N-CSRS 1 a11-5969_12ncsrs.htm N-CSRS

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number    811-07444

 

American Strategic Income Portfolio Inc. III

(Exact name of registrant as specified in charter)

 

800 Nicollet Mall, Minneapolis, MN

 

55402

(Address of principal executive offices)

 

(Zip code)

 

Jill M. Stevenson,  800 Nicollet Mall, Minneapolis, MN 55402

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:   800-677-3863

 

Date of fiscal year end:

August 31

 

 

Date of reporting period:

February 28, 2011

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).  The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.

 

 

 



 

Item 1. Report to Shareholders

 



SEMIANNUAL REPORT

February 28, 2011

ASP

American Strategic
Income Portfolio Inc.

BSP

American Strategic
Income Portfolio Inc. II

CSP

American Strategic
Income Portfolio Inc. III

SLA

American Select
Portfolio Inc.



First American Mortgage Funds

OUR IMAGE–GEORGE WASHINGTON

His rich legacy as patriot and leader is widely recognized as embodying the sound judgment, reliability, and strategic vision that are central to our brand. Fashioned in a style reminiscent of an 18th century engraving, the illustration conveys the symbolic strength and vitality of Washington, which are attributes that we value at First American.

TABLE OF CONTENTS

1   Explanation of Financial Statements  
2   Fund Overviews  
6   Schedule of Investments  
26   Statements of Assets and Liabilities  
27   Statements of Operations  
28   Statements of Changes in Net Assets  
30   Statements of Cash Flows  
31   Financial Highlights  
35   Notes to Financial Statements  
47   Notice to Shareholders  

NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE




EXPLANATION OF FINANCIAL STATEMENTS

As a shareholder in one or more of the funds, you receive shareholder reports semiannually. We strive to present this financial information in an easy-to-understand format; however, for many investors, the information contained in this shareholder report may seem very technical. So, we would like to take this opportunity to explain several sections of the shareholder report.

The Schedule of Investments details all of the securities held in the fund and their related dollar values on the last day of the reporting period. Securities are usually presented by type (bonds, common stock, etc.) and by industry classification (healthcare, education, etc.). This information is useful for analyzing how your fund's assets are invested and seeing where your portfolio manager believes the best opportunities exist to meet your objectives. Holdings are subject to change without notice and do not constitute a recommendation of any individual security. The Notes to Financial Statements provide additional details on how the securities are valued.

The Statement of Assets and Liabilities lists the assets and liabilities of the fund on the last day of the reporting period and presents the fund's net asset value ("NAV") and market price per share. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. The market price is the closing price on the exchange on which the fund's shares trade. This price, which may be higher or lower than the fund's NAV, is the price an investor pays or receives when shares of the fund are purchased or sold. The investments, as presented in the Schedule of Investments, comprise substantially all of the fund's assets. Other assets include cash and receivables for items such as income earned by the fund but not yet received. Liabilities include payables for items such as fund expenses incurred but not yet paid.

The Statement of Operations details the dividends and interest income earned from investments as well as the expenses incurred by the fund during the reporting period. Fund expenses may be reduced through fee waivers or reimbursements. This statement reflects total expenses before any waivers or reimbursements, the amount of waivers and reimbursements (if any), and the net expenses. This statement also shows the net realized and unrealized gains and losses from investments owned during the period. The Notes to Financial Statements provide additional details on investment income and expenses of the fund.

The Statement of Changes in Net Assets describes how the fund's net assets were affected by its operating results and distributions to shareholders during the reporting period. This statement is important to investors because it shows exactly what caused the fund's net asset size to change during the period.

The Statement of Cash Flows is required when a fund has a substantial amount of illiquid investments, a substantial amount of the fund's securities are internally fair valued, or the fund carries some amount of debt. When presented, this statement explains the change in cash during the reporting period. It reconciles net cash provided by and used for operating activities to the net increase or decrease in net assets from operations and classifies cash receipts and payments as resulting from operating, investing, and financing activities.

The Financial Highlights provide a per-share breakdown of the components that affected the fund's NAV for the current and past reporting periods. It also shows total return, net investment income ratios, expense ratios, and portfolio turnover rates. The net investment income ratios summarize the income earned less expenses, divided by the average net assets. The expense ratios represent the percentage of average net assets that were used to cover operating expenses during the period. The portfolio turnover rate represents the percentage of the fund's holdings that have changed over the course of the period, and gives an idea of how long the fund holds onto a particular security. A 100% turnover rate implies that an amount equal to the value of the entire portfolio is turned over in a year through the purchase or sale of securities.

The Notes to Financial Statements disclose the organizational background of the fund, its significant accounting policies, federal tax information, fees and compensation paid to affiliates, and significant risks and contingencies.

We hope this guide to your shareholder report will help you get the most out of this important resource.

First American Mortgage Funds | 2011 Semiannual Report
1



Fund Overviews

American Strategic Income Portfolio (ASP)

Portfolio Allocation

As a percentage of total investments on February 28, 2011

Commercial Loans     30 %  
Preferred Stocks     22    
Commercial Mortgage-Backed Securities     22    
U.S. Government Agency Mortgage-Backed Securities     10    
Multifamily Loans     9    
Corporate Note     5    
Short-Term Investment     1    
Single Family Loans     1    
      100 %  

 

Geographical Distribution

We attempt to buy mortgage loans in many parts of the country to help avoid the risks of concentrating in one area. These percentages reflect the fair value of whole loans as of February 28, 2011. Shaded areas without fair values indicate states in which the fund has invested less than 0.50% of its investments.

Delinquent Loan Profile

The tables below show the percentages of single family loans and multifamily and commercial loans in the portfolio that are 30, 60, 90, or 120 or more days delinquent as of February 28, 2011, based on the fair value outstanding.

Single family loans       Multifamily and commercial loans      
Current     100.0 %   Current     90.7 %  
30 Days     0.0     30 Days     0.0    
60 Days     0.0     60 Days     9.3    
90 Days     0.0     90 Days     0.0    
120+ Days     0.0     120+ Days     0.0    
      100.0 %         100.0 %  

First American Mortgage Funds | 2011 Semiannual Report
2



American Strategic Income Portfolio II (BSP)

Portfolio Allocation

As a percentage of total investments on February 28, 2011

Commercial Loans     30 %  
Multifamily Loans     26    
Preferred Stocks     14    
Commercial Mortgage-Backed Securities     12    
Corporate Notes     9    
U.S. Government Agency Mortgage-Backed Securities     7    
Short-Term Investment     2    
      100 %  

 

Geographical Distribution

We attempt to buy mortgage loans in many parts of the country to help avoid the risks of concentrating in one area. These percentages reflect the fair value of whole loans as of February 28, 2011. Shaded areas without fair values indicate states in which the fund has invested less than 0.50% of its investments.

Delinquent Loan Profile

The tables below show the percentages of single family loans and multifamily and commercial loans in the portfolio that are 30, 60, 90, or 120 or more days delinquent as of February 28, 2011, based on the fair value outstanding.

Single family loans       Multifamily and commercial loans      
Current     100.0 %   Current     91.8 %  
30 Days     0.0     30 Days     0.0    
60 Days     0.0     60 Days     0.0    
90 Days     0.0     90 Days     0.0    
120+ Days     0.0     120+ Days     8.2    
      100.0 %         100.0 %  

First American Mortgage Funds | 2011 Semiannual Report
3



Fund Overviews

American Strategic Income Portfolio III (CSP)

Portfolio Allocation

As a percentage of total investments on February 28, 2011

Commercial Loans     40 %  
Multifamily Loans     21    
Preferred Stocks     16    
U.S. Government Agency Mortgage-Backed Securities     8    
Corporate Notes     8    
Commercial Mortgage-Backed Securities     5    
Real Estate Owned     1    
Short-Term Investment     1    
      100 %  

 

Geographical Distribution

We attempt to buy mortgage loans in many parts of the country to help avoid the risks of concentrating in one area. These percentages reflect the fair value of whole loans as of February 28, 2011. Shaded areas without fair values indicate states in which the fund has invested less than 0.50% of its investments.

Delinquent Loan Profile

The table below shows the percentages of multifamily and commercial loans in the portfolio that are 30, 60, 90, or 120 or more days delinquent as of February 28, 2011, based on the fair value outstanding.

Multifamily and commercial loans      
Current     72.8 %  
30 Days     0.0    
60 Days     0.0    
90 Days     0.0    
120+ Days     27.2    
      100.0 %  

First American Mortgage Funds | 2011 Semiannual Report
4



American Select Portfolio (SLA)

Portfolio Allocation

As a percentage of total investments on February 28, 2011

Commercial Loans     38 %  
Preferred Stocks     18    
Multifamily Loans     14    
Commercial Mortgage-Backed Securities     13    
Corporate Notes     9    
U.S. Government Agency Mortgage-Backed Securities     7    
Short-Term Investment     1    
      100 %  

 

Geographical Distribution

We attempt to buy mortgage loans in many parts of the country to help avoid the risks of concentrating in one area. These percentages reflect the fair value of whole loans as of February 28, 2011. Shaded areas without fair values indicate states in which the fund has invested less than 0.50% of its investments.

Delinquent Loan Profile

The table below shows the percentages of multifamily and commercial loans in the portfolio that are 30, 60, 90, or 120 or more days delinquent as of February 28, 2011, based on the fair value outstanding.

Multifamily and commercial loans      
Current     94.4 %  
30 Days     0.0    
60 Days     0.0    
90 Days     0.0    
120+ Days     5.6    
      100.0 %  

First American Mortgage Funds | 2011 Semiannual Report
5




Schedule of Investments | February 28, 2011 (unaudited)

American Strategic Income Portfolio (ASP)

