N-Q 1 c50168nvq.txt 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: 02/28 PORTFOLIO OF INVESTMENTS FOR RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND AT FEB. 28, 2009 FEB. 28, 2009 (UNAUDITED) (Percentages represent value of investments compared to net assets) INVESTMENTS IN SECURITIES
BONDS (95.3%) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) U.S. GOVERNMENT OBLIGATIONS & AGENCIES (32.7%) Federal Home Loan Bank 04-09-09 2.32% $225,000 $225,459 Federal Home Loan Mtge Corp 08-18-10 1.63 6,315,000 6,298,006 01-07-11 1.50 9,070,000(j) 9,061,928 03-15-11 5.63 2,612,000 2,819,625 03-23-12 2.13 7,420,000 7,413,975 06-13-18 4.88 5,405,000(j) 5,907,377 Federal Natl Mtge Assn 04-28-10 3.00 3,000,000 3,009,015 03-02-11 2.00 12,270,000(g) 12,270,307 03-23-11 1.75 3,710,000 3,714,934 04-09-13 3.25 18,880,000(j) 19,524,487 05-07-13 4.09 7,300,000 7,341,172 01-02-14 5.13 16,915,000(j) 17,301,474 02-05-14 2.75 12,715,000(j) 12,701,057 11-15-30 6.63 1,945,000(j) 2,533,878 U.S. Treasury 06-30-10 2.88 5,730,000 5,885,111 10-31-10 1.50 18,575,000(j) 18,743,327 02-28-11 0.88 25,595,000(g) 25,523,077 01-15-12 1.13 17,000,000(j) 16,877,804 08-15-18 4.00 15,745,000(j) 16,988,603 02-15-19 2.75 9,645,000(j) 9,403,875 U.S. Treasury Inflation-Indexed Bond 01-15-14 2.00 17,084,843(j,k) 16,992,999 01-15-15 1.63 22,036,200(j,k) 21,153,752 --------------- Total 241,691,242 ------------------------------------------------------------------------------------- FDIC-INSURED DEBT (3.4%)(n) Bank of America FDIC Govt Guaranty 04-30-12 2.10 6,455,000(j) 6,409,899 Goldman Sachs Group FDIC Govt Guaranty 07-15-11 1.63 7,750,000 7,711,506 JPMorgan Chase & Co FDIC Govt Guaranty 02-23-11 1.65 2,655,000 2,661,369 Morgan Stanley FDIC Govt Guaranty 02-10-12 1.51 8,300,000 8,332,710 --------------- Total 25,115,484 ------------------------------------------------------------------------------------- ASSET-BACKED (3.3%) Asset Backed Securities Corp Home Equity Series 2005-HE2 Cl M1 02-25-35 0.92 3,204,776(i) 2,545,484 Capital Auto Receivables Asset Trust Series 2006-SN1A Cl A4B 03-20-10 0.58 2,369,792(d,i) 2,333,895 First Franklin Mtge Loan Asset-backed Ctfs Series 2005-FFH3 Cl 2A3 09-25-35 0.88 1,402,000(i) 1,258,479 First Franklin Mtge Loan Asset-backed Ctfs Series 2006-FF18 Cl A2A 12-25-37 0.54 2,301,127(i) 2,112,253 GSAMP Trust Series 2006-HE8 Cl A2A 01-25-37 0.54 5,423,072(i) 4,611,568 JP Morgan Mtge Acquisition Corp Series 2006-HE2 Cl A3 07-25-36 0.49 4,289,747(i) 3,616,978 NovaStar Home Equity Loan Series 2006-4 Cl A2A (MGIC) 09-25-36 0.51 2,235,637(i,m) 2,071,832 Residential Asset Securities Series 2007-KS3 Cl AI2 04-25-37 0.65 4,050,000(i) 1,972,606 Structured Asset Investment Loan Trust Series 2005-9 Cl A5 11-25-35 0.70 4,575,197(i) 3,911,794 --------------- Total 24,434,889 ------------------------------------------------------------------------------------- COMMERCIAL MORTGAGE-BACKED (2.2%)(f) Federal Home Loan Mtge Corp Multifamily Structured Pass-Through Ctfs Series K001 Cl A2 04-25-16 5.65 5,640,740 5,956,049 Federal Natl Mtge Assn #381990 10-01-09 7.11 4,042,942 4,067,296 GE Capital Commercial Mtge Series 2001-3 Cl A1 06-10-38 5.56 6,105,755 6,071,161 --------------- Total 16,094,506 ------------------------------------------------------------------------------------- MORTGAGE-BACKED (53.7%)(f,l) Adjustable Rate Mtge Trust Collateralized Mtge Obligation Series 2007-1 Cl 3A21 03-25-37 6.17 1,684,945(e) 919,267 American Home Mtge Assets Collateralized Mtge Obligation Series 2007-2 Cl A2A 03-25-47 0.64 3,222,195(e) 641,993 American Home Mtge Investment Trust Collateralized Mtge Obligation Series 2007-1 Cl GA1C 05-25-47 0.66 4,168,407(e) 1,708,127 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2005-6CB Cl 1A1 04-25-35 7.50 1,361,549 842,038 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2006-OA11 Cl A3B1 09-25-46 0.65 3,064,455(i) 1,943,996 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-OA9 Cl A2 06-25-47 0.82 5,430,992(i) 1,216,977 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-OH3 Cl A3 09-25-47 0.97 3,681,174(i) 397,569 Countrywide Home Loans Collateralized Mtge Obligation Series 2005-R2 Cl 2A1 06-25-35 7.00 4,022,385(d) 2,941,683 Federal Home Loan Mtge Corp 03-01-39 5.00 12,500,000(g) 12,691,400 03-01-39 5.50 4,000,000(g) 4,096,248 Federal Home Loan Mtge Corp #1G0847 07-01-35 4.71 6,805,303(e) 6,900,341 Federal Home Loan Mtge Corp #1G2264 10-01-37 6.02 5,763,456(e) 5,986,724 Federal Home Loan Mtge Corp #1G2598 01-01-37 6.10 2,145,579(e) 2,225,720 Federal Home Loan Mtge Corp #1J0614 09-01-37 5.68 3,060,352(e) 3,158,467 Federal Home Loan Mtge Corp #A18107 01-01-34 5.50 2,871,463 2,949,659 Federal Home Loan Mtge Corp #C00351 07-01-24 8.00 222,773 236,445 Federal Home Loan Mtge Corp #C00385 01-01-25 9.00 369,124 410,828 Federal Home Loan Mtge Corp #C80329 08-01-25 8.00 63,975 68,006
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 1 RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO OF INVESTMENTS AT FEB. 28, 2009 PORTFOLIO OF INVESTMENTS (continued) -------------------------------------------
