N-Q 1 a08-6476_1nq.htm N-Q

 

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

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OMB Number:    3235-0578
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FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-4367

 

 

Columbia Funds Series Trust I

(Exact name of registrant as specified in charter)

 

One Financial Center, Boston, Massachusetts

 

02111

(Address of principal executive offices)

 

(Zip code)

 

James R. Bordewick, Jr., Esq.

Columbia Management Advisors, LLC

One Financial Center

Boston, MA 02111

(Name and address of agent for service)

 

Registrant's telephone number, including area code:

1-617-426-3750

 

 

Date of fiscal year end:

4/30/2008

 

 

 

 

Date of reporting period:

1/31/2008

 

 


 

Item 1.    Schedule of Investments

 


 

INVESTMENT PORTFOLIO

 

 

January 31, 2008 (Unaudited)

 

Columbia Core Bond Fund

 

 

 

 

Par ($)

 

Value ($)*

 

Mortgage-Backed Securities – 38.7%

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

 

 

 

 

 

4.500% 08/01/20

 

3,381,916

 

3,378,595

 

 

4.500% 09/01/20

 

2,374,297

 

2,371,966

 

 

4.500% 01/01/21

 

14,956,905

 

14,942,219

 

 

4.500% 06/01/21

 

1,626

 

1,624

 

 

5.000% 12/01/13

 

1,058,966

 

1,076,381

 

 

5.000% 01/01/19

 

327,994

 

332,930

 

 

5.000% 05/01/21

 

119,798

 

121,402

 

 

5.000% 02/01/22

 

22,638,405

 

22,928,399

 

 

5.000% 08/01/35(a)

 

2,752,953

 

2,741,997

 

 

5.500% 02/01/18

 

1,033,680

 

1,060,475

 

 

5.500% 03/01/18

 

302,000

 

309,829

 

 

5.500% 10/01/21

 

6,430,088

 

6,581,627

 

 

5.500% 03/01/33

 

73,700

 

74,751

 

 

5.500% 01/01/37

 

150,466,226

 

152,386,247

 

 

6.000% 11/01/28

 

205,360

 

212,049

 

 

6.000% 11/01/37(a)

 

33,388,635

 

34,237,653

 

 

6.500% 11/01/37

 

350,948

 

364,679

 

 

7.000% 12/01/10

 

33,545

 

34,651

 

 

7.000% 12/01/14

 

62,111

 

64,959

 

 

7.000% 11/01/25

 

4,321

 

4,609

 

 

7.000% 03/01/27

 

4,193

 

4,471

 

 

7.000% 10/01/31

 

52,874

 

56,279

 

 

7.500% 09/01/25

 

2,298

 

2,496

 

 

7.500% 10/01/29

 

101,007

 

109,600

 

 

8.000% 06/01/26

 

2,689

 

2,922

 

 

8.750% 09/01/09

 

997

 

1,012

 

 

9.000% 04/01/17

 

1,712

 

1,747

 

 

9.250% 05/01/09

 

15,797

 

16,442

 

 

9.250% 08/01/15

 

3,438

 

3,501

 

 

9.500% 09/01/10

 

2,398

 

2,500

 

 

9.500% 03/01/11

 

148

 

159

 

 

9.500% 04/01/11

 

1,125

 

1,209

 

 

9.500% 09/01/16

 

1,169

 

1,294

 

 

10.000% 02/01/09

 

424

 

444

 

 

10.000% 05/01/11

 

3,736

 

4,021

 

 

10.000% 12/01/13

 

373

 

381

 

Federal National Mortgage Association

 

 

 

 

 

 

 

5.000% 03/01/37

 

33,783,043

 

33,648,693

 

 

5.000% 08/01/37

 

90,283,517

 

89,924,475

 

 

5.240% 09/01/12

 

2,394,271

 

2,488,282

 

 

1


 

 

 

 

Par ($)

 

Value ($)

 

Mortgage-Backed Securities – (continued)

 

 

 

 

 

 

 

5.500% 10/01/21

 

3,920,931

 

4,017,013

 

 

5.500% 02/01/37

 

18,488,616

 

18,738,530

 

 

5.764% 09/01/37(b)

 

9,698,688

 

9,918,112

 

 

6.000% 05/01/13

 

71,332

 

73,813

 

 

6.000% 04/01/21

 

621,333

 

642,640

 

 

6.000% 05/01/21

 

179,381

 

185,532

 

 

6.000% 07/01/21

 

297,468

 

307,669

 

 

6.000% 12/01/31

 

751,591

 

781,249

 

 

6.000% 03/01/36

 

14,641,682

 

15,027,113

 

 

6.000% 10/01/36

 

40,096,397

 

41,151,902

 

 

6.000% 01/01/37

 

34,163,521

 

34,380,084

 

 

6.000% 11/01/37

 

54,406,945

 

55,837,505

 

 

6.120% 10/01/08

 

1,311,512

 

1,327,792

 

 

6.500% 05/01/11

 

165,124

 

171,698

 

 

6.500% 06/01/13

 

67,340

 

70,517

 

 

7.000% 06/01/32

 

24,989

 

26,664

 

 

7.199% 08/01/36(b)

 

155,769

 

159,190

 

 

7.500% 10/01/15

 

34,202

 

35,725

 

 

7.500% 01/01/30

 

12,451

 

13,486

 

 

7.500% 03/01/30

 

19,531

 