DESCRIPTION   DATE
ACQUIRED
  PAR   COST   FAIR
VALUE
 
(Percentages of each investment category relate to total net assets)  
Whole Loans °° p — 53.1%  
Commercial Loans — 40.2%  
Copper Junction, Copper Mountain, CO, 6.38%, 7/1/17 b   6/14/07   $ 1,873,063     $ 1,873,063     $ 1,966,717    
Hampden Medical Office, Englewood, CO, 7.38%, 10/1/12   9/9/02     1,395,368       1,395,368       1,232,314    
Integrity Plaza Shopping Center, Albuquerque, NM, 7.88%, 7/1/12 b   6/11/02     1,847,171       1,847,171       1,865,647    
La Costa Meadows Industrial Park I, San Marcos, CA, 6.78%, 7/1/17 b   6/28/07     1,250,000       1,250,000       1,312,500    
La Costa Meadows Industrial Park II, San Marcos, CA, 7.53%, 7/1/17 b   6/28/07     2,000,000       2,000,000       2,020,000    
Minikahda Mini Storage IV, Minneapolis, MN, 7.15%, 7/1/15 b   2/28/06     1,617,467       1,617,467       1,665,991    
Naples Boat Club, Naples, FL, 6.43%, 1/1/17 b   12/28/06     1,603,397       1,603,397       1,683,566    
Orchard Commons, Englewood, CO, 8.63%, 4/1/11   3/28/01     930,747       930,747       930,747    
Palace Court, Santa Fe, NM, 5.38%, 11/1/13 b   10/2/06     1,858,914       1,858,914       1,330,726    
Par 3 Office Building, Bend, OR, 6.63%, 8/1/13 b   8/3/06     1,900,000       1,900,000       1,938,000    
Perkins Restaurant, Maple Grove, MN, 6.38%, 11/1/18 b   12/23/05     1,335,337       1,335,337       1,371,456    
Stephens Center, Missoula, MT, 6.88%, 9/1/15 b   4/20/06     1,744,596       1,744,596       1,831,825    
The Storage Place, Marana, AZ, 6.65%, 1/1/13 u   12/20/07     3,200,000       3,200,000       2,624,368    
      22,556,060       21,773,857    
Multifamily Loans — 12.2%  
Forest Club Apartments, Dallas, TX, 11.88%, 8/1/10   4/19/06     1,720,000       1,720,000       1,571,000    
Hunt Club Apartments, Waco, TX, 5.64%, 7/1/11 b   6/3/04     1,124,501       1,124,501       915,651    
Park Hollywood, Portland, OR, 7.38%, 6/1/12 b   5/31/02     1,064,168       1,064,168       1,085,451    
Spring Creek Gardens, Plano, TX, 5.63%, 8/1/15   12/22/05     2,071,579       2,068,467       2,071,579    
Villa Bonita, Chez Royalle, Fitzhugh Apartments I, Dallas, TX, 7.88%, 4/1/11   2/21/03     795,122       795,122       795,122    
Villa Bonita, Chez Royalle, Fitzhugh Apartments II, Dallas, TX, 11.88%, 4/1/11   2/21/03     150,221       150,221       137,868    
      6,922,479       6,576,671    
Single Family Loans — 0.7%  
American Portfolio, 1 loan, California, 3.13%, 1/1/17   7/18/95     15,372       14,643       15,250    
Anivan, 1 loan, Maryland, 3.00%, 10/1/15   6/14/96     53,159       53,503       53,383    
Bank of New Mexico, 1 loan, New Mexico, 3.88%, 2/1/18   5/31/96     26,826       26,826       27,454    
Bluebonnet Savings & Loan, 4 loans, Texas, 3.66%, 11/20/14   5/22/92     56,273       56,273       56,556    
Fairbanks, 1 loan, Utah, 4.50%, 11/1/18   5/21/92     15,217       12,916       15,601    
Knutson Mortgage Portfolio I, 2 loans, Maine and Montana, 9.52%, 1/31/18   2/26/92     107,024       102,125       110,234    
McClemore, Matrix Funding Corporation, 1 loan, North Carolina, 10.50%, 8/1/19   9/9/92     37,196       35,336       38,312    
Nomura III, 2 loans, California & New York, 5.32%, 7/3/18   9/29/95     50,825       45,943       52,334    
Rand Mortgage Corporation, 1 loan, Texas, 9.50%, 1/1/17   2/21/92     25,804       21,149       26,578    
      368,714       395,702    
Total Whole Loans     29,847,253       28,746,230    
Corporate Note °° — 6.6%  
Fixed Rate — 6.6%  
Stratus Properties V, 8.75%, 12/31/14   6/1/07     3,500,000       3,500,000       3,605,000    
U.S. Government Agency Mortgage-Backed Securities — 13.6%  
Fixed Rate — 13.6%  
Federal Home Loan Mortgage Corporation,  
5.50%, 1/1/18, #E93231 a         262,720       267,239       283,590    
9.00%, 7/1/30, #C40149         60,841       62,092       70,033    
5.00%, 5/1/39, #G05430 a         1,280,086       1,312,708       1,340,661    

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
6



American Strategic Income Portfolio (ASP)

DESCRIPTION   PAR/
SHARES
  COST   FAIR
VALUE
 
               
Federal National Mortgage Association,  
6.00%, 10/1/16, #610761 a   $ 126,002     $ 127,227     $ 137,843    
5.00%, 7/1/18, #724954 a     772,159       771,555       828,457    
6.50%, 6/1/29, #252497 a     85,294       84,852       96,618    
7.50%, 3/1/30, #495694     35,773       35,325       40,131    
7.50%, 5/1/30, #535289 a     22,110       21,536       25,592    
8.00%, 5/1/30, #538266 a     7,160       7,091       8,350    
6.00%, 5/1/31, #535909 a     158,064       158,763       174,277    
6.50%, 11/1/31, #613339 a     85,558       87,040       96,917    
5.50%, 7/1/33, #720735 a     1,077,119       1,066,886       1,161,004    
5.00%, 7/1/39, #935588 a     627,104       641,576       657,367    
4.00%, 12/1/40, #AB1959 a     1,194,398       1,190,958       1,179,068    
4.00%, 1/1/41, #MA0614 a     1,297,402       1,283,878       1,280,750    
Total U.S. Government Agency Mortgage-Backed Securities         7,118,726       7,380,658    
Commercial Mortgage-Backed Securities — 28.6%  
Other — 28.6%  
Bear Stearns Commercial Mortgage Securities,  
5.72%, 9/11/38, Series 2006-PW12, Class A4 r     1,200,000       987,568       1,320,839    
5.69%, 6/11/50, Series 2007-PW17, Class A4     1,985,000       1,775,794       2,149,103    
5.74%, 9/11/42, Series 2007-T28, Class A4     1,200,000       947,244       1,306,900    
Citigroup/Deutsche Bank Commercial Mortgage Trust,  
5.22%, 7/15/44, Series 2005-CD1, Class A4 b r     2,357,000       1,544,392       2,542,987    
5.89%, 11/15/44, Series 2007-CD5, Class A4 r     1,550,000       1,450,801       1,681,887    
GS Mortgage Securities Corporation II, Series 2006-GG8, Class A4, 5.56%, 11/10/39     2,900,000       2,050,017       3,122,354    
LB-UBS Commercial Mortgage Trust, Series 2008-C1, Class A2, 6.10%, 4/15/41 r     1,875,000       1,402,918       2,078,510    
Morgan Stanley Capital I, Series 2007-T27, Class A4, 5.65%, 6/11/42 r     1,160,000       942,668       1,263,746    
Total Commercial Mortgage-Backed Securities         11,101,402       15,466,326    
Preferred Stocks — 29.1%  
Real Estate Investment Trusts — 29.1%  
AMB Property, Series L     26,560       597,940       650,720    
AMB Property, Series M     5,600       139,850       134,848    
BRE Properties, Series C     30,150       599,080       733,966    
BRE Properties, Series D     2,400       47,688       58,950    
Developers Diversified Realty, Series G     20,000       447,000       498,126    
Developers Diversified Realty, Series H     12,060       247,230       286,802    
Developers Diversified Realty, Series I     1,950       40,658       46,800    
Duke Realty, Series J     2,100       52,246       49,022    
Duke Realty, Series L     8,750       167,300       204,925    
Duke Realty, Series M     26,120       532,400       649,735    
Duke Realty, Series O     20,300       479,080       543,431    
Equity Residential Properties, Series K     10,000       557,500       526,563    
Equity Residential Properties, Series N b     28,800       557,520       725,400    
Health Care Properties, Series E     19,000       470,630       477,280    
Health Care Properties, Series F     14,000       343,700       349,125    
Kimco Realty, Series G     50,700       1,320,735       1,308,060    
National Retail Properties, Series C     25,000       527,500       620,500    
ProLogis Trust, Series F     5,975       139,549       142,199    
ProLogis Trust, Series G     3,800       79,800       91,158    
PS Business Parks, Series H b     22,060       389,700       549,735    
PS Business Parks, Series I b     4,240       83,401       103,350    
PS Business Parks, Series M b     12,060       248,436       304,515    
PS Business Parks, Series P b     3,750       71,887       90,413    

First American Mortgage Funds | 2011 Semiannual Report
7



Schedule of Investments | February 28, 2011 (unaudited)

American Strategic Income Portfolio (ASP)

DESCRIPTION   SHARES   COST   FAIR
VALUE
 
               
PS Business Parks, Series R     9,500     $ 234,175     $ 233,510    
Public Storage, Series A b     6,000       144,291       147,420    
Public Storage, Series C b     5,000       100,000       124,945    
Public Storage, Series E b     14,200       263,000       356,278    
Public Storage, Series F b     9,300       231,105       228,585    
Public Storage, Series I b     12,060       262,305       306,400    
Public Storage, Series K b     8,000       174,000       203,112    
Public Storage, Series X b     3,000       74,330       73,707    
Public Storage, Series Z b     11,500       282,309       284,266    
Realty Income, Series D b     20,500       546,185       526,645    
Realty Income, Series E b     37,060       714,246       923,027    
Regency Centers, Series C b     22,060       482,737       551,500    
Regency Centers, Series E b     24,060       483,600       578,860    
Simon Property Group, Series J     11,000       511,500       696,782    
UDR, Series G     22,000       506,000       547,338    
Vornado Realty Trust, Series E b     4,800       121,338       120,960    
Vornado Realty Trust, Series G     30,000       483,000       723,750    
Total Preferred Stocks         13,754,951       15,772,708    
Total Unaffiliated Investments         65,322,332       70,970,922    
Short-Term Investment — 1.4%  
First American Prime Obligations Fund, Class Z, 0.06% W     737,322       737,322       737,322    
Total Investments p — 132.4%       $ 66,059,654     $ 71,708,244    
Other Assets and Liabilities, Net — (32.4)%             (17,553,350 )  
Total Net Assets — 100.0%   $ 54,154,894    

 

  Securities are valued in accordance with procedures described in note 2 in Notes to Financial Statements.

°°  Securities purchased as part of a private placement which have not been registered with the Securities and Exchange Commission under the Securities Act of 1933 and which are considered to be illiquid. These securities are fair valued in accordance with the board approved valuation procedures. On February 28, 2011, the total fair value of these securities was $32,351,230 or 59.7% of total net assets. See note 2 in Notes to Financial Statements.

p  Interest rates on commercial and multifamily loans are the net coupon rates in effect (after reducing the coupon rate by any mortgage servicing fees paid to mortgage servicers) on February 28, 2011. Interest rates and maturity dates disclosed on single family loans represent the weighted average coupon and weighted average maturity for the underlying mortgage loans as of February 28, 2011.

b  Securities pledged as collateral for outstanding borrowings under a loan agreement with Massachusetts Mutual Life Insurance Company ("MMLIC"). On February 28, 2011, securities valued at $27,125,135 were pledged as collateral for the following outstanding borrowings:

Amount   Rate*   Accrued
Interest
 
$ 8,600,000       5.00 %   $ 1,195    
  2,400,000       5.00 %     333    
$ 11,000,000         $ 1,528    

 

*  Interest rate as of February 28, 2011. Rate is based on the London Interbank Offered Rate ("LIBOR") plus 2.625% subject to a "floor" interest rate of 5.00% and reset monthly.

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
8



American Strategic Income Portfolio (ASP)

Description of collateral:

Whole Loans

  Copper Junction, Copper Mountain, CO, 6.38%, 7/1/17, $1,873,063 par
Hunt Club Apartments, Waco, TX, 5.64%, 7/1/11, $1,124,501 par
Integrity Plaza Shopping Center, Albuquerque, NM, 7.88%, 7/1/12, $1,847,171 par
La Costa Meadows Industrial Park I, San Marcos, CA, 6.78%, 7/1/17, $1,250,000 par
La Costa Meadows Industrial Park II, San Marcos, CA, 7.53%, 7/1/17, $2,000,000 par
Minikahda Mini Storage IV, Minneapolis, MN, 7.15%, 7/1/15, $1,617,467 par
Naples Boat Club, Naples, FL, 6.43%, 1/1/17, $1,603,397 par
Palace Court, Santa Fe, NM, 5.38%, 11/1/13, $1,858,914 par
Par 3 Office Building, Bend, OR, 6.63%, 8/1/13, $1,900,000 par
Park Hollywood, Portland, OR, 7.38%, 6/1/12, $1,064,168 par
Perkins Restaurant, Maple Grove, MN, 6.38%, 11/1/18, $1,335,337 par
Stephens Center, Missoula, MT, 6.88%, 9/1/15, $1,744,596 par

Commercial Mortgage-Backed Security

  Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A4, 5.22%, 7/15/44, $2,357,000 par

Preferred Stocks

  Equity Residential Properties, Series N, 4,800 shares
PS Business Parks, Series H, 22,060 shares
PS Business Parks, Series I, 4,240 shares
PS Business Parks, Series M, 12,060 shares
PS Business Parks, Series P, 3,750 shares
Public Storage, Series A, 6,000 shares
Public Storage, Series C, 5,000 shares
Public Storage, Series E, 14,200 shares
Public Storage, Series F, 9,300 shares
Public Storage, Series I, 12,060 shares
Public Storage, Series K, 8,000 shares
Public Storage, Series X, 3,000 shares
Public Storage, Series Z, 11,500 shares
Realty Income, Series D, 20,500 shares
Realty Income, Series E, 37,060 shares
Regency Centers, Series C, 22,060 shares
Regency Centers, Series E, 24,060 shares
Vornado Realty Trust, Series E, 4,800 shares

The fund has entered into a loan agreement with MMLIC under which MMLIC made a term loan to the fund of $8,600,000, which matures on July 31, 2011, and agreed to make revolving loans to the fund of up to $2,400,000. Loans made under the loan agreement are secured by whole loans in the fund's portfolio and bear interest at the one-month LIBOR plus 2.625% with a "floor" interest rate of 5.00%. In addition, the fund pays an annual fee of 1.28% on any unused portion of the fund's revolving loan commitment.

