0000950123-11-039891.txt : 20110427 0000950123-11-039891.hdr.sgml : 20110427 20110427123800 ACCESSION NUMBER: 0000950123-11-039891 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20110228 FILED AS OF DATE: 20110427 DATE AS OF CHANGE: 20110427 EFFECTIVENESS DATE: 20110427 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RIVERSOURCE GOVERNMENT INCOME SERIES INC CENTRAL INDEX KEY: 0000764802 IRS NUMBER: 412021315 STATE OF INCORPORATION: MN FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-04260 FILM NUMBER: 11782661 BUSINESS ADDRESS: STREET 1: 50606 AMERIPRISE FINANCIAL CENTER STREET 2: H27/5228 CITY: MINNEAPOLIS STATE: MN ZIP: 55474 BUSINESS PHONE: 612-671-4321 MAIL ADDRESS: STREET 1: 50606 AMERIPRISE FINANCIAL CENTER STREET 2: H27/5228 CITY: MINNEAPOLIS STATE: MN ZIP: 55474 FORMER COMPANY: FORMER CONFORMED NAME: RIVERSOURCE GOVERNMENT INCOME SERIES, INC. DATE OF NAME CHANGE: 20060504 FORMER COMPANY: FORMER CONFORMED NAME: AXP GOVERNMENT INCOME SERIES INC DATE OF NAME CHANGE: 20021118 FORMER COMPANY: FORMER CONFORMED NAME: AXP FEDERAL INCOME FUND INC /MN/ DATE OF NAME CHANGE: 20000829 0000764802 S000003306 RiverSource Short Duration U.S. Government Fund C000008827 RiverSource Short Duration U.S. Government Fund Class I AGMIX C000008828 RiverSource Short Duration U.S. Government Fund Class A IFINX C000008829 RiverSource Short Duration U.S. Government Fund Class B ISHOX C000008830 RiverSource Short Duration U.S. Government Fund Class C AXFCX C000042928 RiverSource Short Duration U.S. Government Fund Class R4 IDFYX C000042929 RiverSource Short Duration U.S. Government Fund Class W RSDWX C000076520 RiverSource Short Duration U.S. Government Fund Class R RSDRX 0000764802 S000003307 Columbia U.S. Government Mortgage Fund C000008832 Columbia U.S. Government Mortgage Fund Class I RVGIX C000008834 Columbia U.S. Government Mortgage Fund Class A AUGAX C000008835 Columbia U.S. Government Mortgage Fund Class B AUGBX C000008836 Columbia U.S. Government Mortgage Fund Class C AUGCX C000042930 Columbia U.S. Government Mortgage Fund Class R4 RSGYX C000094116 Columbia U.S. Government Mortgage Fund Class Z CUGZX N-Q 1 c63757nvq.htm FORM N-Q nvq
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
RIVERSOURCE GOVERNMENT INCOME SERIES, INC.
 
(Exact name of registrant as specified in charter)
50606 Ameriprise Financial Center, Minneapolis, Minnesota 55474
 
(Address of principal executive offices) (Zip code)
Scott R. Plummer — 5228 Ameriprise Financial Center, Minneapolis, MN 55474
 
(Name and address of agent for service)
Registrant’s telephone number, including area code: (612) 671-1947
Date of fiscal year end: May 31
Date of reporting period: February 28, 2011
Item 1. Schedule of Investments

 

Portfolio of Investments  
 
     
Columbia U.S. Government Mortgage Fund
   
February 28, 2011 (Unaudited)    
(Percentages represent value of investments compared to net assets)

                         
    Coupon     Principal        
Issuer   Rate     Amount     Value  
Residential Mortgage-Backed Securities — Agency (90.3%)
Federal Home Loan Mortgage Corp.(a)
11/01/17-12/01/39
     5.000 %   $ 10,324,079     $ 10,883,167  
01/01/30-06/01/33
     5.500 %     2,026,357       2,182,010  
04/01/33-07/01/37
     6.000 %     4,958,401       5,498,619  
12/01/16-08/01/34
     6.500 %     2,761,606       3,094,821  
04/01/17
     7.000 %     249,435       273,731  
06/01/15
     7.500 %     275,729       299,373  
10/01/17-06/01/31
     8.000 %     297,764       338,352  
CMO IO Series 2639 Class UI
03/15/22
     15.780 %     509,292       43,275  
CMO IO Series 2795 Class IY
07/15/17
     1.000 %     48,290       462  
Federal Home Loan Mortgage Corp.(a)(b)
CMO IO Series 2136 Class S
03/15/29
     1.170 %     2,756,787       475,904  
CMO IO Series 2471 Class SI
03/15/32
     20.000 %     153,784       26,912  
CMO IO Series 2817 Class SA
06/15/32
     20.000 %     304,414       24,402  
CMO IO Series 3155 Class PS
05/15/36
     1.810 %     1,190,774       187,269  
CMO IO Series 3453 Class W
12/15/32
     12.140 %     2,912,049       552,263  
CMO IO Series 3588 Class WI
10/15/12
     18.729 %     9,321,015       600,188  
CMO IO Series 3600 Class DI
01/15/13
     6.036 %     6,994,160       151,989  
CMO IO Series 3630 Class AI
03/15/17
     12.303 %     2,249,314       93,742  
CMO IO Series 2006-5 Class N1
08/25/34
     42.127 %     3,619,158       136,600  
Federal Home Loan Mortgage Corp.(a)(c)
03/01/26
     3.500 %     4,500,000       4,506,327  
03/01/41
     4.000 %     5,500,000       5,414,063  
03/01/41
     6.500 %     800,000       892,750  
Federal National Mortgage Association(a)
12/01/40
     4.000 %     4,213,903       4,170,354  
06/01/25-12/01/40
     4.500 %     36,021,834       36,872,892  
11/01/17-08/01/40
     5.000 %     18,245,090       19,270,431  
03/01/23-02/01/38
     5.500 %     36,541,793       39,533,462  
03/01/17-06/01/37
     6.000 %     19,649,518       21,716,076  
08/01/16-10/01/37
     6.500 %     8,935,353       10,097,582  
03/01/17-07/01/36
     7.000 %     6,191,512       7,199,075  
04/01/17-09/01/31
     7.500 %     1,629,103       1,875,523  
04/01/25
     8.000 %     363,981       418,517  
11/01/37
     8.500 %     81,162       93,326  
10/01/31
     9.500 %     98,045       115,568  
CMO IO Series 2003-119 Class GI
12/25/33
     8.173 %     513,032       85,639  
CMO IO Series 2003-63 Class IP
07/25/33
     1.000 %     1,095,116       227,553  
                         
