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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: March 31, 2009
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 - March 31, 2009 (unaudited)
| Number of Shares | Value | |||
| Common Stocks - 116.6% | ||||
| Business Services - 1.3% | ||||
| 20,000 | Fiserv Inc.* | $729,200 | ||
| Consumer Discretionary - 31.5% | ||||
| 167,200 | American Eagle Outfitters, Inc. | 2,046,528 | ||
| 120,000 | Bed Bath & Beyond, Inc.* | 2,970,000 | ||
| 60,500 | Best Buy Co., Inc. | 2,296,580 | ||
| 90,000 | Coach Inc. | 1,503,000 | ||
| 30,300 | Home Depot, Inc. | 713,868 | ||
| 67,000 | Kohls Corp.* | 2,835,440 | ||
| 110,000 | Lowe's Cos, Inc. | 2,007,500 | ||
| 105,000 | Starbucks Corp.* | 1,166,550 | ||
| 70,000 | Target Corp. | 2,407,300 | ||
| 40,000 | Williams-Sonoma, Inc. | 403,200 | ||
| Consumer Services - 9.7% | ||||
| 95,000 | eBay Inc.* | 1,193,200 | ||
| 60,000 | Garmin Ltd. | 1,272,600 | ||
| 4,000 | Google, Inc-Class A* | 1,392,240 | ||
| 67,000 | Intuit Inc.* | 1,809,000 | ||
| Energy - 10.7% | ||||
| 28,000 | Apache Corp. | 1,794,520 | ||
| 30,000 | Schlumberger Ltd. | 1,218,600 | ||
| 25,000 | Transocean Ltd. | 1,471,000 | ||
| 25,000 | Unit Corp. | 523,000 | ||
| 40,000 | XTO Energy Inc. | 1,224,800 | ||
| Exchange Traded Funds - 3.1% | ||||
| 60,000 | Powershares QQQ | 1,819,200 | ||
| Financials - 17.1% | ||||
| 35,000 | Affiliated Managers Group, Inc.* | 1,459,850 | ||
| 47,200 | American Express Co. | 643,336 | ||
| 61,867 | Bank of America Corp. | 421,933 | ||
| 70,000 | Capital One Financial Corp. | 856,800 | ||
| 130,000 | Citigroup, Inc. | 328,900 | ||
| 23,000 | Franklin Resources Inc. | 1,239,010 | ||
| 95,000 | Marshall & Ilsley Corp. | 534,850 | ||
| 60,000 | Morgan Stanley & Co. | 1,366,200 | ||
| 50,000 | State Street Corp. | 1,539,000 | ||
| 110,000 | Wells Fargo & Co. | 1,566,400 | ||
| Health Care - 17.6% | ||||
| 43,100 | Biogen Idec* | 2,259,302 | ||
| 35,000 | Medtronic Inc. | 1,031,450 | ||
| 113,700 | Mylan, Inc.* | 1,524,717 | ||
| 109,800 | Pfizer Inc. | 1,495,476 | ||
| 86,000 | UnitedHealth Group | 1,799,980 | ||
| 35,000 | Waters Corp.* | 1,293,250 | ||
| 24,000 | Zimmer Holdings, Inc.* | 876,000 | ||
| Insurance - 2.2% | ||||
| 65,000 | Aflac, Inc. | 35,500 | ||
| 25,000 | MGIC Investment Corp.* | 1,258,400 | ||
| Software - 4.1% | ||||
| 40,000 | Check Point Software Technologies Ltd.* | 888,400 | ||
| 100,000 | Symantec Corp.* | 1,494,000 | ||
| Technology - 19.3% | ||||
| 60,000 | Applied Materials, Inc. | 645,000 | ||
| 170,000 | Cisco Systems, Inc.* | 2,850,900 | ||
| 100,000 | Dell Inc.* | 948,000 | ||
| 165,000 | EMC Corp. | 1,881,000 | ||
| 260,000 | Flextronics International Ltd.* | 751,400 | ||
| 60,000 | Microsoft Corp. | 1,102,200 | ||
| 30,000 | Qualcomm Inc. | 1,167,300 | ||
| 60,000 | Yahoo! Inc.* | 768,600 | ||
| 60,000 | Zebra Technologies Corp.-Class A* | 1,141,200 | ||
| Total Long-Term Investments | ||||
| (Cost $126,973,155) | 67,965,680 | |||
| * Non-income producing | ||||
| Short-Term Investments - 6.9% | ||||
| AIM STIT Government & Agency Money Market - 6.9% | 4,000,000 | |||
