N-Q 1 c46756nvq.txt FORM N-Q 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: 05/31 Date of reporting period: 08/31 PORTFOLIO OF INVESTMENTS FOR RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND AT AUG. 31, 2008 AUG. 31, 2008 (UNAUDITED) (Percentages represent value of investments compared to net assets) INVESTMENTS IN SECURITIES
BONDS (87.6%) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) U.S. GOVERNMENT OBLIGATIONS & AGENCIES (26.4%) Federal Farm Credit Bank 10-10-08 4.25% $6,015,000 $6,026,725 Federal Home Loan Bank 11-21-08 4.63 6,500,000 6,526,221 12-29-08 5.13 24,390,000 24,579,436 Federal Home Loan Mtge Corp 06-13-18 4.88 5,405,000 5,500,762 Federal Natl Mtge Assn 10-15-08 4.50 10,615,000 10,638,596 06-30-11 4.63 14,000,000 14,014,868 04-09-13 3.25 18,880,000 18,339,088 01-02-14 5.13 16,915,000 15,324,060 11-15-30 6.63 1,945,000 2,339,209 U.S. Treasury 06-30-10 2.88 5,730,000 5,790,434 07-31-10 2.75 7,105,000(b) 7,162,728 08-31-10 2.38 17,740,000(e) 17,742,767 12-15-10 4.38 10,550,000 11,009,917 08-15-18 4.00 15,480,000(b) 15,715,822 U.S. Treasury Inflation-Indexed Bond 01-15-14 2.00 17,752,265(g) 18,421,121 01-15-15 1.63 22,897,000(g) 23,240,820 --------------- Total 202,372,574 ------------------------------------------------------------------------------------- ASSET-BACKED (1.7%) Capital Auto Receivables Asset Trust Series 2006-SN1A Cl A4B 03-20-10 2.58 3,250,000(d,i) 3,237,426 Countrywide Asset-backed Ctfs Series 2007-7 Cl 2A2 10-25-37 2.63 2,600,000(i) 2,011,344 Fannie Mae Grantor Trust Series 2005-T4 Cl A1C 09-25-35 2.62 372,102(i) 370,621 MASTR Asset Backed Securities Trust Series 2006-HE1 Cl A2 01-25-36 2.61 337,207(i) 333,888 Residential Asset Securities Series 2007-KS3 Cl AI2 04-25-37 2.65 4,050,000(i) 3,498,559 Soundview Home Equity Loan Trust Series 2006-EQ1 Cl A2 10-25-36 2.58 3,900,000(i) 3,330,846 --------------- Total 12,782,684 ------------------------------------------------------------------------------------- COMMERCIAL MORTGAGE-BACKED (1.7%)(F) Federal Home Loan Mtge Corp Multifamily Structured Pass-Through Ctfs Series K001 Cl A2 04-25-16 5.65 6,123,416 6,239,791 Federal Natl Mtge Assn #360800 01-01-09 5.74 2,988,655(m) 3,000,910 Federal Natl Mtge Assn #381990 10-01-09 7.11 4,075,624 4,118,054 --------------- Total 13,358,755 ------------------------------------------------------------------------------------- MORTGAGE-BACKED (57.8%)(F,L) Adjustable Rate Mtge Trust Collateralized Mtge Obligation Series 2007-1 Cl 3A21 03-25-37 6.18 1,840,005(h) 1,485,405 American Home Mtge Assets Collateralized Mtge Obligation Series 2007-2 Cl A2A 03-25-47 2.64 3,255,322(h) 1,264,206 American Home Mtge Investment Trust Collateralized Mtge Obligation Series 2007-1 Cl GA1C 05-25-47 2.66 4,177,082(h) 2,444,903 Banc of America Alternative Loan Trust Collateralized Mtge Obligation Series 2006-9 Cl 1CB1 01-25-37 6.00 3,301,616 2,280,308 Barclays Capital LLC Trust Collateralized Mtge Obligation Series 2007-AA4 Cl 11A1 06-25-47 6.21 1,302,926(h) 965,952 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2005-6CB Cl 1A1 04-25-35 7.50 1,444,063 1,343,801 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2006-2CB Cl A11 03-25-36 6.00 5,607,552 3,699,235 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2006-OA11 Cl A3B1 09-25-46 2.65 3,792,243(i) 2,524,962 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-22 Cl 2A16 09-25-37 6.50 4,532,666 3,075,133 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-25 Cl 1A1 11-25-37 6.50 4,542,463 3,216,277 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-OA9 Cl A2 06-25-47 2.82 5,505,010(i) 2,361,610 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-OH3 Cl A3 09-25-47 2.97 3,767,199(i) 1,223,856 Countrywide Home Loans Collateralized Mtge Obligation Series 2005-HYB8 Cl 4A1 12-20-35 5.61 3,102,326(h) 2,034,469 Countrywide Home Loans Collateralized Mtge Obligation Series 2005-R2 Cl 2A1 06-25-35 7.00 4,240,071(d) 3,947,718 Countrywide Home Loans Collateralized Mtge Obligation Series 2007-17 Cl 2A1 10-25-37 6.50 4,345,691 3,815,721 Federal Home Loan Mtge Corp 09-01-38 6.00 2,000,000(e) 2,016,250 09-01-38 6.50 12,000,000(e) 12,326,256 Federal Home Loan Mtge Corp #1G2264 10-01-37 6.01 6,252,891(h) 6,383,868 Federal Home Loan Mtge Corp #1G2598 01-01-37 6.11 2,366,511(h) 2,411,846 Federal Home Loan Mtge Corp #1J0614 09-01-37 5.70 3,140,581(h) 3,192,180 Federal Home Loan Mtge Corp #783049 03-01-35 4.85 5,817,936(h) 5,828,064 Federal Home Loan Mtge Corp #A18107 01-01-34 5.50 2,987,494 2,964,251 Federal Home Loan Mtge Corp #C00351 07-01-24 8.00 238,284 258,010 Federal Home Loan Mtge Corp #C00385 01-01-25 9.00 394,546 437,977
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 1 RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008
BONDS (CONTINUED) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) MORTGAGE-BACKED (CONT.) Federal Home Loan Mtge Corp #C80329 08-01-25 8.00% $67,866 $73,454 Federal Home Loan Mtge Corp #E00398 10-01-10 7.00 237,649 246,265 Federal Home Loan Mtge Corp #E81240 06-01-15 7.50 3,118,443 3,262,824 Federal Home Loan Mtge Corp #E90650 07-01-12 5.50 121,071 123,047 Federal Home Loan Mtge Corp #E92454 11-01-17 5.00 2,602,806 2,609,004 Federal Home Loan Mtge Corp #G00363 06-01-25 8.00 302,313 327,203 Federal Home Loan Mtge Corp #G00501 05-01-26 9.00 597,992 663,932 Federal Home Loan Mtge Corp #G10669 03-01-12 7.50 1,212,523 1,270,137 Federal Home Loan Mtge Corp #G11243 04-01-17 6.50 11,718,448 12,275,486 Federal Home Loan Mtge Corp #G12100 11-01-13 5.00 2,806,808 2,813,492 Federal Home Loan Mtge Corp #M30074 09-01-09 6.50 41,210 41,962 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 11 Cl B 01-01-20 13.18 6,834(j) 1,755 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 237 Cl IO 05-15-36 6.60 1,083,741(j) 292,695 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2471 Cl SI 03-15-32 33.06 1,307,619(j) 168,931 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2783 Cl MI 03-15-25 78.62 2,635,432(j) 75,738 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Series 2617 Cl HD 06-15-16 7.00 5,926,648 6,192,045 Federal Natl Mtge Assn 09-01-38 5.00 2,500,000(e) 2,403,125 09-01-38 6.00 4,500,000(e) 4,543,596 09-01-38 6.50 8,000,000(e) 8,227,504 Federal Natl Mtge Assn #125032 11-01-21 8.00 129,306 139,998 Federal Natl Mtge Assn #190129 11-01-23 6.00 937,893 953,386 Federal Natl Mtge Assn #190353 08-01-34 5.00 6,491,062 6,273,527 Federal Natl Mtge Assn #190785 05-01-09 7.50 52,508 52,693 Federal Natl Mtge Assn #190988 06-01-24 9.00 205,315 222,651 Federal Natl Mtge Assn #254384 06-01-17 7.00 306,133 321,009 Federal Natl Mtge Assn #254454 08-01-17 7.00 525,353 550,882 Federal Natl Mtge Assn #254723 05-01-23 5.50 8,460,690 8,484,011 Federal Natl Mtge Assn #254748 04-01-13 5.50 4,898,146 4,976,402 Federal Natl Mtge Assn #254757 05-01-13 5.00 6,668,365 6,765,157 Federal Natl Mtge Assn #254774 05-01-13 5.50 1,516,717 1,538,615 Federal Natl Mtge Assn #255501 09-01-14 6.00 613,101 632,243 Federal Natl Mtge Assn #303885 05-01-26 7.50 436,486 471,305 Federal Natl Mtge Assn #313007 07-01-11 7.50 156,812 162,358 Federal Natl Mtge Assn #313428 12-01-08 7.50 435 437 Federal Natl Mtge Assn #336512 02-01-26 6.00 62,661 63,877 Federal Natl Mtge Assn #357485 02-01-34 5.50 12,597,793 12,511,589 Federal Natl Mtge Assn #407327 01-01-14 5.50 378,059 385,282 Federal Natl Mtge Assn #456374 12-01-13 5.50 695,547 708,836 Federal Natl Mtge Assn #508402 08-01-14 6.50 251,892 261,860 Federal Natl Mtge Assn #545818 07-01-17 6.00 12,377,695 12,751,544 Federal Natl Mtge Assn #545864 08-01-17 5.50 10,294,035 10,495,221 Federal Natl Mtge Assn #545910 08-01-17 6.00 1,917,987 1,975,947 Federal Natl Mtge Assn #555063 11-01-17 5.50 7,330,294 7,470,894 Federal Natl Mtge Assn #555367 03-01-33 6.00 9,200,956 9,350,769 Federal Natl Mtge Assn #579485 04-01-31 6.50 2,204,398(m) 2,299,292 Federal Natl Mtge Assn #593829 12-01-28 7.00 1,478,819 1,565,613 Federal Natl Mtge Assn #601416 11-01-31 6.50 761,389 793,930 Federal Natl Mtge Assn #630993 09-01-31 7.50 2,320,142 2,504,120 Federal Natl Mtge Assn #648040 06-01-32 6.50 2,140,314 2,219,538 Federal Natl Mtge Assn #648349 06-01-17 6.00 6,494,007 6,690,252 Federal Natl Mtge Assn #651284 07-01-17 6.00 1,294,626 1,333,674 Federal Natl Mtge Assn #662866 11-01-17 6.00 1,139,202(m) 1,177,500 Federal Natl Mtge Assn #665752 09-01-32 6.50 1,179,358 1,223,012 Federal Natl Mtge Assn #670782 11-01-12 5.00 252,095 255,648 Federal Natl Mtge Assn #670830 12-01-12 5.00 386,253 390,246 Federal Natl Mtge Assn #671415 01-01-10 5.00 353,411 356,028 Federal Natl Mtge Assn #678940 02-01-18 5.50 1,928,309 1,964,133 Federal Natl Mtge Assn #686227 02-01-18 5.50 2,670,938 2,720,956 Federal Natl Mtge Assn #696837 04-01-18 5.50 2,837,241 2,889,887 Federal Natl Mtge Assn #704610 06-01-33 5.50 10,088,667(m) 10,019,633 Federal Natl Mtge Assn #712602 06-01-13 5.00 884,501 897,529 Federal Natl Mtge Assn #722325 07-01-33 4.96 4,654,150(h) 4,684,647 Federal Natl Mtge Assn #725232 03-01-34 5.00 9,626,963(m) 9,319,377 Federal Natl Mtge Assn #725425 04-01-34 5.50 8,916,022 8,854,464 Federal Natl Mtge Assn #725431 08-01-15 5.50 7,015,547 7,149,583 Federal Natl Mtge Assn #725773 09-01-34 5.50 7,562,753 7,501,550 Federal Natl Mtge Assn #730632 08-01-33 4.05 1,668,794(h) 1,657,024 Federal Natl Mtge Assn #735212 12-01-34 5.00 5,769,035 5,575,698 Federal Natl Mtge Assn #739243 09-01-33 6.00 2,759,411 2,807,700 Federal Natl Mtge Assn #739331 09-01-33 6.00 1,448,345 1,470,117 Federal Natl Mtge Assn #743524 11-01-33 5.00 2,862,017 2,770,574 Federal Natl Mtge Assn #753508 11-01-33 5.00 3,046,782 2,949,436 Federal Natl Mtge Assn #791447 10-01-34 6.00 4,479,007 4,539,339 Federal Natl Mtge Assn #797046 07-01-34 5.50 2,703,038 2,681,163 Federal Natl Mtge Assn #799769 11-01-34 5.06 3,668,468(h) 3,693,853 Federal Natl Mtge Assn #801344 10-01-34 5.05 4,256,650(h) 4,277,168 Federal Natl Mtge Assn #815463 02-01-35 5.50 1,826,535 1,811,754 Federal Natl Mtge Assn #832641 09-01-35 6.00 6,045,524 6,119,399 Federal Natl Mtge Assn #849082 01-01-36 5.83 2,671,269(h) 2,723,682 Federal Natl Mtge Assn #849170 01-01-36 5.95 3,062,206(h) 3,129,777 Federal Natl Mtge Assn #878661 02-01-36 5.50 7,378,702 7,239,429 Federal Natl Mtge Assn #883267 07-01-36 6.50 4,298,050 4,452,455 Federal Natl Mtge Assn #887403 07-01-36 7.00 2,601,496 2,741,583 Federal Natl Mtge Assn #888989 06-01-37 6.06 6,085,350(h) 6,147,446 Federal Natl Mtge Assn #902818 11-01-36 5.91 2,039,631(h) 2,083,279 Federal Natl Mtge Assn #919341 05-01-37 6.50 3,350,764 3,449,997 Federal Natl Mtge Assn #928771 10-01-37 8.00 6,135,302(m) 6,534,610
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 2 RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008
BONDS (CONTINUED) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) MORTGAGE-BACKED (CONT.) Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 163 Cl 2 07-25-22 28.60% $518,746(j) $86,264 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2002-18 Cl SE 02-25-32 32.88 2,722,900(j) 349,385 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-26 Cl MI 03-25-23 13.70 1,580,409(j) 311,577 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-63 Cl IP 07-25-33 7.52 3,636,350(j) 1,007,983 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-71 Cl IM 12-25-31 9.86 1,886,447(j) 342,631 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-81 Cl LI 11-25-13 59.80 2,095,661(j) 31,054 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 36 Cl 2 08-01-18 22.82 4,108(j) 808 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 367 Cl 2 01-01-36 6.57 2,705,947(j) 722,705 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 379 Cl 2 05-01-37 6.52 5,233,072(j) 1,406,797 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 70 Cl 2 01-15-20 27.28 195,326(j) 41,417 Federal Natl Mtge Assn Collateralized Mtge Obligation Principal Only Series G-15 Cl A 06-25-21 2.49 24,357(k) 21,934 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2002-52 Cl FG 09-25-32 2.97 7,702,534(i) 7,642,675 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2003-133 Cl GB 12-25-26 8.00 1,822,193 1,948,136 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2003-94 Cl QB 07-25-23 5.50 2,212,614 2,212,634 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2003-W11 Cl A1 06-25-33 6.80 108,045(h) 108,398 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2004-60 Cl PA 04-25-34 5.50 3,145,374 3,203,338 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2006-60 Cl JF 10-25-35 2.90 5,398,608(i) 5,284,334 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2006-90 Cl FE 09-25-36 2.92 6,877,817(i) 6,805,025 Govt Natl Mtge Assn 09-01-38 5.50 