BONDS (CONTINUED) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) MORTGAGE-BACKED (CONT.) Federal Home Loan Mtge Corp #E00398 10-01-10 7.00% $162,061 $166,516 Federal Home Loan Mtge Corp #E81240 06-01-15 7.50 2,709,209 2,853,959 Federal Home Loan Mtge Corp #E90650 07-01-12 5.50 94,781 98,439 Federal Home Loan Mtge Corp #E92454 11-01-17 5.00 2,341,171 2,424,819 Federal Home Loan Mtge Corp #G00363 06-01-25 8.00 277,854 295,361 Federal Home Loan Mtge Corp #G00501 05-01-26 9.00 480,465 535,030 Federal Home Loan Mtge Corp #G04710 09-01-38 6.00 1,926,127 1,996,099 Federal Home Loan Mtge Corp #G10669 03-01-12 7.50 931,415 978,947 Federal Home Loan Mtge Corp #G11243 04-01-17 6.50 10,674,762 11,217,654 Federal Home Loan Mtge Corp #G12100 11-01-13 5.00 2,449,915 2,503,970 Federal Home Loan Mtge Corp #M30074 09-01-09 6.50 12,276 12,330 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 11 Cl B 01-01-20 23.38 6,535(b) 1,348 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2471 Cl SI 03-15-32 71.75 1,232,065(b) 125,847 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2783 Cl MI 03-15-25 78.62 1,613,041(b) 4,695 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Series 2617 Cl HD 06-15-16 7.00 5,080,834 5,355,407 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Series 3346 Cl FA 02-15-19 0.69 8,289,662(i) 8,045,953 Federal Natl Mtge Assn 03-01-39 4.50 20,000,000(g) 20,037,499 03-01-39 6.00 2,000,000(g) 2,065,624 Federal Natl Mtge Assn #125032 11-01-21 8.00 107,372 114,183 Federal Natl Mtge Assn #190129 11-01-23 6.00 853,911 887,977 Federal Natl Mtge Assn #190353 08-01-34 5.00 6,249,391 6,376,192 Federal Natl Mtge Assn #190785 05-01-09 7.50 12,965 13,087 Federal Natl Mtge Assn #190988 06-01-24 9.00 185,586 202,123 Federal Natl Mtge Assn #254384 06-01-17 7.00 272,111(h) 287,349 Federal Natl Mtge Assn #254454 08-01-17 7.00 472,233 498,678 Federal Natl Mtge Assn #254723 05-01-23 5.50 7,921,559 8,150,414 Federal Natl Mtge Assn #254748 04-01-13 5.50 4,095,813 4,252,445 Federal Natl Mtge Assn #254757 05-01-13 5.00 5,488,913 5,594,430 Federal Natl Mtge Assn #254774 05-01-13 5.50 1,252,680 1,287,520 Federal Natl Mtge Assn #255501 09-01-14 6.00 530,285 555,529 Federal Natl Mtge Assn #303885 05-01-26 7.50 420,267 450,029 Federal Natl Mtge Assn #313007 07-01-11 7.50 105,902 109,625 Federal Natl Mtge Assn #336512 02-01-26 6.00 61,533 64,105 Federal Natl Mtge Assn #357485 02-01-34 5.50 11,852,017 12,189,588 Federal Natl Mtge Assn #407327 01-01-14 5.50 335,484 350,825 Federal Natl Mtge Assn #456374 12-01-13 5.50 533,589 557,989 Federal Natl Mtge Assn #508402 08-01-14 6.50 232,304(h) 243,901 Federal Natl Mtge Assn #545818 07-01-17 6.00 10,970,812 11,466,623 Federal Natl Mtge Assn #545864 08-01-17 5.50 9,258,363 9,677,007 Federal Natl Mtge Assn #545910 08-01-17 6.00 1,714,581 1,792,044 Federal Natl Mtge Assn #555063 11-01-17 5.50 6,680,132 6,976,650 Federal Natl Mtge Assn #555367 03-01-33 6.00 8,594,653 8,928,079 Federal Natl Mtge Assn #579485 04-01-31 6.50 2,138,066(h) 2,267,844 Federal Natl Mtge Assn #593829 12-01-28 7.00 1,443,530 1,544,229 Federal Natl Mtge Assn #601416 11-01-31 6.50 753,702 799,421 Federal Natl Mtge Assn #630993 09-01-31 7.50 2,081,278 2,229,619 Federal Natl Mtge Assn #648040 06-01-32 6.50 2,053,825 2,164,677 Federal Natl Mtge Assn #648349 06-01-17 6.00 5,933,731 6,200,887 Federal Natl Mtge Assn #651284 07-01-17 6.00 1,156,589 1,209,209 Federal Natl Mtge Assn #662866 11-01-17 6.00 1,036,561 1,087,804 Federal Natl Mtge Assn #665752 09-01-32 6.50 1,131,327 1,192,388 Federal Natl Mtge Assn #670782 11-01-12 5.00 208,204 211,936 Federal Natl Mtge Assn #670830 12-01-12 5.00 262,133 269,135 Federal Natl Mtge Assn #671415 01-01-10 5.00 218,761 220,275 Federal Natl Mtge Assn #678940 02-01-18 5.50 1,786,324 1,863,981 Federal Natl Mtge Assn #686227 02-01-18 5.50 2,438,827 2,545,215 Federal Natl Mtge Assn #696837 04-01-18 5.50 2,614,791 2,727,521 Federal Natl Mtge Assn #704610 06-01-33 5.50 9,648,705(h) 9,923,521 Federal Natl Mtge Assn #712602 06-01-13 5.00 663,495 676,258 Federal Natl Mtge Assn #722325 07-01-33 4.96 4,453,275(e) 4,515,823 Federal Natl Mtge Assn #725232 03-01-34 5.00 9,225,768(h) 9,421,609 Federal Natl Mtge Assn #725425 04-01-34 5.50 8,505,266 8,736,965 Federal Natl Mtge Assn #725431 08-01-15 5.50 5,990,679 6,264,628 Federal Natl Mtge Assn #725773 09-01-34 5.50 7,205,334 7,403,802 Federal Natl Mtge Assn #730632 08-01-33 4.03 1,444,484(e) 1,465,403 Federal Natl Mtge Assn #735212 12-01-34 5.00 5,562,042 5,674,897 Federal Natl Mtge Assn #735578 06-01-35 5.00 4,238,119 4,321,463 Federal Natl Mtge Assn #739243 09-01-33 6.00 2,664,268 2,779,198 Federal Natl Mtge Assn #739331 09-01-33 6.00 1,387,479 1,440,438 Federal Natl Mtge Assn #743524 11-01-33 5.00 2,780,131 2,839,147 Federal Natl Mtge Assn #745275 02-01-36 5.00 973,910 993,062 Federal Natl Mtge Assn #753508 11-01-33 5.00 2,785,314 2,844,440 Federal Natl Mtge Assn #791447 10-01-34 6.00 4,314,896(h) 4,474,201 Federal Natl Mtge Assn #797046 07-01-34 5.50 2,680,790 2,754,632 Federal Natl Mtge Assn #799769 11-01-34 5.05 3,390,587(e) 3,470,469 Federal Natl Mtge Assn #801344 10-01-34 5.06 3,558,785(e) 3,632,843 Federal Natl Mtge Assn #815463 02-01-35 5.50 1,744,058 1,792,097 Federal Natl Mtge Assn #832641 09-01-35 6.00 5,997,176 6,209,218 Federal Natl Mtge Assn #849082 01-01-36 5.83 2,545,876(e) 2,650,058 Federal Natl Mtge Assn #849170 01-01-36 5.93 2,926,036(e) 3,047,792 Federal Natl Mtge Assn #878661 02-01-36 5.50 7,150,276 7,281,215 Federal Natl Mtge Assn #883267 07-01-36 6.50 4,154,909 4,389,842 Federal Natl Mtge Assn #887403 07-01-36 7.00 2,508,039 2,661,683 Federal Natl Mtge Assn #888989 06-01-37 6.04 5,583,752(e) 5,789,308
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 2 RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO OF INVESTMENTS AT FEB. 28, 2009 PORTFOLIO OF INVESTMENTS (continued) -------------------------------------------