    Coupon     Principal        
Issuer   Rate     Amount     Value  
Residential Mortgage-Backed Securities — Agency (continued)
CMO IO Series 2003-71 Class IM
12/25/31
     20.000 %   $ 256,350     $ 29,541  
CMO IO Series 2004-84 Class GI
12/25/22
     24.840 %     67,453       4,376  
CMO IO Series 2005-70 Class YJ
08/25/35
     364.086 %     587,759       8,270  
CMO IO Series 2009-7 Class LI
02/25/39
     2.978 %     3,520,973       756,140  
Federal National Mortgage Association(a)(b)
CMO IO Series 2002-60 Class SA
02/25/31
     9.540 %     1,696,146       319,250  
CMO IO Series 2003-32 Class VS
01/25/33
     1.000 %     2,308,038       310,835  
CMO IO Series 2004-31 Class SM
05/25/34
     12.980 %     2,976,944       483,671  
CMO IO Series 2004-46 Class SI
05/25/34
     19.860 %     3,744,659       487,987  
CMO IO Series 2004-54 Class SW
06/25/33
     12.060 %     3,423,263       400,008  
CMO IO Series 2005-29 Class SX
04/25/35
     1.000 %     399,178       62,968  
CMO IO Series 2005-57 Class NI
07/25/35
     22.100 %     1,924,737       300,639  
CMO IO Series 2006-60 Class UI
07/25/36
     12.850 %     2,256,327       393,199  
CMO IO Series 2008-7 Class SA
02/25/38
     17.030 %     379,579       71,935  
CMO IO Series 2010-3 Class DI
04/25/34
     7.860 %     2,018,161       86,168  
Federal National Mortgage Association(a)(c)
03/01/41
     4.500 %     3,850,000       3,923,993  
03/01/41
     5.000 %     1,000,000       1,047,031  
03/01/41
     5.500 %     1,000,000       1,068,750  
03/01/41
     6.000 %     9,425,000       10,240,847  
Federal National Mortgage Association(a)(d)
08/01/40
     4.500 %     3,905,388       4,006,423  
01/01/33
     5.500 %     269,524       290,514  
01/01/33
     6.000 %     861,596       949,967  
05/01/32
     6.500 %     139,046       157,507  
Government National Mortgage Association(a)
09/15/33- 05/15/40
     5.000 %     5,846,126       6,281,976  
12/15/32
     6.000 %     222,317       245,862  
12/15/31-02/15/32
     6.500 %     696,301       791,301  
02/15/30-03/15/30
     7.000 %     167,892       194,018  
CMO IO Series 2010-133 Class QI
09/16/34
     12.790 %     10,051,538       1,372,388  
CMO IO Series 2010-165 Class IL
08/20/36
     9.780 %     3,833,326       627,001  
Government National Mortgage Association(a)(b)
CMO IO Series 2003-11 Class S
02/16/33
     18.680 %     3,537,403       511,331  


 

 

                         
    Coupon     Principal        
Issuer   Rate     Amount     Value  
Residential Mortgage-Backed Securities — Agency (continued)
CMO IO Series 2009-106 Class CM
01/16/34
     22.870 %   $ 1,121,150     $ 148,489  
Government National Mortgage Association(a)(c)
03/01/41
     4.000 %     3,000,000       3,001,407  
03/01/41
     4.500 %     3,000,000       3,097,032  
03/01/41
     5.000 %     2,000,000       2,123,438  
 
 
Total Residential Mortgage-Backed Securities — Agency (Cost: $212,703,298)   $ 221,146,479  
 
 
                        
Residential Mortgage-Backed Securities — Non-Agency (14.7%)
BCAP LLC Trust
CMO Series 2009-RR13 Class 12A1(a)(e)
04/26/37
     5.250 %   $ 575,229     $ 583,007  
Banc of America Funding Corp.(a)
CMO Series 2005-1 Class 1A7
02/25/35
     5.500 %     675,850       677,013  
Banc of America Funding Corp.(a)(b)(e)
CMO Series 2009-R7A Class 4A2
08/26/35
     5.359 %     5,410,975       2,644,807  
Banc of America Mortgage Securities, Inc.
CMO Series 2005-E Class 2A5(a)(b)
06/25/35
     2.866 %     706,081       699,918  
Chaseflex Trust
CMO Series 2005-2 Class 2A2(a)
06/25/35
     6.500 %     447,023       423,683  
Citigroup Mortgage Loan Trust, Inc.(a)(b)(e)
CMO Series 2009-9 Class 1A3
04/25/34
     4.910 %     2,489,441       635,729  
CMO Series 2009-10 Class 1A2
09/25/33
     2.712 %     1,191,958       536,381  
CMO Series 2010-7 Class 3A4
12/25/35
     8.355 %     1,000,000       1,007,500  
Countrywide Home Loan Mortgage Pass-Through Trust(a)
CMO Series 2002-31 Class A1
01/25/33
     5.750 %     1,102,292       1,139,598  
Countrywide Home Loan Mortgage Pass-Through Trust(a)(e)
CMO Series 2005-R2 Class 2A1
06/25/35
     7.000 %     294,801       298,609  
Credit Suisse Mortgage Capital Certificates(a)(b)(e)
CMO Series 2009-2R Class 1A16
09/26/34
     2.883 %     17,500,000       8,830,559  
Credit Suisse Mortgage Capital Certificates(a)(e)
CMO Series 2009-12R Class 14A1
11/27/35
     5.500 %     1,325,611       1,376,276  
CMO Series 2009-12R Class 30A1
12/27/36
     5.300 %     155,416       157,981  
Deutsche Mortgage Securities, Inc.
CMO Series 2003-1 Class 1A7(a)
04/25/33
     5.500 %     527,842       531,907  
GSR Mortgage Loan Trust
CMO Series 2005-5F Class 2A3(a)
06/25/35
     5.500 %     482,478       486,124  
                         
    Coupon     Principal        
Issuer   Rate     Amount     Value  
Residential Mortgage-Backed Securities — Non-Agency (continued)
Indymac Index Mortgage Loan Trust
CMO IO Series 2006-AR25 Class 3A3(a)
09/25/36
     42.490 %   $ 7,813,657     $ 45,205  
JP Morgan Reremic(a)(b)(e)
CMO Series 2009-3 Class 1A2
02/26/35
     2.739 %     1,449,242       795,667  
CMO Series 2009-13 Class 2A2
09/26/35
     2.763 %     875,000       595,632  
Jefferies & Co., Inc.(a)(b)(e)
CMO Series 2009-R6 Class 4A2
04/26/35
     4.872 %     5,125,699       3,741,760  
Jefferies & Co., Inc.(a)(e)
CMO Series 2010-R4 Class 2A2
10/26/35
     5.500 %     1,238,995       1,211,117  
MASTR Alternative Loans Trust
CMO Series 2004-7 Class 8A1(a)
08/25/19
     5.000 %     202,504       202,108  
MASTR Asset Securitization Trust
CMO Series 2003-11 Class 7A1(a)
12/25/33
     5.250 %     134,946       135,363  
Prime Mortgage Trust(a)(b)
CMO Series 2004-CL1 Class 3A1
02/25/34
     6.878 %     1,764,817       1,919,238  
Prime Mortgage Trust(a)(e)
CMO Series 2005-1 Class 2A1
09/25/34
     5.000 %     1,064,738       1,075,306  
RBSSP Resecuritization Trust(a)(b)(e)
CMO Series 2009-12 Class 9A1
03/25/36
     5.897 %     1,816,423       1,833,395  
RBSSP Resecuritization Trust(a)(e)
CMO Series 2009-1 Class 4A1
10/26/35
     5.500 %     1,076,765       1,099,263  
Thornburg Mortgage Securities Trust
CMO IO Series 2006-5 Class AX(a)(b)
10/25/46
     22.660 %     5,802,201       114,984  
Wells Fargo Mortgage-Backed Securities Trust(a)
CMO Series 2005-14 Class 2A1
12/25/35
     5.500 %     356,259       364,609  
CMO Series 2007-8 Class 2A7
07/25/37
     6.000 %     853,778       846,665  
Wells Fargo Mortgage-Backed Securities Trust(a)(b)
CMO Series 2003-O Class 1A11
01/25/34
     4.714 %     261,989       267,413  
CMO Series 2004-F Class A3
06/25/34
     4.721 %     78,566       78,798  
CMO Series 2004-Q Class 1A2
09/25/34
     4.879 %     976,050       1,003,246  
CMO Series 2005-AR16 Class 4A6
10/25/35
     2.893 %     734,635       732,418  
 
