N-Q 1 govtincome-nq.txt AXP GOVERNMENT INCOME SERIES, INC. UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-4260 ------------ AXP GOVERNMENT INCOME SERIES, INC. -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 50606 AXP Financial Center, Minneapolis, Minnesota 55474 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Leslie L. Ogg - 901 S. Marquette Avenue, Suite 2810, Minneapolis, MN 55402-3268 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (612) 330-9283 ----------------- Date of fiscal year end: 5/31 -------------- Date of reporting period: 2/28 -------------- PORTFOLIO HOLDINGS FOR RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND AT FEB. 28, 2006 Investments in Securities RiverSource Short Duration U.S. Government Fund Feb. 28, 2006 (Unaudited) (Percentages represent value of investments compared to net assets) Bonds (102.2%) Issuer Coupon Principal Value(a) rate amount U.S. Government Obligations & Agencies (47.3%) Federal Farm Credit Bank 07-17-06 2.13% $15,100,000 $14,950,057 10-02-06 2.38 14,600,000 14,389,979 10-10-08 4.25 6,015,000 5,923,758 Federal Home Loan Bank 05-15-06 3.00 25,570,000 25,473,857 09-15-06 3.50 30,000,000 29,776,410 10-19-07 4.13 35,000,000 34,565,720 01-18-08 4.63 22,000,000 21,886,480 04-18-08 4.13 22,660,000 22,314,231 11-21-08 4.63 6,500,000 6,450,496 Federal Home Loan Mtge Corp 09-15-06 3.63 34,500,000 34,270,920 01-30-07 3.00 10,950,000 10,736,355 08-17-07 4.00 16,890,000 16,670,362 10-15-08 5.13 11,385,000 11,441,105 Federal Natl Mtge Assn 03-02-07 3.00 16,000,000 15,696,912 10-15-08 4.50 22,165,000 21,937,432 U.S. Treasury 06-30-07 3.63 89,109,000(b) 87,848,910 09-30-07 4.00 15,520,000 15,352,679 11-30-07 4.25 39,901,000(b) 39,600,186 02-15-08 3.38 103,005,000(b,l) 100,518,357 02-15-16 4.50 16,625,000(b) 16,562,656 08-15-23 6.25 4,355,000 5,149,448 02-15-26 6.00 7,160,000 8,368,808 Total 559,885,118 Commercial Mortgage-Backed (0.6%)(f) Federal Natl Mtge Assn #360800 01-01-09 5.74 3,153,405 3,177,692 Federal Natl Mtge Assn #381990 10-01-09 7.11 4,227,753 4,475,275 Total 7,652,967 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (54.4%)(f,g) Bear Stearns Alternative Trust Collateralized Mtge Obligation Series 2005-5 Cl 1A1 07-25-35 4.80% $6,022,552(m) $6,031,707 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2005-6CB Cl 1A1 04-25-35 7.50 2,309,780 2,384,979 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2006-2CB Cl A11 03-25-36 6.00 7,657,648 7,632,419 Countrywide Home Loans Collateralized Mtge Obligation Series 2005-R2 Cl 2A1 06-25-35 7.00 7,219,920(d) 7,481,132 CS First Boston Mtge Securities Collateralized Mtge Obligation Series 2005-10 Cl 4A1 11-25-35 6.50 4,764,788 4,835,823 CS First Boston Mtge Securities Collateralized Mtge Obligation Series 2005-8 Cl 7A1 09-25-35 7.00 6,079,904 6,203,923 Federal Home Loan Mtge Corp #782436 10-01-34 4.99 4,796,138(k) 4,734,507 Federal Home Loan Mtge Corp #A18107 01-01-34 5.50 3,997,409 3,969,126 Federal Home Loan Mtge Corp #B16408 09-01-19 5.50 1,657,273 1,663,794 Federal Home Loan Mtge Corp #B16409 09-01-19 5.50 2,334,182 2,343,367 Federal Home Loan Mtge Corp #C00351 07-01-24 8.00 379,334 406,395 Federal Home Loan Mtge Corp #C00385 01-01-25 9.00 578,342 635,748 Federal Home Loan Mtge Corp #C80329 08-01-25 8.00 119,858 128,334 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Federal Home Loan Mtge Corp #D54959 07-01-24 8.00% $45,725 $48,987 Federal Home Loan Mtge Corp #E00398 10-01-10 7.00 741,625 763,061 Federal Home Loan Mtge Corp #E81240 06-01-15 7.50 6,218,702 6,595,677 Federal Home Loan Mtge Corp #E90650 07-01-12 5.50 399,209 401,205 Federal Home Loan Mtge Corp #E92454 11-01-17 5.00 4,376,176 4,327,535 Federal Home Loan Mtge Corp #E93465 11-01-17 5.50 7,760,684 7,795,255 Federal Home Loan Mtge Corp #E95379 02-01-13 5.00 2,851,607 2,812,427 Federal Home Loan Mtge Corp #E95668 04-01-13 5.00 570,553 562,704 Federal Home Loan Mtge Corp #E95691 05-01-13 4.50 518,469 504,783 Federal Home Loan Mtge Corp #E95845 04-01-13 4.50 746,588 726,056 Federal Home Loan Mtge Corp #E95968 04-01-13 4.50 991,295 964,206 Federal Home Loan Mtge Corp #E95972 04-01-13 5.00 2,339,955 2,307,197 Federal Home Loan Mtge Corp #E96172 05-01-13 4.50 5,166,300 5,025,299 Federal Home Loan Mtge Corp #E96236 05-01-13 4.50 6,229,527 6,059,350 Federal Home Loan Mtge Corp #E96351 05-01-13 4.50 5,694,353 5,539,863 Federal Home Loan Mtge Corp #G00363 06-01-25 8.00 473,678 507,175 Federal Home Loan Mtge Corp #G00501 05-01-26 9.00 863,285 947,220 Federal Home Loan Mtge Corp #G10669 03-01-12 7.50 3,138,215 3,298,902 Federal Home Loan Mtge Corp #G11243 04-01-17 6.50 20,697,172 21,267,704 See accompanying notes to investments in securities. -------------------------------------------------------------------------------- 1 -- RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO HOLDINGS AT FEB. 28, 2006 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Federal Home Loan Mtge Corp #M30074 09-01-09 6.50% $208,531 $213,595 Federal Home Loan Mtge Corp Collateralized Mtge Obligation 06-15-16 7.00 10,388,312 10,686,933 12-15-28 5.50 2,500,000 2,496,415 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only 12-15-12 12.70 7,638,045(i) 