BONDS (CONTINUED) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) MORTGAGE-BACKED (CONT.) Federal Natl Mtge Assn #902818 11-01-36 5.91% $2,013,277(e) $2,077,380 Federal Natl Mtge Assn #919341 05-01-37 6.50 3,222,910 3,375,026 Federal Natl Mtge Assn #928771 10-01-37 8.00 5,648,835(h) 5,979,563 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 163 Cl 2 07-25-22 35.28 476,518(b) 64,982 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2002-18 Cl SE 02-25-32 55.60 2,595,408(b) 303,793 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-26 Cl MI 03-25-23 20.86 1,472,562(b) 136,415 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-63 Cl IP 07-25-33 25.56 3,446,818(b) 429,048 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-71 Cl IM 12-25-31 33.07 1,808,363(b) 159,874 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-81 Cl LI 11-25-13 59.80 570,313(b) 742 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 36 Cl 2 08-01-18 18.48 3,925(b) 636 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 70 Cl 2 01-15-20 27.28 174,273(b) 33,727 Federal Natl Mtge Assn Collateralized Mtge Obligation Principal Only Series G-15 Cl A 06-25-21 2.49 22,739(c) 21,527 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2003-133 Cl GB 12-25-26 8.00 1,671,666 1,766,687 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2003-94 Cl QB 07-25-23 5.50 439,307 438,790 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2003-W11 Cl A1 06-25-33 5.92 104,099(e) 103,970 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2004-60 Cl PA 04-25-34 5.50 2,971,748 3,089,219 Govt Natl Mtge Assn 03-01-39 5.50 5,000,000(g) 5,125,025 03-01-39 6.00 8,000,000(g) 8,267,504 Govt Natl Mtge Assn #615740 08-15-13 6.00 580,520 611,239 Govt Natl Mtge Assn #781507 09-15-14 6.00 2,782,274 2,889,789 Govt Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-62 Cl IC 03-20-29 20.00 730,399(b) 1,975 Govt Natl Mtge Assn Collateralized Mtge Obligation Series 2006-32 Cl A 01-16-30 5.08 8,492,848 8,649,597 Harborview Mtge Loan Trust Collateralized Mtge Obligation Series 2004-4 Cl 3A 06-19-34 1.16 330,581(e) 142,530 Lehman XS Trust Series 2006-16N Cl A1B 11-25-46 0.59 1,771,794(i) 1,631,407 Morgan Stanley Mtge Loan Trust Series 2006-13AX Cl A1 10-25-36 0.56 2,299,888(i) 1,373,659 Residential Accredit Loans Collateralized Mtge Obligation Series 2002-QS14 Cl A12 09-25-32 5.50 6,071,360 5,151,913 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-10 Cl A1 10-25-35 5.00 5,208,913 3,884,099 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-14 Cl 2A1 12-25-35 5.50 2,817,864 2,202,777 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-5 Cl 2A1 05-25-35 5.50 3,764,272 2,726,745 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2006-AR6 Cl 5A1 03-25-36 5.11 3,316,204(e) 2,042,604 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2007-15 Cl A1 11-25-37 6.00 3,031,941 2,119,990 --------------- Total 397,871,762 ------------------------------------------------------------------------------------- TOTAL BONDS (Cost: $720,824,859) $705,207,883 ------------------------------------------------------------------------------------- SHORT-TERM SECURITIES (15.8%) AMOUNT EFFECTIVE PAYABLE AT ISSUER YIELD MATURITY VALUE(a) U.S. GOVERNMENT AGENCIES Federal Home Loan Bank Disc Nts 03-02-09 0.12% $47,400,000 $47,399,526 03-04-09 0.12 20,000,000 19,999,667 03-12-09 0.11 35,000,000 34,998,656 03-13-09 0.11 15,000,000 14,999,370 ------------------------------------------------------------------------------------- TOTAL SHORT-TERM SECURITIES (Cost: $117,398,526) $117,397,219 -------------------------------------------------------------------------------------
MONEY MARKET FUND (1.7%) SHARES VALUE(a) RiverSource Short-Term Cash Fund, 0.29% 12,350,208(o) $12,350,208 ------------------------------------------------------------------------------------- TOTAL MONEY MARKET FUND (Cost: $12,350,208) $12,350,208 ------------------------------------------------------------------------------------- INVESTMENTS OF CASH COLLATERAL RECEIVED FOR SECURITIES ON LOAN (12.2%) SHARES VALUE(a) CASH COLLATERAL REINVESTMENT FUND JPMorgan Prime Money Market Fund 90,353,095 $90,353,095 ------------------------------------------------------------------------------------- TOTAL INVESTMENTS OF CASH COLLATERAL RECEIVED FOR SECURITIES ON LOAN (Cost: $90,353,095) $90,353,095 ------------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES (Cost: $940,926,688)(p) $925,308,405 =====================================================================================
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 3 RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO OF INVESTMENTS AT FEB. 28, 2009 PORTFOLIO OF INVESTMENTS (continued) ------------------------------------------- INVESTMENTS IN DERIVATIVES FUTURES CONTRACTS OUTSTANDING AT FEB. 28, 2009
NUMBER OF UNREALIZED CONTRACTS NOTIONAL EXPIRATION APPRECIATION CONTRACT DESCRIPTION LONG (SHORT) MARKET VALUE DATE (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------- U.S. Long Bond, 20-year 13 $1,603,469 June 2009 $(37,079) U.S. Treasury Note, 2-year 633 137,113,738 July 2009 (198,844) U.S. Treasury Note, 5-year (878) (103,213,018) April 2009 (788,771) U.S. Treasury Note, 5-year (48) (5,596,125) July 2009 6,152 U.S. Treasury Note, 10-year (514) (62,555,409) March 2009 (498,012) ----------------------------------------------------------------------------------------------------------------- Total $(1,516,554) -----------------------------------------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS (a) Securities are valued by using procedures described in Note 1 to the financial statements in the most recent Semiannual Report dated Nov. 30, 2008. (b) 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. The interest rate disclosed represents yield based upon the estimated timing and amount of future cash flows at Feb. 28, 2009. (c) Principal only represents securities that entitle holders to receive only principal payments on the underlying mortgages. The yield to maturity of a principal only is sensitive to the rate of principal payments on the underlying mortgage assets. A slow (rapid) rate of principal repayments may have an adverse (positive) effect on yield to maturity. Interest rate disclosed represents yield based upon the estimated timing of future cash flows at Feb. 28, 2009. (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 Feb. 28, 2009, the value of these securities amounted to $5,275,578 or 0.7% of net assets. (e) Adjustable rate mortgage; interest rate varies to reflect current market conditions; rate shown is the effective rate on Feb. 28, 2009. (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, 2009, the cost of securities purchased, including interest purchased, on a when-issued and/or other forward-commitment basis was $90,158,485. (h) At Feb. 28, 2009, investments in securities included securities valued at $2,478,279 that were partially pledged as collateral to cover initial margin deposits on open interest rate futures contracts. (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, 2009. (j) At Feb. 28, 2009, security was partially or fully on loan. (k) 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. (l) Represents comparable securities held to satisfy future delivery requirements of the following open forward sale commitments at Feb. 28, 2009:
PRINCIPAL SETTLEMENT PROCEEDS SECURITY AMOUNT DATE RECEIVABLE VALUE ----------------------------------------------------------------------------------------- Federal Natl Mtge Assn 03-01-24 5.50% $5,525,000 03-17-09 $5,706,289 $5,727,005 03-01-39 5.00 10,000,000 03-12-09 10,198,438 10,171,880
(m) The following abbreviation is used in the portfolio security description to identify the insurer of the issue: MGIC -- Mortgage Guaranty Insurance Corporation
(n) This debt is guaranteed under the FDIC's Temporary Liquidity Guarantee Program (TLGP) and is backed by the full faith and credit of the United States. (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 Feb. 28, 2009. (p) At Feb. 28, 2009, the cost of securities for federal income tax purposes was approximately $940,927,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation $12,665,000 Unrealized depreciation (28,283,000) ---------------------------------------------------------------------------------------- Net unrealized depreciation $(15,618,000) ----------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 4 RIVERSOURCE SHORT DURATION U.S. GOVERNMENT FUND -- PORTFOLIO OF INVESTMENTS AT FEB. 28, 2009 PORTFOLIO OF INVESTMENTS (continued) ------------------------------------------- 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, it is likely that there may be a range of practices utilized and it may 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) Observable inputs are those based on market data obtained from sources independent of the fund, and unobservable inputs reflect the fund's own assumptions based on the best information available. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. The following table is a summary of the inputs used to value the Fund's investments as of Feb. 28, 2009:
FAIR VALUE AT FEB. 28, 2009 ---------------------------------------------------------------- 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 $179,319,000 $732,099,424 $13,889,981 $925,308,405 Other financial instruments* (1,516,554) -- -- (1,516,554) --------------------------------------------------------------------------------------------------------------- Total $177,802,446 $732,099,424 $13,889,981 $923,791,851 ---------------------------------------------------------------------------------------------------------------
* Other financial instruments are derivative instruments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument 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 91,571 Realized gain (loss) 72,505 Change in unrealized appreciation (depreciation) (4,671,213) Net purchases (sales) (4,193,114) Transfers in and/or out of Level 3 6,054,809 -------------------------------------------------------------------------------------------- Balance as of Feb. 28, 2009 $13,889,981 --------------------------------------------------------------------------------------------
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 FEB. 28, 2009 PORTFOLIO OF INVESTMENTS FOR RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND AT FEB. 28, 2009 FEB. 28, 2009 (UNAUDITED) (Percentages represent value of investments compared to net assets) INVESTMENTS IN SECURITIES
BONDS (115.9%) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) ASSET-BACKED (4.6%) Asset Backed Securities Corp Home Equity Series 2005-HE2 Cl M1 02-25-35 0.92% $1,469,917(i) $1,167,523 First Franklin Mtge Loan Asset Backed Ctfs Series 2005-FF2 Cl A2C 03-25-35 0.78 933,619(i) 851,750 First Franklin Mtge Loan Asset-backed Ctfs Series 2005-FFH3 Cl 2A3 09-25-35 0.88 650,000(i) 583,460 First Franklin Mtge Loan Asset-backed Ctfs Series 2006-FF18 Cl A2A 12-25-37 0.54 1,044,794(i) 959,039 GSAMP Trust Series 2006-HE8 Cl A2A 01-25-37 0.54 2,356,401(i) 2,003,790 JP Morgan Mtge Acquisition Corp Series 2006-HE2 Cl A3 07-25-36 0.49 1,978,076(i) 1,667,851 Long Beach Mtge Loan Trust Series 2006-4 Cl 2A2 05-25-36 0.57 1,198,943(i) 1,116,876 MASTR Asset Backed Securities Trust Series 2005-FRE1 Cl A4 10-25-35 0.72 690,358(i) 592,771 NovaStar Home Equity Loan Series 2006-4 Cl A2A (MGIC) 09-25-36 0.51 1,490,425(i,k) 1,381,222 Renaissance Home Equity Loan Trust Series 2007-2 Cl M4 06-25-37 6.31 195,000(l) 17,276 Renaissance Home Equity Loan Trust Series 2007-2 Cl M5 06-25-37 6.66 130,000(l) 9,145 Renaissance Home Equity Loan Trust Series 2007-2 Cl M6 06-25-37 7.01 190,000(l) 11,621 Residential Asset Mtge Products Series 2006-EFC1 Cl A2 02-25-36 0.67 604,204(i) 480,162 Residential Asset Securities Series 2007-KS3 Cl AI2 04-25-37 0.65 1,700,000(i) 828,007 Structured Asset Investment Loan Trust Series 2005-9 Cl A5 11-25-35 0.70 2,121,634(i) 1,813,997 Structured Asset Securities Corp Series 2007-BC1 Cl A2 02-25-37 0.52 2,239,593(i) 1,925,603 --------------- Total 15,410,093 ------------------------------------------------------------------------------------- COMMERCIAL MORTGAGE-BACKED (2.5%)(f) Citigroup/Deutsche Bank Commercial Mtge Trust Series 2007-CD4 Cl A2B 12-11-49 5.21 3,000,000 2,414,883 Federal Home Loan Mtge Corp Multifamily Structured Pass-Through Ctfs Series K001 Cl A2 04-25-16 5.65 1,896,249 2,002,246 GS Mtge Securities II Series 2007-EOP Cl J 03-06-20 1.29 1,000,000(d,i) 616,028 LB-UBS