 
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $23,165,803)   $ 36,091,279  
 


 

 

                         
    Coupon     Principal        
Issuer   Rate     Amount     Value  
Commercial Mortgage-Backed Securities (0.6%)
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through Certificates
CMO Series K001 Class A2(a)
04/25/16
     5.651 %   $ 1,335,721     $ 1,440,918  
 
 
Total Commercial Mortgage-Backed Securities
(Cost: $1,342,721) 		$ 1,440,918  
 
 
                        
Asset-Backed Securities (2.4%)
Bear Stearns Asset-Backed Securities Trust
Series 2006-HE9 Class 1A1(b)
11/25/36
     0.312 %   $ 216,114     $ 211,969  
Carrington Mortgage Loan Trust
Series 2006-RFC1 Class A2(b)
05/25/36
     0.362 %     729,251       710,410  
Chrysler Financial Lease Trust
Series 2010-A Class C(c)(e)
09/16/13
     4.490 %     1,000,000       1,000,261  
Citigroup Mortgage Loan Trust, Inc.
Series 2006-WFH4 Class A2(b)
11/25/36
     0.362 %     289,923       283,394  
Countrywide Asset-Backed Certificates
Series 2005-SD1 Class A1C(b)(e)
05/25/35
     0.652 %     534,436       515,702  
Deutsche Mortgage Securities, Inc.
CMO Series 2009-RS2 Class 4A1(b)(e)
04/26/37
     0.390 %     492,401       485,437  
Mastr Asset-Backed Securities Trust
Series 2005-FRE1 Class A4(b)
10/25/35
     0.512 %     280,005       270,844  
                         
    Coupon     Principal        
Issuer   Rate     Amount     Value  
Asset-Backed Securities (continued)
Morgan Stanley ABS Capital I
Series 2006-WMC1 Class A2B(b)
12/25/35
     0.462 %   $ 281,182     $ 270,386  
Renaissance Home Equity Loan Trust
Series 2005-2 Class AF3
08/25/35
     4.499 %     1,040,053       1,037,448  
Series 2006-4 Class AF1
01/25/37
     5.545 %     57,775       56,942  
Structured Asset Investment Loan Trust
Series 2005-9 Class A5(b)
11/25/35
     0.492 %     493,592       483,925  
Structured Asset Securities Corp.(b)
CMO Series 2006-NC1 Class A6
05/25/36
     0.312 %     92,102       90,917  
Series 2007-WF2 Class A2
08/25/37
     0.962 %     392,729       390,133  
 
 
Total Asset-Backed Securities
(Cost: $5,690,629)  		           $ 5,807,768  
 
                 
    Shares     Value  
Money Market Fund (5.0%)
Columbia Short-Term Cash Fund,
0.252%(f)(g)
     12,121,291     $ 12,121,291  
 
 
Total Money Market Fund
(Cost: $12,121,291)
           $ 12,121,291  
 
 
Total Investments (Cost: $255,023,742)(h)
           $ 276,607,735(i )
Other Assets & Liabilities, Net
             (31,764,618 )
 
 
Net Assets
           $ 244,843,117  
 


Investments in Derivatives
Futures Contracts Outstanding at February 28, 2011
                                         
    Number of                          
    Contracts     Notional     Expiration     Unrealized     Unrealized  
Contract description   Long (Short)     Market Value     Date     Appreciation     Depreciation  
 
U.S. Treasury Long Bond, 20-year
     17     $ 2,045,844     June 2011   $ 8,607     $ —  
U.S. Treasury Note, 2-year
     4       873,187     July 2011     869       —  
U.S. Treasury Note, 5-year
     (176 )     (20,581,000 )   July 2011     —       (52,462 )
U.S. Treasury Note, 10-year
     250       29,761,720     June 2011     60,173       —  
 
Total
                           $ 69,649     $ (52,462 )
 
 
Notes to Portfolio of Investments    
(a)  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.
(b)  Variable rate security. The interest rate shown reflects the rate as of February 28, 2011.
(c)  Represents a security purchased on a when-issued or delayed delivery basis.
(d)  At February 28, 2011, investments in securities included securities valued at $525,652 that were partially pledged as collateral to cover initial margin deposits on open interest rate futures contracts.
(e)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2011, the value of these securities amounted to $28,424,389 or 11.61% of net assets.
(f)  Investments in affiliates during the period ended February 28, 2011:
                                                         
                    Sales Cost/                     Dividends        
                    Proceeds from     Realized             or Interest        
Issuer   Beginning Cost     Purchase Cost     Sales     Gain/Loss     Ending Cost     Income     Value  
 
Columbia Short-Term Cash Fund
   $ 11,866,911     $ 93,586,953     $ (93,332,573 )   $ —     $ 12,121,291     $ 14,392     $ 12,121,291  
 
(g)  The rate shown is the seven-day current annualized yield at February 28, 2011.
(h)  At February 28, 2011, the cost of securities for federal income tax purposes was approximately $255,024,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:
         
Unrealized appreciation
   $ 23,273,000  
Unrealized depreciation
     (1,689,000 )
 
Net unrealized appreciation
   $ 21,584,000  
 
 
(i)  Securities are valued using policies described in the notes to financial statements in the most recent shareholder report.
     
Abbreviation Legend    
     
CMO
  Collateralized Mortgage Obligation
IO
  Interest Only

 

     
Fair Value Measurements    
Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category.
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
•   Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.
 
•   Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
 
•   Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Fund Administrator, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models rely on one or more significant unobservable inputs and/or significant assumptions by the Fund Administrator. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.

 

The following table is a summary of the inputs used to value the Fund’s investments as of February 28, 2011:
                                 
    Fair value at February 28, 2011
    Level 1     Level 2     Level 3        
Description(a)   quoted prices     other     significant     Total  
    in active     significant     unobservable          
    markets for     observable     inputs          
    identical assets     inputs(b)                 
 
                                 
Bonds
                                
Residential Mortgage-Backed Securities - Agency
   $ -     $ 221,146,479     $ -     $ 221,146,479  
Residential Mortgage-Backed Securities - Non-Agency
     -       28,913,587       7,177,692       36,091,279  
Commercial Mortgage-Backed Securities
     -       1,440,918       -       1,440,918  
Asset-Backed Securities
     -       5,807,768       -       5,807,768  
 
Total Bonds
     -       257,308,752       7,177,692       264,486,444  
 
                                 
Other
                                
Affiliated Money Market Fund(c)
     12,121,291       -       -       12,121,291  
 
Total Other
     12,121,291       -       -       12,121,291  
 
                                 
Investments in Securities
     12,121,291       257,308,752       7,177,692       276,607,735  
Derivatives(d)
                                
Assets
                                
Futures Contracts
     69,649       -       -       69,649  
Liabilities
                                
Futures Contracts
     (52,462 )     -       -       (52,462 )
 
Total
   $ 12,138,478     $ 257,308,752     $ 7,177,692     $ 276,624,922  
 
(a)  See the Portfolio of Investments for all investment classifications not indicated in the table.
 