312,844 02-15-14 17.16 7,860,726(i) 428,331 03-15-25 10.87 9,409,416(i) 678,339 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only/Inverse Floater 11-15-19 19.20 9,233,835(h,i) 665,483 03-15-32 15.04 2,241,905(h,i) 183,540 Federal Home Loan Mtge Corp Interest Only 01-01-20 17.05 11,947(i) 2,647 Federal Natl Mtge Assn 03-01-36 5.00 13,000,000(e) 12,626,250 03-01-36 5.50 7,000,000(e) 6,934,375 03-01-36 6.00 22,500,000(e) 22,703,894 03-01-36 6.50 16,600,000(e) 16,994,250 Federal Natl Mtge Assn #124528 10-01-07 7.50 223,047 226,190 Federal Natl Mtge Assn #125032 11-01-21 8.00 200,800 214,404 Federal Natl Mtge Assn #190129 11-01-23 6.00 1,412,929 1,429,419 Federal Natl Mtge Assn #190764 09-01-07 8.50 29,988 29,990 Federal Natl Mtge Assn #190785 05-01-09 7.50 901,689 914,394 Federal Natl Mtge Assn #190988 06-01-24 9.00 447,313 481,619 Federal Natl Mtge Assn #254384 06-01-17 7.00 586,973 605,499 Federal Natl Mtge Assn #254454 08-01-17 7.00 1,060,446 1,093,917 Federal Natl Mtge Assn #254723 05-01-23 5.50 12,481,648 12,481,877 Federal Natl Mtge Assn #254748 04-01-13 5.50 10,571,139 10,620,692 Federal Natl Mtge Assn #254757 05-01-13 5.00 13,910,361 13,695,843 Federal Natl Mtge Assn #254774 05-01-13 5.50 3,361,313 3,382,321 Federal Natl Mtge Assn #254864 08-01-13 4.50 7,064,974 6,860,076 Federal Natl Mtge Assn #255501 09-01-14 6.00 1,493,627 1,524,766 Federal Natl Mtge Assn #303885 05-01-26 7.50 667,607 700,622 Federal Natl Mtge Assn #313007 07-01-11 7.50 513,520 533,033 Federal Natl Mtge Assn #313428 12-01-08 7.50 360,769 365,852 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Federal Natl Mtge Assn #336512 02-01-26 6.00% $67,488 $68,322 Federal Natl Mtge Assn #357485 02-01-34 5.50 17,333,028 17,210,254 Federal Natl Mtge Assn #407327 01-01-14 5.50 686,740 691,264 Federal Natl Mtge Assn #456374 12-01-13 5.50 1,326,244 1,334,981 Federal Natl Mtge Assn #508402 08-01-14 6.50 340,232 349,364 Federal Natl Mtge Assn #545818 07-01-17 6.00 21,945,513 22,413,986 Federal Natl Mtge Assn #545864 08-01-17 5.50 16,909,531 17,015,577 Federal Natl Mtge Assn #545910 08-01-17 6.00 3,305,627 3,376,183 Federal Natl Mtge Assn #555063 11-01-17 5.50 12,196,764 12,271,101 Federal Natl Mtge Assn #555367 03-01-33 6.00 14,013,856 14,169,105 Federal Natl Mtge Assn #579485 04-01-31 6.50 3,047,813 3,146,907 Federal Natl Mtge Assn #593829 12-01-28 7.00 2,030,600 2,107,687 Federal Natl Mtge Assn #601416 11-01-31 6.50 1,214,787 1,253,901 Federal Natl Mtge Assn #630993 09-01-31 7.50 2,807,721 2,945,000 Federal Natl Mtge Assn #648040 06-01-32 6.50 3,212,982 3,296,327 Federal Natl Mtge Assn #648349 06-01-17 6.00 10,957,888 11,191,769 Federal Natl Mtge Assn #650501 06-01-17 6.50 2,474,235 2,541,767 Federal Natl Mtge Assn #651284 07-01-17 6.00 2,282,322 2,331,044 Federal Natl Mtge Assn #662866 11-01-17 6.00 1,376,817 1,417,825 Federal Natl Mtge Assn #665752 09-01-32 6.50 1,707,452 1,751,743 Federal Natl Mtge Assn #670782 11-01-12 5.00 668,794 658,595 Federal Natl Mtge Assn #670830 12-01-12 5.00 957,649 953,338 Federal Natl Mtge Assn #671415 01-01-10 5.00 547,856 545,382 Federal Natl Mtge Assn #678938 02-01-18 5.50 3,576,222 3,598,171 Federal Natl Mtge Assn #678940 02-01-18 5.50 3,194,003 3,213,600 Federal Natl Mtge Assn #678944 01-01-18 5.50 1,552,523 1,562,112 Federal Natl Mtge Assn #686227 02-01-18 5.50 4,518,739 4,546,125 Federal Natl Mtge Assn #695838 04-01-18 5.50 5,673,074 5,707,347 Federal Natl Mtge Assn #696154 04-01-33 4.56 7,833,212(k) 7,740,044 Federal Natl Mtge Assn #696837 04-01-18 5.50 4,640,504 4,668,696 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Federal Natl Mtge Assn #703440 05-01-18 5.50% $1,043,550 $1,049,276 Federal Natl Mtge Assn #704610 06-01-33 5.50 14,761,312 14,656,755 Federal Natl Mtge Assn #705114 05-01-33 4.60 7,461,806(k) 7,380,326 Federal Natl Mtge Assn #709527 06-01-18 5.50 704,785 708,975 Federal Natl Mtge Assn #712602 06-01-13 5.00 2,072,738 2,040,941 Federal Natl Mtge Assn #722325 07-01-33 4.97 6,170,778(k) 6,085,683 Federal Natl Mtge Assn #722589 08-01-33 3.20 849,539(k) 868,885 Federal Natl Mtge Assn #725232 03-01-34 5.00 12,523,157 12,211,926 Federal Natl Mtge Assn #725425 04-01-34 5.50 12,510,009 12,421,398 Federal Natl Mtge Assn #725431 08-01-15 5.50 14,095,711 14,188,573 Federal Natl Mtge Assn #725737 08-01-34 4.54 4,777,105(k) 4,735,448 Federal Natl Mtge Assn #730632 08-01-33 4.11 2,835,822(k) 2,747,351 Federal Natl Mtge Assn #739243 09-01-33 6.00 4,049,449 4,090,891 Federal Natl Mtge Assn #739331 09-01-33 6.00 2,121,835 2,143,550 Federal Natl Mtge Assn #743524 11-01-33 5.00 3,946,306 3,848,230 Federal Natl Mtge Assn #753508 11-01-33 5.00 4,249,550 4,143,939 Federal Natl Mtge Assn #790382 09-01-34 4.84 5,615,114(k) 5,575,519 Federal Natl Mtge Assn #791447 10-01-34 6.00 6,737,840 6,802,670 Federal Natl Mtge Assn #797042 06-01-34 5.50 3,392,330 3,365,431 Federal Natl Mtge Assn #797046 07-01-34 5.50 4,060,357 4,028,162 Federal Natl Mtge Assn #797048 06-01-34 5.50 1,499,367 1,487,478 Federal Natl Mtge Assn #797168 02-01-35 4.64 6,967,590(k) 6,847,450 Federal Natl Mtge Assn #799769 11-01-34 5.06 5,602,956(k) 5,554,211 Federal Natl Mtge Assn #801344 10-01-34 5.07 6,281,885(k) 6,242,623 Federal Natl Mtge Assn #815463 