5,000,000(e) 4,959,375 Govt Natl Mtge Assn #615740 08-15-13 6.00 690,786 715,856 Govt Natl Mtge Assn #781507 09-15-14 6.00 3,253,122 3,372,115 Govt Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-62 Cl IC 03-20-29 31.93 1,208,130(j) 31,153 Govt Natl Mtge Assn Collateralized Mtge Obligation Series 2006-32 Cl A 01-16-30 5.08 8,728,919 8,815,832 Harborview Mtge Loan Trust Collateralized Mtge Obligation Series 2004-4 Cl 3A 06-19-34 3.22 392,488(h) 285,071 Lehman XS Trust Series 2006-16N Cl A1B 11-25-46 2.59 2,231,815(i) 2,070,596 Merrill Lynch Alternative Note Asset Collateralized Mtge Obligation Series 2007-OAR1 Cl A1 02-25-37 2.64 5,219,652(i) 3,222,590 Morgan Stanley Mtge Loan Trust Series 2006-13AX Cl A1 10-25-36 2.56 3,277,622(i) 3,116,929 Washington Mutual Mtge Pass-Through Ctfs Collateralized Mtge Obligation Series 2006-AR3 Cl A1A 02-25-46 4.08 1,828,051(h) 1,150,327 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-10 Cl A1 10-25-35 5.00 5,440,476 4,848,685 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-14 Cl 2A1 12-25-35 5.50 2,869,362 2,580,408 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-5 Cl 2A1 05-25-35 5.50 3,998,054 3,548,273 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2006-AR12 Cl 1A1 09-25-36 6.02 1,556,853(h) 1,373,566 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2006-AR6 Cl 5A1 03-25-36 5.11 3,479,011(h) 3,219,620 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2007-11 Cl A68 08-25-37 6.00 4,637,703 4,370,202 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2007-15 Cl A1 11-25-37 6.00 3,205,522 2,758,878 --------------- Total 442,267,612 ------------------------------------------------------------------------------------- TOTAL BONDS (Cost: $693,104,346) $670,781,625 -------------------------------------------------------------------------------------
MONEY MARKET FUND (0.8%)(c) SHARES VALUE(a) RiverSource Short-Term Cash Fund, 2.57% 6,317,215(o) $6,317,215 ------------------------------------------------------------------------------------- TOTAL MONEY MARKET FUND (Cost: $6,317,215) $6,317,215 -------------------------------------------------------------------------------------
SHORT-TERM SECURITIES (17.4%)(c) AMOUNT EFFECTIVE PAYABLE AT ISSUER YIELD MATURITY VALUE(a) U.S. GOVERNMENT AGENCIES Federal Home Loan Bank Disc Nts 09-02-08 2.04% $103,300,000 $103,276,868 09-03-08 2.11 30,000,000 29,991,334 ------------------------------------------------------------------------------------- TOTAL SHORT-TERM SECURITIES (Cost: $133,275,718) $133,268,202 ------------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES (Cost: $832,697,279)(p) $810,367,042 =====================================================================================
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 3 RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008 INVESTMENTS IN DERIVATIVES FUTURES CONTRACTS OUTSTANDING AT AUG. 31, 2008
NUMBER OF UNREALIZED CONTRACTS NOTIONAL EXPIRATION APPRECIATION CONTRACT DESCRIPTION LONG (SHORT) MARKET VALUE DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------ U.S. Long Bond, 20-year 30 $3,519,375 Dec. 2008 $14,564 U.S. Treasury Note, 2-year 791 167,914,469 Jan. 2009 134,565 U.S. Treasury Note, 5-year (211) (23,727,611) Oct. 2008 (406,274) U.S. Treasury Note, 5-year (522) (58,431,375) Jan. 2009 (67,757) U.S. Treasury Note, 10-year (144) (16,803,000) Sept. 2008 (391,282) U.S. Treasury Note, 10-year (531) (61,330,500) Dec. 2008 87,719 ------------------------------------------------------------------------------------------------------------------ Total $(628,465) ------------------------------------------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS (a) Securities are valued by using procedures described in Note 1 to the financial statements in the most recent Annual Report dated May 31, 2008. (b) At Aug. 31, 2008, security was partially or fully on loan. (c) Cash collateral received from security lending activity is invested in an affiliated money market fund/short-term securities and represents 2.0% of net assets. The Fund's cash equivalent position is 16.2% 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. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At Aug. 31, 2008, the value of these securities amounted to $7,185,144 or 0.9% of net assets. (e) At Aug. 31, 2008, the cost of securities purchased, including interest purchased, on a when-issued and/or other forward-commitment basis was $51,880,499. (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) Inflation-indexed bonds are securities in which the principal amount is adjusted for inflation and the semiannual interest payments equal a fixed percentage of the inflation-adjusted principal amount. (h) Adjustable rate mortgage; interest rate varies to reflect current market conditions; rate shown is the effective rate on Aug. 31, 2008. (i) Interest rate varies either based on a predetermined schedule or to reflect current market conditions; rate shown is the effective rate on Aug. 31, 2008. (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 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 Aug. 31, 2008. (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 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 Aug. 31, 2008. (l) Represents comparable securities held to satisfy future delivery requirements of the following open forward sale commitments at Aug. 31, 2008:
PRINCIPAL SETTLEMENT PROCEEDS SECURITY AMOUNT DATE RECEIVABLE VALUE ------------------------------------------------------------------------------------------------------ Federal Natl Mtge Assn 09-01-23 5.50% $9,275,000 09-16-08 $9,255,073 $9,350,359
