|
COMMON STOCK - 75.1%
|
Shares
|
Value (Note 1)
|
|
Consumer Discretionary - 15.2%
|
||
|
American Eagle Outfitters Inc.
|
80,000
|
$1,271,200
|
|
Best Buy Co. Inc.
|
70,000
|
2,010,400
|
|
Garmin Ltd.
|
19,600
|
663,656
|
|
Home Depot Inc.
|
21,900
|
811,614
|
|
Kohl's Corp.
|
21,500
|
1,140,360
|
|
Lowe's Cos. Inc.
|
110,000
|
2,907,300
|
|
Staples Inc.
|
80,000
|
1,553,600
|
|
Target Corp.
|
40,000
|
2,000,400
|
|
12,358,530
|
||
|
Energy - 10.5%
|
||
|
Apache Corp.
|
13,400
|
1,754,328
|
|
EOG Resources Inc.
|
19,000
|
2,251,690
|
|
Exxon Mobil Corp.
|
3,592
|
302,195
|
|
Noble Corp.*
|
30,000
|
1,368,600
|
|
Schlumberger Ltd.
|
22,000
|
2,051,720
|
|
Southwestern Energy Co.*
|
20,000
|
859,400
|
|
8,587,933
|
||
|
Financials - 10.7%
|
||
|
American Express Co.
|
54,000
|
2,440,800
|
|
Bank of America Corp.
|
27,000
|
1,692,910
|
|
Morgan Stanley
|
80,000
|
2,185,600
|
|
State Street Corp.
|
40,000
|
1,797,600
|
|
Wells Fargo & Co.
|
20,000
|
634,000
|
|
8,750,910
|
||
|
Health Care - 19.0%
|
||
|
Celgene Corp.*
|
50,000
|
2,876,500
|
|
Gilead Sciences Inc.*
|
55,000
|
2,334,200
|
|
Medtronic Inc.
|
35,000
|
1,377,250
|
|
Mylan Inc./PA*
|
70,000
|
1,586,900
|
|
Pfizer Inc.
|
69,800
|
1,417,638
|
|
Teva Pharmaceutical Industries Ltd., ADR
|
45,000
|
2,257,650
|
|
UnitedHealth Group Inc.
|
53,200
|
2,404,640
|
|
Zimmer Holdings Inc.*
|
21,000
|
1,271,130
|
|
15,525,908
|
||
|
Information Technology - 19.7%
|
||
|
Adobe Systems Inc.*
|
55,000
|
1,823,800
|
|
Applied Materials Inc.
|
60,000
|
937,200
|
|
Cisco Systems Inc.
|
130,000
|
2,229,500
|
|
eBay Inc.*
|
30,000
|
931,200
|
|
EMC Corp./Massachusetts*
|
30,000
|
796,500
|
|
Flextronics International Ltd.*
|
184,900
|
1,381,203
|
|
Google Inc., Class A*
|
4,000
|
2,344,840
|
|
Microsoft Corp.
|
70,000
|
1,775,200
|
|
Symantec Corp.*
|
25,000
|
463,500
|
|
Visa Inc., Class A
|
35,000
|
2,576,700
|
|
Yahoo! Inc.*
|
50,000
|
832,500
|
|
16,092,143
|
||
|
Total Common Stock (Cost $61,244,555)
|
$61,315,424
|
|
|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 0.7%
|
||
|
U.S. Treasury Note - 0.7%
|
||
|
0.875%, 4/30/11
|
550,000
|
550,360
|
|
Total U.S. Government and Agency Obligations
|
550,360
|
|
|
(Cost $550,360)
|
||
|
INVESTMENT COMPANIES - 4.3%
|
||
|
iPATH S&P 500 VIX Short-Term Futures ETN*
|
40,000
|
1,174,400
|
|
Powershares QQQ Trust Series 1
|
40,000
|
2,297,200
|
|
Total Investment Companies (Cost $3,707,857)
|
3,471,600
|
|
|
Repurchase Agreement - 24.8%
|
||
|
With U.S. Bank National Association issued 3/31/11 at
|
||
|
0.01%, due 4/1/11, collateralized by $20,638,845 in
|
||
|
Freddie Mac MBS #G11649 due 2/1/20. Proceeds
|
||
|
at maturity are $20,234,007 (Cost $20,234,002)
|
20,234,002
|
|
|
TOTAL INVESTMENTS - 104.9% (Cost $85,736,774)
|
85,571,386
|
|
|
NET OTHER ASSETS AND LIABILITIES -
|
39,873
|
|
|
Total Call Options Written - (4.9%)
|
(3,995,546)
|
|
|
TOTAL ASSETS - 100%
|
$81,615,713
|
|
|
*Non-income producing
|
||
|
ADR-American Depository Receipt
|
||
|
ETN-Exchange Traded Note
|
||
|
Call Options Written
|
Contracts
|
Expiration
|
Strike Price
|
Market Value
|
||||
|
Adobe Systems Inc.