Commercial Mtge Trust Series 2004-C6 Cl A6 08-15-29 5.02 2,000,000 1,570,444 Wachovia Bank Commercial Mtge Trust Series 2003-C7 Cl A2 10-15-35 5.08 2,000,000(d) 1,689,986 --------------- Total 8,293,587 ------------------------------------------------------------------------------------- MORTGAGE-BACKED (108.8%)(f,m) American Home Mtge Assets Collateralized Mtge Obligation Series 2007-2 Cl A2A 03-25-47 0.64 1,189,401(g) 236,977 American Home Mtge Investment Trust Collateralized Mtge Obligation Series 2007-1 Cl GA1C 05-25-47 0.66 1,748,042(g) 716,311 Banc of America Alternative Loan Trust Collateralized Mtge Obligation Series 2003-11 Cl 1A1 01-25-34 6.00 495,406 345,718 Banc of America Alternative Loan Trust Collateralized Mtge Obligation Series 2006-9 Cl 1CB1 01-25-37 6.00 2,392,599 1,278,171 Banc of America Funding Collateralized Mtge Obligation Series 2006-2 Cl N1 11-25-46 7.25 60,362(d,h) 6,640 Banc of America Funding Collateralized Mtge Obligation Series 2007-8 Cl 1A1 10-25-37 6.00 955,684 500,988 ChaseFlex Trust Collateralized Mtge Obligation Series 2005-2 Cl 2A2 06-25-35 6.50 504,304 451,667 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Interest Only Series 2007-8CB Cl A13 05-25-37 7.73 1,697,959(j) 230,133 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2003-20CB Cl 1A1 10-25-33 5.50 4,478,763 3,501,134 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2005-50CB Cl 2A1 11-25-35 6.00 884,357 450,331 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2005-6CB Cl 1A1 04-25-35 7.50 336,063 207,835 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2006-2CB Cl A11 03-25-36 6.00 1,351,219 692,923 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2006-45T1 Cl 2A5 02-25-37 6.00 895,212 459,077 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-25 Cl 1A1 11-25-37 6.50 880,712 471,697 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-OA9 Cl A2 06-25-47 0.82 1,197,709(i) 268,383 Countrywide Alternative Loan Trust Collateralized Mtge Obligation Series 2007-OH3 Cl A3 09-25-47 0.97 1,785,480(i) 192,833
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 1 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT FEB. 28, 2009 PORTFOLIO OF INVESTMENTS (continued) -------------------------------------------
BONDS (CONTINUED) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) MORTGAGE-BACKED (CONT.) Countrywide Home Loans Collateralized Mtge Obligation Series 2005-R2 Cl 2A1 06-25-35 7.00% $421,156(d) $308,003 Countrywide Home Loans Collateralized Mtge Obligation Series 2006-HYB1 Cl 1A1 03-20-36 5.32 385,864(g) 165,960 Downey Savings & Loan Assn Mtge Loan Trust Collateralized Mtge Obligation Interest Only Series 2005-AR5 Cl X1 08-19-45 0.00 2,019,893(b,e,j) -- Federal Home Loan Mtg Corp #G05058 12-01-38 6.00 3,948,119 4,091,545 Federal Home Loan Mtge Corp 03-01-39 4.50 3,000,000(c) 3,002,814 03-01-39 5.00 18,000,000(c) 18,275,617 03-01-39 5.50 2,500,000(c) 2,560,155 03-01-39 6.00 8,400,000(c) 8,695,313 Federal Home Loan Mtge Corp #1B7116 08-01-36 5.90 3,791,544(g) 3,932,880 Federal Home Loan Mtge Corp #1J0149 11-01-36 6.09 1,865,765(g) 1,935,229 Federal Home Loan Mtge Corp #1J1621 05-01-37 5.87 2,698,372(g) 2,805,745 Federal Home Loan Mtge Corp #555140 03-01-10 8.00 918 927 Federal Home Loan Mtge Corp #555300 10-01-17 8.00 165,079 173,949 Federal Home Loan Mtge Corp #A10892 07-01-33 6.00 514,999 536,482 Federal Home Loan Mtge Corp #A15111 10-01-33 6.00 759,278 790,344 Federal Home Loan Mtge Corp #A21059 04-01-34 6.50 439,380 461,721 Federal Home Loan Mtge Corp #A25174 08-01-34 6.50 302,059 317,418 Federal Home Loan Mtge Corp #A83607 12-01-38 5.50 6,351,204 6,510,903 Federal Home Loan Mtge Corp #C53098 06-01-31 8.00 234,371 250,142 Federal Home Loan Mtge Corp #C53878 12-01-30 5.50 817,682 841,811 Federal Home Loan Mtge Corp #C68876 07-01-32 7.00 129,558 138,357 Federal Home Loan Mtge Corp #C69665 08-01-32 6.50 2,233,969 2,354,543 Federal Home Loan Mtge Corp #C79930 06-01-33 5.50 1,252,496 1,287,778 Federal Home Loan Mtge Corp #D95232 03-01-22 6.50 223,700 235,758 Federal Home Loan Mtge Corp #D95371 04-01-22 6.50 262,316 277,178 Federal Home Loan Mtge Corp #E81240 06-01-15 7.50 536,438 565,099 Federal Home Loan Mtge Corp #E88036 02-01-17 6.50 866,761 910,178 Federal Home Loan Mtge Corp #E88468 12-01-16 6.50 211,540 222,502 Federal Home Loan Mtge Corp #E89232 04-01-17 7.00 399,627 422,356 Federal Home Loan Mtge Corp #E92454 11-01-17 5.00 1,186,855 1,229,260 Federal Home Loan Mtge Corp #E93685 01-01-18 5.50 960,587 1,002,112 Federal Home Loan Mtge Corp #E99684 10-01-18 5.00 312,684 324,348 Federal Home Loan Mtge Corp #G01169 01-01-30 5.50 1,327,984 1,367,646 Federal Home Loan Mtge Corp #G01535 04-01-33 6.00 1,789,842 1,875,005 Federal Home Loan Mtge Corp #G02757 06-01-36 5.00 7,741,549 7,878,322 Federal Home Loan Mtge Corp #G03419 07-01-37 6.00 4,174,718 4,326,610 Federal Home Loan Mtge Corp #G12101 11-01-18 5.00 639,759 661,817 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2471 Cl SI 03-15-32 71.75 236,924(j) 24,200 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2639 Cl UI 03-15-22 17.35 938,804(j) 98,653 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2795 Cl IY 07-15-17 84.62 322,070(j) 10,537 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2817 Cl SA 06-15-32 77.27 797,866(j) 54,729 Federal Home Loan Mtge Corp Collateralized Mtge Obligation Interest Only Series 2824 Cl EI 09-15-20 34.68 2,039,077(j) 96,690 Federal Natl Mtge Assn 03-01-24 4.50 7,150,000(c) 7,275,125 03-01-24 5.50 1,775,000(c) 1,839,898 03-01-39 4.50 23,000,000(c) 23,043,126 03-01-39 5.50 500,000(c) 512,188 Federal Natl Mtge Assn #190353 08-01-34 5.00 1,468,607 1,498,405 Federal Natl Mtge Assn #252409 03-01-29 6.50 1,171,523 1,235,746 Federal Natl Mtge Assn #254759 06-01-18 4.50 1,671,531 1,710,881 Federal Natl Mtge Assn #254793 07-01-33 5.00 2,004,851 2,047,410 Federal Natl Mtge Assn #254916 09-01-23 5.50 