W. Richard Mason
Madison/Mosaic Legal and Compliance Department
8777 N. Gainey Center Drive, Suite 220
Scottsdale, AZ  85258
(Name and address of agent for service)

Registrant's telephone number, including area code:  608-274-0300

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 (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, 100 F Street, NE, Washington, DC  20549-0609.  The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. s 3507.

Item 1.  Schedule of Investments.

Madison Strategic Sector Premium Fund

Portfolio of Investments - September 30, 2007 (unaudited)

 

Number of Shares Value
Common Stocks - 100.6%
Consumer Services - 7.6%
95,000 eBay Inc.* $3,706,900
3,000 Google, Inc-Class A* 1,701,810
103,000 Intuit Inc 3,120,900
Consumer Discretionary -  24.8%
50,000 Abercrombie & Fitch Co-Class A         4,035,000
119,200 American Eagle Outfitters, Inc         3,136,152
98,000 Bed Bath & Beyond Inc*         3,343,760
87,000 Best Buy Co, Inc         4,003,740
90,000 Home Depot Inc         2,919,600
110,000 Lowe's Cos, Inc         3,082,200
60,000 Target Corp         3,814,200
100,000 Williams Sonoma Co         3,262,000
Exchange Traded Funds  -   2.8%
60,000 Powershares QQQQ         3,084,600
Energy -  2.8%
23,000 Apache Corp         2,071,380
21,000 Unit Corp*         1,016,400
Financials - 17.8%
20,000 Affiliated Managers Group Inc*         2,550,200
50,000 Capital One Financial Corp         3,321,500
90,000 Citigroup, Inc.         4,200,300
100,000 Countrywide Financial Corp         1,901,000
15,400 Discover Financial Services            320,320
57,500 Merrill Lynch & Co., Inc         4,098,600
55,000 Morgan Stanley & Co         3,465,000
Health Care - 23.9%
65,400 Amgen, Inc.*         3,699,678
58,000 Biogen Idec Inc*         3,847,140
61,500 Boston Scientific Corp*            857,925
20,000 Genentech Inc*         1,560,400
37,000 Genzyme Corp*         2,292,520
49,900 Health Management Associates, Inc.            346,306
35,000 Medtronic Inc         1,974,350
125,000 Mylan, Inc*         1,995,000
23,000 Patterson Cos, Inc            888,030
109,800 Pfizer Inc         2,682,414
85,000 UnitedHealth Group         4,116,550
57,000 Varian Medical Systems         2,387,730
Insurance - 1.4%
50,000 MGIC Investment Corp.         1,615,500
Software - 3.5%
70,000 ACI Worldwide Inc         1,564,500
120,000 Symantec Corp*         2,325,600
Technology - 16.0%
47,000 Altera Corp         1,131,760
60,000 Applied Materials, Inc.         1,242,000
80,000 Cisco Systems, Inc.*         2,648,800
100,000 Dell Inc*         2,760,000
190,500 Flextronics International Ltd.*         2,129,790
71,000 Linear Technology Corp         2,484,290
96,000 Qlogic Corp*         1,291,200
30,000 Qualcomm Inc         1,267,800
40,000 Xilinx Inc         1,045,600
50,000 Zebra Technologies Corp-Class A*         1,824,500
Total Long-Term Investments
(Cost $118,548,958)

$112,134,945

* Non-income producing.

Contracts
(100 shares Expiration Exercise Market
per contract) Call Options Written - (7.1%) Date Price Value
500 Abercrombie & Fitch Co-Class A November 2007  $      72.50  $          (505,000)
126 ACI Worldwide Inc October 2007        25.00                (2,205)
329 ACI Worldwide Inc November 2007        30.00                (1,645)
180 ACI Worldwide Inc November 2007        35.00                   (900)
65 ACI Worldwide Inc February 2008        30.00                (3,900)
200 Affiliated Managers Group Inc December 2007       110.00             (418,000)
270 Altera Corp January 2008        20.00             (126,900)
200 Altera Corp March 2008        25.00               (37,000)
401 American Eagle Outfitters, Inc January 2008        25.00             (132,330)

