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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, 2008
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, 2008 (unaudited)
| Number of Shares | Value | ||
| Common Stocks - 118.7% | |||
| Consumer Services - 13.3% | |||
| 95,000 | eBay Inc.* | $2,834,800 | |
| 56,700 | Garmin Ltd. | 3,062,367 | |
| 8,800 | Google, Inc-Class A* | 3,876,136 | |
| 103,000 | Intuit Inc. | 2,782,030 | |
| Consumer Discretionary - 28.8% | |||
| 119,200 | American Eagle Outfitters, Inc. | 2,087,192 | |
| 120,000 | Bed Bath & Beyond Inc.* | 3,540,000 | |
| 60,500 | Best Buy Co, Inc. | 2,508,330 | |
| 111,500 | Coach Inc.* | 3,361,725 | |
| 90,000 | Home Depot, Inc. | 2,517,300 | |
| 67,000 | Kohls Corp. | 2,873,630 | |
| 110,000 | Lowe's Cos, Inc. | 2,523,400 | |
| 105,000 | Starbucks Corp.* | 1,837,500 | |
| 70,000 | Target Corp. | 3,547,600 | |
| 100,000 | Williams-Sonoma, Co. | 2,424,000 | |
| Exchange Traded Funds - 4.3% | |||
| 10,000 | Midcap SPDR Trust Series 1 | 1,416,200 | |
| 60,000 | Powershares QQQ | 2,623,200 | |
| Energy - 1.0% | |||
| 16,000 | Unit Corp.* | 906,400 | |
| Financials - 25.3% | |||
| 30,300 | Affiliated Managers Group, Inc.* | 2,749,422 | |
| 47,200 | American Express Co. | 2,063,584 | |
| 64,700 | Capital One Financial Corp. | 3,184,534 | |
| 90,000 | Citigroup, Inc. | 1,927,800 | |
| 55,000 | Countrywide Financial Corp. | 302,500 | |
| 23,000 | Franklin Resources Inc. | 2,230,770 | |
| 136,300 | Marshall & Ilsley Corp. | 3,162,160 | |
| 70,000 | Merrill Lynch & Co., Inc. | 2,851,800 | |
| 60,000 | Morgan Stanley & Co. | 2,742,000 | |
| 90,000 | Wells Fargo & Co. | 2,619,000 | |
| Health Care - 18.0% | |||
| 50,700 | Amgen, Inc.* | 2,118,246 | |
| 25,000 | Biogen Idec* | 1,542,250 | |
| 25,000 | Genentech Inc.* | 2,029,500 | |
| 56,000 | Medtronic Inc. | 2,708,720 | |
| 125,000 | Mylan, Inc.* | 1,450,000 | |
| 109,800 | Pfizer Inc. | 2,298,114 | |
| 86,000 | UnitedHealth Group | 2,954,960 | |
| 24,000 | Zimmer Holdings, Inc. | 1,868,640 | |
| Insurance - 0.5% | |||
| 40,000 | MGIC Investment Corp. | 421,200 | |
| Software - 3.4% | |||
| 70,000 | Check Point Software Technologies Ltd* | 1,568,000 | |
| 100,000 | Symantec Corp* | 1,662,000 | |
| Technology - 24.1% | |||
| 52,000 | Altera Corp. | 958,360 | |
| 60,000 | Applied Materials, Inc. | 1,170,600 | |
| 120,000 | Cisco Systems, Inc.* | 2,890,800 | |
| 100,000 | Dell Inc.* | 1,992,000 | |
| 165,000 | EMC Corp. | 2,366,100 | |
| 260,000 | Flextronics International Ltd.* | 2,441,400 | |
| 75,000 | Linear Technology Corp. | 2,301,750 | |
| 46,000 | Qlogic Corp.* | 706,100 | |
| 30,000 | Qualcomm Inc. | 1,230,000 | |
| 90,000 | Xilinx Inc. | 2,137,500 | |
| 90,000 | Yahoo! Inc.* | 2,603,700 | |
| 60,000 | Zebra Technologies Corp.-Class A* | 1,999,200 | |
| Total Long-Term Investments | |||
| (Cost $134,734,013) | $111,974,520 |
||
* Non-income producing.