(m) At Aug. 31, 2008, investments in securities included securities valued at $3,028,270 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 RiverSource Short-Term Cash Fund, a money market fund established for the exclusive use of the RiverSource funds and other institutional clients of RiverSource Investments. The rate shown is the seven-day current annualized yield at Aug. 31, 2008. (p) At Aug. 31, 2008, the cost of securities for federal income tax purposes was approximately $832,697,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation $6,471,000 Unrealized depreciation (28,801,000) ---------------------------------------------------------------------------------------- Net unrealized depreciation $(22,330,000) ----------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 4 RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008 FAIR VALUE MEASUREMENTS Statement of Financial Accounting Standards No. 157 (SFAS 157) seeks to implement more uniform reporting relating to the fair valuation of securities for financial statement purposes. Mutual funds are required to implement the requirements of this standard for fiscal years beginning after Nov. 15, 2007. While uniformity of presentation is the objective of the standard, industry implementation has just begun and it is likely that there will be a range of practices utilized and it will be some period of time before industry practices become more uniform. For this reason care should be exercised in interpreting this information and/or using it for comparison with other mutual funds. Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.) - Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) Note: The level assigned to a particular security and the inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following table is a summary of the inputs used to value the Fund's investments as of Aug. 31, 2008:
FAIR VALUE AT AUG. 31, 2008 ---------------------------------------------------------------- LEVEL 1 LEVEL 2 QUOTED PRICES OTHER LEVEL 3 IN ACTIVE SIGNIFICANT SIGNIFICANT MARKETS FOR OBSERVABLE UNOBSERVABLE DESCRIPTION IDENTICAL ASSETS INPUTS INPUTS TOTAL --------------------------------------------------------------------------------------------------------------- Investments in securities $6,317,216 $781,333,093 $22,716,733 $810,367,042 Other financial instruments* (628,465) -- -- (628,465) --------------------------------------------------------------------------------------------------------------- Total $5,688,751 $781,333,093 $22,716,733 $809,738,577 ---------------------------------------------------------------------------------------------------------------
* Other financial instruments are derivative instruments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument. The following table is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
INVESTMENTS IN SECURITIES -------------------------------------------------------------------------------------------- Balance as of May 31, 2008 $16,535,423 Accrued discounts/premiums 49,662 Realized gain (loss) 30,921 Change in unrealized appreciation (depreciation) (6,667,742) Net purchases (sales) (1,847,370) Transfers in and/or out of Level 3 14,615,839 -------------------------------------------------------------------------------------------- Balance as of Aug. 31, 2008 $22,716,733 --------------------------------------------------------------------------------------------
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 riversource.com/funds. -------------------------------------------------------------------------------- 5 RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008 PORTFOLIO OF INVESTMENTS FOR RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND AT AUG. 31, 2008 AUG. 31, 2008 (UNAUDITED) (Percentages represent value of investments compared to net assets) INVESTMENTS IN SECURITIES
BONDS (133.0%) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) U.S. GOVERNMENT OBLIGATIONS & AGENCIES (2.2%) Federal Home Loan Mtge Corp 12-14-18 5.00% $2,500,000 $2,035,355 Federal Natl Mtge Assn 01-02-14 5.13 2,500,000 2,264,863 U.S. Treasury Inflation-Indexed Bond 01-15-16 2.00 4,405,600(i) 4,551,991 --------------- Total 8,852,209 ------------------------------------------------------------------------------------- ASSET-BACKED (0.7%) Countrywide Asset-backed Ctfs Series 2007-7 Cl 2A2 10-25-37 2.63 1,200,000(h) 928,313 Fannie Mae Grantor Trust Series 2005-T4 Cl A1C 09-25-35 2.62 166,318(h) 165,657 Renaissance Home Equity Loan Trust Series 2007-2 Cl M4 06-25-37 6.31 195,000 20,137 Renaissance Home Equity Loan Trust Series 2007-2 Cl M5 06-25-37 6.66 130,000 11,843 Renaissance Home Equity Loan Trust Series 2007-2 Cl M6 06-25-37 7.01 190,000 15,352 Residential Asset Securities Series 2006-KS1 Cl A2 02-25-36 2.61 24,011(h) 23,921 Residential Asset Securities Series 2007-KS3 Cl AI2 04-25-37 2.65 1,700,000(h) 1,468,530 --------------- Total 2,633,753 ------------------------------------------------------------------------------------- COMMERCIAL MORTGAGE-BACKED (3.5%)(F) Citigroup/Deutsche Bank Commercial Mtge Trust Series 2007-CD4 Cl A2B 12-11-49 5.21 3,000,000 2,892,306 Credit Suisse Mtge Capital Ctfs Series 2007-C3 Cl A4 06-15-39 5.91 3,000,000 2,733,574 Federal Home Loan Mtge Corp Multifamily Structured Pass-Through Ctfs Series K001 Cl A2 04-25-16 5.65 2,058,510 2,097,632 GS Mtge Securities II Series 2007-EOP Cl J 03-06-20 3.31 1,000,000(d,h) 916,758 Wachovia Bank Commercial Mtge Trust Series 2006-C29 Cl A4 11-15-48 5.31 6,000,000 5,415,385 --------------- Total 14,055,655 ------------------------------------------------------------------------------------- MORTGAGE-BACKED (126.7%)(F) Adjustable Rate Mtge Trust Collateralized Mtge Obligation Series 2005-12 Cl 2A1 03-25-36 5.68 594,301(c) 432,304 Adjustable Rate Mtge Trust Collateralized Mtge Obligation Series 2006-1 Cl 2A1 03-25-36 5.91 159,552(c) 136,607 American Home Mtge Assets Collateralized Mtge Obligation Series 2007-2 Cl A2A 03-25-47 2.64 1,201,629(c) 466,653 American Home Mtge Investment Trust Collateralized Mtge Obligation Series 2007-1 Cl GA1C 05-25-47 2.66 1,751,679(c) 1,025,282 Banc of America Alternative Loan Trust Collateralized Mtge Obligation Series 2003-11 Cl 1A1 01-25-34 6.00 509,182 425,028 Banc of America Alternative Loan Trust Collateralized Mtge Obligation Series 2006-9 Cl 1CB1 01-25-37 6.00 2,476,212 1,710,231 Banc of America Funding Collateralized Mtge Obligation Series 2006-2 Cl N1 11-25-46 7.25 69,115(d,g) 13,758 Banc of America Funding Collateralized Mtge Obligation Series 2006-A Cl 3A2 02-20-36 5.86 641,308(c) 501,070 Banc of America Funding Collateralized Mtge Obligation Series 2007-8 Cl 1A1 10-25-37 6.00 978,761 675,995 Banc of America Mtge Securities Collateralized Mtge Obligation Series 2005-9 Cl 3A3 10-25-20 5.00 1,512,718 1,426,504 Banc of America Mtge Securities Collateralized Mtge Obligation Series 2007-3 Cl 1A2 09-25-37 6.00 919,395 698,453 Barclays Capital LLC Trust