| Total Investments - 123.5% | ||||
| (Cost $130,973,155) | 71,965,680 | |||
| Cash and other assets less liabilities - 2.7% | 1,580,122 | |||
| Loan outstanding - (17.2%) | (10,000,000) | |||
| Total Call Options Written - (9.0%) | (5,246,652) | |||
| Net Assets - 100% | $58,299,150 | |||
| Contracts | ||||
| (100 shares | Expiration | Exercise | Market | |
| per contract) | Call Options Written | Date | Price | Value |
| 250 | Affiliated Managers Group, Inc. | January 2010 | $50.00 | $197,500 |
| 523 | American Eagle Outfitters, Inc. | May 2009 | 12.50 | 52,300 |
| 300 | American Eagle Outfitters, Inc. | July 2009 | 22.50 | 10,500 |
| 549 | American Eagle Outfitters, Inc. | August 2009 | 10.00 | 175,680 |
| 600 | American Eagle Outfitters, Inc. | January 2010 | 12.50 | 151,500 |
| 20 | Apache Corp. | July 2009 | 60.00 | 20,600 |
| 200 | Applied Materials, Inc. | April 2009 | 10.00 | 20,000 |
| 400 | Applied Materials, Inc. | January 2010 | 12.50 | 54,000 |
| 200 | Bed Bath & Beyond, Inc. | May 2009 | 25.00 | 36,000 |
| 600 | Bed Bath & Beyond, Inc. | August 2009 | 27.50 | 120,000 |
| 400 | Bed Bath & Beyond, Inc. | January 2010 | 30.00 | 88,000 |
| 155 | Best Buy Co., Inc. | June 2009 | 25.00 | 209,250 |
| 200 | Best Buy Co., Inc. | June 2009 | 30.00 | 186,000 |
| 250 | Best Buy Co., Inc. | January 2010 | 35.00 | 220,000 |
| 50 | Biogen Idec | April 2009 | 50.00 | 18,500 |
| 136 | Biogen Idec | July 2009 | 55.00 | 58,480 |
| 245 | Biogen Idec | January 2010 | 55.00 | 183,750 |
| 200 | Capital One Financial Corp. | June 2009 | 17.50 | 24,000 |
| 200 | Capital One Financial Corp. | June 2009 | 35.00 | 1,500 |
| 182 | Capital One Financial Corp. | January 2010 | 40.00 | 3,640 |
| 200 | Check Point Software Technologies Ltd. | April 2009 | 20.00 | 49,000 |
| 200 | Check Point Software Technologies Ltd. | July 2009 | 20.00 | 66,000 |
| 500 | Cisco Systems, Inc. | April 2009 | 18.00 | 7,750 |
| 200 | Cisco Systems, Inc. | January 2010 | 20.00 | 29,700 |
| 300 | Citigroup, Inc. | June 2009 | 9.00 | 1,500 |
| 300 | Coach Inc. | August 2009 | 12.50 | 159,000 |
| 400 | Coach Inc. | August 2009 | 17.50 | 96,000 |
| 350 | Dell Inc. | August 2009 | 12.00 | 18,375 |
| 400 | Dell Inc. | January 2010 | 15.00 | 17,200 |
| 350 | eBay Inc. | April 2009 | 15.00 | 1,050 |
| 350 | EMC Corp. | April 2009 | 10.00 | 53,025 |
| 200 | EMC Corp. | April 2009 | 12.00 | 6,600 |
| 500 | EMC Corp. | July 2009 | 12.00 | 57,250 |
| 500 | EMC Corp. | January 2010 | 12.50 | 81,250 |
| 200 | Fiserv Inc. | June 2009 | 35.00 | 76,000 |
| 230 | Franklin Resources, Inc. | July 2009 | 45.00 | 302,450 |
| 400 | Garmin, Ltd. | July 2009 | 25.00 | 57,000 |
| 200 | Garmin, Ltd. | January 2010 | 30.00 | 34,000 |
| 20 | Google, Inc. - Class A | June 2009 | 320.00 | 92,400 |
| 303 | Home Depot, Inc. | August 2009 | 25.00 | 63,327 |
| 370 | Intuit Inc. | July 2009 | 25.00 | 136,900 |
| 300 | Intuit Inc. | January 2010 | 27.50 | 115,500 |
| 130 | Kohl's Corp. | April 2009 | 35.00 | 97,500 |
| 500 | Lowe's Cos, Inc. | October 2009 | 15.00 | 230,000 |
| 300 | Marshall & Ilsley Corp. | June 2009 | 15.00 | 1,500 |
| 250 | MGIC Investment Corp. | June 2009 | 5.00 | 1,875 |