(b)  There were no significant transfers between Levels 1 and 2 during the period.
 
(c)  Money market fund that is a sweep investment for cash balances in the Fund at February 28, 2011.
 
(d)  Derivative instruments are valued at unrealized appreciation (depreciation).
The following table is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
                                 
     
    Residential     Residential              
    Mortgage-Backed     Mortgage-Backed                
    Securities -     Securities - Non-     Asset-Backed          
    Agency     Agency     Securities     Total  
 
Balance as of May 31, 2010
   $ 150,669     $ 3,615,415     $ 1,022,693     $ 4,788,777  
Accrued discounts/premiums
     -       (16,240 )     13,370       (2,870 )
Realized gain (loss)
     -       934       1,062       1,996  
Change in unrealized appreciation (depreciation)*
     -       2,443,434       (4,482 )     2,438,952  
Sales
     -       (36,675 )     (1,032,643 )     (1,069,318 )
Purchases
     -       2,794,116       -       2,794,116  
Transfers into Level 3
     -       -       -       -  
Transfers out of Level 3
     (150,669 )     (1,623,292 )     -       (1,773,961 )
 
Balance as of February 28, 2011
   $ -     $ 7,177,692     $ -     $ 7,177,692  
 
*   Change in unrealized appreciation (depreciation) relating to securities held at February 28, 2011 was $2,447,546, which is comprised of Residential Mortgage-Backed Securities - Non-Agency.
Transfers in and/or out of Level 3 are determined based on the fair value at the beginning of the period for security positions held throughout the period.

 

 

Portfolio of Investments
RiverSource Short Duration U.S. Government Fund
Feb. 28, 2011 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in Securities
Bonds (96.6%)
                         
    Coupon     Principal        
Issuer   rate     amount     Value(a)  
U.S. Government Obligations & Agencies (33.6%)
                        
Federal Farm Credit Bank
                        
08-22-13
     0.282 %   $ 6,000,000  (i)   $ 5,994,984  
Federal Home Loan Banks
                        
06-21-13
     1.875       12,600,000  (e)     12,868,330  
Federal Home Loan Mortgage Corp.
                        
08-20-12
     5.500       2,610,000  (e)     2,797,586  
01-10-13
     0.340       12,000,000  (i)     11,999,998  
01-24-13
     0.320       6,000,000  (i)     5,998,845  
10-28-13
     0.875       15,660,000  (e)     15,538,604  
Federal National Mortgage Association
                        
09-24-12
     0.625       23,000,000  (e)     23,025,277  
02-01-13
     0.400       6,000,000  (i)     6,000,660  
09-17-13
     1.125       2,450,000       2,450,772  
10-26-15
     1.625       30,000,000       29,172,509  
Private Export Funding Corp.
                        
U.S. Government Guaranty
                        
10-15-14
     3.050       5,675,000       5,930,420  
U.S. Treasury
                        
07-31-11
     1.000       15,250,000  (e)     15,302,430  
05-31-12
     0.750       33,000,000  (e)     33,162,359  
06-15-12
     1.875       6,690,000  (e)     6,819,619  
08-31-12
     0.375       7,000,000  (e)     6,992,342  
01-31-16
     2.000       15,000,000  (e)     14,928,510  
 
                      
Total
                     198,983,245  
 
                      
Asset-Backed (5.8%)
                        
Access Group, Inc.
                        
Series 2005-1 Class A1
                        
06-22-18
     0.383       1,128,672  (i)     1,127,886  
Banc of America Funding Corp.
                        
CMO Series 2009-R14A Class 1A1
                        
09-26-37
     1.359       3,406,830  (d,i)     3,384,468  
Bear Stearns Asset-Backed Securities Trust
                        
Series 2006-HE9 Class 1A1
                        
11-25-36
     0.312       498,039  (i)     488,486  
Carrington Mortgage Loan Trust
                        
Series 2006-RFC1 Class A2
                        
05-25-36
     0.362       2,187,752  (i)     2,131,231  
Chrysler Financial Lease Trust
                        
Series 2010-A Class A2
                        
06-15-11
     1.780       622,328  (d)     622,566  
Citigroup Mortgage Loan Trust, Inc.
                        
Series 2006-WFH4 Class A2
                        
11-25-36
     0.362       1,031,706  (i)     1,008,474  

 

                         
    Coupon     Principal        
Issuer   rate     amount     Value(a)  
Countrywide Asset-Backed Certificates
                        
Series 2005-SD1 Class A1C
                        
05-25-35
     0.652       1,054,126  (d,i)     1,017,175  
Countrywide Asset-Backed Certificates
                        
Series 2006-22 Class 2A1 (MGIC)
                        
05-25-47
     0.312       221,816  (b,i)     221,269  
Credit-Based Asset Servicing and Securitization LLC
                        
Series 2006-CB6 Class A22
                        
07-25-36
     0.352       376,699  (i)     375,968  
Morgan Stanley ABS Capital I
                        
Series 2005-WMC5 Class M2
                        
06-25-35
     0.742       2,091,652  (i)     2,033,667  
Morgan Stanley ABS Capital I
                        
Series 2006-WMC1 Class A2B
                        
12-25-35
     0.462       1,154,748  (i)     1,110,412  
RBSSP Resecuritization Trust
                        
CMO Series 2009-10 Class 4A1
                        
07-26-36
     0.412       2,037,328  (d,i)     2,011,425  
RBSSP Resecuritization Trust
                        
CMO Series 2009-10 Class 7A1
                        
03-26-37
     0.362       448,605  (d,i)     447,023  
RBSSP Resecuritization Trust
                        
CMO Series 2009-11 Class 2A1
                        
04-26-36
     0.412       3,856,053  (d,i)     3,659,216  
RBSSP Resecuritization Trust
                        
CMO Series 2009-12 Class 2A1
                        
10-25-32
     4.767       1,093,964  (d)     1,102,155  
RBSSP Resecuritization Trust
                        
CMO Series 2009-13 Class 8A1
                        
06-26-37
     1.012       4,220,446  (d,i)     4,169,001  
Residential Asset Mortgage Products, Inc.
                        
Series 2004-RS8 Class AI4
                        
06-25-32
     5.060       1,226,726       1,212,145  
Sierra Receivables Funding Co.
                        
Series 2010-2A Class A
                        
11-20-25
     3.840       1,908,976  (d)     1,906,622  
Small Business Administration
                        
Series 2002-P10B Class 1
                        
08-10-12
     5.199       201,123       210,244  
Soundview Home Equity Loan Trust
                        
Series 2005-B Class M1
                        
05-25-35
     6.135       3,390       3,387  
Specialty Underwriting & Residential Finance
                        
Series 2005-BC3 Class M1
                        
06-25-36
     0.712       4,500,000  (i)     4,256,761  
Structured Asset Investment Loan Trust
                        
Series 2005-9 Class A5
                        
11-25-35
     0.492       1,064,406  (i)     1,043,560  
Structured Asset Securities Corp.
                        
CMO Series 2006-NC1 Class A6
                        
05-25-36
     0.312       436,274  (i)     430,663  
Structured Asset Securities Corp.
                        
Series 2007-WF2 Class A2
                        
08-25-37
     0.962       424,938  (i)     422,129  
 
                      
Total
                     34,395,933  
 
                      

 

                         
    Coupon     Principal        
Issuer   rate     amount     Value(a)  
Commercial Mortgage-Backed (1.9%)(f)
                        
Bear Stearns Commercial Mortgage Securities
                        
Series 2004-PWR6 Class A4
                        
11-11-41
     4.521       1,575,000       1,607,800  
Federal Home Loan Mortgage Corp.
                        