394**

 American Eagle Outfitters, Inc January 2008       26.625             (143,318)
200 American Eagle Outfitters, Inc January 2008        30.00               (25,500)
445 Amgen, Inc October 2007        57.50               (42,720)
54 Amgen, Inc January 2008        65.00                (3,645)
155 Amgen, Inc April 2008        60.00               (52,700)
170 Apache Corp January 2008        70.00             (361,250)
60 Apache Corp January 2008        80.00               (75,900)
600 Applied Materials, Inc January 2008        20.00             (114,000)
480 Bed Bath & Beyond, Inc November 2007        40.00                (6,000)
200 Bed Bath & Beyond, Inc January 2008        37.50               (24,500)
270 Best Buy Co, Inc December 2007        45.00               (86,400)
300 Best Buy Co, Inc December 2007        50.00               (28,500)
100** Best Buy Co, Inc January 2008       53.375                (6,750)
150 Best Buy Co, Inc January 2008        47.50               (32,250)
580 Biogen Idec Inc January 2008        50.00          (1,015,000)
615 Boston Scientific Corp October 2007        12.50               (98,400)
250 Capital One Financial Corp December 2007        75.00               (33,125)
127 Capital One Financial Corp January 2008        70.00               (48,895)
500 Cisco Systems, Inc January 2008        27.50             (318,750)
100 Cisco Systems, Inc April 2008        35.00               (21,650)
150 Countrywide Financial Corp October 2007        17.50               (31,500)
300 Countrywide Financial Corp October 2007        20.00               (21,750)
400 Countrywide Financial Corp January 2008        25.00               (30,000)
404 Dell Inc November 2007        27.50               (54,540)
596 Dell Inc January 2008        27.50             (123,670)
500 eBay Inc January 2008        32.50             (380,000)
450 eBay Inc January 2008        35.00             (252,000)
1,905 Flextronics International Ltd. January 2008        12.50               (73,343)
26 Genentech Inc December 2007        80.00                (7,410)
174 Genentech Inc January 2008        75.00             (113,100)
170 Genzyme Corp January 2008        65.00               (47,600)
200 Genzyme Corp January 2008        70.00               (24,500)
30 Google, Inc-Class A January 2008       500.00             (249,300)
499 Health Management Associates, Inc October 2007          7.50                (2,495)
900 Home Depot, Inc November 2007        37.50               (18,000)
1,030 Intuit Inc January 2008        32.50             (113,300)
710 Linear Technology Corp January 2008        35.00             (152,650)
1,000 Lowe's Cos, Inc January 2008        32.50               (47,500)
100 Lowe's Cos, Inc January 2008        30.00               (11,250)
350 Medtronic Inc November 2007        52.50             (157,500)
575 Merrill Lynch & Co, Inc January 2008        80.00             (120,750)
300 MGIC Investment Corp December 2007        35.00               (74,250)
200 MGIC Investment Corp January 2008        40.00               (27,500)
228 Morgan Stanley*** October 2007        75.00               (24,510)
242 Morgan Stanley January 2008        65.00               (87,120)
80 Morgan Stanley January 2008        90.00                (3,600)
328 Mylan, Inc January 2008        15.00               (64,780)
776 Mylan, Inc January 2008        17.50               (56,260)
46 Mylan, Inc April 2008        17.50                (5,750)
230 Patterson Cos, Inc October 2007        35.00               (87,400)
374 Pfizer Inc December 2007        27.50                (6,545)
562 Pfizer Inc January 2008        25.00               (51,985)
150 Powershares QQQQ October 2007        46.00               (84,525)
450 Powershares QQQQ October 2007        48.00             (167,850)
300 Qlogic Corp October 2007        12.50               (31,500)
460 Qlogic Corp January 2008        12.50               (82,800)
300 Qualcomm Inc January 2008        40.00             (133,500)
300 Symantec Corp October 2007        17.50               (60,000)
900 Symantec Corp January 2008        20.00             (103,500)
100 Target Corp January 2008        60.00               (71,000)
500 Target Corp January 2008        65.00             (215,000)
50 Unit Corp March 2008        50.00               (18,750)
270 UnitedHealth Group January 2008        55.00               (17,550)
280 UnitedHealth Group January 2008        50.00               (60,200)
150 UnitedHealth Group March 2008        55.00               (18,000)
473 Varian Medical Systems Inc November 2007        45.00               (34,293)
1,000 Williams-Sonoma Inc November 2007        32.50             (192,500)
400 Xilinx Inc January 2008        25.00             (108,000)
500 Zebra Technologies Corp. - CL A February 2008

       35.00

            (190,000)
Total Call Options Written
(Premiums Received $7,888,573)

 $(7,877,958)
** 150 shares per contract
***Due to spin-off, 100 shares of Morgan Stanley and 50 shares
Discover Financial Services per contract
Contracts
(100 shares Expiration Date Exercise Market Value
per contract) Put Options Written  - (0.1%) Price
480 American Eagle Outfitters, Inc November 2007 25.00       (45,600)
750 Mylan Laboratories Inc January 2008 15.00       (54,375)
Total Put Options Written (Premiums Received $173,314)  $(99,975)
Short-term Note - 2.7%
United States Treasury Note issued 11/30/2005 at 4.25%, due 11/30/2007                                    
Proceeds at maturity are $3,000,000 (Cost $2,996,817)

        3,002,112
Repurchase Agreement - 4.1%
Morgan Stanley issued 9/28/07 at 3.80%, due
10/2/07, collateralized by $4,625,216 in United 
States Treasury Notes due 6/30/11.  Proceeds at
maturity are $4,531,435 (Cost $4,530,000).         4,530,000
Total Investments - 107.4%
(Cost $126,075,775)      119,667,057
Liabilities less cash and other assets - (0.2%)           (247,965)
Total Call Options Written - (7.1%)        (7,877,958)
Total Put Options Written - (0.1%)             (99,975)
Net Assets - 100%

 $111,441,159

Item 2. Controls and Procedures.

(a) The registrant’s principal executive officer and principal financial officer determined that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act") are effective, based on their evaluation of these controls and procedures within 90 days of the date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act.  There were no significant changes in the Trust’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. The officers identified no significant deficiencies or material weaknesses.

(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) 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.

Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Act.

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 Strategic Sector Premium Fund

By: (signature)

W. Richard Mason, Secretary

Date: October 24, 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: (signature)

Katherine L. Frank, Chief Executive Officer

Date:  October 24, 2007

By:  (signature)

Greg Hoppe, Chief Financial Officer

Date: October 24, 2007