Collateralized Mtge Obligation Series 2007-AA4 Cl 11A1 06-25-47 6.21 868,645(c) 643,988 ChaseFlex Trust Collateralized Mtge Obligation Series 2005-2 Cl 2A2 06-25-35 6.50 517,882 454,927 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Interest Only Series 2007-8CB Cl A13 05-25-37 7.73 1,841,806(e) 274,613 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2003-20CB Cl 1A1 10-25-33 5.50 4,667,541 3,824,102 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2005-50CB Cl 2A1 11-25-35 6.00 912,237 584,437 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2005-54CB Cl 2A3 11-25-35 5.50 437,988 416,114 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2005-6CB Cl 1A1 04-25-35 7.50 356,429 331,682 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2006-2CB Cl A11 03-25-36 6.00 1,401,888 924,809 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2006-45T1 Cl 2A5 02-25-37 6.00 926,675 611,316 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-22 Cl 2A16 09-25-37 6.50 4,985,933 3,382,646
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 1 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008
BONDS (CONTINUED) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) MORTGAGE-BACKED (CONT.) Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-25 Cl 1A1 11-25-37 6.50% $908,493 $643,255 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-OA9 Cl A2 06-25-47 2.82 1,214,033(h) 520,811 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-OH3 Cl A3 09-25-47 2.97 1,827,204(h) 593,607 Countrywide Home Loans Collateralized Mtge Obligation Series 2005-27 Cl 2A1 12-25-35 5.50 856,554 744,600 Countrywide Home Loans Collateralized Mtge Obligation Series 2005-HYB1 Cl 6A1 03-25-35 5.11 962,829(c) 813,961 Countrywide Home Loans Collateralized Mtge Obligation Series 2005-R2 Cl 2A1 06-25-35 7.00 443,949(d) 413,338 Countrywide Home Loans Collateralized Mtge Obligation Series 2006-HYB1 Cl 1A1 03-20-36 5.34 409,482(c) 272,395 Countrywide Home Loans Collateralized Mtge Obligation Series 2007-HY3 Cl 4A1 06-25-47 6.00 1,422,557(c) 1,240,360 Downey Savings & Loan Assn Mtge Loan Trust Collateralized Mtge Obligation Interest Only Series 2005-AR5 Cl X1 08-19-45 15.32 2,318,419(e) 8,332 Federal Home Loan Mtge Corp 09-01-38 5.00 3,000,000(b) 2,881,875 09-01-38 6.00 12,400,000(b) 12,500,750 09-01-38 6.50 20,500,000(b) 21,057,355 Federal Home Loan Mtge Corp #1B7116 08-01-36 5.89 3,898,393(c) 3,946,800 Federal Home Loan Mtge Corp #1J0149 11-01-36 6.09 1,997,302(c) 2,036,017 Federal Home Loan Mtge Corp #1J1445 01-01-37 5.89 2,199,689(c) 2,241,430 Federal Home Loan Mtge Corp #1J1621 05-01-37 5.88 2,888,728(c) 2,942,382 Federal Home Loan Mtge Corp #555140 03-01-10 8.00 4,592 4,653 Federal Home Loan Mtge Corp #555300 10-01-17 8.00 195,713 206,513 Federal Home Loan Mtge Corp #783049 03-01-35 4.85 2,763,520(c) 2,768,330 Federal Home Loan Mtge Corp #A10892 07-01-33 6.00 519,487 527,823 Federal Home Loan Mtge Corp #A15111 10-01-33 6.00 804,021 815,103 Federal Home Loan Mtge Corp #A21059 04-01-34 6.50 482,776 498,232 Federal Home Loan Mtge Corp #A25174 08-01-34 6.50 408,405 421,480 Federal Home Loan Mtge Corp #C53098 06-01-31 8.00 276,267 298,913 Federal Home Loan Mtge Corp #C53878 12-01-30 5.50 862,280 856,649 Federal Home Loan Mtge Corp #C68876 07-01-32 7.00 130,584 137,204 Federal Home Loan Mtge Corp #C69665 08-01-32 6.50 2,255,465 2,336,132 Federal Home Loan Mtge Corp #C79930 06-01-33 5.50 1,288,660 1,277,829 Federal Home Loan Mtge Corp #D95232 03-01-22 6.50 229,541 238,652 Federal Home Loan Mtge Corp #D95371 04-01-22 6.50 269,391 280,609 Federal Home Loan Mtge Corp #E00285 01-01-09 7.00 8,098 8,178 Federal Home Loan Mtge Corp #E81240 06-01-15 7.50 617,469 646,057 Federal Home Loan Mtge Corp #E88036 02-01-17 6.50 985,984 1,032,988 Federal Home Loan Mtge Corp #E88468 12-01-16 6.50 224,137 234,019 Federal Home Loan Mtge Corp #E89232 04-01-17 7.00 424,516 446,727 Federal Home Loan Mtge Corp #E92454 11-01-17 5.00 1,319,490 1,322,633 Federal Home Loan Mtge Corp #E93685 01-01-18 5.50 1,037,394 1,055,917 Federal Home Loan Mtge Corp #E99684 10-01-18 5.00 336,978 337,467 Federal Home Loan Mtge Corp #G01169 01-01-30 5.50 1,418,374 1,409,555 Federal Home Loan Mtge Corp #G01535 04-01-33 6.00 1,860,928 1,893,491 Federal Home Loan Mtge Corp #G02757 06-01-36 5.00 8,054,174 7,764,120 Federal Home Loan Mtge Corp #G03419 07-01-37 6.00 4,372,877 4,412,648 Federal Home Loan Mtge Corp #G12101 11-01-18 5.00 689,931 691,574 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 237 Cl IO 05-15-36 6.60 1,625,611(e) 439,042 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2471 Cl SI 03-15-32 33.06 251,453(e) 32,485 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2639 Cl UI 03-15-22 6.01 1,029,886(e) 147,398 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2795 Cl IY 07-15-17 20.00 376,822(e) 31,102 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2817 Cl SA 06-15-32 45.20 856,642(e) 84,451 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2824 Cl EI 09-15-20 10.52 2,307,309(e) 207,061 Federal Natl Mtge Assn 09-01-23 4.50 4,650,000(b) 4,503,237 09-01-23 5.00 4,500,000(b) 4,457,813 09-01-23 5.50 4,325,000(b) 4,360,141 09-01-23 6.00 7,000,000(b) 7,168,434 09-01-38 5.00 4,000,000(b) 3,845,000 09-01-38 5.50 28,000,000(b) 27,650,001 09-01-38 6.00 37,000,000(b) 37,358,457 09-01-38 6.50 11,000,000(b) 11,312,818 09-01-38 7.00 19,000,000(b) 19,872,822 Federal Natl Mtge Assn #190353 08-01-34 5.00 1,525,400 1,474,279 Federal Natl Mtge Assn #252409 03-01-29 6.50 1,256,626 1,300,956 Federal Natl Mtge Assn #254759 06-01-18 4.50 1,823,399 1,797,816 Federal Natl Mtge Assn #254793 07-01-33 5.00 2,110,251 2,042,827 Federal Natl Mtge Assn #254916 09-01-23 5.50 1,683,121 1,687,761 Federal Natl Mtge Assn #255933 11-01-35 5.50 3,710,522 3,676,436 Federal Natl Mtge Assn #256135 02-01-36 5.50 6,957,908 6,808,103 Federal Natl Mtge Assn #313470 08-01-10 7.50 104,493 107,050 Federal Natl Mtge Assn #323362 11-01-28 6.00 2,468,605 2,515,743 Federal Natl Mtge Assn #323715 05-01-29 6.00 458,424(j) 467,177 Federal Natl Mtge Assn #344909 04-01-25 8.00 620,717 675,596 Federal Natl Mtge Assn #357514 03-01-34 5.50 2,196,568 2,181,537 Federal Natl Mtge Assn #483691 12-01-28 7.00 1,105,379 1,184,073 Federal Natl Mtge Assn #487757 09-01-28 7.50 725,116 782,807 Federal Natl Mtge Assn #514704 01-01-29 6.00 731,724 745,696 Federal Natl Mtge Assn #545008 06-01-31 7.00 1,335,981(j) 1,416,629 Federal Natl Mtge Assn #545339 11-01-31 6.50 217,905 227,247 Federal Natl Mtge Assn #545818 07-01-17 6.00 2,224,240 2,291,420 Federal Natl Mtge Assn #545864 08-01-17 5.50 1,270,342(j) 1,295,170 Federal Natl Mtge Assn #555458 05-01-33 5.50 1,564,637 1,547,035 Federal Natl Mtge Assn #555528 04-01-33 6.00 1,947,766 1,979,480
