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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, 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 - September 30, 2009 (unaudited)
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Number |
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of Shares |
Value |
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COMMON STOCKS: 108.4% of net assets |
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CONSUMER DISCRETIONARY: |
22.2% |
|||||||||
|
American Eagle Outfitters, Inc. |
91,400 |
$1,541,004 |
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Bed Bath & Beyond Inc.* |
70,000 |
2,627,800 |
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Best Buy Co, Inc. |
54,800 |
2,056,096 |
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Coach Inc. |
20,000 |
658,400 |
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Home Depot, Inc. |
30,300 |
807,192 |
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Kohls Corp.* |
54,000 |
3,080,700 |
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Lowe's Cos, Inc. |
110,000 |
2,303,400 |
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Starbucks Corp.* |
40,000 |
826,000 |
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Target Corp. |
70,000 |
3,267,600 |
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Williams-Sonoma, Inc. |
25,000 |
505,750 |
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CONSUMER SERVICES: |
7.7% |
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eBay Inc.* |
127,000 |
2,998,470 |
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Garmin Ltd. |
60,000 |
2,264,400 |
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Intuit Inc.* |
30,000 |
855,000 |
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|
ENERGY: |
10.6% |
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|
Apache Corp. |
28,000 |
2,571,240 |
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|
Schlumberger Ltd. |
22,000 |
1,311,200 |
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Transocean Ltd. |
29,000 |
2,480,370 |
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Unit Corp. |
10,000 |
412,500 |
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|
XTO Energy Inc. |
40,000 |
1,652,800 |
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|
EXCHANGE TRADED FUNDS |
3.2% |
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|
Powershares QQQ |
60,000 |
2,535,000 |
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|
FINANCIALS: |
17.7% |
|||||||||
|
Affiliated Managers Group, Inc.* |
31,000 |
2,015,310 |
||||||||
|
American Express Co. |
100 |
3,390 |
||||||||
|
Bank of America Corp. |
61,867 |
1,046,789.64 |
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|
Capital One Financial Corp. |
67,800 |
2,422,494 |
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|
Citigroup, Inc. |
190,000 |
919,600 |
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|
Marshall & Ilsley Corp. |
95,000 |
766,650 |
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Morgan Stanley & Co. |
40,000 |
1,235,200 |
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|
State Street Corp. |
50,000 |
2,630,000 |
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Wells Fargo & Co. |
110,000 |
3,099,800 |
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HEALTH CARE: |
22.1% |
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|
Biogen Idec* |
43,100 |
2,177,412 |
||||||||
|
Genzyme Corp.* |
40,000 |
2,269,200 |
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|
Gilead Sciences Inc.* |
45,000 |
2,096,100 |
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Medtronic Inc. |
35,000 |
1,288,000 |
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|
Mylan, Inc.* |
125,000 |
2,001,250 |
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|
Pfizer Inc. |
109,800 |
1,817,190 |
||||||||
|
UnitedHealth Group, Inc. |
86,000 |
2,153,440 |
||||||||
|
Waters Corp.* |
35,000 |
1,955,100 |
||||||||
|
Zimmer Holdings, Inc.* |
35,000 |
1,870,750 |
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|
INSURANCE: |
3.7% |
|||||||||
|
Aflac Inc. |
65,000 |
2,778,100 |
||||||||
|
MGIC Investment Corp.* |
25,000 |
185,250 |
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|
SOFTWARE: |
1.9% |
|||||||||
|
Check Point Software Technologies Ltd.* |
10,000 |
283,500 |
||||||||
|
Symantec Corp.* |
75,000 |
1,235,250 |
||||||||
|