1,584,944 1,630,734 Federal Natl Mtge Assn #256135 02-01-36 5.50 6,669,844 6,799,620 Federal Natl Mtge Assn #313470 08-01-10 7.50 67,089 68,201 Federal Natl Mtge Assn #323362 11-01-28 6.00 2,293,400 2,390,972 Federal Natl Mtge Assn #323715 05-01-29 6.00 426,553(n) 444,700 05-01-29 6.00 29(c,n) 30 Federal Natl Mtge Assn #344909 04-01-25 8.00 548,808 586,124 Federal Natl Mtge Assn #357514 03-01-34 5.50 2,075,003(n) 2,134,103 Federal Natl Mtge Assn #483691 12-01-28 7.00 1,087,504 1,171,463 Federal Natl Mtge Assn #487757 09-01-28 7.50 709,588 759,952 Federal Natl Mtge Assn #514704 01-01-29 6.00 720,165 750,805 Federal Natl Mtge Assn #545008 06-01-31 7.00 1,269,209(n) 1,360,657 Federal Natl Mtge Assn #545339 11-01-31 6.50 202,499 214,714 Federal Natl Mtge Assn #545818 07-01-17 6.00 1,971,426 2,060,522 Federal Natl Mtge Assn #545864 08-01-17 5.50 1,142,534(n) 1,194,197 Federal Natl Mtge Assn #555458 05-01-33 5.50 1,486,347 1,524,903 Federal Natl Mtge Assn #555528 04-01-33 6.00 1,824,367 1,895,143 Federal Natl Mtge Assn #555734 07-01-23 5.00 641,166 655,402 Federal Natl Mtge Assn #581418 06-01-31 7.00 792,060 847,844 Federal Natl Mtge Assn #583088 06-01-29 6.00 2,429,297 2,544,977 Federal Natl Mtge Assn #592270 01-01-32 6.50 629,543 667,657 Federal Natl Mtge Assn #596505 08-01-16 6.50 128,890 136,575 Federal Natl Mtge Assn #601416 11-01-31 6.50 280,246 297,246 Federal Natl Mtge Assn #624979 01-01-32 6.00 609,630 636,211 Federal Natl Mtge Assn #626670 03-01-32 7.00 481,781 518,557 Federal Natl Mtge Assn #627426 03-01-17 6.50 391,876(n) 414,965 Federal Natl Mtge Assn #630992 09-01-31 7.00 1,544,918(n) 1,662,604 Federal Natl Mtge Assn #630993 09-01-31 7.50 1,615,799 1,730,963 Federal Natl Mtge Assn #631388 05-01-32 6.50 1,396,914 1,484,992 Federal Natl Mtge Assn #632856 03-01-17 6.00 398,386 415,759 Federal Natl Mtge Assn #633674 06-01-32 6.50 807,636 854,021 Federal Natl Mtge Assn #635231 04-01-32 7.00 73,339 78,729 Federal Natl Mtge Assn #635908 04-01-32 6.50 1,001,916 1,063,713
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 2 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT FEB. 28, 2009 PORTFOLIO OF INVESTMENTS (continued) -------------------------------------------
BONDS (CONTINUED) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) MORTGAGE-BACKED (CONT.) Federal Natl Mtge Assn #636812 04-01-32 7.00% $104,917 $112,477 Federal Natl Mtge Assn #640200 10-01-31 9.50 101,189 114,893 Federal Natl Mtge Assn #640207 03-01-17 7.00 36,049 37,239 Federal Natl Mtge Assn #640208 04-01-17 7.50 43,168 44,331 Federal Natl Mtge Assn #644805 05-01-32 7.00 839,604 900,102 Federal Natl Mtge Assn #645053 05-01-32 7.00 511,946 547,149 Federal Natl Mtge Assn #646189 05-01-32 6.50 342,882(n) 361,388 Federal Natl Mtge Assn #654071 09-01-22 6.50 481,055 506,346 Federal Natl Mtge Assn #654685 11-01-22 6.00 485,472 503,522 Federal Natl Mtge Assn #655635 08-01-32 6.50 666,859(n) 707,699 Federal Natl Mtge Assn #656514 09-01-17 6.50 917,207 970,691 Federal Natl Mtge Assn #660186 11-01-32 6.00 2,019,152 2,107,185 Federal Natl Mtge Assn #665752 09-01-32 6.50 1,059,302 1,116,476 Federal Natl Mtge Assn #667302 01-01-33 7.00 493,126(n) 528,638 Federal Natl Mtge Assn #670382 09-01-32 6.00 995,581 1,034,204 Federal Natl Mtge Assn #676683 12-01-32 6.00 1,150,925 1,195,574 Federal Natl Mtge Assn #677089 01-01-33 5.50 546,173(n) 562,070 Federal Natl Mtge Assn #677294 01-01-33 6.00 1,215,380(n) 1,262,530 Federal Natl Mtge Assn #681080 02-01-18 5.00 693,759(n) 717,463 Federal Natl Mtge Assn #682229 03-01-33 5.50 4,019,166 4,136,152 Federal Natl Mtge Assn #684585 02-01-33 5.50 1,331,702(n) 1,380,371 Federal Natl Mtge Assn #684843 02-01-18 5.50 1,302,381 1,358,946 Federal Natl Mtge Assn #684853 03-01-33 6.50 211,925 223,605 Federal Natl Mtge Assn #688002 03-01-33 5.50 1,264,099 1,308,391 Federal Natl Mtge Assn #689026 05-01-33 5.50 355,534 367,682 Federal Natl Mtge Assn #689093 07-01-28 5.50 896,477 928,174 Federal Natl Mtge Assn #694628 04-01-33 5.50 1,865,468 1,933,152 Federal Natl Mtge Assn #694795 04-01-33 5.50 2,236,702 2,316,329 Federal Natl Mtge Assn #695460 04-01-18 5.50 1,672,768 1,745,269 Federal Natl Mtge Assn #697145 03-01-23 5.50 1,111,259 1,150,764 Federal Natl Mtge Assn #699424 04-01-33 5.50 1,441,624 1,492,768 Federal Natl Mtge Assn #701101 04-01-33 6.00 1,831,124 1,901,018 Federal Natl Mtge Assn #704610 06-01-33 5.50 1,863,257 1,916,326 Federal Natl Mtge Assn #705655 05-01-33 5.00 658,509(n) 672,488 Federal Natl Mtge Assn #708503 05-01-33 6.00 265,058 276,352 Federal Natl Mtge Assn #708504 05-01-33 6.00 561,481(n) 585,880 Federal Natl Mtge Assn #710780 05-01-33 6.00 213,247 221,387 Federal Natl Mtge Assn #711206 05-01-33 5.50 1,047,035 1,076,857 Federal Natl Mtge Assn #711239 07-01-33 5.50 527,040 542,052 Federal Natl Mtge Assn #711501 05-01-33 5.50 680,165 705,963 Federal Natl Mtge Assn #723771 08-01-28 5.50 702,684 727,529 Federal Natl Mtge Assn #725017 12-01-33 5.50 2,588,307(n) 2,674,886 Federal Natl Mtge Assn #725232 03-01-34 5.00 1,548,611 1,581,485 Federal Natl Mtge Assn #725424 04-01-34 5.50 8,502,408(n) 8,744,576 Federal Natl Mtge Assn #725425 04-01-34 5.50 2,443,549 2,510,116 Federal Natl Mtge Assn #725684 05-01-18 6.00 611,434 639,832 Federal Natl Mtge Assn #725773 09-01-34 5.50 1,689,527 1,736,064 Federal Natl Mtge Assn #726940 08-01-23 5.50 1,155,076 1,198,308 Federal Natl Mtge Assn #730153 08-01-33 5.50 670,537 689,635 Federal Natl Mtge Assn #733367 08-01-23 5.50 873,771 906,613 Federal Natl Mtge Assn #735212 12-01-34 5.00 8,263,605(n) 8,431,276 Federal Natl Mtge Assn #735841 11-01-19 4.50 5,287,821 5,402,391 Federal Natl Mtge Assn #743524 11-01-33 5.00 1,691,247 1,727,148 Federal Natl Mtge Assn #743579 11-01-33 5.50 1,410,948 1,451,135 Federal Natl Mtge Assn #745275 02-01-36 5.00 3,350,251 3,416,134 Federal Natl Mtge Assn #745355 03-01-36 5.00 3,492,280 3,560,956 Federal Natl Mtge Assn #747339 10-01-23 5.50 