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 2 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008
BONDS (CONTINUED) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) MORTGAGE-BACKED (CONT.) Federal Natl Mtge Assn #555734 07-01-23 5.00% $677,879 $664,352 Federal Natl Mtge Assn #581418 06-01-31 7.00 821,925 867,541 Federal Natl Mtge Assn #583088 06-01-29 6.00 2,634,356 2,689,401 Federal Natl Mtge Assn #592270 01-01-32 6.50 688,963 717,530 Federal Natl Mtge Assn #596505 08-01-16 6.50 149,212 156,581 Federal Natl Mtge Assn #601416 11-01-31 6.50 283,105 295,204 Federal Natl Mtge Assn #624979 01-01-32 6.00 652,878 665,684 Federal Natl Mtge Assn #626670 03-01-32 7.00 485,667 517,918 Federal Natl Mtge Assn #627426 03-01-17 6.50 421,758(j) 442,112 Federal Natl Mtge Assn #630992 09-01-31 7.00 1,704,357(j) 1,819,460 Federal Natl Mtge Assn #630993 09-01-31 7.50 1,801,240 1,944,072 Federal Natl Mtge Assn #631388 05-01-32 6.50 1,413,196 1,471,237 Federal Natl Mtge Assn #632856 03-01-17 6.00 455,813 469,593 Federal Natl Mtge Assn #633674 06-01-32 6.50 816,867 853,550 Federal Natl Mtge Assn #635231 04-01-32 7.00 73,928 78,258 Federal Natl Mtge Assn #635908 04-01-32 6.50 1,016,996 1,060,302 Federal Natl Mtge Assn #636812 04-01-32 7.00 107,877 114,376 Federal Natl Mtge Assn #640200 10-01-31 9.50 101,885(j) 115,140 Federal Natl Mtge Assn #640207 03-01-17 7.00 37,662 38,928 Federal Natl Mtge Assn #640208 04-01-17 7.50 45,983 47,227 Federal Natl Mtge Assn #644805 05-01-32 7.00 849,696 895,572 Federal Natl Mtge Assn #645053 05-01-32 7.00 530,912 559,495 Federal Natl Mtge Assn #646189 05-01-32 6.50 346,464 359,289 Federal Natl Mtge Assn #654071 09-01-22 6.50 523,090 544,518 Federal Natl Mtge Assn #654685 11-01-22 6.00 558,249 571,318 Federal Natl Mtge Assn #655635 08-01-32 6.50 745,567(j) 777,208 Federal Natl Mtge Assn #656514 09-01-17 6.50 994,083 1,041,620 Federal Natl Mtge Assn #660186 11-01-32 6.00 2,120,220 2,160,985 Federal Natl Mtge Assn #665752 09-01-32 6.50 1,104,276 1,145,151 Federal Natl Mtge Assn #667302 01-01-33 7.00 521,776(j) 552,381 Federal Natl Mtge Assn #670382 09-01-32 6.00 1,042,504 1,059,478 Federal Natl Mtge Assn #676683 12-01-32 6.00 1,165,743 1,184,724 Federal Natl Mtge Assn #677089 01-01-33 5.50 582,332(j) 578,530 Federal Natl Mtge Assn #677294 01-01-33 6.00 1,463,225 1,487,049 Federal Natl Mtge Assn #681080 02-01-18 5.00 773,839(j) 776,165 Federal Natl Mtge Assn #682229 03-01-33 5.50 4,117,073 4,090,188 Federal Natl Mtge Assn #684585 02-01-33 5.50 1,409,564(j) 1,402,745 Federal Natl Mtge Assn #684843 02-01-18 5.50 1,383,600 1,409,278 Federal Natl Mtge Assn #684853 03-01-33 6.50 213,775 222,330 Federal Natl Mtge Assn #688002 03-01-33 5.50 1,354,823 1,347,895 Federal Natl Mtge Assn #689026 05-01-33 5.50 371,259 369,382 Federal Natl Mtge Assn #689093 07-01-28 5.50 912,010(j) 907,764 Federal Natl Mtge Assn #694628 04-01-33 5.50 1,948,433 1,938,658 Federal Natl Mtge Assn #694795 04-01-33 5.50 2,404,955 2,392,803 Federal Natl Mtge Assn #695460 04-01-18 5.50 1,825,762 1,859,848 Federal Natl Mtge Assn #697145 03-01-23 5.50 1,144,336 1,152,298 Federal Natl Mtge Assn #699424 04-01-33 5.50 1,501,533 1,493,967 Federal Natl Mtge Assn #701101 04-01-33 6.00 1,922,379 1,951,277 Federal Natl Mtge Assn #704610 06-01-33 5.50 1,948,218 1,934,886 Federal Natl Mtge Assn #705655 05-01-33 5.00 696,513(j) 674,259 Federal Natl Mtge Assn #708503 05-01-33 6.00 269,943 275,112 Federal Natl Mtge Assn #708504 05-01-33 6.00 579,535 590,609 Federal Natl Mtge Assn #710780 05-01-33 6.00 215,900 219,145 Federal Natl Mtge Assn #711206 05-01-33 5.50 1,302,148 1,293,237 Federal Natl Mtge Assn #711239 07-01-33 5.50 531,991 528,350 Federal Natl Mtge Assn #711501 05-01-33 5.50 688,849 684,843 Federal Natl Mtge Assn #723771 08-01-28 5.50 712,245 708,929 Federal Natl Mtge Assn #725017 12-01-33 5.50 2,724,667(j) 2,706,023 Federal Natl Mtge Assn #725232 03-01-34 5.00 1,615,955 1,564,324 Federal Natl Mtge Assn #725424 04-01-34 5.50 8,948,570 8,887,338 Federal Natl Mtge Assn #725425 04-01-34 5.50 2,561,559 2,543,873 Federal Natl Mtge Assn #725684 05-01-18 6.00 672,411 694,791 Federal Natl Mtge Assn #725773 09-01-34 5.50 1,773,335 1,758,984 Federal Natl Mtge Assn #726940 08-01-23 5.50 1,209,779 1,218,385 Federal Natl Mtge Assn #730153 08-01-33 5.50 715,406 710,511 Federal Natl Mtge Assn #733367 08-01-23 5.50 903,333 909,607 Federal Natl Mtge Assn #735212 12-01-34 5.00 8,571,138 8,283,894 Federal Natl Mtge Assn #735841 11-01-19 4.50 5,706,089 5,609,983 Federal Natl Mtge Assn #735912 10-01-35 5.50 7,035,580 6,971,527 Federal Natl Mtge Assn #743524 11-01-33 5.00 1,741,060 1,685,433 Federal Natl Mtge Assn #743579 11-01-33 5.50 1,478,335 1,468,219 Federal Natl Mtge Assn #745275 02-01-36 5.00 3,486,583 3,363,200 Federal Natl Mtge Assn #745355 03-01-36 5.00 3,636,802 3,508,103 Federal Natl Mtge Assn #747339 10-01-23 5.50 1,115,487 1,122,607 Federal Natl Mtge Assn #753507 12-01-18 5.00 911,872(j) 913,667 Federal Natl Mtge Assn #759342 01-01-34 6.50 367,996 383,288 Federal Natl Mtge Assn #766641 03-01-34 5.00 2,832,375 2,737,454 Federal Natl Mtge Assn #770403 04-01-34 5.00 1,421,452 1,373,815 Federal Natl Mtge Assn #776962 04-01-29 5.00 1,293,531 1,254,870 Federal Natl Mtge Assn #779676 06-01-34 5.00 2,513,846 2,429,600 Federal Natl Mtge Assn #785506 06-01-34 5.00 5,395,748 5,214,921 Federal Natl Mtge Assn #793622 09-01-34 5.50 6,048,766(j) 5,999,815 Federal Natl Mtge Assn #797232 09-01-34 5.50 6,675,481 6,621,458 Federal Natl Mtge Assn #826585 08-01-35 5.00 2,251,265 2,171,598 Federal Natl Mtge Assn #841764 07-01-35 5.50 4,056,976 4,019,707 Federal Natl Mtge Assn #844445 12-01-35 5.50 3,716,927 3,682,782 Federal Natl Mtge Assn #845109 05-01-36 6.00 5,597,132 5,659,406 Federal Natl Mtge Assn #869867 04-01-21 5.50 3,959,031 3,998,791 Federal Natl Mtge Assn #878661 02-01-36 5.50 1,835,589(j) 1,800,942 Federal Natl Mtge Assn #881629 02-01-36 5.50 1,250,275 1,226,676 Federal Natl Mtge Assn #886020 07-01-36 6.50 962,431 995,593 Federal Natl Mtge Assn #886291 07-01-36 7.00 705,000 742,083 Federal Natl Mtge Assn #888414 11-01-35 5.00 3,822,734(j) 3,687,455