  Interest Only – Represents securities that entitle holders to receive only interest payments on the mortgage. Principal balance on the loan is due at maturity. The interest rate disclosed represents the net coupon rate in effect as of February 28, 2011.

u  Loan is currently in default with regards to scheduled interest and/or principal payments.

  Loan has matured and the fund is anticipating payoff or refinancing. Unless disclosed otherwise, the loan continues to make monthly payments.

a  Securities pledged as collateral for outstanding reverse repurchase agreements. On February 28, 2011, securities valued at $7,270,494 were pledged as collateral for the following outstanding reverse repurchase agreements:

Amount   Acquisition
Date
  Rate*   Due   Accrued
Interest
  Name of Broker
and Description
of Collateral
 
$ 6,800,189     2/10/11     0.30 %   3/10/11   $ 1,077       (1 )  

 

*  Interest rate as of February 28, 2011. Rate is based on the LIBOR plus a spread and reset monthly.

First American Mortgage Funds | 2011 Semiannual Report
9



Schedule of Investments | February 28, 2011 (unaudited)

American Strategic Income Portfolio (ASP)

Name of broker and description of collateral:

(1)  Goldman Sachs:
Federal Home Loan Mortgage Corporation, 5.50%, 1/1/18, $262,720 par
Federal Home Loan Mortgage Corporation, 5.00%, 5/1/39, $1,280,086 par
Federal National Mortgage Association, 6.00%, 10/1/16, $126,002 par
Federal National Mortgage Association, 5.00%, 7/1/18, $772,159 par
Federal National Mortgage Association, 6.50%, 6/1/29, $85,294 par
Federal National Mortgage Association, 7.50%, 5/1/30, $22,110 par
Federal National Mortgage Association, 8.00%, 5/1/30, $7,160 par
Federal National Mortgage Association, 6.00%, 5/1/31, $158,064 par
Federal National Mortgage Association, 6.50%, 11/1/31, $85,558 par
Federal National Mortgage Association, 5.50%, 7/1/33, $1,077,119 par
Federal National Mortgage Association, 5.00%, 7/1/39, $627,104 par
Federal National Mortgage Association, 4.00%, 12/1/40, $1,194,398 par
Federal National Mortgage Association, 4.00%, 1/1/41, $1,297,402 par

The fund has entered into a lending commitment with Goldman Sachs. The monthly agreement permits the fund to enter into reverse repurchase agreements using U.S. Government Agency Mortgage-Backed Securities as collateral.

r  Variable Rate Security – The rate shown is the net coupon rate in effect as of February 28, 2011.

W  Investment in affiliated security. This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for the fund. The rate shown is the annualized seven-day effective yield as of February 28, 2011. See note 3 in Notes to Financial Statements.

p  On February 28, 2011, the cost of investments for federal income tax purposes was approximately $66,059,654. The approximate aggregate gross unrealized appreciation and depreciation of investments, based on this cost, were as follows:

Gross unrealized appreciation   $ 7,376,369    
Gross unrealized depreciation     (1,727,779 )  
Net unrealized appreciation   $ 5,648,590    

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
10




Schedule of Investments | February 28, 2011 (unaudited)

American Strategic Income Portfolio II (BSP)

DESCRIPTION   DATE
ACQUIRED
  PAR   COST   FAIR
VALUE
 
(Percentages of each investment category relate to total net assets)  
Whole Loans °° p — 80.4%  
Commercial Loans — 43.4%  
5555 East Van Buren I, Phoenix, AZ, 5.68%, 7/1/11 b   6/23/04   $ 6,104,020     $ 6,104,020     $ 6,104,020    
5555 East Van Buren II, Phoenix, AZ, 7.13%, 7/1/11 b   8/18/06     1,435,426       1,435,426       1,435,426    
American Mini-Storage, Memphis, TN, 6.80%, 12/1/11 b   11/5/07     2,997,029       2,997,029       2,677,046    
Bigelow Office Building, Las Vegas, NV, 6.38%, 4/1/17 b   3/31/97     1,078,630       1,078,630       1,132,561    
Hickman Road, Clive, IA, 6.78%, 1/1/13 b   12/3/07     5,500,000       5,500,000       5,555,000    
Oak Knoll Village Shopping Center, Austin, TX, 6.73%, 10/1/13 b   9/17/03     1,427,714       1,427,714       1,499,100    
Office City Plaza, Houston, TX, 6.43%, 6/1/12   5/25/07     5,372,644       5,409,953       5,480,097    
Oyster Point Office Park, Newport News, VA, 5.43%, 2/1/13 b   1/4/06     11,831,854       11,831,854       11,831,854    
PennMont Office Plaza, Albuquerque, NM, 6.63%, 4/1/11 b   3/30/06     1,408,055       1,408,055       1,408,055    
Perkins — Blaine, Blaine, MN, 6.63%, 1/1/17 b   12/13/06     1,766,186       1,766,186       1,854,495    
Raveneaux Country Club, Spring, TX, 7.93%, 1/1/10 u   12/19/05     3,970,934       4,011,958       2,199,897    
Redwood Dental Building, Taylorsville, UT, 7.40%, 7/1/12 b   6/28/02     2,321,346       2,321,346       2,344,560    
Robberson Auto Dealerships, Bend and Prineville, OR, 6.40%, 4/1/17 b   3/30/07     6,913,781       6,913,781       7,259,470    
Signal Butte, Mesa, AZ, 4.93%, 7/1/17   6/20/07     15,000,000       15,002,903       8,310,000    
Station Square, Pompano Beach, FL, 6.33%, 2/1/14 b   1/19/07     12,000,000       12,000,000       12,138,192    
Waste Connections Warehouse, Englewood, CO, 6.58%, 3/1/14 b   2/15/07     1,245,682       1,245,682       1,307,966    
      80,454,537       72,537,739    
Multifamily Loans — 36.9%  
Carolina Square Apartments, Tallahassee, FL, 6.63%, 8/1/12 b u   7/20/07     7,875,000       7,875,000       7,921,533    
Chardonnay Apartments, Tulsa, OK, 6.40%, 7/1/13 b   6/5/03     3,749,220       3,749,220       3,774,182    
Lake Point Terrace Apartments I, Madison, WI, 5.90%, 6/1/15   7/1/10     4,400,000       4,400,000       4,400,000    
Lake Point Terrace Apartments II, Madison, WI, 9.88%, 6/1/15   7/1/10     550,000       550,000       545,174    
Meadows Point, College Station, TX, 7.93%, 2/1/13 R   1/24/08     5,400,000       5,400,000       4,832,800    
RP-Plaza Development Lot 11, Oxnard, CA, 6.90%, 3/1/12   2/23/05     2,500,000       2,500,000       2,206,858    
RP-Plaza Development Lot 16, Oxnard, CA, 6.90%, 3/1/12   3/1/10     2,500,000       2,500,000       2,206,858    
Sapphire Skies I, Cle Elum, WA, 4.93%, 7/1/13   12/23/05     8,805,908       8,805,908       7,690,904    
Sapphire Skies II, Cle Elum, WA, 7.90%, 7/1/13 R S   3/20/09     3,200,000       3,200,000       517,066    
Sapphire Skies III, Cle Elum, WA, 4.90%, 7/1/13   7/13/10     3,000,000       3,000,000       2,356,590    
Summit Chase Apartments I, Coral Springs, FL, 6.43%, 4/1/12 b   7/7/05     9,500,000       9,500,000       9,249,228    
Summit Chase Apartments II, Coral Springs, FL, 9.90%, 4/1/12 R S   7/7/05     6,150,000       6,150,000       3,099,102    
Sussex Club Apartments I, Athens, GA, 6.33%, 5/1/10 u   4/17/07     8,800,000       8,800,000       4,875,200    
Sussex Club Apartments II, Athens, GA, 6.88%, 5/1/10 R S   4/17/07     2,298,600       2,298,600       1,095,561    
Trinity Oaks Apartments I, Dallas, TX, 6.53%, 4/1/09 u   3/30/06     7,000,000       7,000,000       3,878,000    
Trinity Oaks Apartments II, Dallas, TX, 7.88%, 4/1/09 R S   3/30/06     1,690,000       1,690,000       454,578    
Vista Bonita Apartments, Denton, TX, 7.15%, 6/1/13   3/4/05     2,644,893       2,644,893       2,697,790    
      80,063,621       61,801,424    
Single Family Loans — 0.1%  
Merchants Bank, 2 loans, Vermont, 11.54%, 10/10/16   12/18/92     45,464       45,838       46,046    
PHH U.S. Mortgage, 2 loans, California & Delaware, 6.57%, 3/16/20   12/30/92     141,983       138,165       146,242    
      184,003       192,288    
Total Whole Loans     160,702,161       134,531,451    
Corporate Notes °° — 12.9%  
Fixed Rate — 12.9%  
Sarofim South and Bland, 7.00%, 1/1/12   12/21/07     8,511,612       8,511,612       8,511,612    
Stratus Properties II, 8.75%, 12/31/11   6/14/01     5,000,000       5,000,000       5,000,000    
Stratus Properties III, 8.75%, 12/31/13   12/12/06     8,000,000       8,000,000       8,160,000    
Total Corporate Notes     21,511,612       21,671,612    

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
11



Schedule of Investments | February 28, 2011 (unaudited)

American Strategic Income Portfolio II (BSP)