02-01-35 5.50 3,413,846 3,386,777 Federal Natl Mtge Assn #832641 09-01-35 6.00 9,140,623 9,227,138 Federal Natl Mtge Assn #836561 10-01-35 6.00 5,843,562 5,898,871 Federal Natl Mtge Assn #845070 12-01-35 5.10 2,966,687(k) 2,943,836 Federal Natl Mtge Assn #849082 01-01-36 5.87 3,699,942(k) 3,737,668 Federal Natl Mtge Assn #849170 01-01-36 5.99 5,227,320(k) 5,300,735 See accompanying notes to investments in securities. -------------------------------------------------------------------------------- 2 -- RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO HOLDINGS AT FEB. 28, 2006 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Federal Natl Mtge Assn Collateralized Mtge Obligation 07-25-23 5.50% $17,353,848 $17,350,603 12-25-26 8.00 3,058,543 3,243,690 06-25-33 6.46 813,828(k) 820,601 04-25-34 5.50 4,425,181 4,426,276 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only 12-25-12 20.00 5,894,621(i) 232,326 11-25-13 10.08 10,640,875(i) 670,138 03-25-23 8.45 2,375,629(i) 422,493 12-25-31 9.42 2,941,701(i) 478,933 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only/Inverse Floater 02-25-32 17.94 4,431,000(h,i) 374,204 Federal Natl Mtge Assn Collateralized Mtge Obligation Principal Only 06-25-21 2.44 42,439(j) 38,284 Federal Natl Mtge Assn Interest Only 08-01-18 3.80 7,302(i) 2,079 01-15-20 20.00 294,139(i) 59,535 07-25-22 20.00 894,096(i) 150,399 Govt Natl Mtge Assn #615740 08-15-13 6.00 1,413,242 1,450,262 Govt Natl Mtge Assn #781507 09-15-14 6.00 6,849,811 7,029,216 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Govt Natl Mtge Assn Collateralized Mtge Obligation Interest Only 03-20-29 7.17% $4,927,552(i) $361,998 GSR Mtge Loan Trust Collateralized Mtge Obligation Series 2005-AR2 Cl 2A1 04-25-35 4.86 4,995,357(k) 4,918,079 Harborview Mtge Loan Trust Collateralized Mtge Obligation Series 2004-4 Cl 3A 06-19-34 2.98 6,453,469(k) 6,333,765 Washington Mutual Collateralized Mtge Obligation Series 2002-AR15 Cl A5 12-25-32 4.38 5,247,029(k) 5,165,342 Washington Mutual Collateralized Mtge Obligation Series 2005-AR3 Cl A2 03-25-35 4.65 7,606,233(k) 7,451,446 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-10 Cl A1 10-25-35 5.00 6,923,194 6,617,258 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-5 Cl 2A1 05-25-35 5.50 5,606,980 5,519,371 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-AR2 Cl 2A2 03-25-35 4.55% $4,054,076(k) $3,965,251 Total 643,873,052 Total Bonds (Cost: $1,226,318,898) $1,211,411,137 Short-Term Securities (12.6%)(c) Issuer Effective Amount Value(a) yield payable at maturity U.S. Government Agencies (7.0%) Federal Home Loan Bank Disc Nts 03-10-06 4.43% $16,800,000 $16,779,374 Federal Home Loan Mtge Corp Disc Nts 03-20-06 4.43 50,000,000 49,877,776 03-27-06 4.41 15,600,000 15,548,286 Total 82,205,436 Commercial Paper (5.6%) Alpine Securitization 03-13-06 4.52 20,000,000(n) 19,967,428 Dakota Nts 03-01-06 4.57 36,700,000(n) 36,695,341 Kitty Hawk Funding 03-13-06 4.53 10,000,000(n) 9,983,678 Total 66,646,447 Total Short-Term Securities (Cost: $148,870,393) $148,851,883 Total Investments in Securities (Cost: $1,375,189,291)(o) $1,360,263,020 Notes to Investments in Securities (a) Securities are valued by procedures described in Note 1 to the financial statements in the most recent Semiannual Report dated Nov. 30, 2005. (b) At Feb. 28, 2006, security was partially or fully on loan. (c) Cash collateral received from security lending activity is invested in short-term securities and represents 9.0% of net assets. 3.6% of net assets is the Fund's cash equivalent position. (d) Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. This security has been determined to be liquid under guidelines established by the Fund's Board of Directors. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At Feb. 28, 2006, the value of these securities amounted to $7,481,132 or 0.6% of net assets. (e) At Feb. 28, 2006, the cost of securities purchased, including interest purchased, on a when-issued and/or other forward-commitment basis was $59,205,482. (f) Mortgage-backed securities represent direct or indirect participations in, or are secured by and payable from, mortgage loans secured by real property, and include single- and multi-class pass-through securities and collateralized mortgage obligations. These securities may be issued or guaranteed by U.S. government agencies or instrumentalities, or by private issuers, generally originators and investors in mortgage loans, including savings associations, mortgage bankers, commercial banks, investment bankers and special purpose entities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. Unless otherwise noted, the coupon rates presented are fixed rates. (g) Comparable securities are held to satisfy future delivery requirements of the following open forward sale commitment at Feb. 28, 2006: Security Principal Settlement Proceeds Value amount date receivable -------------------------------------------------------------------------------- Federal Natl Mtge Assn 03-01-21 5.50% $30,500,000 3-16-06 $30,538,125 $30,633,438 -------------------------------------------------------------------------------- 3 -- RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO HOLDINGS AT FEB. 28, 2006 Notes to Investments in Securities (continued) (h) Inverse floaters represent securities that pay interest at a rate that increases (decreases) in the same magnitude as, or in a multiple of, a decline (increase) in the LIBOR (London InterBank Offering Rate) Index. Interest rate disclosed is the rate in effect on Feb. 28, 2006. At Feb. 28, 2006, the value of inverse floaters represented 0.1% of net assets. (i) Interest only represents securities that entitle holders to receive only interest payments on the underlying mortgages. The yield to maturity of an interest only is extremely sensitive to the rate of principal payments on the underlying mortgage assets. A rapid (slow) rate of principal repayments may have an adverse (positive) effect on yield to maturity. The principal amount shown is the notional amount of the underlying mortgages. Interest rate disclosed represents yield based upon the estimated timing and amount of future cash flows at Feb. 28, 2006. (j) Principal only represents securities that entitle holders to receive only principal payments on the underlying mortgages. The yield to maturity of a principal only is sensitive to the rate of principal payments on the underlying mortgage assets. A slow (rapid) rate of principal repayments may have an adverse (positive) effect on yield to maturity. Interest rate disclosed represents yield based upon the estimated timing of future cash flows at Feb. 28, 2006. (k) Adjustable rate mortgage; interest rate varies to reflect current market conditions; rate shown is the effective rate on Feb. 28, 2006. (l) Partially pledged as initial deposit on the following open interest rate futures contracts: Type of security Notional amount -------------------------------------------------------------------------------- Purchase contracts U.S. Long Bond, June 2006, 20-year $8,600,000 U.S. Treasury Note, June 2006, 2-year 68,800,000 Sale contracts U.S. Treasury Note, March 2006, 5-year 28,100,000 U.S. Treasury Note, March 2006, 10-year 15,700,000 (m) Interest rate varies either based on a predetermined schedule or to reflect current market conditions; rate shown is the effective rate on Feb. 28, 2006. (n) Commercial paper sold within terms of a private placement memorandum, exempt from registration under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." This security has been determined to be liquid under guidelines established by the Fund's Board of Directors. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At Feb. 28, 2006, the value of these securities amounted to $66,646,447 or 5.6% of net assets. (o) At Feb. 28, 2006, the cost of securities for federal income tax purposes was approximately $1,375,189,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation $ 2,281,000 Unrealized depreciation (17,207,000) -------------------------------------------------------------------------------- Net unrealized depreciation $(14,926,000) -------------------------------------------------------------------------------- How to find information about the Fund's portfolio holdings (i) The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q; (ii) The Fund's Forms N-Q are available on the Commission's website at http://www.sec.gov; (iii) The Fund's Forms N-Q may be reviewed and copied at the Commission's Public Reference Room in Washington, DC (information on the operations of the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iv) The Fund's complete schedule of portfolio holdings, as disclosed in its annual and semiannual shareholder reports and in its filings on Form N-Q, can be found at www.riversource.com/funds. -------------------------------------------------------------------------------- 4-- RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO HOLDINGS AT FEB. 28, 2006 S-6042-80 E (4/06) PORTFOLIO HOLDINGS FOR RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND AT FEB. 28, 2006 INVESTMENTS IN SECURITIES RiverSource U.S. Government Mortgage Fund FEB. 28, 2006 (UNAUDITED) (Percentages represent value of investments compared to net assets) Bonds (105.6%) Issuer Coupon Principal Value(a) rate amount Asset-Backed (0.3%) Residential Asset Securities Series 2006-KS1 Cl A2 02-25-36 4.72% $830,000(c) $829,741 Commercial Mortgage-Backed (0.8%)(f) Commercial Mtge Pass-Through Ctfs Series 2006-CN2A Cl CFL 02-05-19 4.92 2,000,000(c,d) 2,000,000 Mortgage-Backed (104.4%)(f) Adjustable Rate Mtge Trust Collateralized Mtge Obligation Series 2005-12 Cl 2A1 03-25-36 5.74 918,877(e) 920,212 Banc of America Mtge Securities Collateralized Mtge Obligation Series 2004-F Cl B1 07-25-34 4.13 541,782(e) 523,962 Bank of America Alternative Loan Trust Collateralized Mtge Obligation Series 2003-11 Cl 1A1 01-25-34 6.00 713,054 708,020 Bank of America Alternative Loan Trust Collateralized Mtge Obligation Series 2003-11 Cl 4A1 01-25-19 4.75 374,283 363,289 Chaseflex Trust Collateralized Mtge Obligation Series 2005-2 Cl 2A2 06-25-35 6.50 772,138 787,581 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2005-54CB Cl 2A3 11-25-35 5.50 631,751 623,904 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2005-6CB Cl 1A1 04-25-35 7.50 570,109 588,670 