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 3 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008
BONDS (CONTINUED) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) MORTGAGE-BACKED (CONT.) Federal Natl Mtge Assn #893101 10-01-36 6.50% $2,492,851 $2,567,206 Federal Natl Mtge Assn #894800 12-01-36 6.50 3,438,118 3,540,669 Federal Natl Mtge Assn #897248 11-01-36 6.00 4,113,850 4,159,621 Federal Natl Mtge Assn #902818 11-01-36 5.91 2,697,032(c) 2,754,749 Federal Natl Mtge Assn #928046 01-01-37 6.00 3,663,885 3,704,650 Federal Natl Mtge Assn #928771 10-01-37 8.00 3,219,302 3,428,826 Federal Natl Mtge Assn #928870 11-01-37 8.50 238,945 249,747 Federal Natl Mtge Assn #933966 07-01-23 6.00 2,522,506 2,586,466 Federal Natl Mtge Assn #933985 08-01-23 5.50 2,038,816 2,058,018 Federal Natl Mtge Assn #941285 06-01-37 6.00 4,142,515 4,187,077 Federal Natl Mtge Assn #960606 10-01-36 5.50 3,506,573 3,478,196 Federal Natl Mtge Assn #984458 05-01-38 6.00 4,215,676 4,260,603 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-119 Cl GI 12-25-33 7.32 479,960(e) 125,667 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-63 Cl IP 07-25-33 7.52 1,876,616(e) 520,191 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-71 Cl IM 12-25-31 9.86 419,211(e) 76,140 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2004-84 Cl GI 12-25-22 10.56 186,239(e) 26,133 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2005-70 Cl YJ 08-25-35 21.19 2,218,570(e) 346,032 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 367 Cl 2 01-01-36 6.57 1,434,388(e) 383,097 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 379 Cl 2 05-01-37 6.52 2,766,522(e) 743,719 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2002-52 Cl FG 09-25-32 2.97 3,754,611(h) 3,725,433 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2003-133 Cl GB 12-25-26 8.00 260,313 278,305 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2006-60 Cl JF 10-25-35 2.90 4,048,956(h) 3,963,250 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2006-90 Cl FE 09-25-36 2.92 6,877,817(h) 6,805,025 Govt Natl Mtge Assn #3931 12-20-36 6.00 4,046,154 4,104,291 Govt Natl Mtge Assn #518371 02-15-30 7.00 118,802 126,376 Govt Natl Mtge Assn #528344 03-15-30 7.00 358,221 381,057 Govt Natl Mtge Assn #556293 12-15-31 6.50 360,210 373,309 Govt Natl Mtge Assn #583182 02-15-32 6.50 559,014 579,168 Govt Natl Mtge Assn #595256 12-15-32 6.00 307,456 313,387 Govt Natl Mtge Assn #619613 09-15-33 5.00 1,254,127 1,229,668 IndyMac Index Mtge Loan Trust Collateralized Mtge Obligation Interest Only Series 2005-AR8 Cl AX1 04-25-35 20.00 5,078,527(e) 5,555 IndyMac Index Mtge Loan Trust Collateralized Mtge Obligation Interest Only Series 2006-AR25 Cl 3A3 09-25-36 0.00 10,360,001(e) 105,850 JP Morgan Mtge Trust Collateralized Mtge Obligation Series 2004-S2 4A5 11-25-34 6.00 929,087 678,850 Lehman XS Trust Collateralized Mtge Obligation Series 2007-5H Cl 1A1 05-25-37 6.50 4,898,890 3,323,593 MASTR Alternative Loan Trust Collateralized Mtge Obligation Series 2004-7 Cl 8A1 08-25-19 5.00 333,510 300,729 MASTR Alternative Loan Trust Collateralized Mtge Obligation Series 2004-8 Cl 7A1 09-25-19 5.00 464,498 426,459 MASTR Alternative Loan Trust Collateralized Mtge Obligation Series 2005-3 Cl 1A2 04-25-35 5.50 1,537,000 1,276,156 Morgan Stanley Mtge Loan Trust Collateralized Mtge Obligation Series 2007-12 Cl 3A22 08-25-37 6.00 926,068 755,390 Structured Adjustable Rate Mtge Loan Trust Collateralized Mtge Obligation Series 2005-15 Cl 4A1 07-25-35 5.50 1,002,362(c) 839,228 Structured Asset Securities Collateralized Mtge Obligation Series 2003-33H Cl 1A1 10-25-33 5.50 1,156,704 1,017,086 Washington Mutual Mtge Pass-Through Ctfs Collateralized Mtge Obligation Series 2005-AR14 Cl 2A1 12-25-35 5.29 388,061(c) 353,671 Washington Mutual Mtge Pass-Through Ctfs Collateralized Mtge Obligation Series 2006-AR10 Cl 1A1 09-25-36 5.93 1,783,127(c) 1,589,757 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-10 Cl A1 10-25-35 5.00 2,207,279 1,967,181 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-5 Cl 2A1 05-25-35 5.50 876,240 777,663 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2006-AR12 Cl 1A1 09-25-36 6.02 1,670,308(c) 1,473,663 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2006-AR12 Cl 2A1 09-25-36 6.10 2,010,818(c) 1,712,273 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2006-AR6 Cl 5A1 03-25-36 5.11 844,615(c) 781,642 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2007-11 Cl A68 08-25-37 6.00 927,541 874,040 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2007-14 Cl 1A2 10-25-37 6.00 922,318 655,458 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2007-15 Cl A1 11-25-37 6.00 1,831,727 1,576,502 --------------- Total 507,073,680 ------------------------------------------------------------------------------------- TOTAL BONDS (Cost: $545,912,362) $532,615,297 -------------------------------------------------------------------------------------
MONEY MARKET FUND (2.1%) SHARES VALUE(a) RiverSource Short-Term Cash Fund, 2.57% 8,548,492(k) $8,548,492 ------------------------------------------------------------------------------------- TOTAL MONEY MARKET FUND (Cost: $8,548,492) $8,548,492 ------------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES (Cost: $554,460,854)(l) $541,163,789 =====================================================================================
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 4 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008 INVESTMENTS IN DERIVATIVES FUTURES CONTRACTS OUTSTANDING AT AUG. 31, 2008