DESCRIPTION   PAR/
SHARES
  COST   FAIR
VALUE
 
               
U.S. Government Agency Mortgage-Backed Securities a — 10.2%  
Fixed Rate — 10.2%  
Federal Home Loan Mortgage Corporation,  
5.50%, 1/1/18, #E93231   $ 1,401,176     $ 1,425,263     $ 1,512,485    
9.00%, 7/1/30, #C40149     101,402       103,487       116,721    
5.00%, 5/1/39, #G05430     2,724,285       2,793,712       2,853,202    
Federal National Mortgage Association,  
6.00%, 10/1/16, #607030     88,315       88,558       96,614    
5.50%, 6/1/17, #648508     136,549       136,915       147,738    
5.00%, 9/1/17, #254486     201,525       201,817       216,092    
5.00%, 11/1/17, #657356     353,129       354,159       378,655    
6.50%, 6/1/29, #252497     568,625       565,683       644,120    
7.50%, 5/1/30, #535289     79,596       77,528       92,132    
8.00%, 5/1/30, #538266     25,777       25,525       30,061    
8.00%, 6/1/30, #253347     97,001       96,051       113,121    
5.00%, 11/1/33, #725027     6,559,776       6,700,219       6,934,766    
5.00%, 7/1/39, #935588     3,762,623       3,839,393       3,944,203    
Total U.S. Government Agency Mortgage-Backed Securities         16,408,310       17,079,910    
Commercial Mortgage-Backed Securities r — 17.6%  
Other — 17.6%  
Banc of America Commercial Mortgage, Series 2005-4, Class A5B, 5.00%, 7/10/45 a     8,060,000       5,251,477       8,296,504    
Bear Stearns Commercial Mortgage Securities,
5.47%, 1/12/45, Series 2007-T26, Class A4 a
    10,000,000       8,493,428       10,765,126    
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.89%, 12/10/49 b     3,625,000       2,978,870       3,928,841    
Citigroup/Deutsche Bank Commercial Mortgage Trust,
5.89%, 11/15/44, Series 2007-CD5, Class A4 b
    5,950,000       5,447,603       6,456,275    
Total Commercial Mortgage-Backed Securities         22,171,378       29,446,746    
Preferred Stocks — 20.6%  
Real Estate Investment Trusts — 20.6%  
AMB Property, Series L     57,100       1,100,225       1,398,950    
AMB Property, Series M     14,360       367,561       345,789    
AMB Property, Series O     13,459       336,475       332,269    
BRE Properties, Series C     54,000       1,072,980       1,314,565    
BRE Properties, Series D     7,450       148,032       182,991    
Developers Diversified Realty, Series H     6,600       135,300       156,957    
Developers Diversified Realty, Series I     6,050       126,143       145,200    
Duke Realty, Series J     38,000       893,000       887,064    
Duke Realty, Series L     74,260       1,529,361       1,739,169    
Duke Realty, Series M     83,200       1,704,000       2,069,600    
Equity Residential Properties, Series K     30,000       1,680,000       1,579,689    
Equity Residential Properties, Series N b     118,000       2,244,300       2,972,125    
Kimco Realty, Series F b     137,700       3,241,375       3,412,385    
Kimco Realty, Series G b     59,300       1,470,301       1,529,940    
ProLogis Trust, Series F     48,120       1,149,478       1,145,208    
ProLogis Trust, Series G     11,700       245,700       280,671    
PS Business Parks, Series H b     37,600       752,000       936,992    
PS Business Parks, Series I b     13,200       259,644       321,750    
PS Business Parks, Series M b     37,600       774,560       949,400    
PS Business Parks, Series O     100,000       2,415,000       2,525,000    
PS Business Parks, Series P b     11,650       223,330       280,881    
Public Storage, Series A b     40,000       977,346       982,800    

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
12



American Strategic Income Portfolio II (BSP)

DESCRIPTION   SHARES   COST   FAIR
VALUE
 
               
Public Storage, Series E b     13,200     $ 264,000     $ 331,188    
Public Storage, Series F     38,000       900,600       934,002    
Public Storage, Series I b     37,600       817,800       955,277    
Public Storage, Series K b     24,850       540,487       630,917    
Public Storage, Series W     38,000       906,300       938,220    
Realty Income, Series D b     90,000       2,281,500       2,312,100    
Realty Income, Series E b     37,600       812,160       936,477    
Regency Centers, Series C b     37,600       812,912       940,000    
Regency Centers, Series E b     39,200       791,840       943,113    
Total Preferred Stocks         30,973,710       34,410,689    
Total Unaffiliated Investments         251,767,171       237,140,408    
Short-Term Investment — 2.0%  
First American Prime Obligations Fund, Class Z, 0.06% W     3,291,560       3,291,560       3,291,560    
Total Investments p — 143.7%       $ 255,058,731     $ 240,431,968    
Other Assets and Liabilities, Net — (43.7)%             (73,164,290 )  
Total Net Assets — 100.0%   $ 167,267,678    

 

  Securities are valued in accordance with procedures described in note 2 in Notes to Financial Statements.

°°  Securities purchased as part of a private placement which have not been registered with the Securities and Exchange Commission under the Securities Act of 1933 and which are considered to be illiquid. These securities are fair valued in accordance with the board approved valuation procedures. On February 28, 2011, the total fair value of these securities was $156,203,063 or 93.4% of total net assets. See note 2 in Notes to Financial Statements.

p  Interest rates on commercial and multifamily loans are the net coupon rates in effect (after reducing the coupon rate by any mortgage servicing fees paid to mortgage servicers) on February 28, 2011. Interest rates and maturity dates disclosed on single family loans represent the weighted average coupon and weighted average maturity for the underlying mortgage loans as of February 28, 2011. For participating loans, the rates are based on the annual cash flow payments expected at the time of purchase.

b  Securities pledged as collateral for outstanding borrowings under a loan agreement with Massachusetts Mutual Life Insurance Company ("MMLIC"). On February 28, 2011, securities valued at $103,840,405 were pledged as collateral for the following outstanding borrowings:

Amount   Rate*   Accrued
Interest
 
$ 45,100,000       5.00 %   $ 6,266    
  700,000       5.00 %     97    
$ 45,800,000         $ 6,363    

 

*  Interest rate as of February 28, 2011. Rate is based on the London Interbank Offered Rate ("LIBOR") plus 2.625% subject to a "floor" interest rate of 5.00% and reset monthly.

Description of collateral:

Whole Loans

  5555 East Van Buren I, Phoenix, AZ, 5.68%, 7/1/11, $6,104,020 par
5555 East Van Buren II, Phoenix, AZ, 7.13%, 7/1/11, $1,435,426 par
American Mini-Storage, Memphis, TN, 6.80%, 12/1/11, $2,997,029 par
Bigelow Office Building, Las Vegas, NV, 6.38%, 4/1/17, $1,078,630 par
Carolina Square Apartments, Tallahassee, FL, 6.63%, 8/1/12, $7,875,000 par
Chardonnay Apartments, Tulsa, OK, 6.40%, 7/1/13, $3,749,220 par
Hickman Road, Clive, IA, 6.78%, 1/1/13, $5,500,000 par
Oak Knoll Village Shopping Center, Austin, TX, 6.73%, 10/1/13, $1,427,714 par
Oyster Point Office Park, Newport News, VA, 5.43%, 2/1/13, $11,831,854 par
PennMont Office Plaza, Albuquerque, NM, 6.63%, 4/1/11, $1,408,055 par
Perkins – Blaine, Blaine, MN, 6.63%, 1/1/17, $1,766,186 par

First American Mortgage Funds | 2011 Semiannual Report
13



Schedule of Investments | February 28, 2011 (unaudited)

American Strategic Income Portfolio II (BSP)

Redwood Dental Building, Taylorsville, UT, 7.40%, 7/1/12, $2,321,346 par
Robberson Auto Dealerships, Bend and Prineville, OR, 6.40%, 4/1/17, $6,913,781 par
Station Square, Pompano Beach, FL, 6.33%, 2/1/14, $12,000,000 par
Summit Chase Apartments I, Coral Springs, FL, 6.43%, 4/1/12, $9,500,000 par
Waste Connections Warehouse, Englewood, CO, 6.58%, 3/1/14, $1,245,682 par

Commercial Mortgage-Backed Securities

  Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.89%, 12/10/49, $3,625,000 par
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD5, Class A4, 5.89%, 11/15/44, $5,950,000 par

Preferred Stocks

  Equity Residential Properties, Series N, 118,000 shares
Kimco Realty, Series F, 78,000 shares
Kimco Realty, Series G, 20,800 shares
PS Business Parks, Series H, 37,600 shares
PS Business Parks, Series I, 13,200 shares
PS Business Parks, Series M, 37,600 shares
PS Business Parks, Series P, 11,650 shares
Public Storage, Series A, 40,000 shares
Public Storage, Series E, 13,200 shares
Public Storage, Series I, 37,600 shares
Public Storage, Series K, 24,850 shares
Realty Income, Series D, 90,000 shares
Realty Income, Series E, 37,600 shares
Regency Centers, Series C, 37,600 shares
Regency Centers, Series E, 39,200 shares

The fund has entered into a loan agreement with MMLIC under which MMLIC made a term loan to the fund of $45,100,000, which matures on July 31, 2011, and agreed to make revolving loans to the fund of up to $12,900,000. Loans made under the loan agreement are secured by whole loans in the fund's portfolio and bear interest at the one-month LIBOR plus 2.625% with a "floor" interest rate of 5.00%. In addition, the fund pays an annual fee of 1.28% on any unused portion of the fund's revolving loan commitment.

  Interest Only – Represents securities that entitle holders to receive only interest payments on the mortgage. Principal balance on the loan is due at maturity. The interest rate disclosed represents the net coupon rate in effect as of February 28, 2011.

u  Loan is currently in default with regards to scheduled interest and/or principal payments.

  Loan has matured and the fund is anticipating payoff or refinancing. Unless disclosed otherwise, the loan continues to make monthly payments.

R  Participating Loan – A participating loan is one which contains provisions for the fund to participate in the income stream provided by the property, including net cash flows and capital proceeds. Monthly cash flow proceeds are only required to the extent excess cash flow is generated by the property as determined by the loan documents.

S  The participating loan is not currently making monthly cash flow payments or is making cash flow payments of less than original coupon rate disclosed.

a  Securities pledged as collateral for outstanding reverse repurchase agreements. On February 28, 2011, securities valued at $36,141,540 were pledged as collateral for the following outstanding reverse repurchase agreements:

Amount   Acquisition
Date
  Rate*   Due   Accrued
Interest
  Name of Broker
and Description
of Collateral
 
$ 15,968,796     2/10/11     0.30 %   3/10/11   $ 2,528       (1 )  
  6,944,000     1/12/11     1.30 %   4/12/11     12,065       (2 )  
  5,347,000     1/12/11     1.30 %   4/12/11     9,291       (3 )  
$ 28,259,796                 $ 23,884        

 

*  Interest rate as of February 28, 2011. Rate is based on the LIBOR plus a spread and reset monthly.

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
14



American Strategic Income Portfolio II (BSP)

Name of broker and description of collateral:

(1)  Goldman Sachs:
Federal Home Loan Mortgage Corporation, 5.50%, 1/1/18, $1,401,176 par
Federal Home Loan Mortgage Corporation, 9.00%, 7/1/30, $101,402 par
Federal Home Loan Mortgage Corporation, 5.00%, 5/1/39, $2,724,285 par
Federal National Mortgage Association, 6.00%, 10/1/16, $88,315 par
Federal National Mortgage Association, 5.50%, 6/1/17, $136,549 par
Federal National Mortgage Association, 5.00%, 9/1/17, $201,525 par
Federal National Mortgage Association, 5.00%, 11/1/17, $353,129 par
Federal National Mortgage Association, 6.50%, 6/1/29, $568,625 par
Federal National Mortgage Association, 7.50%, 5/1/30, $79,596 par
Federal National Mortgage Association, 8.00%, 5/1/30, $25,777 par
Federal National Mortgage Association, 8.00%, 6/1/30, $97,001 par
Federal National Mortgage Association, 5.00%, 11/1/33, $6,559,776 par
Federal National Mortgage Association, 5.00%, 7/1/39, $3,762,623 par

(2)  JP Morgan:
Banc of America Commercial Mortgage, Series 2005-4, Class A5B, 5.00%, 7/10/45, $8,060,000 par

(3)  JP Morgan:
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class A4, 5.47%, 1/12/45, $10,000,000 par

The fund has entered into a lending commitment with Goldman Sachs. The monthly agreement permits the fund to enter into reverse repurchase agreements using U.S. Government Agency Mortgage-Backed Securities as collateral.