1,066,069 1,106,036 Federal Natl Mtge Assn #753507 12-01-18 5.00 814,612(n) 844,826 Federal Natl Mtge Assn #759342 01-01-34 6.50 352,884 373,276 Federal Natl Mtge Assn #770403 04-01-34 5.00 1,370,016 1,397,814 Federal Natl Mtge Assn #776962 04-01-29 5.00 1,251,194 1,285,496 Federal Natl Mtge Assn #779676 06-01-34 5.00 2,393,103 2,441,660 Federal Natl Mtge Assn #785506 06-01-34 5.00 5,216,556(n) 5,322,401 Federal Natl Mtge Assn #793622 09-01-34 5.50 5,643,894(n) 5,799,353 Federal Natl Mtge Assn #797232 09-01-34 5.50 6,133,846 6,302,801 Federal Natl Mtge Assn #826585 08-01-35 5.00 2,167,878 2,210,509 Federal Natl Mtge Assn #841764 07-01-35 5.50 3,914,977 4,019,144 Federal Natl Mtge Assn #845109 05-01-36 6.00 5,379,300 5,566,135 Federal Natl Mtge Assn #869867 04-01-21 5.50 3,633,428 3,772,899 Federal Natl Mtge Assn #878661 02-01-36 5.50 1,778,763 1,811,337 Federal Natl Mtge Assn #881629 02-01-36 5.50 1,188,288 1,210,049 Federal Natl Mtge Assn #886020 07-01-36 6.50 900,111 951,065 Federal Natl Mtge Assn #886291 07-01-36 7.00 675,669 717,249 Federal Natl Mtge Assn #888414 11-01-35 5.00 3,673,044 3,745,276 Federal Natl Mtge Assn #893101 10-01-36 6.50 2,477,603 2,594,681 Federal Natl Mtge Assn #894800 12-01-36 6.50 3,104,222 3,250,910 Federal Natl Mtge Assn #902818 11-01-36 5.91 2,662,184(g) 2,746,948 Federal Natl Mtge Assn #928046 01-01-37 6.00 3,302,424 3,417,125 Federal Natl Mtge Assn #928771 10-01-37 8.00 2,964,044 3,137,583 Federal Natl Mtge Assn #928870 11-01-37 8.50 222,016 233,132 Federal Natl Mtge Assn #933966 07-01-23 6.00 2,419,344 2,529,464 Federal Natl Mtge Assn #933985 08-01-23 5.50 1,935,912 2,010,114 Federal Natl Mtge Assn #941285 06-01-37 6.00 3,892,913 4,024,862 Federal Natl Mtge Assn #960606 10-01-36 5.50 3,431,860 3,526,389 Federal Natl Mtge Assn #984458 05-01-38 6.00 4,189,697 4,331,706 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-119 Cl GI 12-25-33 18.58 464,962(j) 66,710 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-63 Cl IP 07-25-33 25.56 1,778,804(j) 221,419
See accompanying Notes to Portfolio of Investments. -------------------------------------------------------------------------------- 3 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT FEB. 28, 2009 PORTFOLIO OF INVESTMENTS (continued) -------------------------------------------
BONDS (CONTINUED) COUPON PRINCIPAL ISSUER RATE AMOUNT VALUE(a) MORTGAGE-BACKED (CONT.) Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2003-71 Cl IM 12-25-31 33.07% $401,858(j) $35,528 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2004-84 Cl GI 12-25-22 59.90 171,952(j) 9,283 Federal Natl Mtge Assn Collateralized Mtge Obligation Interest Only Series 2005-70 Cl YJ 08-25-35 160.14 2,050,897(j) 59,192 Federal Natl Mtge Assn Collateralized Mtge Obligation Series 2003-133 Cl GB 12-25-26 8.00 238,810 252,384 Govt Natl Mtge Assn 03-01-39 5.00 7,000,000(c) 7,137,816 03-01-39 6.00 3,000,000(c) 3,100,314 Govt Natl Mtge Assn #3931 12-20-36 6.00 3,662,584 3,788,071 Govt Natl Mtge Assn #518371 02-15-30 7.00 117,654 127,155 Govt Natl Mtge Assn #528344 03-15-30 7.00 288,361 311,646 Govt Natl Mtge Assn #556293 12-15-31 6.50 356,614 374,323 Govt Natl Mtge Assn #583182 02-15-32 6.50 553,797 581,299 Govt Natl Mtge Assn #595256 12-15-32 6.00 303,663 315,966 Govt Natl Mtge Assn #619613 09-15-33 5.00 1,161,329 1,189,857 IndyMac Index Mtge Loan Trust Collateralized Mtge Obligation Interest Only Series 2005-AR8 Cl AX1 04-25-35 0.80 4,902,377(b,e,j) -- IndyMac Index Mtge Loan Trust Collateralized Mtge Obligation Interest Only Series 2006-AR25 Cl 3A3 09-25-36 6.72 10,031,126(j) 102,715 JPMorgan Mtge Trust Collateralized Mtge Obligation Series 2004-S2 4A5 11-25-34 6.00 888,076 645,382 Lehman XS Trust Collateralized Mtge Obligation Series 2007-5H Cl 1A1 05-25-37 6.50 4,692,662 2,091,167 MASTR Alternative Loan Trust Collateralized Mtge Obligation Series 2004-7 Cl 8A1 08-25-19 5.00 314,784 291,268 MASTR Alternative Loan Trust Collateralized Mtge Obligation Series 2004-8 Cl 7A1 09-25-19 5.00 437,595 391,434 MASTR Alternative Loan Trust Collateralized Mtge Obligation Series 2005-3 Cl 1A2 04-25-35 5.50 1,537,000 1,198,977 Residential Accredit Loans Collateralized Mtge Obligation Series 2002-QS14 Cl A12 09-25-32 5.50 2,790,967 2,368,303 Structured Asset Securities Collateralized Mtge Obligation Series 2003-33H Cl 1A1 10-25-33 5.50 1,081,805 926,803 Washington Mutual Mtge Pass-Through Ctfs Collateralized Mtge Obligation Series 2005-AR14 Cl 2A1 12-25-35 5.28 375,444(g) 252,506 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-10 Cl A1 10-25-35 5.00 2,113,330 1,575,835 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2005-5 Cl 2A1 05-25-35 5.50 825,003 597,612 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2006-AR12 Cl 2A1 09-25-36 6.10 1,917,405(g) 1,257,696 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2006-AR6 Cl 5A1 03-25-36 5.11 805,090(g) 495,892 Wells Fargo Mtge Backed Securities Trust Collateralized Mtge Obligation Series 2007-15 Cl A1 11-25-37 6.00 1,732,538 1,211,423 --------------- Total 365,817,491 ------------------------------------------------------------------------------------- TOTAL BONDS (Cost: $399,781,391) $389,521,171 -------------------------------------------------------------------------------------
MONEY MARKET FUND (6.3%) SHARES VALUE(a) RiverSource Short-Term Cash Fund, 0.29% 21,240,792(o) $21,240,792 ------------------------------------------------------------------------------------- TOTAL MONEY MARKET FUND (Cost: $21,240,792) $21,240,792 ------------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES (Cost: $421,022,183)(p) $410,761,963 =====================================================================================
INVESTMENTS IN DERIVATIVES FUTURES CONTRACTS OUTSTANDING AT FEB. 28, 2009