Multifamily Structured Pass-Through Certificates
                        
CMO Series K001 Class A2
                        
04-25-16
     5.651       3,973,346       4,286,276  
Federal National Mortgage Association
                        
CMO Series 2010-M4 Class A1
                        
06-25-20
     2.520       2,685,599       2,665,470  
JP Morgan Chase Commercial Mortgage Securities Corp.
                        
Series 2004-CBX Class A3
                        
01-12-37
     4.184       2,853,727       2,853,697  
 
                      
Total
                     11,413,243  
 
                      
 
                        
Residential Mortgage-Backed (55.3%)(f)
                        
Banc of America Funding Corp.
                        
CMO Series 2010-R4 Class 4A1
                        
06-26-37
     0.472       892,689  (d,i)     870,797  
BCAP LLC Trust
                        
CMO Series 2009-RR13 Class 12A1
                        
04-26-37
     5.250       1,597,259  (d)     1,618,855  
BCAP LLC Trust
                        
CMO Series 2010-RR6 Class 6A1
                        
07-26-37
     4.000       4,213,665  (d)     4,244,638  
Countrywide Alternative Loan Trust
                        
CMO Series 2006-OA11 Class A3B1
                        
09-25-46
     0.442       324,865  (i)     318,793  
Credit Suisse Mortgage Capital Certificates
                        
CMO Series 2009-12R Class 14A1
                        
11-27-35
     5.500       4,693,603  (d)     4,872,994  
Credit Suisse Mortgage Capital Certificates
                        
CMO Series 2009-12R Class 30A1
                        
12-27-36
     5.300       550,771  (d)     559,862  
Credit Suisse Mortgage Capital Certificates
                        
CMO Series 2010-17R Class 1A1
                        
06-26-36
     2.633       2,861,664  (d,i)     2,833,047  
Federal Deposit Insurance Corp.
                        
Structured Sale Guaranteed Notes
                        
CMO Series 2010-S1 Class 1A
                        
02-25-48
     0.811       4,743,796  (d,i)     4,743,336  
Federal Home Loan Mortgage Corp.
                        
03-01-26
     4.500       22,450,000  (g)     23,495,316  
Federal Home Loan Mortgage Corp. #1G2547
                        
12-01-36
     6.109       715,830  (i)     770,023  
Federal Home Loan Mortgage Corp. #1G2598
                        
01-01-37
     5.948       948,674  (i)     1,004,969  
Federal Home Loan Mortgage Corp. #1J0614
                        
09-01-37
     5.620       1,497,368  (i)     1,586,192  
Federal Home Loan Mortgage Corp. #1Q0140
                        
08-01-36
     5.890       295,836  (i)     311,929  
Federal Home Loan Mortgage Corp. #B10459
                        
10-01-18
     5.500       552,705       599,029  
Federal Home Loan Mortgage Corp. #C00351
                        
07-01-24
     8.000       157,308       184,839  
Federal Home Loan Mortgage Corp. #C00385
                        
01-01-25
     9.000       276,918       322,344  
Federal Home Loan Mortgage Corp. #C80329
                        
08-01-25
     8.000       47,646       56,028  

 

                         
    Coupon     Principal        
Issuer   rate     amount     Value(a)  
Federal Home Loan Mortgage Corp. #E81240
                        
06-01-15
     7.500       1,392,533       1,511,945  
Federal Home Loan Mortgage Corp. #E92454
                        
11-01-17
     5.000       1,358,091       1,454,987  
Federal Home Loan Mortgage Corp. #E96624
                        
05-01-18
     5.000       636,774       682,604  
Federal Home Loan Mortgage Corp. #G00363
                        
06-01-25
     8.000       184,104       216,494  
Federal Home Loan Mortgage Corp. #G00501
                        
05-01-26
     9.000       374,611       446,575  
Federal Home Loan Mortgage Corp. #G04710
                        
09-01-38
     6.000       1,033,178       1,135,435  
Federal Home Loan Mortgage Corp. #G10669
                        
03-01-12
     7.500       157,780       163,416  
Federal Home Loan Mortgage Corp. #G11243
                        
04-01-17
     6.500       6,047,757       6,573,902  
Federal Home Loan Mortgage Corp. #G13987
                        
01-01-24
     6.000       5,185,505       5,608,610  
Federal Home Loan Mortgage Corp.
                        
CMO I.O. Series 11 Class B
                        
01-01-20
     7.135       5,265  (j)     1,362  
Federal Home Loan Mortgage Corp.
                        
CMO I.O. Series 3455 Class AI
                        
12-15-13
     11.788       12,014,099  (j)     261,410  
Federal Home Loan Mortgage Corp.
                        
CMO I.O. Series 3517 Class JI
                        
12-15-12
     13.151       1,281,903  (j)     11,270  
Federal Home Loan Mortgage Corp.
                        
CMO I.O. Series 3600 Class DI
                        
01-15-13
     6.036       18,493,813  (j)     401,887  
Federal Home Loan Mortgage Corp.
                        
CMO I.O. Series 3630 Class AI
                        
03-15-17
     12.303       7,949,513  (j)     331,301  
Federal Home Loan Mortgage Corp.
                        
CMO Series 2617 Class HD
                        
06-15-16
     7.000       763,787       766,387  
Federal Home Loan Mortgage Corp.
                        
CMO Series 3374 Class AB
                        
12-15-20
     3.500       5,867,518       6,099,616  
Federal Home Loan Mortgage Corp.
                        
CMO Series 3531 Class CE
                        
01-15-39
     3.000       2,261,215       2,253,324  
Federal Home Loan Mortgage Corp.
                        
CMO Series 3683 Class JD
                        
12-15-23
     4.000       5,024,801       5,249,772  
Federal Home Loan Mortgage Corp.
                        
CMO Series 3684 Class CM
                        
08-15-24
     2.500       5,878,626       5,867,470  
Federal Home Loan Mortgage Corp.
                        
CMO Series 3825 Class AB
                        
03-15-41
     3.000       5,850,000  (g)     5,989,230  
Federal Home Loan Mortgage Corp.
                        