The fund has entered into a lending commitment with JP Morgan. The monthly agreement permits the fund to enter into reverse repurchase agreements using Commercial Mortgage-Backed Securities as collateral.

r  Variable Rate Security – The rate shown is the net coupon rate in effect as of February 28, 2011.

W  Investment in affiliated security. This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for the fund. The rate shown is the annualized seven-day effective yield as of February 28, 2011. See note 3 in Notes to Financial Statements.

p  On February 28, 2011, the cost of investments for federal income tax purposes was approximately $255,058,731. The approximate aggregate gross unrealized appreciation and depreciation of investments, based on this cost, were as follows:

Gross unrealized appreciation   $ 12,721,268    
Gross unrealized depreciation     (27,348,031 )  
Net unrealized depreciation   $ (14,626,763 )  

First American Mortgage Funds | 2011 Semiannual Report
15




Schedule of Investments | February 28, 2011 (unaudited)

American Strategic Income Portfolio III (CSP)

DESCRIPTION   DATE
ACQUIRED
  PAR   COST   FAIR
VALUE
 
(Percentages of each investment category relate to total net assets)  
Whole Loans °° p — 87.4%  
Commercial Loans — 57.2%  
150 North Pantano I, Tucson, AZ, 5.90%, 2/1/10 u   1/4/05   $ 3,525,000     $ 3,525,000     $ 2,452,540    
150 North Pantano II, Tucson, AZ, 14.88%, 2/1/10 u   1/4/05     440,000       440,259       211,088    
8324 East Hartford Drive I, Scottsdale, AZ, 4.90%, 5/1/20   4/8/04     3,220,015       3,369,044       3,220,015    
Academy Spectrum, Colorado Springs, CO, 7.73%, 5/1/09 u   12/18/02     4,959,112       5,088,109       2,747,348    
Allegiance Health, Jackson, MI, 5.88%, 1/1/21 b   12/28/10     8,492,862       8,492,862       8,674,677    
Alliant University, Fresno, CA, 7.15%, 8/1/11 b   7/12/06     2,736,867       2,736,867       2,736,867    
Apple Blossom Convenience Center, Winchester, VA, 6.58%, 8/1/12 b   7/9/07     2,150,000       2,150,000       2,193,000    
Biltmore Lakes Corporate Center, Phoenix, AZ, 6.00%, 9/1/14 b   8/2/04     2,812,219       2,812,219       2,812,219    
Carrier 360 I, Grand Prairie, TX, 4.90%, 7/1/11 b   6/28/04     3,104,381       3,104,381       3,104,381    
Carrier 360 II, Grand Prairie, TX, 4.88%, 7/1/11   12/16/05     324,286       324,286       324,286    
Fairview Business Park, Salem, OR, 7.33%, 8/1/11 u   7/14/06     7,337,228       7,362,374       4,064,824    
First Colony Marketplace, Sugar Land, TX, 6.43%, 6/1/11 b   8/15/07     10,600,000       10,600,000       10,600,000    
France Avenue Business Park II, Brooklyn Center, MN, 7.40%, 10/1/12 b   9/12/02     4,184,865       4,184,865       4,268,563    
France Avenue Business Park II (second), Brooklyn Center, MN, 7.38%, 10/1/12   1/17/08     600,000       600,000       612,000    
Jilly's American Grill, Scottsdale, AZ, 6.88%, 9/1/11 b   8/19/05     1,810,000       1,810,000       1,810,000    
La Cholla Plaza I, Tucson, AZ, 3.44%, 8/1/09 b r   7/26/06     11,135,604       11,135,604       10,917,769    
La Cholla Plaza II, Tucson, AZ, 14.88%, 8/1/09 u   7/26/06     1,389,396       1,389,396       673,782    
NCH Commercial Pool I, Tucson, AZ, 11.93%, 4/1/10 u   3/27/07     5,500,000       5,500,000       47,190    
NCH Commercial Pool II, Phoenix, AZ, 11.93%, 1/1/11 u   12/4/07     14,000,000       14,024,837       7,756,000    
Noah's Ark Self Storage, San Antonio, TX, 6.48%, 9/1/11 u   8/24/07     2,350,000       2,350,000       2,224,719    
North Austin Business Center, Austin, TX, 5.65%, 11/1/11 b   10/29/04     3,657,983       3,657,983       3,657,983    
Outlets at Casa Grande I, Casa Grande, AZ, 6.93%, 3/1/11 u   2/27/06     7,300,000       7,534,192       4,044,200    
Outlets at Casa Grande II, Casa Grande, AZ, 6.90%, 3/1/11 u   4/11/07     3,500,000       3,500,199       1,939,000    
Paradise Boulevard, Albuquerque, NM, 6.50%, 4/1/17 b   3/26/07     4,600,000       4,600,000       4,830,000    
RealtiCorp Fund III, Orlando/Crystal River, FL, 6.93%, 7/1/11   2/28/06     3,372,755       3,372,755       3,372,755    
Silver Star Storage, Austin, TX, 6.40%, 4/1/11 u   3/25/08     4,084,444       4,084,444       3,531,814    
Spa Atlantis, Pompano Beach, FL, 6.43%, 8/1/14   9/30/05     11,000,000       11,000,000       11,000,000    
Tatum Ranch Center, Phoenix, AZ, 6.15%, 10/1/15 b   8/25/04     3,204,207       3,204,207       3,236,249    
      131,953,883       107,063,269    
Multifamily Loans — 30.2%  
Avalon Hills I, Omaha, NE, 6.93%, 3/1/12 b   3/1/07     10,720,000       10,720,000       10,720,000    
Avalon Hills II, Omaha, NE, 9.88%, 3/1/12 R S   3/1/07     2,448,800       2,448,800       1,792,130    
Chateau Club Apartments I, Athens, GA, 6.43%, 12/1/12   12/20/07     6,000,000       6,000,000       5,356,752    
Chateau Club Apartments II, Athens, GA, 6.88%, 12/1/12 R S   12/20/07     2,991,624       2,991,624       1,664,073    
Country Villa Apartments, West Lafayette, IN, 6.90%, 9/1/13 b   8/29/03     2,377,550       2,377,550       2,496,427    
Courtyards at Mesquite I, Mesquite, TX, 6.53%, 11/1/09 u   10/14/05     7,389,373       7,389,373       4,093,713    
Courtyards at Mesquite II, Mesquite, TX, 7.90%, 11/1/09 R S   10/14/05     2,850,000       2,850,000       1,469,081    
El Dorado Apartments I, Tucson, AZ, 7.15%, 9/1/12 b   8/26/04     2,466,458       2,467,405       2,515,787    
El Dorado Apartments II, Tucson, AZ, 7.13%, 9/1/12   8/26/04     484,033       484,033       463,867    
Geneva Village Apartments I, West Jordan, UT, 7.00%, 1/1/14 b   12/24/03     1,030,022       1,030,022       1,050,623    
Geneva Village Apartments II, West Jordan, UT, 9.88%, 1/1/13   12/24/03     22,839       22,839       22,224    
Good Haven Apartments I, Dallas, TX, 5.43%, 9/1/07 u r   8/24/04     6,737,000       6,737,000       3,732,298    
Good Haven Apartments II, Dallas, TX, 14.88%, 9/1/07 u   8/24/04     842,000       842,000       202,545    
Good Haven Apartments III, Dallas, TX, 14.88%, 5/1/09 u   7/3/08     694,096       694,096       138,083    
Meadowview Village Apartments I, West Jordan, UT, 7.00%, 1/1/14   12/24/03     747,596       747,596       762,548    
Meadowview Village Apartments II, West Jordan, UT, 9.88%, 1/1/13   12/24/03     22,839       22,839       22,224    
Montevista Apartments, Fort Worth, TX, 7.43%, 9/1/12 R   8/30/07     7,308,000       7,308,000       5,272,152    
NCH Multifamily Pool, Oklahoma City, OK, 11.93%, 11/1/09 u   10/17/06     4,993,450       4,993,450       44,072    
Parkway Village Apartments I, West Jordan, UT, 7.00%, 1/1/14   12/24/03     704,130       704,130       718,212    
Parkway Village Apartments II, West Jordan, UT, 9.88%, 1/1/13   12/24/03     22,839       22,839       22,122    
Plantation Pines I, Tyler, TX, 6.59%, 2/1/10 b   1/17/07     3,328,000       3,328,000       3,328,000    
Plantation Pines II, Tyler, TX, 10.57%, 2/1/10 u   1/17/07     416,000       416,000       224,566    

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
16



American Strategic Income Portfolio III (CSP)

DESCRIPTION   DATE
ACQUIRED
  PAR/
SHARES
  COST   FAIR
VALUE
 
                   
RiverPark Land Lot III, Oxnard, CA, 6.90%, 3/1/12   10/9/07   $ 3,650,000     $ 3,650,000     $ 3,222,012    
Villas of Woodgate, Lansing, MI, 6.40%, 2/1/12 b   2/1/07     3,484,851       3,484,851       3,297,787    
Whispering Oaks I, Little Rock, AR, 6.93%, 2/1/12 u   1/10/07     5,800,000       5,831,627       3,213,200    
Whispering Oaks II, Little Rock, AR, 9.88%, 2/1/12 R S   1/10/07     2,636,000       2,636,000       671,242    
      80,200,074       56,515,740    
Total Whole Loans     212,153,957       163,579,009    
Corporate Notes °° — 11.3%  
Fixed Rate — 11.3%  
Sarofim Brookhaven, 7.00%, 1/1/12   12/21/07     10,040,375       10,040,375       10,040,375    
Stratus Properties IV, 8.75%, 12/31/13   12/1/06     7,000,000       7,000,000       7,140,000    
Stratus Properties VI, 8.75%, 12/31/11   6/1/07     4,000,000       4,000,000       4,000,000    
Total Corporate Notes     21,040,375       21,180,375    
Private Mortgage-Backed Security °° V — 0.0%  
Fixed Rate — 0.0%  
First Gibraltar, Series 1992-MM, Class B, 6.06%, 10/25/21   7/30/93     62,024       41,796          
U.S. Government Agency Mortgage-Backed Securities a — 12.1%  
Fixed Rate — 12.1%  
Federal Home Loan Mortgage Corporation,  
5.50%, 1/1/18, #E93231           1,401,176       1,425,263       1,512,485    
9.00%, 7/1/30, #C40149           141,962       144,881       163,409    
5.00%, 5/1/39, #G05430           3,741,789       3,837,147       3,918,856    
Federal National Mortgage Association,  
6.00%, 10/1/16, #607030           88,315       88,558       96,614    
5.50%, 2/1/17, #623874           165,866       165,659       179,250    
5.50%, 6/1/17, #648508           136,549       136,916       147,738    
5.00%, 9/1/17, #254486           201,525       201,818       216,092    
5.00%, 11/1/17, #657356           353,129       354,159       378,654    
6.50%, 6/1/29, #252497           398,037       395,978       450,884    
7.50%, 5/1/30, #535289           79,596       77,528       92,132    
8.00%, 5/1/30, #538266           25,777       25,525       30,061    
8.00%, 6/1/30, #253347           87,302       86,446       101,809    
5.00%, 12/1/35, #995317           5,675,912       5,845,574       6,000,376    
5.00%, 7/1/39, #AA9716           7,046,066       7,235,578       7,386,102    
5.00%, 7/1/39, #935512           1,934,265       1,971,682       2,027,611    
Total U.S. Government Agency Mortgage-Backed Securities     21,992,712       22,702,073    
Commercial Mortgage-Backed Securities r — 6.9%  
Other — 6.9%  
Banc of America Commercial Mortgage, Series 2005-4, Class A5B, 5.00%, 7/10/45 a           6,400,000       4,169,907       6,587,794    
Citigroup/Deutsche Bank Commercial Mortgage Trust,
5.89%, 11/15/44, Series 2007-CD5, Class A4 b
          3,600,000       3,377,203       3,906,318    
LB-UBS Commercial Mortgage Trust, Series 2008-C1, Class A2, 6.10%, 4/15/41 b           2,250,000       1,552,825       2,494,212    
Total Commercial Mortgage-Backed Securities     9,099,935       12,988,324    
Preferred Stocks — 22.8%  
Real Estate Investment Trusts — 22.8%  
AMB Property, Series L           161,320       3,718,236       3,952,340    
AMB Property, Series M           39,474       905,625       950,534    
AMB Property, Series O           9,613       240,325       237,321    