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2006-2CB Cl A11 03-25-36 6.00% $1,989,000 $1,982,446 Countrywide Home Loans Collateralized Mtge Obligation Series 2004-12 Cl 1M 08-25-34 4.59 374,054(e) 363,079 Countrywide Home Loans Collateralized Mtge Obligation Series 2005-HYB1 Cl 6A1 03-25-35 5.18 1,402,949(e) 1,382,384 Countrywide Home Loans Collateralized Mtge Obligation Series 2005-R2 Cl 2A1 06-25-35 7.00 755,948(d) 783,297 Countrywide Home Loans Collateralized Mtge Obligation Series 2006-HYB1 Cl 1A1 03-20-36 5.42 648,500(e) 646,243 CS First Boston Mtge Securities Collateralized Mtge Obligation Series 2004-AR5 Cl CB1 06-25-34 4.39 370,330(e) 358,958 CS First Boston Mtge Securities Collateralized Mtge Obligation Series 2005-10 Cl 4A1 11-25-35 6.50 943,522 957,589 CS First Boston Mtge Securities Collateralized Mtge Obligation Series 2005-12 Cl 3A1 01-25-36 7.00 1,106,770 1,133,564 CS First Boston Mtge Securities Collateralized Mtge Obligation Series 2005-8 Cl 7A1 09-25-35 7.00 1,302,836 1,329,412 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Downey Savings & Loan Assn Mtge Loan Trust Collateralized Mtge Obligation Interest Only Series 2005-AR5 Cl X1 08-19-45 6.38% $7,752,978(g) $109,026 Federal Home Loan Mtge Corp #555140 03-01-10 8.00 237,922 244,703 Federal Home Loan Mtge Corp #555300 10-01-17 8.00 407,491 427,743 Federal Home Loan Mtge Corp #89232 04-01-17 7.00 948,085 980,255 Federal Home Loan Mtge Corp #A10892 07-01-33 6.00 848,054 862,793 Federal Home Loan Mtge Corp #A15111 10-01-33 6.00 1,185,830 1,198,754 Federal Home Loan Mtge Corp #A21059 04-01-34 6.50 670,752 686,367 Federal Home Loan Mtge Corp #A25174 08-01-34 6.50 620,031 634,464 Federal Home Loan Mtge Corp #C53098 06-01-31 8.00 407,015 434,890 Federal Home Loan Mtge Corp #C53878 12-01-30 5.50 1,291,143 1,285,081 Federal Home Loan Mtge Corp #C68876 07-01-32 7.00 232,879 240,785 Federal Home Loan Mtge Corp #C69665 08-01-32 6.50 2,962,695 3,036,906 Federal Home Loan Mtge Corp #C79930 06-01-33 5.50 1,923,492 1,911,291 Federal Home Loan Mtge Corp #D95232 03-01-22 6.50 427,496 440,321 Federal Home Loan Mtge Corp #D95371 04-01-22 6.50 659,020 683,649 Federal Home Loan Mtge Corp #E00285 01-01-09 7.00 154,797 157,728 Federal Home Loan Mtge Corp #E81240 06-01-15 7.50 1,231,337 1,305,980 See accompanying notes to investments in securities. -------------------------------------------------------------------------------- 1-RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND-PORTFOLIO HOLDINGS AT FEB. 28, 2006 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Federal Home Loan Mtge Corp #E88036 02-01-17 6.50% $1,833,696 $1,884,273 Federal Home Loan Mtge Corp #E88468 12-01-16 6.50 351,072 361,697 Federal Home Loan Mtge Corp #E92454 11-01-17 5.00 2,218,499 2,193,841 Federal Home Loan Mtge Corp #E93685 01-01-18 5.50 1,497,166 1,503,835 Federal Home Loan Mtge Corp #E96522 05-01-18 5.00 889,581 879,823 Federal Home Loan Mtge Corp #E96523 05-01-18 5.00 1,033,341 1,022,271 Federal Home Loan Mtge Corp #E97855 08-01-18 5.00 2,154,968 2,136,120 Federal Home Loan Mtge Corp #E99684 10-01-18 5.00 502,816 497,281 Federal Home Loan Mtge Corp #G01169 01-01-30 5.50 1,948,666 1,939,443 Federal Home Loan Mtge Corp #G01535 04-01-33 6.00 2,526,815 2,568,818 Federal Home Loan Mtge Corp Collateralized Mtge Obligation 10-15-27 5.00 2,225,000 2,194,567 06-15-28 5.00 2,200,000 2,169,714 12-15-28 5.50 635,000 634,089 02-15-33 5.50 3,159,089 3,167,182 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only 02-15-14 17.16 978,084(g) 53,296 07-15-17 7.50 732,102(g) 83,568 10-15-22 14.56 1,134,364(g) 63,511 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only/Inverse Floater 11-15-19 19.20 1,385,075(g,h) 99,823 03-15-32 15.04 431,114(g,h) 35,294 Federal Natl Mtge Assn 03-01-21 5.00 4,725,000(b) 4,661,506 03-01-21 5.50 400,000(b) 401,750 03-01-36 5.50 500,000(b) 495,313 03-01-36 6.00 9,450,000(b) 9,535,637 03-01-36 6.50 1,700,000(b) 1,740,375 04-01-36 6.00 1,630,000(b) 1,644,263 Federal Natl Mtge Assn #13481 05-01-08 7.75 127,083 130,827 Federal Natl Mtge Assn #252409 03-01-29 6.50 2,038,311 2,130,236 Federal Natl Mtge Assn #254793 07-01-33 5.00 2,838,038 2,767,505 Federal Natl Mtge Assn #254916 09-01-23 5.50 2,462,636 2,462,681 Federal Natl Mtge Assn #313470 08-01-10 7.50 417,373 430,859 Federal Natl Mtge Assn #323362 11-01-28 6.00 3,673,276 3,716,889 Federal Natl Mtge Assn #323715 05-01-29 6.00 653,696 661,457 Federal Natl Mtge Assn #344909 04-01-25 8.00 1,006,209 1,082,246 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Federal Natl Mtge Assn #357514 03-01-34 5.50% $2,909,938 $2,889,326 Federal Natl Mtge Assn #357947 09-01-35 6.00 1,958,826 1,977,366 Federal Natl Mtge Assn #426860 10-01-09 8.50 50,562 50,843 Federal Natl Mtge Assn #483691 12-01-28 7.00 1,349,989 1,414,808 Federal Natl Mtge Assn #487757 09-01-28 7.50 1,066,437 1,119,164 Federal Natl Mtge Assn #514704 01-01-29 6.00 1,069,711 1,082,412 Federal Natl Mtge Assn #545008 06-01-31 7.00 2,022,505 2,109,607 Federal Natl Mtge Assn #545339 11-01-31 6.50 354,936 367,077 Federal Natl Mtge Assn #545818 07-01-17 6.00 3,943,552 4,027,736 Federal Natl Mtge Assn #545864 08-01-17 5.50 2,086,732 2,099,819 Federal Natl Mtge Assn #555063 11-01-17 5.50 1,511,388 1,520,599 Federal Natl Mtge Assn #555458 05-01-33 5.50 2,054,306 2,040,192 Federal Natl Mtge Assn #555734 07-01-23 5.00 909,751 892,353 Federal Natl Mtge Assn #555740 08-01-18 4.50 4,753,223 4,629,009 Federal Natl Mtge Assn #581418 06-01-31 7.00 1,225,993 1,280,243 Federal Natl Mtge Assn #583088 06-01-29 6.00 3,615,087 3,677,898 Federal Natl Mtge Assn #592270 01-01-32 6.50 868,305 898,011 Federal Natl Mtge Assn #596505 08-01-16 6.50 260,750 268,578 Federal Natl Mtge Assn #601416 11-01-31 6.50 451,690 466,234 Federal Natl Mtge Assn #624979 01-01-32 6.00 1,071,720 1,086,051 Federal Natl Mtge Assn #626670 03-01-32 7.00 739,488 772,841 Federal Natl Mtge Assn #627426 03-01-17 6.50 649,401 668,473 Federal Natl Mtge Assn #630992 09-01-31 7.00 2,265,753 2,371,704 Federal Natl Mtge Assn #630993 09-01-31 7.50 2,179,772 2,286,348 Federal Natl Mtge Assn #631388 05-01-32 6.50 2,474,336 2,553,093 Federal Natl Mtge Assn #632412 12-01-17 5.50 1,713,610 1,724,172 Federal Natl Mtge Assn #632856 03-01-17 6.00 755,309 771,418 Federal Natl Mtge Assn #633674 06-01-32 6.50 1,010,098 1,045,422 Federal Natl Mtge Assn #635231 04-01-32 7.00 411,613 427,387 Federal Natl Mtge Assn #635908 04-01-32 6.50 1,861,610 1,914,579 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Federal Natl Mtge Assn #636812 04-01-32 7.00% $175,672 $182,569 Federal Natl Mtge Assn #640200 10-01-31 9.50 105,138 116,122 Federal Natl Mtge Assn #640207 03-01-17 7.00 44,904 46,174 Federal Natl Mtge Assn #640208 04-01-17 7.50 84,875 88,818 Federal Natl Mtge Assn #644805 05-01-32 7.00 1,653,058 1,724,024 Federal Natl Mtge Assn #645053 05-01-32 7.00 904,744 936,234 Federal Natl Mtge Assn #646189 05-01-32 6.50 719,955 738,631 Federal Natl Mtge Assn #654071 09-01-22 6.50 729,681 752,207 Federal Natl Mtge Assn #654685 11-01-22 6.00 614,845 624,720 Federal Natl Mtge Assn #655635 08-01-32 6.50 1,150,128 1,189,064 Federal Natl Mtge Assn #656514 09-01-17 6.50 1,622,929 1,671,774 Federal Natl Mtge Assn #660186 11-01-32 6.00 3,142,313 3,193,190 Federal Natl Mtge Assn #663651 10-01-17 5.50 702,659 706,957 Federal Natl Mtge Assn #663667 11-01-17 5.50 646,751 650,462 Federal Natl Mtge Assn #665752 09-01-32 6.50 1,598,749 1,640,221 Federal Natl Mtge Assn #667302 01-01-33 7.00 880,200 916,208 Federal Natl Mtge Assn #667604 10-01-32 5.50 652,135 647,447 Federal Natl Mtge Assn #670382 09-01-32 6.00 1,556,058 1,573,297 Federal Natl Mtge Assn #676683 12-01-32 6.00 1,474,546 1,490,882 Federal Natl Mtge Assn #677089 01-01-33 5.50 828,616 822,660 Federal Natl Mtge Assn #677294 01-01-33 6.00 2,040,656 2,063,263 Federal Natl Mtge Assn #681080 02-01-18 5.00 1,218,180 1,204,269 Federal Natl Mtge Assn #682229 03-01-33 5.50 2,846,339 2,825,879 Federal Natl Mtge Assn #684585 02-01-33 5.50 1,950,399 1,939,045 Federal Natl Mtge Assn #684843 02-01-18 5.50 2,314,287 2,328,474 Federal Natl Mtge Assn #684853 03-01-33 6.50 317,697 326,895 Federal Natl Mtge Assn #688002 03-01-33 5.50 2,058,771 2,047,934 Federal Natl Mtge Assn #689026 05-01-33 5.50 481,450 478,456 Federal Natl Mtge Assn #689093 07-01-28 5.50 1,300,854 1,292,944 Federal Natl Mtge Assn #694628 04-01-33 5.50 2,604,795 2,591,187 See accompanying notes to investments in securities. -------------------------------------------------------------------------------- 2-RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND-PORTFOLIO HOLDINGS AT FEB. 28, 2006 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Federal Natl Mtge Assn #694795 04-01-33 5.50% $3,254,567 $3,237,305 Federal Natl Mtge Assn #695220 04-01-33 5.50 1,761,109 1,748,634 Federal Natl Mtge Assn #695460 04-01-18 5.50 2,982,559 3,000,635 Federal Natl Mtge Assn #697145 03-01-23 5.50 1,570,679 1,570,679 Federal Natl Mtge Assn #699424 04-01-33 5.50 2,120,670 2,109,588 Federal Natl Mtge Assn #701101 04-01-33 6.00 2,840,602 2,869,672 Federal Natl Mtge Assn #704610 06-01-33 5.50 2,850,550 2,830,359 Federal Natl Mtge Assn #704657 05-01-18 5.00 1,558,225 1,540,431 Federal Natl Mtge Assn #705655 05-01-33 5.00 925,279 902,283 Federal Natl Mtge Assn #708503 05-01-33 6.00 458,680 464,917 Federal Natl Mtge Assn #708504 05-01-33 6.00 775,475 786,224 Federal Natl Mtge Assn #710780 05-01-33 6.00 329,403 332,774 Federal Natl Mtge Assn #711206 05-01-33 5.50 1,644,966 1,633,314 Federal Natl Mtge Assn #711239 07-01-33 5.50 666,906 662,182 Federal Natl Mtge Assn #711501 05-01-33 5.50 1,013,800 1,007,834 Federal Natl Mtge Assn #720006 07-01-33 5.50 2,616,431(i) 2,597,898 Federal Natl Mtge Assn #720378 06-01-18 4.50 2,078,903 2,024,680 Federal Natl Mtge Assn #723771 08-01-28 5.50 1,314,204 1,306,212 Federal Natl Mtge Assn #725232 03-01-34 5.00 2,102,101 2,049,859 Federal Natl Mtge Assn #725684 05-01-18 6.00 1,157,171 1,180,088 Federal Natl Mtge Assn #725719 07-01-33 4.84 642,753(e) 628,806 Federal Natl Mtge Assn #726940 08-01-23 5.50 1,778,005 1,766,993 Federal Natl Mtge Assn #730153 08-01-33 5.50 993,440 986,403 Federal Natl Mtge Assn #733367 08-01-23 5.50 1,457,987 1,448,950 Federal Natl Mtge Assn #735057 01-01-19 4.50 7,496,447 7,300,920 Federal Natl Mtge Assn #735160 12-01-34 4.34 834,196(e) 810,980 Federal Natl Mtge Assn #743524 11-01-33 5.00 2,400,669 2,341,007 Federal Natl