| Contracts (100 shares per contract) | Call Options Written | Expiration Date | Exercise Price | Market Value |
| 100 | Affiliated Managers Group, Inc. | September 2008 | 80.00 | $176,500 |
| 195 | Affiliated Managers Group, Inc. | September 2008 | 110.00 | 83,850 |
| 520 | Altera Corp. | June 2008 | 17.50 | 101,400 |
| 300 | American Eagle Outfitters, Inc. | August 2008 | 25.00 | 9,750 |
| 692 | American Eagle Outfitters, Inc. | January 2009 | 25.00 | 62,280 |
| 472 | American Express Co. | October 2008 | 42.50 | 297,360 |
| 98 | Amgen, Inc. | July 2008 | 47.50 | 13,965 |
| 409 | Amgen, Inc. | January 2009 | 50.00 | 102,864 |
| 300 | Applied Materials, Inc. | July 2008 | 19.00 | 58,500 |
| 300 | Applied Materials, Inc. | January 2009 | 20.00 | 75,750 |
| 300 | Bed Bath & Beyond, Inc. | August 2008 | 32.50 | 63,750 |
| 900 | Bed Bath & Beyond, Inc. | January 2009 | 30.00 | 400,500 |
| 255 | Best Buy Co., Inc. | September 2008 | 40.00 | 142,800 |
| 150 | Best Buy Co., Inc. | September 2008 | 47.50 | 34,875 |
| 200 | Best Buy Co., Inc. | September 2008 | 50.000 | 32,500 |
| 100 | Biogen Idec | July 2008 | 65.00 | 38,500 |
| 50 | Biogen Idec | October 2008 | 55.00 | 56,250 |
| 100 | Biogen Idec | January 2009 | 60.00 | 100,500 |
| 300 | Capital One Financial Corp. | June 2008 | 50.00 | 157,500 |
| 347 | Capital One Financial Corp. | January 2009 | 45.00 | 425,075 |
| 500 | Check Point Software Technologies Ltd | July 2008 | 22.50 | 82,500 |
| 200 | Check Point Software Technologies Ltd | January 2009 | 22.50 | 55,500 |
| 300 | Cisco Systems, Inc. | January 2009 | 25.00 | 83,550 |
| 800 | Cisco Systems, Inc. | January 2009 | 27.50 | 145,200 |
| 300 | Citigroup, Inc. | September 2008 | 30.00 | 18,300 |
| 500 | Coach Inc. | May 2008 | 30.00 | 123,750 |
| 371 | Coach Inc. | August 2008 | 27.50 | 196,630 |
| 244 | Coach Inc. | August 2008 | 30.00 | 95,160 |
| 275 | Countrywide Financial Corp. | July 2008 | 7.50 | 8,388 |
| 100 | Countrywide Financial Corp. | January 2009 | 5.00 | 16,250 |
| 175 | Countrywide Financial Corp. | January 2009 | 7.50 | 12,250 |
| 250 | eBay Inc. | April 2008 | 37.50 | 1,125 |
| 250 | eBay Inc. | October 2008 | 27.50 | 125,625 |
| 400 | eBay Inc. | January 2009 | 27.50 | 74,800 |
| 250 | EMC Corp. | October 2008 | 17.00 | 21,750 |
| 400 | EMC Corp. | January 2009 | 15.00 | 77,800 |
| 600 | EMC Corp. | January 2009 | 17.50 | 64,200 |
| 500 | Flextronics International Ltd. | January 2009 | 10.00 | 62,500 |
| 584 | Flextronics International Ltd. | January 2009 | 12.50 | 29,200 |
| 230 | Franklin Resources, Inc. | October 2008 | 90.00 | 379,500 |
| 400 | Garmin, Ltd | July 2008 | 65.00 | 130,000 |
| 167 | Garmin, Ltd | October 2008 | 60.00 | 116,900 |
| 250 | Genentech Inc. | January 2009 | 70.00 | 387,500 |
| 20 | Google, Inc.-Class A | June 2008 | 510.00 | 20,900 |
| 20 | Google, Inc.-Class A | June 2008 | 530.00 | 13,800 |
| 48 | Google, Inc.-Class A | September 2008 | 430.00 | 266,400 |
| 900 | Home Depot, Inc. | August 2008 | 27.50 | 259,200 |
| 1,030 | Intuit Inc. | January 2009 | 35.00 | 92,700 |
| 540 | Kohl's Corp. | April 2008 | 50.00 | 8,100 |
| 130 | Kohl's Corp. | July 2008 | 45.00 | 49,400 |
| 500 | Linear Technology Corp. | August 2008 | 32.50 | 81,250 |
| 250 | Linear Technology Corp. | January 2009 | 30.00 | 95,000 |
| 1,100 | Lowe's Cos, Inc. | January 2008 | 27.50 | 178,750 |