TECHNOLOGY: |
19.3% |
|||||||||
|
Applied Materials, Inc. |
40,000 |
536,000 |
||||||||
|
Cisco Systems, Inc.* |
170,000 |
4,001,800 |
||||||||
|
Dell Inc.* |
100,000 |
1,526,000 |
||||||||
|
EMC Corp.* |
190,000 |
3,237,600 |
||||||||
|
Flextronics International Ltd.* |
260,000 |
1,939,600 |
||||||||
|
Microsoft Corp. |
60,000 |
1,553,400 |
||||||||
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Yahoo! Inc.* |
60,000 |
1,068,600 |
||||||||
|
Zebra Technologies Corp.-Class A* |
60,000 |
1,555,800 |
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|
TOTAL COMMON STOCKS (Cost $111,409,355) |
$ 86,423,498 |
|||||||||
|
SHORT-TERM INVESTMENTS: |
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TOTAL INVESTMENTS: 108.4% of net assets (Cost $111,409,355) |
$ 86,423,498 |
|||||||||
|
CASH AND OTHER ASSETS LESS LIABILITIES: 4.8% |
3,788,592 |
|||||||||
|
LOAN OUTSTANDING: (2.5%) |
(2,000,000) |
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|
TOTAL CALL OPTIONS WRITTEN: (10.7%) |
(8,504,325) |
|||||||||
|
NET ASSETS: 100% |
$ 79,707,765 |
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| * Non-income producing. | ||||||||||
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Contracts |
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(100 shares |
Expiration |
Exercise |
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|
per contract) |
Date |
Price |
Value |
|||||||
|
CALL OPTIONS WRITTEN: |
||||||||||
|
Affiliated Managers Group, Inc. |
250 |
January 2010 |
50.00 |
$406,250 |
||||||
|
Aflac Inc. |
200 |
November 2009 |
28.00 |
299,000 |
||||||
|
Aflac Inc. |
150 |
November 2009 |
36.00 |
112,500 |
||||||
|
Aflac Inc. |
300 |
January 2010 |
30.00 |
397,500 |
||||||
|
American Express Co. |
1 |
October 2009 |
25.00 |
890 |
||||||
|
American Eagle Outfitters, Inc. |
600 |
January 2010 |
12.50 |
276,000 |
||||||
|
American Eagle Outfitters, Inc. |
149 |
January 2010 |
15.00 |
39,485 |
||||||
|
Apache Corp. |
260 |
October 2009 |
70.00 |
568,100 |
||||||
|
Applied Materials, Inc. |
400 |
January 2010 |
12.50 |
64,000 |
||||||
|
Bed Bath & Beyond, Inc. |
400 |
January 2010 |
30.00 |
328,000 |
||||||
|
Bed Bath & Beyond, Inc. |
50 |
January 2010 |
32.00 |
32,750 |
||||||
|
Bed Bath & Beyond, Inc. |
246 |
February 2010 |
38.00 |
75,030 |
||||||
|
Best Buy Co., Inc. |
250 |
January 2010 |
35.00 |
113,750 |
||||||
|
Biogen Idec |
295 |
January 2010 |
55.00 |
57,525 |
||||||
|
Capital One Financial Corp. |
200 |
December 2009 |
37.00 |
60,500 |
||||||
|
Check Point Software Technologies Ltd. |
93 |
October 2009 |
25.00 |
31,620 |
||||||
|
Cisco Systems, Inc. |
1,000 |
January 2010 |
20.00 |
397,500 |
||||||
|
Coach Inc. |
200 |
November 2009 |
27.50 |
118,000 |
||||||
|
Dell Inc. |
400 |
January 2010 |
15.00 |
58,000 |
||||||
|
eBay Inc. |
450 |
October 2009 |
17.00 |
293,625 |
||||||
|
eBay Inc. |
620 |
January 2010 |
20.00 |
265,050 |
||||||
|
EMC Corp. |
400 |
January 2010 |
16.00 |
73,400 |
||||||
|
EMC Corp. |
500 |
January 2010 |
12.50 |
232,500 |
||||||
|
Flextronics International Ltd. |
500 |
January 2010 |
5.00 |
131,750 |
||||||
|
Garmin, Ltd. |
200 |
January 2010 |
30.00 |
172,000 |
||||||
|
Genzyme Corp. |
200 |
October 2009 |
52.50 |
92,000 |
||||||
|
Genzyme Corp. |
200 |
January 2010 |
55.00 |
109,000 |
||||||
|
Gilead Sciences Inc. |
450 |
February 2010 |
49.00 |
114,750 |
||||||
|
Home Depot, Inc. |
300 |
February 2010 |
28.00 |
39,600 |
||||||
|
Intuit Inc. |
300 |
January 2010 |
27.50 |
66,000 |
||||||
|
Kohl's Corp. |
200 |
October 2009 |
45.00 |
242,000 |
||||||
|
Kohl's Corp. |
50 |
October 2009 |
50.00 |
35,750 |
||||||
|
Kohl's Corp. |
290 |
January 2010 |
50.00 |
249,400 |
||||||
|
Lowe's Cos, Inc. |
400 |
January 2010 |
24.00 |
21,000 |
||||||
|
Microsoft Corp. |
200 |
October 2009 |
22.00 |
76,500 |
||||||
|
Microsoft Corp. |
400 |
January 2010 |
25.00 |
77,000 |
||||||
|
Mylan, Inc. |
700 |
January 2010 |
12.50 |
262,500 |
||||||
|
Mylan, Inc. |
250 |
January 2010 |
15.00 |
45,000 |
||||||
|
Powershares QQQ |
600 |
December 2009 |
41.00 |
160,200 |
||||||
|
Starbucks Corp. |
400 |
January 2010 |
12.50 |
330,000 |
||||||
|
State Street Corp. |
200 |
November 2009 |
40.00 |
261,000 |
||||||
|
State Street Corp. |
200 |
November 2009 |
50.00 |
104,000 |
||||||
|
State Street Corp. |
100 |
January 2010 |
55.00 |
40,500 |
||||||
|
Symantec Corp. |
250 |
October 2009 |
16.00 |
18,750 |
||||||
|
Symantec Corp. |
500 |
January 2010 |