Multifamily Structured Pass-Through Certificates
                        
CMO Series K003 Class A1
                        
07-25-13
     2.225       4,105,820       4,154,805  
Federal National Mortgage Association
                        
03-01-26
     4.500       8,825,000  (g)     9,244,188  
03-01-26
     5.000       2,500,000  (g)     2,654,688  

 

                         
    Coupon     Principal        
Issuer   rate     amount     Value(a)  
Federal National Mortgage Association #125032
                        
11-01-21
     8.000       78,467       90,958  
Federal National Mortgage Association #190129
                        
11-01-23
     6.000       538,091       593,791  
Federal National Mortgage Association #190988
                        
06-01-24
     9.000       115,975       136,166  
Federal National Mortgage Association #254384
                        
06-01-17
     7.000       162,236       179,687  
Federal National Mortgage Association #254454
                        
08-01-17
     7.000       299,436       331,645  
Federal National Mortgage Association #254723
                        
05-01-23
     5.500       4,166,861       4,527,043  
Federal National Mortgage Association #256901
                        
09-01-37
     6.500       686,483       760,464  
Federal National Mortgage Association #303885
                        
05-01-26
     7.500       207,895       239,521  
Federal National Mortgage Association #313007
                        
07-01-11
     7.500       2,724       2,724  
Federal National Mortgage Association #336512
                        
02-01-26
     6.000       37,313       41,140  
Federal National Mortgage Association #508402
                        
08-01-14
     6.500       132,031       144,479  
Federal National Mortgage Association #545818
                        
07-01-17
     6.000       6,531,070       7,169,151  
Federal National Mortgage Association #545864
                        
08-01-17
     5.500       5,032,930       5,486,012  
Federal National Mortgage Association #545910
                        
08-01-17
     6.000       1,001,158       1,097,305  
Federal National Mortgage Association #555063
                        
11-01-17
     5.500       2,702,806       2,957,612  
Federal National Mortgage Association #579485
                        
04-01-31
     6.500       1,271,891       1,440,649  
Federal National Mortgage Association #593829
                        
12-01-28
     7.000       884,381       1,016,980  
Federal National Mortgage Association #601416
                        
11-01-31
     6.500       440,870       499,245  
Federal National Mortgage Association #630993
                        
09-01-31
     7.500       1,455,543       1,680,650  
Federal National Mortgage Association #648040
                        
06-01-32
     6.500       1,403,814       1,590,195  
Federal National Mortgage Association #648349
                        
06-01-17
     6.000       3,626,129       3,978,519  
Federal National Mortgage Association #651284
                        
07-01-17
     6.000       671,485       733,014  
Federal National Mortgage Association #662866
                        
11-01-17
     6.000       807,924       887,515  
Federal National Mortgage Association #665752
                        
09-01-32
     6.500       483,904       548,151  
Federal National Mortgage Association #678940
                        
02-01-18
     5.500       1,198,800       1,312,963  
Federal National Mortgage Association #686227
                        
02-01-18
     5.500       1,489,094       1,630,657  
Federal National Mortgage Association #696837
                        
04-01-18
     5.500       1,705,466       1,848,426  
Federal National Mortgage Association #722325
                        
07-01-33
     4.935       2,548,334  (i)     2,698,060  
Federal National Mortgage Association #739243
                        
09-01-33
     6.000       2,142,982       2,400,258  
Federal National Mortgage Association #739331
                        
09-01-33
     6.000       920,841       1,015,289  

 

                         
    Coupon     Principal        
Issuer   rate     amount     Value(a)  
Federal National Mortgage Association #745392
                        
12-01-20
     4.500       537,180       567,894  
Federal National Mortgage Association #791447
                        
10-01-34
     6.000       3,358,184  (n)     3,699,475  
Federal National Mortgage Association #799843
                        
11-01-34
     2.164       457,069  (i)     474,885  
Federal National Mortgage Association #829597
                        
08-01-35
     2.599       755,747  (i)     795,665  
Federal National Mortgage Association #831809
                        
09-01-36
     6.000       2,283,759       2,510,861  
Federal National Mortgage Association #832641
                        
09-01-35
     6.000       3,238,333       3,550,138  
Federal National Mortgage Association #881886
                        
04-01-36
     5.402       405,379  (i)     433,159  
Federal National Mortgage Association #886764
                        
08-01-36
     6.099       285,845  (i)     302,100  
Federal National Mortgage Association #887403
                        
07-01-36
     7.000       1,824,958       2,111,405  
Federal National Mortgage Association #888989
                        
06-01-37
     5.745       2,150,975  (i)     2,286,675  
Federal National Mortgage Association #895834
                        
04-01-36
     3.580       366,919  (i)     385,191  
Federal National Mortgage Association #929139
                        
02-01-23
     5.000       5,758,325       6,120,578  
Federal National Mortgage Association #946609
                        
09-01-37
     5.738       423,979  (i)     452,279  
Federal National Mortgage Association #995097
                        
10-01-37
     6.500       2,463,822       2,774,000  
Federal National Mortgage Association #MA0548
                        
10-01-20
     3.500       1,870,992       1,931,580  
Federal National Mortgage Association
                        
CMO I.O. Series 163 Class 2
                        
07-25-22
     20.000       301,676  (j)     48,491  
Federal National Mortgage Association
                        
CMO I.O. Series 2003-26 Class MI
                        
03-25-23
     20.000       713,525  (j)     86,296  
Federal National Mortgage Association
                        
CMO I.O. Series 2003-63 Class IP
                        
07-25-33
     1.000       2,122,023  (j)     440,934  
Federal National Mortgage Association
                        
CMO I.O. Series 36 Class 2
                        
08-01-18
     8.953       2,672  (j)     553  
Federal National Mortgage Association
                        
CMO I.O. Series 70 Class 2
                        
01-15-20
     20.000       115,685  (j)     23,750  
Federal National Mortgage Association
                        
CMO P.O. Series G-15 Class A
                        
06-25-21
     2.490       16,436  (k)     15,215  
Federal National Mortgage Association
                        
CMO Series 2002-97 Class CF
                        
03-25-31
     5.500       1,798,394       1,827,525  
Federal National Mortgage Association
                        
CMO Series 2003-W11 Class A1
                        
06-25-33
     3.098       71,030  (i)     72,927  
Federal National Mortgage Association
                        
CMO Series 2004-60 Class PA
                        
04-25-34
     5.500       2,025,439       2,165,540  

 

                         
    Coupon     Principal        
Issuer   rate     amount     Value(a)  
Federal National Mortgage Association
                        
CMO Series 2009-70 Class NL
                        
08-25-19
     3.000       1,093,746       1,120,437  
Federal National Mortgage Association
                        
CMO Series 2010-50 Class AB
                        
01-25-24
     2.500       4,317,631       4,316,843  
Federal National Mortgage Association
                        
CMO Series 2011-16 Class GE
                        
03-25-26
     2.750       5,950,000       6,033,657  
Federal National Mortgage Association
                        
CMO Series 2011-23 Class AB
                        
06-25-20
     2.750       5,950,000       6,047,336  
Federal National Mortgage Association
                        
CMO Series 2011-25 Class AH
                        
06-25-21
     2.750       5,950,000  (g)     6,061,098  
Federal National Mortgage Association
                        
CMO Series 2011-6 Class BA
                        
06-25-20
     2.750       7,326,690       7,439,013  
Government National Mortgage Association #615740
                        
08-15-13
     6.000       227,042       247,313  
Government National Mortgage Association #648339
                        
10-15-35
     5.500       840,799       928,180  
Government National Mortgage Association #781507
                        
09-15-14
     6.000       1,058,318       1,117,957  
Government National Mortgage Association
                        
CMO Series 2009-105 Class A
                        
12-16-50
     3.456       7,025,347       7,392,035  
Government National Mortgage Association
                        
CMO Series 2009-114 Class A
                        
12-16-38
     3.103       7,310,535       7,478,385  
Government National Mortgage Association
                        
CMO Series 2009-63 Class A
                        
01-16-38
     3.400       4,726,916       4,897,792  
Government National Mortgage Association
                        
CMO Series 2009-71 Class A
                        
04-16-38
     3.304       7,180,857       7,381,921  
Government National Mortgage Association
                        
CMO Series 2009-90 Class AC
                        
01-16-33
     3.137       5,400,000       5,567,302  
Government National Mortgage Association
                        
CMO Series 2010-13 Class A
                        
08-16-22
     2.461       4,557,732       4,633,131  
Government National Mortgage Association
                        
