Madison Strategic Sector Premium Fund Form N-Q September 30, 2008

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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, 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 - September 30, 2008 (unaudited)

Number of Shares Value
Common Stocks - 114.7%
Consumer Services - 9.3%
95,000 eBay Inc.*  $      2,126,100
56,700 Garmin Ltd.         1,924,398
2,000 Google, Inc-Class A*            801,040
103,000 Intuit Inc.*         3,255,830
Consumer Discretionary -  26.9%
167,200 American Eagle Outfitters, Inc.         2,549,800
120,000 Bed Bath & Beyond Inc.*         3,769,200
60,500 Best Buy Co, Inc.         2,268,750
67,000 Coach Inc.*         1,677,680
30,300 Home Depot, Inc.            784,467
67,000 Kohls Corp.*         3,087,360
110,000 Lowe's Cos, Inc.         2,605,900
105,000 Starbucks Corp.*         1,561,350
70,000 Target Corp.         3,433,500
100,000 Williams-Sonoma, Inc.         1,618,000
Exchange Traded Funds  -   2.7%
60,000 Powershares QQQ         2,334,600
Energy -  9.5%
28,000 Apache Corp.         2,919,840
22,000 Schlumberger Ltd.         1,717,980
16,000 Transocean Inc.         1,757,440
40,000 XTO Energy Inc.         1,860,800
Financials - 25.1%
20,300 Affiliated Managers Group, Inc.*         1,681,855
47,200 American Express Co.         1,672,296
10,021 Bank of America Corp.            350,735
70,000 Capital One Financial Corp.         3,570,000
90,000 Citigroup, Inc.         1,845,900
23,000 Franklin Resources Inc.         2,026,990
90,000 Marshall & Ilsley Corp.         1,813,500
70,000 Merrill Lynch & Co., Inc.         1,771,000
60,000 Morgan Stanley & Co.         1,380,000
27,600 State Street Corp.         1,569,888
110,000 Wells Fargo & Co.         4,128,300
Health Care - 20.0%
40,900 Amgen, Inc.*         2,424,143
43,100 Biogen Idec*         2,167,499
20,000 Genentech Inc.*         1,773,600
35,000 Medtronic Inc.         1,753,500
125,000 Mylan, Inc.*         1,427,500
109,800 Pfizer Inc.         2,024,712
86,000 UnitedHealth Group         2,183,540
35,000 Waters Corp.*         2,036,300
24,000 Zimmer Holdings, Inc.*         1,549,440
Insurance - 0.3%
40,000 MGIC Investment Corp.*            281,200
Software - 2.8%
20,000 Check Point Software Technologies Ltd.*            454,800
100,000 Symantec Corp.*         1,958,000
Technology - 18.1%
60,000 Applied Materials, Inc.            907,800
140,000 Cisco Systems, Inc.*         3,158,400
100,000 Dell Inc.*         1,648,000
165,000 EMC Corp.         1,973,400
260,000 Flextronics International Ltd.*         1,840,800
25,000 Linear Technology Corp.            766,500
30,000 Qualcomm Inc.         1,289,100
40,000 Xilinx Inc.            938,000
90,000 Yahoo! Inc.*         1,557,000
60,000 Zebra Technologies Corp.-Class A*         1,671,000
Total Long-Term Investments
(Cost $130,658,204)

$99,648,733

* Non-income producing

 

Contracts
(100 shares Expiration Exercise Market
per contract) Call Options Written   Date Price Value
750 American Eagle Outfitters, Inc. January 2009               25.00