NUMBER OF UNREALIZED CONTRACTS NOTIONAL EXPIRATION APPRECIATION CONTRACT DESCRIPTION LONG (SHORT) MARKET VALUE DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------ U.S. Long Bond, 20-year (96) $(11,262,000) Dec. 2008 $59,832 U.S. Treasury Note, 2-year (133) (28,233,406) Jan. 2009 (27,249) U.S. Treasury Note, 5-year (52) (5,847,563) Oct. 2008 (104,091) U.S. Treasury Note, 5-year (127) (14,216,063) Jan. 2009 (16,503) U.S. Treasury Note, 10-year (117) (13,652,438) Sept. 2008 (364,822) U.S. Treasury Note, 10-year (284) (32,802,000) Dec. 2008 46,800 ------------------------------------------------------------------------------------------------------------------ Total $(406,033) ------------------------------------------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS (a) Securities are valued by using procedures described in Note 1 to the financial statements in the most recent Annual Report dated May 31, 2008. (b) At Aug. 31, 2008, the cost of securities purchased, including interest purchased, on a when-issued and/or other forward-commitment basis was $155,520,377. (c) Adjustable rate mortgage; interest rate varies to reflect current market conditions; rate shown is the effective rate on Aug. 31, 2008. (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. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At Aug. 31, 2008, the value of these securities amounted to $1,343,854 or 0.3% of net assets. (e) 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 Aug. 31, 2008. (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) Identifies issues considered to be illiquid as to their marketability. These securities may be valued at fair value according to procedures approved, in good faith, by the Fund's Board of Directors. Information concerning such security holdings at Aug. 31, 2008, is as follows:
ACQUISITION SECURITY DATES COST ------------------------------------------------------------------------ Banc of America Funding* Collateralized Mtge Obligation Series 2006-2 Cl N1 7.25% 2046 11-14-06 thru 07-22-08 $68,535
* Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. (h) Interest rate varies either based on a predetermined schedule or to reflect current market conditions; rate shown is the effective rate on Aug. 31, 2008. (i) Inflation-indexed bonds are securities in which the principal amount is adjusted for inflation and the semiannual interest payments equal a fixed percentage of the inflation-adjusted principal amount. (j) At Aug. 31, 2008, investments in securities included securities valued at $3,027,395 that were partially pledged as collateral to cover initial margin deposits on open interest rate futures contracts. (k) Affiliated Money Market Fund -- The Fund may invest its daily cash balance in RiverSource Short-Term Cash Fund, a money market fund established for the exclusive use of the RiverSource funds and other institutional clients of RiverSource Investments. The rate shown is the seven-day current annualized yield at Aug. 31, 2008. (l) At Aug. 31, 2008, the cost of securities for federal income tax purposes was approximately $554,461,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation $3,957,000 Unrealized depreciation (17,254,000) ---------------------------------------------------------------------------------------- Net unrealized depreciation $(13,297,000) ----------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 5 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008 FAIR VALUE MEASUREMENTS Statement of Financial Accounting Standards No. 157 (SFAS 157) seeks to implement more uniform reporting relating to the fair valuation of securities for financial statement purposes. Mutual funds are required to implement the requirements of this standard for fiscal years beginning after Nov. 15, 2007. While uniformity of presentation is the objective of the standard, industry implementation has just begun and it is likely that there will be a range of practices utilized and it will be some period of time before industry practices become more uniform. For this reason care should be exercised in interpreting this information and/or using it for comparison with other mutual funds. Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.) - Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) Note: The level assigned to a particular security and the inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following table is a summary of the inputs used to value the Fund's investments as of Aug. 31, 2008:
FAIR VALUE AT AUG. 31, 2008 ---------------------------------------------------------------- LEVEL 1 LEVEL 2 QUOTED PRICES OTHER LEVEL 3 IN ACTIVE SIGNIFICANT SIGNIFICANT MARKETS FOR OBSERVABLE UNOBSERVABLE DESCRIPTION IDENTICAL ASSETS INPUTS INPUTS TOTAL --------------------------------------------------------------------------------------------------------------- Investments in securities $8,548,492 $518,566,088 $14,049,209 $541,163,789 Other financial instruments* (406,033) -- -- (406,033) --------------------------------------------------------------------------------------------------------------- Total $8,142,459 $518,566,088 $14,049,209 $540,757,756 ---------------------------------------------------------------------------------------------------------------
* Other financial instruments are derivative instruments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument. The following table is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
INVESTMENTS IN SECURITIES -------------------------------------------------------------------------------------------- Balance as of May 31, 2008 $8,131,384 Accrued discounts/premiums 6,467 Realized gain (loss) 2,863 Change in unrealized appreciation (depreciation) (3,648,836) Net purchases (sales) (559,231) Transfers in and/or out of Level 3 10,116,562 -------------------------------------------------------------------------------------------- Balance as of Aug. 31, 2008 $14,049,209 --------------------------------------------------------------------------------------------
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 riversource.com/funds. -------------------------------------------------------------------------------- 6 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT AUG. 31, 2008 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. RiverSource Government Income Series, Inc. (Registrant) By /s/ Patrick T. Bannigan ---------------------------------- Patrick T. Bannigan President and Principal Executive Officer Date October 30, 2008 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By /s/ Patrick T. Bannigan ---------------------------------- Patrick T. Bannigan President and Principal Executive Officer Date October 30, 2008 By /s/ Jeffrey P. Fox ----------------------------------- Jeffrey P. Fox Treasurer and Principal Financial Officer Date October 30, 2008