First American Mortgage Funds | 2011 Semiannual Report
17



Schedule of Investments | February 28, 2011 (unaudited)

American Strategic Income Portfolio III (CSP)

DESCRIPTION       SHARES   COST   FAIR
VALUE
 
                   
AMB Property, Series P            21,200     $ 429,300     $ 534,028    
BRE Properties, Series C           8,300       164,921       202,054    
BRE Properties, Series D           5,250       104,317       128,953    
Developers Diversified Realty, Series G           1,000       17,250       24,906    
Duke Realty, Series J           56,556       1,203,278       1,320,232    
Equity Residential Properties, Series N b           62,700       1,497,705       1,579,256    
Kimco Realty, Series F b           163,000       3,797,000       4,039,352    
Kimco Realty, Series G b           114,700       2,796,559       2,959,260    
ProLogis Trust, Series G           8,300       174,300       199,109    
PS Business Parks, Series H b           26,520       530,400       660,878    
PS Business Parks, Series I b           94,300       1,634,731       2,298,563    
PS Business Parks, Series M b           26,520       546,312       669,630    
PS Business Parks, Series O b           100,000       2,050,000       2,525,000    
PS Business Parks, Series P b           8,200       157,194       197,702    
Public Storage, Series A b           38,000       921,909       933,660    
Public Storage, Series C b           30,000       626,100       749,670    
Public Storage, Series E b           9,300       186,000       233,337    
Public Storage, Series H b           40,000       876,000       1,010,000    
Public Storage, Series I b           26,520       576,810       673,775    
Public Storage, Series K b           17,550       381,712       445,577    
Public Storage, Series L b           20,000       430,000       502,200    
Public Storage, Series X b           74,000       1,786,319       1,818,106    
Public Storage, Series Z b           30,000       746,643       741,564    
Realty Income, Series D b           97,500       2,474,125       2,504,775    
Realty Income, Series E b           26,520       572,832       660,515    
Vornado Realty Trust, Series E b           7,400       186,598       186,480    
Vornado Realty Trust, Series F b           7,800       164,970       188,760    
Vornado Realty Trust, Series H b           163,000       2,771,000       3,960,737    
Weingarten Realty Investors, Series D           95,170       2,112,774       2,350,699    
Weingarten Realty Investors, Series F           131,000       2,907,400       3,217,229    
Total Preferred Stocks     37,688,645       42,656,202    
Total Unaffiliated Investments     302,017,420       263,105,983    
Real Estate Owned °° l — 1.2%  
Memphis Medical Building, Memphis, TN                 3,814,929       2,354,500    
Short-Term Investment — 1.1%  
First American Prime Obligations Fund, Class Z, 0.06% W           1,985,591       1,985,591       1,985,591    
Total Investments p — 142.8%   $ 307,817,940     $ 267,446,074    
Other Assets and Liabilities, Net — (42.8)%         (80,206,041 )  
Total Net Assets — 100.0%       $187,240,033  

 

  Securities are valued in accordance with procedures described in note 2 in Notes to Financial Statements.

°°  Securities purchased as part of a private placement which have not been registered with the Securities and Exchange Commission under the Securities Act of 1933 and which are considered to be illiquid. These securities are fair valued in accordance with the board approved valuation procedures. On February 28, 2011, the total fair value of these securities was $187,113,884 or 99.9% of total net assets. See note 2 in Notes to Financial Statements.

p  Interest rates on commercial and multifamily loans are the net coupon rates in effect (after reducing the coupon rate by any mortgage servicing fees paid to mortgage servicers) on February 28, 2011. For participating loans, the rates are based on the annual cash flow payments expected at the time of purchase.

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
18



American Strategic Income Portfolio III (CSP)

b  Securities pledged as collateral for outstanding borrowings under a loan agreement with Massachusetts Mutual Life Insurance Company ("MMLIC"). On February 28, 2011, securities valued at $116,879,909 were pledged as collateral for the following outstanding borrowings:

Amount   Rate*   Accrued
Interest
 
$ 54,400,000       5.00 %   $ 7,556    

 

*  Interest rate as of February 28, 2011. Rate is based on the London Interbank Offered Rate ("LIBOR") plus 2.625% subject to a "floor" interest rate of 5.00% and reset monthly.

Description of collateral:

Whole Loans

  Allegiance Health, Jackson, MI, 5.88%, 1/1/21, $8,492,862 par
Alliant University, Fresno, CA, 7.15%, 8/1/11, $2,736,867 par
Apple Blossom Convenience Center, Winchester, VA, 6.58%, 8/1/12, $2,150,000 par
Avalon Hills I, Omaha, NE, 6.93%, 3/1/12, $10,720,000 par
Biltmore Lakes Corporate Center, Phoenix, AZ, 6.00%, 9/1/14, $2,812,219 par
Carrier 360 I, Grand Prairie, TX, 4.90%, 7/1/11, $3,104,381 par
Country Villa Apartments, West Lafayette, IN, 6.90%, 9/1/13, $2,377,550 par
El Dorado Apartments I, Tucson, AZ, 7.15%, 9/1/12, $2,466,458 par
First Colony Marketplace, Sugar Land, TX, 6.43%, 6/1/11, $10,600,000 par
France Avenue Business Park II, Brooklyn Center, MN, 7.40%, 10/1/12, $4,184,865 par
Geneva Village Apartments I, West Jordan, UT, 7.00%, 1/1/14, $1,030,022 par
Jilly's American Grill, Scottsdale, AZ, 6.88%, 9/1/11, $1,810,000 par
La Cholla Plaza I, Tucson, AZ, 3.44%, 8/1/09, $11,135,604 par
North Austin Business Center, Austin, TX, 5.65%, 11/1/11, $3,657,983 par
Paradise Boulevard, Albuquerque, NM, 6.50%, 4/1/17, $4,600,000 par
Plantation Pines I, Tyler, TX, 6.59%, 2/1/10, $3,328,000 par
Tatum Ranch Center, Phoenix, AZ, 6.15%, 10/1/15, $3,204,207 par
Villas of Woodgate, Lansing, MI, 6.40%, 2/1/12, $3,484,851 par

Commercial Mortgage-Backed Securities

  Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD5, Class A4, 5.89%, 11/15/44, $3,600,000 par
LB-UBS Commercial Mortgage Trust, Series 2008-C1, Class A2, 6.10%, 4/15/41, $2,250,000 par

Preferred Stocks

  Equity Residential Properties, Series N, 10,700 shares
Kimco Realty, Series F, 163,000 shares
Kimco Realty, Series G, 114,700 shares
PS Business Parks, Series H, 26,520 shares
PS Business Parks, Series I, 94,300 shares
PS Business Parks, Series M, 26,520 shares
PS Business Parks, Series O, 100,000 shares
PS Business Parks, Series P, 8,200 shares
Public Storage, Series A, 38,000 shares
Public Storage, Series C, 30,000 shares
Public Storage, Series E, 9,300 shares
Public Storage, Series H, 40,000 shares
Public Storage, Series I, 26,520 shares
Public Storage, Series K, 17,550 shares
Public Storage, Series L, 20,000 shares
Public Storage, Series X, 74,000 shares
Public Storage, Series Z, 30,000 shares
Realty Income, Series D, 97,500 shares
Realty Income, Series E, 26,520 shares
Vornado Realty Trust, Series E, 7,400 shares
Vornado Realty Trust, Series F, 7,800 shares
Vornado Realty Trust, Series H, 163,000 shares

The fund has entered into a loan agreement with MMLIC under which MMLIC made a term loan to the fund of $54,400,000, which matures on July 31, 2011, and agreed to make revolving loans to the fund of up to $15,600,000. Loans made under the loan agreement are secured by whole loans in the fund's portfolio and bear interest at the one-month LIBOR plus 2.625% with a "floor" interest rate of 5.00%. In addition, the fund pays an annual fee of 1.28% on any unused portion of the fund's revolving loan commitment.

First American Mortgage Funds | 2011 Semiannual Report
19



Schedule of Investments | February 28, 2011 (unaudited)

American Strategic Income Portfolio III (CSP)

  Interest Only – Represents securities that entitle holders to receive only interest payments on the mortgage. Principal balance on the loan is due at maturity. The interest rate disclosed represents the net coupon rate in effect as of February 28, 2011.

  Loan has matured and the fund is anticipating payoff or refinancing. Unless disclosed otherwise, the loan continues to make monthly payments.

u  Loan is currently in default with regards to scheduled interest and/or principal payments.

r  Variable Rate Security – The rate shown is the net coupon rate in effect as of February 28, 2011.

R  Participating Loan – A participating loan is one which contains provisions for the fund to participate in the income stream provided by the property, including net cash flows and capital proceeds. Monthly cash flow proceeds are only required to the extent excess cash flow is generated by the property as determined by the loan documents.

S  The participating loan is not currently making monthly cash flow payments or is making cash flow payments of less than original coupon rate disclosed.

V  Non-Income Producing Security.

a  Securities pledged as collateral for outstanding reverse repurchase agreements. On February 28, 2011, securities valued at $29,119,712 were pledged as collateral for the following outstanding reverse repurchase agreements:

Amount   Acquisition
Date
  Rate*   Due   Accrued
Interest
  Name of Broker
and Description
of Collateral
 
$ 21,257,677     2/10/11     0.30 %   3/10/11   $ 3,367       (1 )  
  5,514,000     1/12/11     1.30 %   4/12/11     9,580       (2 )  
$ 26,771,677                       $ 12,947          

 

*  Interest rate as of February 28, 2011. Rate is based on the LIBOR plus a spread and reset monthly.

Name of broker and description of collateral:

(1)  Goldman Sachs:
Federal Home Loan Mortgage Corporation, 5.50%, 1/1/18, $1,243,543 par
Federal Home Loan Mortgage Corporation, 9.00%, 7/1/30, $141,962 par
Federal Home Loan Mortgage Corporation, 5.00%, 5/1/39, $3,741,789 par
Federal National Mortgage Association, 6.00%, 10/1/16, $88,315 par
Federal National Mortgage Association, 5.50%, 2/1/17, $165,866 par
Federal National Mortgage Association, 5.50%, 6/1/17, $136,549 par
Federal National Mortgage Association, 5.00%, 9/1/17, $201,525 par
Federal National Mortgage Association, 5.00%, 11/1/17, $353,129 par
Federal National Mortgage Association, 6.50%, 6/1/29, $398,037 par
Federal National Mortgage Association, 7.50%, 5/1/30, $79,596 par
Federal National Mortgage Association, 8.00%, 5/1/30, $25,777 par
Federal National Mortgage Association, 8.00%, 6/1/30, $87,302 par
Federal National Mortgage Association, 5.00%, 12/1/35, $5,675,912 par
Federal National Mortgage Association, 5.00%, 7/1/39, $7,046,660 par
Federal National Mortgage Association, 5.00%, 7/1/39, $1,934,265 par

(2)  JP Morgan:
Banc of America Commercial Mortgage, Series 2005-4, Class A5B, 5.00%, 7/10/45, $6,400,000 par

The fund has entered into a lending commitment with Goldman Sachs. The monthly agreement permits the fund to enter into reverse repurchase agreements using U.S. Government Agency Mortgage-Backed Securities as collateral.