       37,500

622 American Eagle Outfitters, Inc. January 2009               20.00

         6,220

472 American Express Co. October 2008               42.50          14,160
409 Amgen, Inc. January 2009               50.00      464,215
164 Apache Corp. October 2008             115.00          36,490
116 Apache Corp. October 2008             120.00          14,500
300 Applied Materials, Inc. January 2009               20.00           8,250
300 Applied Materials, Inc. January 2009               19.00            5,250
100 Bank of America November 2008               27.50          91,250
972 Bed Bath & Beyond, Inc. January 2009               30.00       374,220
228 Bed Bath & Beyond, Inc. February 2009               32.50          67,830
255 Best Buy Co., Inc. January 2009               45.00          28,687
50 Biogen Idec  October 2008               55.00            3,375
281 Biogen Idec  January 2009               60.00          58,307
100 Biogen Idec  January 2009               70.00            6,750
700 Capital One Financial Corp. January 2009               45.00        829,500
200 Check Point Software Technologies Ltd. January 2009               22.50          38,500
300 Cisco Systems, Inc. January 2009               25.00          32,550
900 Cisco Systems, Inc. January 2009               27.50          41,850
50 Citigroup, Inc. December 2008               20.00          15,750
250 Citigroup, Inc. January 2009               22.50          55,125
670 Coach Inc. February 2009               30.00        113,900
400 Dell Inc. January 2009               22.50          12,000
600 Dell Inc. January 2009               25.00            8,100
250 eBay Inc. October 2008               27.50            2,250
350 eBay Inc. October 2008               32.50            1,750
350 eBay Inc. January 2009               25.00          42,525
250 EMC Corp. October 2008               17.00            1,250
400 EMC Corp. January 2009               15.00          17,400
1,000 EMC Corp. January 2009               17.50          17,500
500 Flextronics International Ltd. January 2009               10.00          11,000
584 Flextronics International Ltd. January 2009               12.50            5,548
230 Franklin Resources, Inc. October 2008               90.00        116,150
367 Garmin, Ltd. October 2008               60.00            1,835
200 Garmin, Ltd. January 2009               40.00          25,000
200 Genentech Inc. January 2009               70.00       427,000
303 Home Depot, Inc. February 2009               27.50          68,933
942 Intuit Inc. January 2009               35.00        113,040
88 Intuit Inc. April 2009               32.50          27,720
540 Kohl's Corp. October 2008               55.00            2,700
130 Kohl's Corp. January 2009               55.00          25,350
250 Linear Technology Corp. January 2009               30.00          70,625
1,100 Lowe's Cos, Inc. January 2009               27.50        132,000
300 Marshall & Ilsley Corp. January 2009               20.00        111,000
50 Marshall & Ilsley Corp. January 2009               25.00            8,750
450 Marshall & Ilsley Corp. January 2009               30.00          37,125
350 Medtronic Inc. January 2009               50.00        113,750
350 Merrill Lynch & Co, Inc. October 2008               45.00            1,750
150 Merrill Lynch & Co, Inc. January 2009               31.00          24,225
200 MGIC Investment Corp. October 2008               10.00            3,500
100 MGIC Investment Corp. January 2009               20.00               500
100 MGIC Investment Corp. January 2009               10.00            6,250
600 Morgan Stanley & Co. January 2009               55.00            3,000
1,137 Mylan, Inc. January 2009               15.00         34,110
300 Powershares QQQ November 2008               46.00            6,450
300 Powershares QQQ December 2008               43.00          29,250
300 Qualcomm Inc. January 2009               40.00      180,000
100 Schlumberger Ltd. November 2008               90.00          26,500
200 Starbucks Corp. October 2008               16.00            4,800
650 Starbucks Corp. January 2009               17.50          47,125
276 State Street Corp. November 2008               75.00          42,780
1,000 Symantec Corp. January 2009               17.50       300,000
100 Target Corp. January 2009               52.50          37,000
600 Target Corp. January 2009               60.00          91,500
160 Transocean, Inc. February 2009             130.00          87,200
568 UnitedHealth Group March 2009               30.00        105,080
150 Waters Corp. November 2008               55.00          84,000
200 Waters Corp. November 2008               65.00          25,000
200 Wells Fargo & Co. January 2009               27.50        232,000
900 Wells Fargo & Co. January 2009               30.00        859,500
400 Xilinx Inc. January 2009               25.00          53,000
400 XTO Energy Inc. November 2008               50.00        130,000
600 Yahoo! Inc. January 2009               25.00          34,200
125 Zebra Technologies Corp. - Class A February 2008               35.00            6,563
240 Zimmer Holdings, Inc. January 2009               70.00          57,600
Total Call Options Written (Premiums Received $9,615,747) $6,257,363

 

Contracts
(100 shares Expiration Exercise Market
per contract) Put Options Written   Date Price Value
500 Cisco Systems, Inc. January 2009 25.00        168,750
Total Put Options Written (Premiums Received $137,008)

 $168,750


US Treasury Note- 1.6%
Issued 1/31/2008 at 4.875%, due 1/31/2009
Proceeds at maturity are $1,350,000
(Cost $1,369,562)         1,367,508
Repurchase Agreement - 6.6%
US Bank issued 9/30/08 at 0.50%, due
10/1/08, collateralized by $5,831,411 in Freddie 
Mac MBS due 9/01/18.  Proceeds at
maturity are $5,699,836 (Cost $5,699,757).         5,699,757
Total Investments - 122.9%
(Cost $137,727,523)     106,715,998
Liabilities less Cash and other assets - 0.1%              (9,580)
Line of Credit - (15.4%)      (13,365,000)
Total Call Options Written - (7.2%)        (6,257,363)
Total Put Options Written - (0.2%)           (168,750)
Net Assets - 100%

 $86,915,305

 

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 99,648,733                    -   99,648,733
Level 2:   Other significant observable inputs   7,067,265                    -   7,067,265
Level 3:  Significant unobservable inputs                    -                      -                   -  
Total 106,715,998                    -   106,715,998
Liabilities:
Level 1:  Quoted Prices                    -   6,426,113 6,426,113
Level 2:   Other significant observable inputs                      -                      -                   -  
Level 3:  Significant unobservable inputs                    -                      -                   -  
Total                    -   6,426,113 6,426,113

*Consists of call and put options written

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: November 19, 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:  November 19, 2008

By:  (signature)

Greg Hoppe, Chief Financial Officer

Date: November 19, 2008