Mtge Assn #743579 11-01-33 5.50 2,071,222 2,056,552 Federal Natl Mtge Assn #747339 10-01-23 5.50 1,569,302 1,559,575 Federal Natl Mtge Assn #747536 11-01-33 5.00 2,295,053 2,238,015 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Federal Natl Mtge Assn #750932 10-01-18 4.50% $1,072,107 $1,044,143 Federal Natl Mtge Assn #753507 12-01-18 5.00 1,479,084 1,462,494 Federal Natl Mtge Assn #753940 12-01-18 5.00 1,457,674 1,441,029 Federal Natl Mtge Assn #759342 01-01-34 6.50 608,970 629,652 Federal Natl Mtge Assn #761141 12-01-18 5.00 1,931,625 1,909,567 Federal Natl Mtge Assn #765760 02-01-19 5.00 1,353,005 1,337,555 Federal Natl Mtge Assn #766641 03-01-34 5.00 3,805,437 3,704,687 Federal Natl Mtge Assn #776962 04-01-29 5.00 1,611,243 1,565,609 Federal Natl Mtge Assn #790759 09-01-34 4.81 1,450,965(e) 1,433,382 Federal Natl Mtge Assn #796728 09-01-19 6.00 992,674 1,012,055 Federal Natl Mtge Assn #828714 07-01-35 5.00 2,820,655 2,740,972 Federal Natl Mtge Assn #845070 12-01-35 5.10 645,620(e) 640,647 Federal Natl Mtge Assn Collateralized Mtge Obligation 12-25-26 8.00 436,935 463,384 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only 12-25-12 13.29 721,790(g) 28,448 12-25-22 8.27 290,070(g) 41,780 12-25-31 9.42 653,711(g) 106,430 12-25-33 8.31 588,773(g) 132,829 First Horizon Alternative Mtge Securities Collateralized Mtge Obligation Series 2005-AA3 Cl 3A1 05-25-35 5.39 1,014,458(c) 1,011,192 First Horizon Alternative Mtge Securities Collateralized Mtge Obligation Series 2005-AA4 Cl B1 06-25-35 5.37 349,547 352,637 Govt Natl Mtge Assn #518371 02-15-30 7.00 221,551 231,567 Govt Natl Mtge Assn #528344 03-15-30 7.00 450,349 470,707 Govt Natl Mtge Assn #556293 12-15-31 6.50 517,337 539,342 Govt Natl Mtge Assn #583182 02-15-32 6.50 686,018 715,458 Govt Natl Mtge Assn #595256 12-15-32 6.00 487,412 497,852 Govt Natl Mtge Assn #619613 09-15-33 5.00 2,102,942 2,072,203 Harborview Mtge Loan Trust Collateralized Mtge Obligation Series 2005-16 Cl 3A1B 01-19-36 4.91 1,019,916(e) 1,019,468 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) IndyMac Index Mtge Loan Trust Collateralized Mtge Obligation Interest Only Series 2005-AR8 Cl AX1 04-25-35 0.80% $16,240,665(g) $177,632 IndyMac Index Mtge Loan Trust Collateralized Mtge Obligation Series 2005-AR3 Cl 3A1 04-25-35 5.32 307,533(e) 305,093 Master Alternative Loans Trust Collateralized Mtge Obligation Series 2004-2 Cl 4A1 02-25-19 5.00 587,554 581,311 Master Alternative Loans Trust Collateralized Mtge Obligation Series 2004-7 Cl 8A1 08-25-19 5.00 494,418 485,069 Master Alternative Loans Trust Collateralized Mtge Obligation Series 2004-8 Cl 7A1 09-25-19 5.00 681,439 668,580 Master Alternative Loans Trust Collateralized Mtge Obligation Series 2005-3 Cl 1A2 04-25-35 5.50 1,537,000 1,497,653 Sequoia Alternative Loan Trust Collateralized Mtge Obligation Series 2006-1 Cl A2 02-25-36 6.19 1,000,000 1,004,967 Structured Adjustable Rate Mtge Loan Trust Collateralized Mtge Obligation Series 2004-5 Cl B1 05-25-34 4.60 423,030(e) 412,171 Structured Adjustable Rate Mtge Loan Trust Collateralized Mtge Obligation Series 2005-15 Cl 4A1 07-25-35 5.53 909,474(e) 902,255 Structured Asset Securities Collateralized Mtge Obligation Series 2003-33H Cl 1A1 10-25-33 5.50 1,459,566 1,433,235 Washington Mutual Collateralized Mtge Obligation Series 2004-CB2 Cl 6A 07-25-19 4.50 814,292 777,819 Washington Mutual Collateralized Mtge Obligation Series 2004-CB4 Cl 22A 12-25-19 6.00 1,926,539 1,941,710 Washington Mutual Collateralized Mtge Obligation Series 2005-AR17 Cl A1C1 12-25-45 4.77 529,630(e) 529,628 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-10 Cl A1 10-25-35 5.00 2,472,569 2,363,306 See accompanying notes to investments in securities. -------------------------------------------------------------------------------- 3-RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND-PORTFOLIO HOLDINGS AT FEB. 28, 2006 Bonds (continued) Issuer Coupon Principal Value(a) rate amount Mortgage-Backed (cont.) Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-5 Cl 2A1 05-25-35 5.50% $934,497 $919,895 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-AR1 Cl 1A1 02-25-35 4.55 965,848(e) 949,728 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-AR16 Cl 6A3 10-25-35 5.00 1,312,673(e) 1,291,788 Total 266,526,804 Total Bonds (Cost: $273,013,010) $269,356,545 Short-Term Securities (1.3%) Issuer Effective Amount Value(a) yield payable at maturity Commercial Paper Dakota Nts 03-01-06 4.57% $3,200,000(j) $3,199,594 Total Short-Term Securities (Cost: $3,200,000) $3,199,594 Total Investments in Securities (Cost: $276,213,010(k) $272,556,139 Notes to Investments in Securities (a) Securities are valued by procedures described in Note 1 to the financial statements in the most recent Semiannual Report dated Nov. 30, 2005. (b) At Feb. 28, 2006, the cost of securities purchased, including interest purchased, on a when-issued and/or other forward-commitment basis was $18,480,961. (c) Interest rate varies either based on a predetermined schedule or to reflect current market conditions; rate shown is the effective rate on Feb. 28, 2006. (d) Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. This security has been determined to be liquid under guidelines established by the Fund's Board of Directors. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At Feb. 28, 2006, the value of these securities amounted to $2,783,297 or 1.1% of net assets. (e) Adjustable rate mortgage; interest rate varies to reflect current market conditions; rate shown is the effective rate on Feb. 28, 2006. (f) Mortgage-backed securities represent direct or indirect participations in, or are secured by and payable from, mortgage loans secured by real property, and include single- and multi-class pass-through securities and collateralized mortgage obligations. These securities may be issued or guaranteed by U.S. government agencies or instrumentalities, or by private issuers, generally originators and investors in mortgage loans, including savings associations, mortgage bankers, commercial banks, investment bankers and special purpose entities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. Unless otherwise noted, the coupon rates presented are fixed rates. (g) Interest only represents securities that entitle holders to receive only interest payments on the underlying mortgages. The yield to maturity of an interest only is extremely sensitive to the rate of principal payments on the underlying mortgage assets. A rapid (slow) rate of principal repayments may have an adverse (positive) effect on yield to maturity. The principal amount shown is the notional amount of the underlying mortgages. Interest rate disclosed represents yield based upon the estimated timing and amount of future cash flows at Feb. 28, 2006. (h) Inverse floaters represent securities that pay interest at a rate that increases (decreases) in the same magnitude as, or in a multiple of, a decline (increase) in the LIBOR (London InterBank Offering Rate) Index. Interest rate disclosed is the rate in effect on Feb. 28, 2006. At Feb. 28, 2006, the value of inverse floaters represented 0.1% of net assets. (i) Partially pledged as initial deposit on the following open interest rate futures contracts:
Type of security Notional amount Purchase contracts U.S. Long Bond, June 2006, 20-year $7,200,000 Sale contracts U.S. Treasury Note, March 2006, 2-year 4,800,000 U.S. Treasury Note, March 2006, 10-year 2,700,000 U.S. Treasury Note, June 2006, 5-year 1,500,000 U.S. Treasury Note, June 2006, 10-year 2,000,000
(j) Commercial paper sold within terms of a private placement memorandum, exempt from registration under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." This security has been determined to be liquid under guidelines established by the Fund's Board of Directors. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At Feb. 28, 2006, the value of these securities amounted to $3,199,594 or 1.3% of net assets. -------------------------------------------------------------------------------- 4-RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND-PORTFOLIO HOLDINGS AT FEB. 28, 2006 Notes to Investments in Securities (continued) (k) At Feb. 28, 2006, the cost of securities for federal income tax purposes was approximately $276,213,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation $ 472,000 Unrealized depreciation (4,129,000) -------------------------------------------------------------------------- Net unrealized depreciation $(3,657,000) -------------------------------------------------------------------------- How to find information about the Fund's portfolio holdings (i) The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (Commission) for the first and third quarters of each fiscal year on Form N-Q; (ii) The Fund's Forms N-Q are available on the Commission's website at http://www.sec.gov; (iii) The Fund's Forms N-Q may be reviewed and copied at the Commission's Public Reference Room in Washington, DC (information on the operations of the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iv) The Fund's complete schedule of portfolio holdings, as disclosed in its annual and semiannual shareholder reports and in its filings on Form N-Q, can be found at www.riversource.com/funds. -------------------------------------------------------------------------------- 5-RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND-PORTFOLIO HOLDINGS AT FEB. 28, 2006 S-6245-80 E (4/06) Item 2. Control and Procedures. (a) Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this report, the registrant's principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no changes in the registrant's internal control over financial reporting 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. Separate certification for the Registrant's principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940. 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. (Registrant) AXP GOVERNMENT INCOME SERIES, INC. By /s/ Paula R. Meyer ------------------ Paula R. Meyer President and Principal Executive Officer Date April 25, 2006 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 /s/ Paula R. Meyer ------------------ Paula R. Meyer President and Principal Executive Officer Date April 25, 2006 By /s/ Jeffrey P. Fox ------------------ Jeffrey P. Fox Treasurer and Principal Financial Officer Date April 25, 2006