| 300 | Microsoft Corp. | April 2009 | 19.00 | 14,250 |
| 200 | Morgan Stanley & Co. | April 2009 | 14.00 | 180,000 |
| 100 | Morgan Stanley & Co. | July 2009 | 23.00 | 45,500 |
| 200 | Mylan, Inc. | July 2009 | 10.00 | 77,000 |
| 300 | Mylan, Inc. | July 2009 | 12.50 | 61,500 |
| 637 | Mylan, Inc. | January 2010 | 12.50 | 191,100 |
| 400 | Pfizer Inc. | June 2009 | 19.00 | 1,400 |
| 600 | Powershares QQQ | May 2009 | 31.00 | 81,000 |
| 300 | Qualcomm Inc. | July 2009 | 37.50 | 133,500 |
| 80 | Schlumberger Ltd. | May 2009 | 45.00 | 17,600 |
| 300 | Starbucks Corp. | April 2009 | 10.00 | 39,150 |
| 350 | Starbucks Corp. | July 2009 | 12.00 | 36,050 |
| 400 | Starbucks Corp. | January 2010 | 12.50 | 68,000 |
| 200 | State Street Corp. | May 2009 | 40.00 | 30,500 |
| 500 | Symantec Corp. | April 2009 | 15.00 | 31,250 |
| 500 | Symantec Corp. | January 2010 | 15.00 | 136,250 |
| 400 | Target Corp. | April 2009 | 40.00 | 4,400 |
| 50 | Transocean, Ltd. | May 2009 | 60.00 | 22,500 |
| 200 | Transocean, Ltd. | August 2009 | 60.00 | 166,000 |
| 200 | Waters Corp. | May 2009 | 45.00 | 12,500 |
| 150 | Waters Corp. | January 2010 | 45.00 | 46,125 |
| 150 | Williams-Sonoma, Inc. | May 2009 | 10.00 | 17,625 |
| 250 | Williams-Sonoma, Inc. | August 2009 | 10.00 | 48,750 |
| 200 | XTO Energy Inc. | May 2009 | 45.00 | 1,500 |
| 300 | Yahoo! Inc. | April 2009 | 15.00 | 4,350 |
| 300 | Yahoo! Inc. | July 2009 | 15.00 | 28,500 |
| 300 | Zebra Technologies Corp. - Class A | May 2009 | 20.00 | 25,500 |
| 100 | Zimmer Holdings, Inc. | June 2009 | 45.00 | 6,500 |
| 140 | Zimmer Holdings, Inc. | January 2010 | 45.00 | 35,000 |
| Total Call Options Written | (Premiums Received $4,815,419) | $ 5,246,652 | ||
| Valuation Measurements: Various inputs are used in determining the value of the Funds' investments and other financial instruments. | ||||
| These inputs are summarized in the three broad levels listed below. | ||||
| Level 1: Quoted prices in active markets for identical securities | ||||
| Level 2: Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) | ||||
| Level 3: Significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments) | ||||
| The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||
| The following is a summary of the inputs used to value the Funds' assets as of September 30, 2008 (unaudited): | ||||
| Valuation Inputs | Investments | Derivatives* | Total | |
| Assets: | ||||
| Level 1: Quoted Prices | $67,965,680 | - | $67,965,680 | |
| Level 2: Other significant observable inputs | 4,000,000 | - | 4,000,000 | |
| Level 3: Significant unobservable inputs | - | - | - | |
| Total | $71,965,680 | - | $71,965,680 | |
| Liabilities: | ||||
| Level 1: Quoted Prices | - | $5,246,652 | $5,246,652 | |
| Level 2: Other significant observable inputs | - | - | - | |
| Level 3: Significant unobservable inputs | - | - | - | |
| Total | - | $5,246,652 | $5,246,652 | |
| *Consists of call options | ||||
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: May 21, 2009
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: May 21, 2009
By: (signature)
Greg Hoppe, Chief Financial Officer
Date: May 21, 2009