CMO Series 2010-141 Class A
                        
08-16-31
     1.864       4,750,743       4,778,390  
Government National Mortgage Association
                        
CMO Series 2010-159 Class A
                        
01-16-33
     2.159       4,678,683       4,719,187  
Government National Mortgage Association
                        
CMO Series 2010-161 Class AB
                        
05-16-35
     2.110       3,983,016       4,000,695  
Government National Mortgage Association
                        
CMO Series 2010-18 Class A
                        
12-16-50
     3.100       4,914,483       5,052,992  
Government National Mortgage Association
                        
CMO Series 2010-22 Class AC
                        
12-16-30
     2.229       3,741,112       3,796,841  

 

                         
    Coupon     Principal        
Issuer   rate     amount     Value(a)  
Government National Mortgage Association
                        
CMO Series 2010-49 Class A
                        
03-16-51
     2.870       1,480,120       1,530,541  
Government National Mortgage Association
                        
CMO Series 2010-65 Class A
                        
11-16-28
     2.017       3,606,100       3,640,536  
Government National Mortgage Association
                        
CMO Series 2010-83 Class A
                        
10-16-50
     2.021       4,403,407       4,439,126  
Government National Mortgage Association
                        
CMO Series 2011-1 Class A
                        
12-16-31
     2.239       5,985,772       6,031,789  
Government National Mortgage Association
                        
CMO Series 2011-16 Class A
                        
11-16-34
     2.210       6,100,000       6,142,583  
Government National Mortgage Association
                        
CMO Series 2011-20 Class A
                        
04-16-32
     1.883       7,375,000       7,366,227  
Government National Mortgage Association
                        
CMO Series 2011-31 Class A
                        
03-01-41
     2.210       5,950,000  (g)     5,963,016  
GSR Mortgage Loan Trust
                        
CMO Series 2005-5F Class 2A3
                        
06-25-35
     5.500       1,702,403       1,715,265  
LVII Resecuritization Trust
                        
CMO Series 2009-3 Class A1
                        
11-27-37
     5.684       836,926  (d,i)     843,843  
Residential Asset Securitization Trust
                        
CMO Series 2004-A7 Class A1
                        
10-25-34
     5.500       1,262,122       1,262,416  
Wells Fargo Mortgage-Backed Securities Trust
                        
CMO Series 2003-O Class 1A11
                        
01-25-34
     4.723       919,769  (i)     938,811  
Wells Fargo Mortgage-Backed Securities Trust
                        
CMO Series 2004-Q Class 1A2
                        
09-25-34
     4.879       2,775,409  (i)     2,852,741  
Wells Fargo Mortgage-Backed Securities Trust
                        
CMO Series 2005-AR16 Class 4A6
                        
10-25-35
     2.888       2,100,085  (i)     2,093,747  
Wells Fargo Mortgage-Backed Securities Trust
                        
CMO Series 2006-12 Class A1
                        
10-25-36
     6.000       381,160       380,298  
 
                      
Total
                     327,800,498  
 
                      
Total Bonds
                        
(Cost: $564,641,902)
                   $ 572,592,919  
 
                      
FDIC-Insured Debt (7.8%)(m)
                         
    Coupon     Principal        
Issuer   rate     amount     Value(a)  
U.S. Agencies
                        
Bank of America Corp.
                        
FDIC Government Guaranty
                        
04-30-12
     2.100 %   $ 4,175,000     $ 4,260,283  
06-15-12
     3.125       3,810,000       3,936,972  
Citigroup Funding, Inc.
                        
FDIC Government Guaranty
                        
07-12-12
     2.125       15,000,000       15,334,098  
11-15-12
     1.875       3,055,000       3,116,079  
General Electric Capital Corp.
                        
FDIC Government Guaranty
                        
12-09-11
     3.000       11,525,000       11,764,293  
 
                      
12-28-12
     2.625       7,580,000       7,835,226  
 
                      
Total FDIC-Insured Debt
                        
(Cost: $45,325,965)
                   $ 46,246,951  
 
                      

 

Government Guaranteed (0.2%)(l)
                         
    Coupon     Principal        
Issuer   rate     amount     Value(a)  
Foreign Agencies (0.1%)
                        
Barclays Bank PLC
                        
Government Liquid Guaranteed
                        
03-05-12
     2.700 %   $ 780,000 (c,d)   $ 796,889  
Banking (0.1%)
                        
The Royal Bank of Scotland PLC
                        
Government Liquid Guaranteed
                        
04-23-12
     2.650       400,000 (c)     407,707  
 
                      
Total Government Guaranteed
                        
(Cost: $1,184,050)
                   $ 1,204,596  
 
                      
Money Market Fund (3.7%)
                 
    Shares     Value(a)  
Columbia Short-Term Cash Fund, 0.252%
     21,710,714 (o)   $ 21,710,714  
 
              
Total Money Market Fund
                
(Cost: $21,710,714)
           $ 21,710,714  
 
              
Investments of Cash Collateral Received for Securities on Loan (0.9%)
                         
    Effective     Principal        
Issuer   yield     amount     Value(a)  
Repurchase Agreements(h)
                        
Goldman Sachs & Co.
                        
dated 02-28-11, matures 03-01-11,
                        
repurchase price
                        
$5,116,528
     0.200 %   $ 5,116,500     $ 5,116,500  
 
                      
Total Investments of Cash Collateral Received for Securities on Loan
                        
(Cost: $5,116,500)
                   $ 5,116,500  
 
                      
Total Investments in Securities
                        
(Cost: $637,979,131)(p)
                   $ 646,871,680  
 
                      
Investments in Derivatives
Futures Contracts Outstanding at Feb. 28, 2011
                                         
    Number of                          
    contracts     Notional     Expiration     Unrealized     Unrealized  
Contract description   long (short)     market value     date     appreciation     depreciation  
 
U.S. Treasury Note, 2-year
     (155 )   $ (33,836,016 )   July 2011   $ —     $ (77,771 )
U.S. Treasury Note, 5-year
     (212 )     (24,790,750 )   July 2011     —       (202,433 )
 
Total
                           $ —     $ (280,204 )
 
Notes to Portfolio of Investments
 
CMO —   Collateralized Mortgage Obligation
 
FDIC —   Federal Deposit Insurance Corporation
 
I.O. —   Interest Only
 
P.O. —   Principal Only
(a)   Securities are valued by using policies described in Note 2 to the financial statements in the most recent Semiannual Report dated Nov. 30, 2010.
(b)   The following abbreviation is used in the portfolio security description(s) to identify the insurer and/or guarantor of the issue:
MGIC — Mortgage Guaranty Insurance Corporation

 

(c)   Foreign security values are stated in U.S. dollars. For debt securities, principal amounts are denominated in U.S. dollar currency unless otherwise noted. At Feb. 28, 2011, the value of foreign securities, excluding short-term securities, represented 0.20% of net assets.
 
(d)   Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. This security may be determined to be liquid under guidelines established by the Fund’s Board of Directors. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At Feb. 28, 2011, the value of these securities amounted to $39,703,912 or 6.70% of net assets.
 
(e)   At Feb. 28, 2011, security was partially or fully on loan.
 
(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)   At Feb. 28, 2011, the cost of securities purchased, including interest purchased, on a when-issued and/or other forward-commitment basis was $53,079,997.
 