|
300
|
April 2011
|
33.00
|
24,600
|
||||
|
Adobe Systems Inc.
|
250
|
July 2011
|
34.00
|
45,500
|
||||
|
American Eagle Outfitters Inc.
|
276
|
May 2011
|
16.50
|
17,250
|
||||
|
American Eagle Outfitters Inc.
|
500
|
August 2011
|
16.00
|
70,000
|
||||
|
American Express Co.
|
240
|
April 2011
|
44.00
|
37,680
|
||||
|
American Express Co.
|
300
|
July 2011
|
47.50
|
39,300
|
||||
|
Apache Corp.
|
134
|
July 2011
|
110.00
|
307,195
|
||||
|
Applied Materials Inc.
|
200
|
July 2011
|
13.00
|
56,800
|
||||
|
Applied Materials Inc.
|
200
|
July 2011
|
14.00
|
40,400
|
||||
|
Applied Materials Inc.
|
200
|
July 2011
|
16.00
|
15,700
|
||||
|
Bank of America Corp.
|
600
|
April 2011
|
14.00
|
6,900
|
||||
|
Bank of America Corp.
|
370
|
August 2011
|
15.00
|
15,355
|
||||
|
Celgene Corp.
|
100
|
April 2011
|
60.00
|
2,300
|
||||
|
Celgene Corp.
|
200
|
July 2011
|
57.50
|
66,000
|
||||
|
eBay Inc.
|
300
|
April 2011
|
26.00
|
152,250
|
||||
|
EMC Corp./Massachusetts
|
300
|
April 2011
|
22.00
|
136,500
|
||||
|
EOG Resources Inc.
|
190
|
April 2011
|
95.00
|
454,100
|
||||
|
Exxon Mobil Corp.
|
8
|
April 2011
|
72.50
|
9,400
|
||||
|
Flextronics International Ltd.
|
500
|
January 2012
|
10.00
|
12,750
|
||||
|
Garmin Ltd.
|
196
|
April 2011
|
32.00
|
39,788
|
||||
|
Gilead Sciences Inc.
|
300
|
May 2011
|
39.00
|
121,500
|
||||
|
Gilead Sciences Inc.
|
250
|
August 2011
|
39.00
|
123,125
|
||||
|
Home Depot Inc.
|
219
|
May 2011
|
32.00
|
114,428
|
||||
|
iPATH S&P 500 VIX Short-Term Futures ETN
|
200
|
May 2011
|
35.00
|
26,700
|
||||
|
Kohl's Corp.
|
115
|
July 2011
|
52.50
|
33,350
|
||||
|
Lowe's Cos. Inc.
|
300
|
April 2011
|
23.00
|
105,000
|
||||
|
Lowe's Cos. Inc.
|
600
|
July 2011
|
26.00
|
99,900
|
||||
|
Medtronic Inc.
|
200
|
May 2011
|
38.00
|
38,700
|
||||
|
Morgan Stanley
|
400
|
July 2011
|
28.00
|
50,200
|
||||
|
Morgan Stanley
|
400
|
July 2011
|
30.00
|
22,200
|
||||
|
Mylan Inc./PA
|
200
|
April 2011
|
21.00
|
34,500
|
||||
|
Mylan Inc./PA
|
500
|
July 2011
|
21.00
|
118,250
|
||||
|
Noble Corp.
|
300
|
June 2011
|
38.00
|
246,750
|
||||
|
Pfizer Inc.
|
300
|
June 2011
|
19.00
|
47,250
|
||||
|
Pfizer Inc.
|
300
|
September 2011
|
20.00
|
38,100
|
||||
|
Powershares QQQ Trust Series 1
|
308
|
April 2011
|
55.00
|
81,620
|
||||
|
Schlumberger Ltd.
|
220
|
May 2011
|
80.00
|
306,900
|
||||
|
Southwestern Energy Co.
|
200
|
June 2011
|
39.00
|
101,500
|
||||
|
State Street Corp.
|
200
|
August 2011
|
45.00
|
57,800
|
||||
|
Symantec Corp.
|
250
|
July 2011
|
18.00
|
37,375
|
||||
|
Teva Pharmaceutical Industries Ltd.
|
200
|
June 2011
|
52.50
|
21,700
|
||||
|
UnitedHealth Group Inc.