| 500 | Marshall & Ilsley Corp. | June 2008 | 25.00 | 66,250 |
| 463 | Marshall & Ilsley Corp. | September 2008 | 22.50 | 152,790 |
| 50 | Marshall & Ilsley Corp. | January 2009 | 25.00 | 14,500 |
| 307 | Marshall & Ilsley Corp. | January 2009 | 30.00 | 38,375 |
| 210 | Medtronic Inc. | August 2008 | 47.50 | 70,350 |
| 350 | Medtronic Inc. | January 2009 | 50.00 | 126,000 |
| 200 | Merrill Lynch & Co, Inc. | July 2008 | 57.50 | 19,100 |
| 400 | Merrill Lynch & Co, Inc. | October 2008 | 45.00 | 223,000 |
| 100 | MGIC Investment Corp. | June 2008 | 25.00 | 500 |
| 200 | MGIC Investment Corp. | September 2008 | 20.00 | 5,500 |
| 100 | MGIC Investment Corp. | January 2009 | 20.00 | 9,250 |
| 100 | Midcap SPDR Trust Series 1 | September 2008 | 140.00 | 112,000 |
| 600 | Morgan Stanley & Co. | January 2009 | 55.00 | 243,000 |
| 113 | Mylan, Inc. | April 2008 | 17.50 | 565 |
| 1,137 | Mylan, Inc. | January 2009 | 15.00 | 99,488 |
| 500 | Powershares QQQ | April 2008 | 46.00 | 12,750 |
| 100 | Powershares QQQ | May 2008 | 43.00 | 22,700 |
| 460 | Qlogic Corp. | April 2008 | 15.00 | 34,500 |
| 300 | Qualcomm Inc. | January 2009 | 40.00 | 183,750 |
| 650 | Starbucks Corp. | January 2009 | 22.50 | 64,675 |
| 1,000 | Symantec Corp. | January 2009 | 17.50 | 187,500 |
| 100 | Target Corp. | July 2008 | 47.50 | 68,500 |
| 600 | Target Corp. | January 2009 | 60.00 | 252,000 |
| 160 | Unit Corp. | September 2008 | 50.00 | 146,400 |
| 292 | UnitedHealth Group | September 2008 | 35.00 | 99,280 |
| 600 | Wells Fargo & Co. | July 2008 | 27.50 | 231,000 |
| 300 | Wells Fargo & Co. | January 2009 | 30.00 | 114,000 |
| 121 | Williams-Sonoma, Inc | August 2008 | 25.00 | 31,157 |
| 879 | Williams-Sonoma, Inc. | August 2008 | 27.50 | 138,442 |
| 500 | Xilinx Inc. | September 2008 | 22.50 | 155,000 |
| 400 | Xilinx Inc. | January 2009 | 25.00 | 101,000 |
| 300 | Yahoo! Inc. | July 2008 | 25.00 | 159,000 |
| 600 | Yahoo! Inc. | January 2009 | 25.00 | 354,000 |
| 600 | Zebra Technologies Corp. - CL A | August 2008 | 35.00 | 124,500 |
| 240 | Zimmer Holdings, Inc. | January 2009 | 70.00 | 308,400 |
| Total Call Options Written | (Premiums Received $10,886,993) | $9,777,569 |
| Contracts (100 shares per contract) | Put Options Written | Expiration Date | Exercise Price | Market Value |
| 480 | American Eagle Outfitters, Inc | May 2008 | 22.50 | 244,800 |
| 500 | Cisco Systems, Inc. | January 2009 | 25.00 | 163,750 |
| Total Put Options Written | (Premiums Received $255,185) | $408,550 |
| US Treasury Note- 3.2% | |
| Issued 5/31/2007 at 4.875%, due 5/31/2008. Proceeds at maturity are $3,000,000. (Cost $3,014,318) | $3,017,814 |
| Repurchase Agreement - 4.8% | |
| US Bank issued 3/31/08 at 1.50%, due 4/1/08,
collateralized by $4,607,607 in Freddie Mac MBS due 8/01/18. Proceeds at maturity are $4,517,188 (Cost $4,517,000). |
$4,517,000 |
| Total Investments - 126.7% | |
| (Cost $142,265,331) | $119,509,334 |
| Cash and other assets less liabilities - 0.1% | 52,421 |
| Line of Credit - (15.9%) | (15,000,000) |
| Total Call Options Written - (10.4%) | (9,777,569) |
| Total Put Options Written - (0.5%) | (408,550) |
| Net Assets - 100% | $94,375,636 |
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 15, 2008
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 15, 2008
By: (signature)
Greg Hoppe, Chief Financial Officer
Date: May 15, 2008