(h)   The table below represents securities received as collateral for repurchase agreements. This collateral, which is generally high quality short-term obligations, is deposited with the Fund’s custodian and, pursuant to the terms of the repurchase agreement, must have an aggregate market value greater than or equal to the repurchase price plus accrued interest at all times. The value of securities and/or cash held as collateral for repurchase agreements is monitored on a daily basis to ensure the existence of the proper level of collateral.
Goldman Sachs & Co. (0.200%)
         
Security description   Value (a)  
 
Government National Mortgage Association
   $ 5,218,830  
 
Total market value of collateral securities
   $ 5,218,830  
 
(i)   Interest rate varies either based on a predetermined schedule or to reflect current market conditions; rate shown is the effective rate on Feb. 28, 2011.
 
(j)   Interest only represents securities that entitle holders to receive only interest payments on the underlying mortgages. The yield to maturity of an interest only security 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. The interest rate disclosed represents yield based upon the estimated timing and amount of future cash flows at Feb. 28, 2011.
 
(k)   Principal only represents securities that entitle holders to receive only principal payments on the underlying mortgages. The yield to maturity of a principal only security 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, 2011.
 
(l)   This debt is guaranteed by the HM Treasury, United Kingdom.
 
(m)   This debt is guaranteed under the FDIC’s (Federal Deposit Insurance Corporation) Temporary Liquidity Guarantee Program (TLGP) and is backed by the full faith and credit of the United States.
 
(n)   At Feb. 28, 2011, investments in securities included securities valued at $503,357 that were partially pledged as collateral to cover initial margin deposits on open interest rate futures contracts.
 
(o)   Affiliated Money Market Fund — The Fund may invest its daily cash balance in Columbia Short-Term Cash Fund, a money market fund established for the exclusive use of funds and other institutional clients of Columbia Management. The rate shown is the seven-day current annualized yield at Feb. 28, 2011.
 
(p)   At Feb. 28, 2011, the cost of securities for federal income tax purposes was approximately $637,979,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:
         
Unrealized appreciation
   $ 11,138,000  
Unrealized depreciation
     (2,245,000 )
 
Net unrealized appreciation
   $ 8,893,000  
 

 

Fair Value Measurements
Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category.
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
  •   Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.
 
  •   Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
 
  •   Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Fund Administrator, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models rely on one or more significant unobservable inputs and/or significant assumptions by the Fund Administrator. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The following table is a summary of the inputs used to value the Fund’s investments as of Feb. 28, 2011:
                                 
    Fair value at Feb. 28, 2011
    Level 1     Level 2     Level 3        
Description(a)   quoted prices     other     significant     Total  
    in active     significant     unobservable          
    markets for     observable     inputs          
    identical assets     inputs(b)                 
 
Bonds
                                
U.S. Government Obligations & Agencies
   $ 77,205,260     $ 121,777,985     $ -     $ 198,983,245  
Asset-Backed Securities
     -       34,395,933       -       34,395,933  
Commercial Mortgage-Backed Securities
     -       11,413,243       -       11,413,243  
Residential Mortgage-Backed Securities
     -       294,873,114       32,927,384       327,800,498  
 
Total Bonds
     77,205,260       462,460,275       32,927,384       572,592,919  
 
                                 
Other
                                
FDIC-Insured Debt Securities
     -       46,246,951       -       46,246,951  
Government Guaranteed
     -       1,204,596       -       1,204,596  
Affiliated Money Market Fund(c)
     21,710,714       -       -       21,710,714  
Investments of Cash Collateral Received for Securities on Loan
     -       5,116,500       -       5,116,500  
 
Total Other
     21,710,714       52,568,047       -       74,278,761  
 
                                 
Investments in Securities
     98,915,974       515,028,322       32,927,384       646,871,680  
Derivatives(d)
                                
Liabilities
                                
Futures Contracts
     (280,204 )      -       -       (280,204 ) 
 
Total
   $ 98,635,770     $ 515,028,322     $ 32,927,384     $ 646,591,476  
 
(a)   See the Portfolio of Investments for all investment classifications not indicated in the table.
 
(b)   There were no significant transfers between Levels 1 and 2 during the period.
 
(c)   Money market fund that is a sweep investment for cash balances in the Fund at Feb. 28, 2011.
 
(d)   Derivative instruments are valued at unrealized appreciation (depreciation).
The following table is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
                         
     
          Residential        
    Asset-Backed     Mortgage-Backed        
    Securities     Securities     Total  
 
Balance as of May 31, 2010
   $ 5,284,093     $ 15,421,587     $ 20,705,680  
Accrued discounts/premiums
     11,912       2,458     14,370  
Realized gain (loss)
     1,150       961,221       962,371  
Change in unrealized appreciation (depreciation)*
     (4,658 )      (835,643 )      (840,301 )
Sales
     (1,071,197 )      (5,200,577 )     (6,271,774 )
Purchases
     -       36,080,652       36,080,652  
Transfers into Level 3
     -       -       -  
Transfers out of Level 3
     (4,221,300 )     (13,502,314 )     (17,723,614 ) 
 
Balance as of Feb. 28, 2011
   $ -     $ 32,927,384     $ 32,927,384  
 
*   Change in unrealized appreciation (depreciation) relating to securities held at Feb. 28, 2011 was $(835,643), which was comprised of Residential Mortgage-Backed Securities.
Transfers in and/or out of Level 3 are determined based on the fair value at the beginning of the period for security positions held throughout the period.

 

 

Item 2. Control and Procedures.
(a) The registrant’s principal executive officer and principal financial officer, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that material information required to be disclosed by the registrant in Form N-Q is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b) There was no change 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.
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

 

 

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) RiverSource Government Income Series, Inc.
         
     
By   /s/ J. Kevin Connaughton      
    J. Kevin Connaughton     
  President and Principal Executive Officer     
 
Date April 21, 2011
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/ J. Kevin Connaughton      
    J. Kevin Connaughton     
  President and Principal Executive Officer     
 
Date April 21, 2011
         
     
By   /s/ Michael G. Clarke      
  Michael G. Clarke     
  Treasurer and Principal Financial Officer     
 
Date April 21, 2011

 

EX-99.CERT 2 c63757exv99wcert.htm EX-99.CERT exv99wcert
Certification Pursuant to
270.30a-2 of the Investment Company Act of 1940
I, J. Kevin Connaughton, certify that:
  1.   I have reviewed this report on Form N-Q of RiverSource Government Income Series, Inc.;
 
  2.   Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
 
  3.   Based on my knowledge, the schedule(s) of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
 
  4.   The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
  a)   Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
  b)   Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
  c)   Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
 
  d)   Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
  5.   The registrant’s other certifying officer(s) and I have disclosed, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
  a)   All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
 
  b)   Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: April 21, 2011
         
/s/ J. Kevin Connaughton    
J. Kevin Connaughton   
President and Principal Executive Officer   

 

 

         
Certification Pursuant to
270.30a-2 of the Investment Company Act of 1940
I, Michael G. Clarke, certify that:
  1.   I have reviewed this report on Form N-Q of RiverSource Government Income Series. Inc.;
 
  2.   Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
 
  3.   Based on my knowledge, the schedule(s) of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
 
  4.   The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
  a)   Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
  b)   Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
  c)   Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
 
  d)   Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
  5.   The registrant’s other certifying officer(s) and I have disclosed, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
  a)   All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
 
  b)   Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: April 21, 2011
         
/s/ Michael G. Clarke    
Michael G. Clarke   
Treasurer and Principal Financial Officer