|
300
|
June 2011
|
37.00
|
254,250
|
||||
|
UnitedHealth Group Inc.
|
232
|
June 2011
|
43.00
|
78,880
|
||||
|
Visa Inc.
|
200
|
June 2011
|
72.50
|
85,500
|
||||
|
Wells Fargo & Co.
|
200
|
April 2011
|
31.00
|
21,000
|
||||
|
Yahoo! Inc.
|
500
|
July 2011
|
18.00
|
41,750
|
||||
|
Zimmer Holdings Inc.
|
210
|
June 2011
|
55.00
|
137,550
|
||||
|
Total Call Options Written
|
$3,995,546
|
|||||||
|
(Premiums received $2,462,993)
|
||||||||
|
1. Portfolio Valuation: Securities traded on a national securities exchange are valued at their closing sale price except for securities traded on NASDAQ which are valued at the NASDAQ official closing price (“NOCP”) and options which are valued at the mean between the best bid and best ask price across all option exchanges. 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.
|
|
The Fund has adopted the Financial Accounting Standards Board (“FASB”) applicable guidance on fair value measurements. Fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data “inputs” and minimize the use of unobservable “inputs” and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique). Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
|
|
Level 1 –quoted prices in active markets for identical investments
|
|
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads, and other relationships observed in the markets among comparable securities, underlying equity of the issuer, and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data etc.)
|
|
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
|
|
The valuation techniques used by the funds to measure fair value for the period ended March 31, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs. At March 31, 2011 and for the six-month period then ended, the Fund held no Level 3 securities.
|
|
The following is a summary of the inputs used as of March 31, 2011 in valuing the funds’ investments carried at fair value:
|
|
Quoted Prices in Active Markets for Identical Investments
|
Significant Other Observable Inputs
|
Significant Unobservable Inputs
|
Value at
|
|
|
Fund
|
(Level 1)
|
(Level 2)
|
(Level 3)
|
3/31/2011
|
|
Madison Strategic Sector Premium Fund
|
||||
|
Assets:
|
||||
|
Common Stocks
|
$ 61,315,424
|
$ -
|
$ -
|
$ 61,315,424
|
|
Investment Companies
|
3,471,600
|
3,471,600
|
||
|
U.S. Government and Agency Obligations
|
550,360
|
550,360
|
||
|
Repurchase Agreement
|
20,234,002
|
20,234,002
|
||
|
$ 64,787,024
|
$20,784,362
|
$ -
|
$85,571,386
|
|
|
Liabilities:
|
||||
|
Written Options
|
$ 3,995,546
|
$ -
|
$ -
|
$ 3,995,546
|
|
$ 3,995,546
|
$ -
|
$ -
|
$ 3,995,546
|
|
|
Please see the Portfolio of Investments for the listing of all securities within each category.
The Fund has adopted the Accounting Standard Update, Fair Value Measurements and Disclosures; Improving Disclosures about Fair Value Measurements which provides guidance on how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose i) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, ii) transfers between all levels (including Level 1 and Level 2) will be required to be disclosed on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfer and iii) purchases, sales, issuances and settlements must be shown on a gross basis in the Level 3 rollforward rather than as one net number. The effective date of the amendment is for interim and annual periods beginning after December 15, 2009, however, the requirement to provide the Level 3 activity for purchases, sales, issuance and settlements on a gross basis will be effective for interim and annual period beginning after December 15, 2010. There were no transfers between classification levels during the period ended March 31, 2011.
|
|
Derivatives: In March 2008, FASB issued guidance intended to enhance financial statement disclosures for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative investments, b) how derivative instruments and related hedge fund items are accounted for, and c) how derivative instruments and related hedge fund items affect a fund’s financial position, results of operations and cash flows
|
|
The following table presents the types of derivatives in the Madison Strategic Sector Premium Fund (i.e. MSP) and their effect:
|
|
Asset Derivatives
|
Liability Derivatives
|
||||
|
Derivatives not accounted
|
Statement of Assets and
|
Fair Value
|
Statement of Assets and
|
Fair Value
|
|
|
for as hedging instruments
|
Liabilities Location
|
Liabilities Location
|
|||
|
Equity contracts
|
$-
|
Options Written
|
$3,995,546
|
||
|
The following table presents the effect of Derivative Instruments on the Statement of Operations for the period
|
|||||
|
ended March 31, 2011
|
|||||
|
Derivatives not accounted
|
Change in Unrealized
|
||||
|
for as hedging instruments
|
Realized Gain on Derivatives:
|
Depreciation on Derivatives
|
|||
|
Equity contracts
|
770,188
|
1,282,604
|
|||