The fund has entered into a lending commitment with JP Morgan. The monthly agreement permits the fund to enter into reverse repurchase agreements using Commercial Mortgage-Backed Securities as collateral.

l  Real Estate Owned. See note 2 in Notes to Financial Statements.

W  Investment in affiliated security. This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for the fund. The rate shown is the annualized seven-day effective yield as of February 28, 2011. See note 3 in Notes to Financial Statements.

p  On February 28, 2011, the cost of investments for federal income tax purposes was approximately $307,817,940. The approximate aggregate gross unrealized appreciation and depreciation of investments, based on this cost, were as follows:

Gross unrealized appreciation   $ 10,512,957    
Gross unrealized depreciation     (50,884,823 )  
Net unrealized depreciation   $ (40,371,866 )  

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
20




Schedule of Investments | February 28, 2011 (unaudited)

American Select Portfolio (SLA)

DESCRIPTION   DATE
ACQUIRED
  PAR   COST   FAIR
VALUE
 
(Percentages of each investment category relate to total net assets)  
Whole Loans °° p — 74.1%  
Commercial Loans — 53.8%  
12000 Aerospace, Clear Lake, TX, 7.18%, 1/1/15 b   12/22/04   $ 4,939,362     $ 4,939,362     $ 4,939,362    
ABC Conoco, Aspen, CO, 6.65%, 11/1/11 b   10/31/06     3,809,551       3,809,551       3,667,237    
Clear Lake Central I, Webster, TX, 6.63%, 8/1/11 b   7/27/06     6,918,703       6,918,703       6,918,703    
Gallery Row, Tucson, AZ, 11.88%, 10/1/11 u   9/7/06     500,000       500,208       253,885    
George Gee Hummer, Liberty Lake, WA, 6.20%, 1/1/14 b   6/30/05     2,125,000       2,125,000       1,918,871    
George Gee Pontiac I, Liberty Lake, WA, 6.23%, 1/1/14 b   6/30/05     4,675,000       4,675,000       4,224,559    
George Gee Pontiac II, Liberty Lake, WA, 6.20%, 1/1/14   9/14/06     750,000       750,000       677,249    
George Gee Porsche, Liberty Lake, WA, 6.20%, 1/1/14 b   9/14/06     2,500,000       2,500,000       2,257,495    
Highland Park I, Scottsdale, AZ, 6.77%, 4/1/13 b   2/23/06     9,204,035       9,204,035       9,155,327    
Highland Park II, Scottsdale, AZ, 11.88%, 4/1/13   2/23/06     1,183,784       1,183,784       1,010,104    
Kolb Plaza I, Tucson, AZ, 6.50%, 8/1/10 u   7/18/07     3,520,000       3,520,000       1,999,818    
Kolb Plaza II, Tucson, AZ, 9.88%, 8/1/10 u   7/18/07     440,000       440,000       177,592    
Landmark Bank Center, Euless, TX, 5.85%, 5/1/12   7/1/04     3,242,424       3,242,424       3,242,424    
Landmark Bank Center II, Euless, TX, 6.88%, 5/1/12   6/12/08     1,157,576       1,157,576       1,095,466    
Landmark Bank Center III, Euless, TX, 8.88%, 9/1/15   6/8/10     1,446,828       1,446,828       1,429,402    
Mandala Agency Building, Bend, OR, 6.38%, 6/1/17 b   5/23/07     2,175,000       2,175,000       2,240,250    
Northrop Grumman Campus I, Colorado Springs, CO, 5.68%, 12/1/18 b r   11/15/05     5,700,000       5,700,000       5,700,000    
Northrop Grumman Campus II, Colorado Springs, CO, 6.38%, 12/1/14   11/15/05     481,832       481,832       431,935    
RL Stowe Portfolio, Belmont, NC & Chattanooga, TN, 6.83%, 11/1/12 b   10/12/07     7,806,201       7,806,201       5,187,166    
Superior Ford Dealership, Plymouth, MN, 6.43%, 7/1/17 b   6/28/07     4,933,325       4,933,325       5,179,991    
Town Square #6, Olympia, WA, 7.40%, 9/1/12 b   8/2/02     3,494,411       3,494,411       3,564,300    
Victory Packaging, Phoenix, AZ, 8.50%, 1/1/12 b   12/20/01     2,245,148       2,245,148       2,267,599    
      73,248,388       67,538,735    
Multifamily Loans — 20.3%  
Briarhill Apartments I, Eden Prairie, MN, 6.90%, 9/1/15 b   8/11/03     4,200,209       4,200,209       4,410,220    
Briarhill Apartments II, Eden Prairie, MN, 6.88%, 9/1/15   8/11/03     310,924       310,924       326,470    
Highland House Apartments, Dallas, TX, 6.65%, 10/1/13 b   9/10/07     2,689,519       2,689,519       2,689,519    
Keystone Crossings, Springdale, AZ, 8.15%, 7/1/10 R S   6/27/07     4,875,000       4,875,000       2,550,605    
NCH Multifamily Pool II, Oklahoma City, OK, 11.93%, 10/1/10 u   10/1/07     5,400,000       5,409,659       2,991,600    
Revere Apartments, Revere, MA, 6.28%, 3/1/12 b   3/8/07     1,616,553       1,616,553       1,411,657    
RP Urban Partners Lot 12, Oxnard, CA, 6.90%, 3/1/12   2/23/05     2,500,000       2,500,000       2,206,857    
RP Urban Partners Lot 17, Oxnard, CA, 6.90%, 3/1/12   3/1/10     2,500,000       2,500,000       2,206,857    
Sheridan Pond Apartments, Tulsa, OK, 6.43%, 7/1/13 b   6/5/03     6,504,670       6,504,670       6,634,763    
      30,606,534       25,428,548    
Total Whole Loans     103,854,922       92,967,283    
Corporate Notes °° — 13.4%  
Fixed Rate — 13.4%  
Sarofim Northwest, 7.00%, 1/1/12   12/21/07     8,181,250       8,181,250       8,181,250    
Stratus Properties I, 8.75%, 12/31/14   12/28/00     5,000,000       5,000,000       5,150,000    
Stratus Properties VII, 8.75%, 12/31/12   6/1/07     3,500,000       3,500,000       3,535,000    
Total Corporate Notes     16,681,250       16,866,250    
U.S. Government Agency Mortgage-Backed Securities a — 9.2%  
Fixed Rate — 9.2%  
Federal Home Loan Mortgage Corporation,  
5.50%, 1/1/18, #E93231           788,161       801,709       850,773    
7.50%, 12/1/29, #C00896           153,350       151,141       177,085    
5.00%, 5/1/39, #G05430           1,870,895       1,918,573       1,959,428    

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
21



Schedule of Investments | February 28, 2011 (unaudited)

American Select Portfolio (SLA)

DESCRIPTION   DATE
ACQUIRED
  PAR/
SHARES
  COST   FAIR
VALUE
 
                   
Federal National Mortgage Association,  
5.00%, 11/1/17, #657356         $ 353,129     $ 354,159     $ 378,654    
6.50%, 6/1/29, #252497           511,762       509,115       579,708    
7.50%, 5/1/30, #535289           44,220       43,071       51,185    
8.00%, 5/1/30, #538266           14,321       14,180       16,700    
5.00%, 11/1/33, #725027           2,419,450       2,471,250       2,557,758    
5.00%, 7/1/39, #935588           2,186,824       2,231,442       2,292,357    
4.50%, 3/1/40, #932669           2,650,625       2,676,472       2,705,117    
Total U.S. Government Agency Mortgage-Backed Securities     11,171,112       11,568,765    
Commercial Mortgage-Backed Securities — 17.8%  
Other — 17.8%  
Banc of America Commercial Mortgage, Series 2005-4, Class A5B, 5.00%, 7/10/45 r a           6,400,000       4,169,907       6,587,794    
Bear Stearns Commercial Mortgage Securities,  
5.72%, 9/11/38, Series 2006-PW12, Class A4 b r           2,100,000       1,544,187       2,311,469    
5.74%, 9/11/42, Series 2007-T28, Class A4 b           1,456,221       1,038,076       1,585,946    
5.69%, 6/11/50, Series 2007-PWR17, Class A4           3,315,000       2,965,620       3,589,056    
Citigroup/Deutsche Bank Commercial Mortgage Trust,
5.89%, 11/15/44, Series 2007-CD5, Class A4 r
          2,000,000       1,850,281       2,170,177    
GS Mortgage Securities Corporation II, Series 2006-GG8, Class A4, 5.56%, 11/10/39 b           3,600,000       2,544,849       3,876,026    
LB-UBS Commercial Mortgage Trust, Series 2008-C1, Class A2, 6.10%, 4/15/41 b r           2,000,000       1,411,449       2,217,077    
Total Commercial Mortgage-Backed Securities     15,524,369       22,337,545    
Preferred Stocks — 26.0%  
Real Estate Investment Trusts — 26.0%  
AMB Property, Series L           114,820       2,167,595       2,813,090    
AMB Property, Series M           18,700       460,785       450,296    
AMB Property, Series O           10,228       255,700       252,504    
BRE Properties, Series C           117,550       2,583,959       2,861,614    
BRE Properties, Series D           28,600       675,354       702,488    
Developers Diversified Realty, Series H           23,820       488,310       566,471    
Developers Diversified Realty, Series I           3,830       79,856       91,920    
Duke Realty, Series L           17,270       330,202       404,463    
Duke Realty, Series M           47,640       952,800       1,185,045    
Duke Realty, Series O           40,000       944,000       1,070,800    
Equity Residential Properties, Series K           18,000       991,800       947,813    
Equity Residential Properties, Series N b           49,500       950,925       1,246,781    
Kimco Realty, Series G b           136,000       3,386,944       3,508,800    
ProLogis Trust, Series F           5,000       105,000       118,995    
ProLogis Trust, Series G           7,400       155,400       177,519    
PS Business Parks, Series H b           23,820       476,400       593,594    
PS Business Parks, Series I b           8,400       165,228       204,750    
PS Business Parks, Series M b           23,820       490,692       601,455    
PS Business Parks, Series P b           7,400       141,858       178,414    
Public Storage, Series E b           38,300       914,900       960,947    
Public Storage, Series I b           23,820       518,085       605,178    
Public Storage, Series K b           15,700       341,475       398,607    
Realty Income, Series D b           60,000       1,521,000       1,541,400    
Realty Income, Series E b           78,820       1,895,012       1,963,115    
Regency Centers, Series C b           23,820       514,988       595,500    
Regency Centers, Series E b           46,170       1,032,215       1,110,804    
UDR, Series G           95,000       2,308,000       2,363,505    
Vornado Realty Trust, Series H           68,000       1,547,000       1,652,332    

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
22



American Select Portfolio (SLA)

DESCRIPTION       SHARES   COST   FAIR
VALUE
 
                   
Weingarten Realty Investors, Series E           130,000     $ 3,201,900     $ 3,230,500    
Weingarten Realty Investors, Series D           9,000       207,000       222,300    
Total Preferred Stocks     29,804,383       32,621,000    
Total Unaffiliated Investments     177,036,036       176,360,843    
Short-Term Investment — 1.5%  
First American Prime Obligations Fund, Class Z, 0.06% W           1,921,117       1,921,117       1,921,117    
Total Investments p — 142.0%   $ 178,957,153     $ 178,281,960    
Other Assets and Liabilities, Net — (42.0)%         (52,692,473 )  
Total Net Assets — 100.0%       $125,589,487  

 

  Securities are valued in accordance with procedures described in note 2 in Notes to Financial Statements.