NUMBER OF UNREALIZED CONTRACTS NOTIONAL EXPIRATION APPRECIATION CONTRACT DESCRIPTION LONG (SHORT) MARKET VALUE DATE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------ U.S. Treasury Note, 2-year (76) $(16,546,625) April 2009 $(136,695) U.S. Treasury Note, 2-year (4) (866,438) July 2009 1,306 U.S. Treasury Note, 5-year (17) (1,998,430) April 2009 18,298 U.S. Treasury Note, 5-year (9) (1,049,273) July 2009 1,153 ------------------------------------------------------------------------------------------------------------------ Total $(115,938) ------------------------------------------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS (a) Securities are valued by using procedures described in Note 1 to the financial statements in the most recent Semiannual Report dated Nov. 30, 2008. (b) Non-income producing. For long-term debt securities, item identified is in default as to payment of interest and/or principal. (c) At Feb. 28, 2009, the cost of securities purchased, including interest purchased, on a when-issued and/or other forward-commitment basis was $75,512,575. -------------------------------------------------------------------------------- 4 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT FEB. 28, 2009 PORTFOLIO OF INVESTMENTS (continued) ------------------------------------------- NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED) (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 Feb. 28, 2009, the value of these securities amounted to $2,620,657 or 0.8% of net assets. (e) Negligible market value. (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) Adjustable rate mortgage; interest rate varies to reflect current market conditions; rate shown is the effective rate on Feb. 28, 2009. (h) Identifies issues considered to be illiquid as to their marketability. Information concerning such security holdings at Feb. 28, 2009, 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 $59,858
* Represents a security sold under Rule 144A, which is exempt from registration under the Securities Act of 1933, as amended. (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, 2009. (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. The interest rate disclosed represents yield based upon the estimated timing and amount of future cash flows at Feb. 28, 2009. (k) The following abbreviation is used in the portfolio security description to identify the insurer of the issue: MGIC -- Mortgage Guaranty Insurance Corporation
(l) This position is in bankruptcy. (m) Represents comparable securities held to satisfy future delivery requirements of the following open forward sale commitments at Feb. 28, 2009:
PRINCIPAL SETTLEMENT PROCEEDS SECURITY AMOUNT DATE RECEIVABLE VALUE -------------------------------------------------------------------------------------------------------- Federal Natl Mtge Assn 03-01-39 5.00% $18,200,000 03-12-09 $18,555,688 $18,512,822 Federal Home Loan Mtge Corp 03-01-39 6.50% 2,000,000 03-12-09 2,090,000 2,091,250
(n) At Feb. 28, 2009, investments in securities included securities valued at $2,151,542 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 Feb. 28, 2009. (p) At Feb. 28, 2009, the cost of securities for federal income tax purposes was approximately $421,022,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was: Unrealized appreciation $8,582,000 Unrealized depreciation (18,842,000) ---------------------------------------------------------------------------------------- Net unrealized depreciation $(10,260,000) ----------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 5 RIVERSOURCE U.S. GOVERNMENT MORTGAGE FUND -- PORTFOLIO OF INVESTMENTS AT FEB. 28, 2009 PORTFOLIO OF INVESTMENTS (continued) ------------------------------------------- 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, it is likely that there may be a range of practices utilized and it may 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) Observable inputs are those based on market data obtained from sources independent of the fund, and unobservable inputs reflect the fund's own assumptions based on the best information available. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. The following table is a summary of the inputs used to value the Fund's investments as of Feb. 28, 2009:
FAIR VALUE AT FEB. 28, 2009 ---------------------------------------------------------------- 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 $21,240,792 $382,214,450 $7,306,721 $410,761,963 Other financial instruments* (115,938) -- -- (115,938) --------------------------------------------------------------------------------------------------------------- Total $21,124,854 $382,214,450 $7,306,721 $410,646,025 ---------------------------------------------------------------------------------------------------------------
* 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 (88,165) Realized gain (loss) (76,216) Change in unrealized appreciation (depreciation) (3,669,335) Net purchases (sales) (808,500) Transfers in and/or out of Level 3 3,817,553 -------------------------------------------------------------------------------------------- Balance as of Feb. 28, 2009 $7,306,721 --------------------------------------------------------------------------------------------
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 FEB. 28, 2009 Item 2. Control and Procedures. (a) Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this report, the registrant's principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 3. Exhibits. Separate certification for the Registrant's principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) RiverSource Government Income Series, Inc. By /s/ Patrick T. Bannigan --------------------------------- Patrick T. Bannigan President and Principal Executive Officer Date April 29, 2009 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 April 29, 2009 By /s/ Jeffrey P. Fox --------------------------------- Jeffrey P. Fox Treasurer and Principal Financial Officer Date April 29, 2009