15.00 |
112,500 |
||||||
|
Target Corp. |
200 |
October 2009 |
41.00 |
115,000 |
||||||
|
Target Corp. |
200 |
January 2010 |
45.00 |
82,000 |
||||||
|
Unit Corp |
100 |
December 2009 |
35.00 |
76,000 |
||||||
|
Waters Corp. |
200 |
November 2009 |
50.00 |
138,000 |
||||||
|
Waters Corp. |
150 |
January 2010 |
45.00 |
175,500 |
||||||
|
Wells Fargo & Co. |
400 |
October 2009 |
22.50 |
226,000 |
||||||
|
Wells Fargo & Co. |
200 |
October 2009 |
27.00 |
32,500 |
||||||
|
Wells Fargo & Co. |
300 |
January 2010 |
30.00 |
54,000 |
||||||
|
Williams-Sonoma, Inc. |
250 |
February 2010 |
17.50 |
100,000 |
||||||
|
XTO Energy Inc. |
320 |
February 2010 |
44.00 |
93,600 |
||||||
|
Yahoo! Inc. |
300 |
October 2009 |
17.00 |
31,800 |
||||||
|
Zebra Technologies Corp. - Class A |
300 |
November 2009 |
22.50 |
111,000 |
||||||
|
Zebra Technologies Corp. - Class A |
300 |
February 2010 |
25.00 |
77,250 |
||||||
|
Zimmer Holdings, Inc. |
140 |
January 2010 |
45.00 |
129,500 |
||||||
|
|
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|
TOTAL CALL OPTIONS WRITTEN (Premiums Received $4,595,597) |
$8,504,325 |
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Securities Valuation: Securities traded on a national securities exchange are valued at their closing sale price. Repurchase agreements and other securities having maturities of 60 days or less are valued at amortized cost, which approximates market value. Securities having longer maturities, for which quotations are readily available, are valued at the mean between their closing bid and ask prices. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures approved by the Board of Trustees. |
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The Fund adopted Financial Accounting Standards Board ("FASB") guidance on fair value measurements effective January 1, 2008. Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. A three-tier hierarchy distinguishes between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. |
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Various inputs are used in determining the value of the Fund's investments and other financial |
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instruments. These inputs are summarized in the three broad levels listed below. |
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Level 1: Quoted prices in active markets for identical securities |
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Level 2: Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, |
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credit risk, etc.) |
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Level 3: Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) |
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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing |
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in those securities |
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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. In April 2009, the FASB issued guidance on how to determine the fair value of assets and liabilities when the volume and level of activity for the asset/liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. As of September 30, 2009, the Fund held no securities deemed as a Level 3.
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The following table represents the fund's investments carried on the Statement of Assets and Liabilities by caption and by level within the fair value hierarchy as of September 30, 2009 (unaudited): |
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Level 1 |
Level 2 |
Level 3 |
Value at 9/30/09 |
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Assets: |
|
|
|
|
|
|
Common Stocks |
$ 86,423,498 |
$ - |
$ - |
$ 86,423,498 |
|
|
Repurchase Agreement |
- |
- |
- |
- |
|
|
Total |
$ 86,423,498 |
$ - |
$ - |
$ 86,423,498 |
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Liabilities: |
|
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Written Options |
$ 8,504,325 |
$ - |
$ - |
$ 8,504,325 |
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Total |
$ 8,504,325 |
$ - |
$ - |
$ 8,504,325 |
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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, CCO
Date: November 23, 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: November 23, 2009
By: (signature)
Greg Hoppe, Chief Financial Officer
Date: November 23, 2009