°°  Securities purchased as part of a private placement which have not been registered with the Securities and Exchange Commission under the Securities Act of 1933 and which are considered to be illiquid. These securities are fair valued in accordance with the board approved valuation procedures. On February 28, 2011, the total fair value of these securities was $109,833,533 or 87.5% of total net assets. See note 2 in Notes to Financial Statements.

p  Interest rates on commercial and multifamily loans are the net coupon rates in effect (after reducing the coupon rate by any mortgage servicing fees paid to mortgage servicers) on February 28, 2011. For participating loans, the rates are based on the annual cash flow payments expected at the time of purchase.

b  Securities pledged as collateral for outstanding borrowings under a loan agreement with Massachusetts Mutual Life Insurance Company ("MMLIC"). On February 28, 2011, securities valued at $93,005,795 were pledged as collateral for the following outstanding borrowings:

Amount   Rate*   Accrued
Interest
 
$ 31,900,000       5.00 %   $ 4,432    
  5,000,000       5.00 %     694    
$ 36,900,000           $ 5,126    

 

*  Interest rate as of February 28, 2011. Rate is based on the London Interbank Offered Rate ("LIBOR") plus 2.625% subject to a "floor" interest rate of 5.00% and reset monthly.

Description of collateral:

Whole Loans

  12000 Aerospace, Clear Lake, TX, 7.18%, 1/1/15, $4,939,362 par
ABC Conoco, Aspen, CO, 6.65%, 11/1/11, $3,809,551 par
Briarhill Apartments I, Eden Prairie, MN, 6.90%, 9/1/15, $4,200,209 par
Clear Lake Central I, Webster, TX, 6.63%, 8/1/11, $6,918,703 par
George Gee Hummer, Liberty Lake, WA, 6.20%, 1/1/14, $2,125,000 par
George Gee Pontiac I, Liberty Lake, WA, 6.23%, 1/1/14, $4,675,000 par
George Gee Porsche, Liberty Lake, WA, 6.20%, 1/1/14, $2,500,000 par
Highland House Apartments, Dallas, TX, 6.65%, 10/1/13, $2,689,519 par
Highland Park I, Scottsdale, AZ, 6.77%, 4/1/13, $9,204,035 par
Mandala Agency Building, Bend, OR, 6.38%, 6/1/17, $2,175,000 par
Northrop Grumman Campus I, Colorado Springs, CO, 5.68%, 12/1/18, $5,700,000 par
Revere Apartments, Revere, MA, 6.28%, 3/1/12, $1,616,553 par
RL Stowe Portfolio, Belmont, NC & Chattanooga, TN, 6.83%, 11/1/12, $7,806,201 par
Sheridan Pond Apartments, Tulsa, OK, 6.43%, 7/1/13, $6,504,670 par
Superior Ford Dealership, Plymouth, MN, 6.43%, 7/1/17, $4,933,325 par
Town Square #6, Olympia, WA, 7.40%, 9/1/12, $3,494,411 par
Victory Packaging, Phoenix, AZ, 8.50%, 1/1/12, $2,245,148 par

Commercial Mortgage-Backed Securities

  Bear Stearns Commercial Mortgage Securities, Series 2006-PW12, Class A4, 5.72%, 9/11/38, $2,100,000 par
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class A4, 5.74%, 9/11/42, $1,456,221 par
GS Mortgage Securities Corporation II, Series 2006-GG8, Class A4, 5.56%, 11/10/39, $3,600,000 par
LB-UBS Commercial Mortgage Trust, Series 2008-C1, Class A2, 6.10%, 4/15/41, $2,000,000 par

First American Mortgage Funds | 2011 Semiannual Report
23



Schedule of Investments | February 28, 2011 (unaudited)

American Select Portfolio (SLA)

Preferred Stocks

  Equity Residential Properties, Series N, 49,500 shares
Kimco Realty, Series G, 78,200 shares
PS Business Parks, Series H, 23,820 shares
PS Business Parks, Series I, 8,400 shares
PS Business Parks, Series M, 23,820 shares
PS Business Parks, Series P, 7,400 shares
Public Storage, Series E, 38,300 shares
Public Storage, Series I, 23,820 shares
Public Storage, Series K, 15,700 shares
Realty Income, Series D, 60,000 shares
Realty Income, Series E, 23,820 shares
Regency Centers, Series C, 23,820 shares
Regency Centers, Series E, 46,170 shares

The fund has entered into a loan agreement with MMLIC under which MMLIC made a term loan to the fund of $31,900,000, which matures on July 31, 2011, and agreed to make revolving loans to the fund of up to $9,100,000. Loans made under the loan agreement are secured by whole loans in the fund's portfolio and bear interest at the one-month LIBOR plus 2.625% with a "floor" interest rate of 5.00%. In addition, the fund pays an annual fee of 1.28% on any unused portion of the fund's revolving loan commitment.

  Interest Only – Represents securities that entitle holders to receive only interest payments on the mortgage. Principal balance on the loan is due at maturity. The interest rate disclosed represents the net coupon rate in effect as of February 28, 2011.

u  Loan is currently in default with regards to scheduled interest and/or principal payments.

  Loan has matured and the fund is anticipating payoff or refinancing. Unless disclosed otherwise, the loan continues to make monthly payments.

r  Variable Rate Security – The rate shown is the net coupon rate in effect as of February 28, 2011.

R  Participating Loan – A participating loan is one which contains provisions for the fund to participate in the income stream provided by the property, including net cash flows and capital proceeds. Monthly cash flow proceeds are only required to the extent excess cash flow is generated by the property as determined by the loan documents.

S  The participating loan is not currently making monthly cash flow payments or is making cash flow payments of less than original coupon rate disclosed.

a  Securities pledged as collateral for outstanding reverse repurchase agreements. On February 28, 2011, securities valued at $18,156,559 were pledged as collateral for the following outstanding reverse repurchase agreements:

Amount   Acquisition
Date
  Rate*   Due   Accrued
Interest
  Name of Broker
and Description
of Collateral
 
$ 10,823,985     2/10/11     0.30 %   3/10/11   $ 1,714       (1 )  
  5,514,000     1/12/11     1.30 %   4/12/11     9,581       (2 )  
$ 16,337,985                       $ 11,295          

 

*  Interest rate as of February 28, 2011. Rate is based on LIBOR plus a spread and reset monthly.

Name of broker and description of collateral:

(1)  Goldman Sachs:
Federal Home Loan Mortgage Corporation, 5.50%, 1/1/18, $788,161 par
Federal Home Loan Mortgage Corporation, 7.50%, 12/1/29, $153,350 par
Federal Home Loan Mortgage Corporation, 5.00%, 5/1/39, $1,870,895 par
Federal National Mortgage Association, 5.00%, 11/1/17, $353,129 par
Federal National Mortgage Association, 6.50%, 6/1/29, $511,762 par
Federal National Mortgage Association, 7.50%, 5/1/30, $44,220 par
Federal National Mortgage Association, 8.00%, 5/1/30, $14,321 par
Federal National Mortgage Association, 5.00%, 11/1/33, $2,419,450 par
Federal National Mortgage Association, 5.00%, 7/1/39, $2,186,824 par
Federal National Mortgage Association, 4.50%, 3/1/40, $2,650,625 par

(2)  JP Morgan:
Banc of America Commercial Mortgage, Series 2005-4, Class A5B, 5.00%, 7/10/45, $6,400,000 par

The fund has entered into a lending commitment with Goldman Sachs. The monthly agreement permits the fund to enter into reverse repurchase agreements using U.S. Government Agency Mortgage-Backed Securities as collateral.

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
24



American Select Portfolio (SLA)

The fund has entered into a lending commitment with JP Morgan. The monthly agreement permits the fund to enter into reverse repurchase agreements using Commercial Mortgage-Backed Securities as collateral.

W  Investment in affiliated security. This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for the fund. The rate shown is the annualized seven-day effective yield as of February 28, 2011. See note 3 in Notes to Financial Statements.

p  On February 28, 2011, the cost of investments for federal income tax purposes was approximately $178,957,153. The approximate aggregate gross unrealized appreciation and depreciation of investments, based on this cost, were as follows:

Gross unrealized appreciation   $ 11,030,023    
Gross unrealized depreciation     (11,705,216 )  
Net unrealized depreciation   $ (675,193 )  

First American Mortgage Funds | 2011 Semiannual Report
25




Statements of Assets and Liabilities | February 28, 2011 (unaudited)

    ASP   BSP   CSP   SLA  
Assets:  
Unaffiliated investments, at fair value (Cost: $65,322,332,
$251,767,171, $302,017,420, $177,036,036) (note 2)
  $ 70,970,922     $ 237,140,408     $ 263,105,983     $ 176,360,843    
Affiliated money market fund, at fair value (Cost: $737,322,
$3,291,560, $1,985,591, $1,921,117) (note 3)
    737,322       3,291,560       1,985,591       1,921,117    
Real estate owned, at fair value (Cost: $0, $0, $3,814,929, $0) (note 2)                 2,354,500          
Receivable for accrued dividends and interest     343,169       1,232,505       1,264,410       769,529    
Prepaid expenses and other assets     42,074       116,705       164,577       109,220    
Total assets     72,093,487       241,781,178       268,875,061       179,160,709    
Liabilities:  
Payable for investments purchased     12,809       46,367       23,418       7,124    
Payable under loan agreement (note 2)     11,000,000       45,800,000       54,400,000       36,900,000    
Payable for reverse repurchase agreements (note 2)     6,800,189       28,259,796       26,771,677       16,337,985    
Bank overdraft     47,427       177,269       211,390       143,500    
Payable for investment advisory fees (note 3)     19,659       59,730       61,855       47,939    
Payable for administrative fees (note 3)     10,345       31,969       35,743       23,969    
Payable for audit fees     28,995       33,068       28,890       28,995    
Payable for legal fees     6,566       6,566       6,448       6,566    
Payable for transfer agent fees     2,949       4,101       4,305       3,438    
Payable for interest expense     2,605       30,247       20,503       16,421    
Payable for other expenses     7,049       64,387       70,799       55,285    
Total liabilities     17,938,593       74,513,500       81,635,028       53,571,222    
Net assets applicable to outstanding capital stock   $ 54,154,894     $ 167,267,678     $ 187,240,033     $ 125,589,487    
Composition of net assets:  
Capital stock and additional paid-in capital   $ 50,853,793     $ 197,005,320     $ 253,072,340     $ 135,210,377    
Distributions in excess of net investment income     (1,090,369 )     (5,343,313 )     (9,348,161 )     (3,772,111 )  
Accumulated net realized loss on investments     (1,257,120 )     (9,767,566 )     (16,112,280 )     (5,173,586 )  
Net unrealized appreciation (depreciation) of investments     5,648,590       (14,626,763 )     (40,371,866 )     (675,193 )  
Total–representing net assets applicable to capital stock   $ 54,154,894     $ 167,267,678     $ 187,240,033     $ 125,589,487    
Net asset value and market price of capital stock:  
Net assets applicable to capital stock   $ 54,154,894     $ 167,267,678     $ 187,240,033     $ 125,589,487    
Shares outstanding (authorized 1 billion shares of each fund of $0.01 par value)     4,231,331       15,985,741       21,356,023       10,662,195    
Net asset value per share   $ 12.80     $ 10.46     $ 8.77     $ 11.78    
Market price per share   $ 11.48     $ 8.84     $ 7.66     $ 10.29    

 

The accompanying notes are an integral part of the financial statements.

First American Mortgage Funds | 2011 Semiannual Report
26



Statements of Operations | For the six-month period ended February 28, 2011 (unaudited)

    ASP   BSP   CSP   SLA  
Investment Income:  
Interest from unaffiliated investments   $ 1,842,085     $ 5,965,253     $ 5,879,534     $ 4,810,685</