21,123

 

 

7.785% 02/01/19

 

1,881,565

 

2,049,334

 

 

8.000% 12/01/09

 

8

 

8

 

 

8.000% 12/01/29

 

287,586

 

313,952

 

 

8.000% 02/01/30

 

25,220

 

27,469

 

 

8.000% 03/01/30

 

61,088

 

66,370

 

 

8.000% 04/01/30

 

69,019

 

74,986

 

 

8.000% 05/01/30

 

5,487

 

5,961

 

 

8.500% 08/01/17

 

1,472

 

1,581

 

 

10.000% 10/01/20

 

135,467

 

159,941

 

 

10.000% 12/01/20

 

175,664

 

208,319

 

 

TBA,:

 

 

 

 

 

 

5.000% 02/01/38(a)

 

10,512,000

 

10,466,010

 

 

5.500% 02/01/38(a)

 

15,395,000

 

15,597,059

 

 

6.000% 02/01/38(a)

 

1,155,000

 

1,184,958

 

 

6.500% 02/01/38(a)

 

55,464,000

 

57,561,205

 

Government National Mortgage
Association

 

 

 

 

 

 

 

5.500% 12/15/13

 

5,837

 

5,989

 

 

5.500% 01/15/14

 

41,446

 

42,553

 

 

5.500% 02/15/14

 

84,755

 

87,019

 

 

5.500% 03/15/14

 

180,345

 

185,162

 

 

5.500% 04/15/14

 

132,556

 

136,097

 

 

2


 

 

 

 

Par ($)

 

Value ($)

 

Mortgage-Backed Securities – (continued)

 

 

 

 

 

 

 

5.500% 05/15/14

 

111,574

 

114,554

 

 

5.500% 06/15/14

 

113,464

 

116,495

 

 

5.625% 07/20/21(b)

 

54,571

 

55,124

 

 

5.625% 07/20/22(b)

 

69,128

 

69,722

 

 

6.375% 04/20/22(b)

 

273,740

 

279,875

 

 

6.500% 06/15/11

 

21,554

 

22,347

 

 

6.500% 08/15/12

 

7,872

 

8,197

 

 

6.500% 03/15/13

 

17,136

 

17,836

 

 

6.500% 04/15/13

 

31,488

 

32,775

 

 

6.500% 05/15/13

 

36,060

 

37,535

 

 

6.500% 06/15/13

 

637

 

663

 

 

6.500% 07/15/13

 

19,837

 

20,648

 

 

6.500% 09/15/13

 

82,990

 

86,382

 

 

6.500% 10/15/13

 

285,181

 

296,840

 

 

6.500% 11/15/13

 

128,370

 

133,618

 

 

6.500% 07/15/14

 

11,415

 

11,884

 

 

6.500% 08/15/14

 

64,188

 

66,824

 

 

6.500% 06/15/28

 

91,013

 

95,250

 

 

6.500% 01/15/29

 

38,112

 

39,879

 

 

6.500% 03/15/29

 

1,934

 

2,024

 

 

6.500% 09/15/32

 

39,166

 

40,938

 

 

7.000% 05/15/12

 

45,408

 

47,526

 

 

7.000% 09/15/13

 

37,103

 

38,817

 

 

7.000% 11/15/22

 

61,689

 

66,098

 

 

7.000% 10/15/23

 

69,292

 

74,315

 

 

7.000% 06/15/26

 

224,011

 

240,350

 

 

7.000% 10/15/27

 

24,497

 

26,276

 

 

7.000% 05/15/28

 

83,213

 

89,193

 

 

7.000% 06/15/28

 

10,294

 

11,034

 

 

7.000% 12/15/28

 

69,319

 

74,300

 

 

7.000% 08/15/29

 

26,436

 

28,329

 

 

7.000% 02/15/30

 

11,413

 

12,226

 

 

7.000% 05/15/32

 

167,901

 

179,738

 

 

7.500% 04/15/26

 

139,587

 

150,815

 

 

7.500% 02/15/27

 

15,457

 

16,698

 

 

7.500% 09/15/29

 

499,644

 

539,418

 

 

7.500% 03/15/30

 

85,428

 

92,194

 

 

8.000% 06/15/25

 

4,729

 

5,191

 

 

8.000% 10/15/25

 

18,196

 

19,972

 

 

8.000% 01/15/26

 

12,144

 

13,336

 

 

8.000% 02/15/26

 

2,987

 

3,280

 

 

3


 

 

 

 

Par ($)

 

Value ($)

 

Mortgage-Backed Securities – (continued)

 

 

 

 

 

 

 

8.000% 05/15/26

 

2,212

 

2,429

 

 

8.000% 06/15/26

 

12,119

 

13,309

 

 

8.000% 03/15/27

 

19,086

 

20,958

 

 

9.000% 11/15/08

 

677

 

688

 

 

9.000% 11/15/17

 

55,773

 

60,756

 

 

9.500% 09/15/16

 

7,419

 

8,206

 

 

9.500% 08/15/20

 

1,942

 

2,173

 

 

9.500% 12/15/20

 

2,559

 

2,864

 

 

10.000% 05/15/16

 

3,086

 

3,621

 

 

10.000% 07/15/17

 

15,995

 

18,848

 

 

10.000% 08/15/17

 

4,218

 

4,970

 

 

10.000% 08/15/18

 

340

 

401

 

 

11.500% 06/15/13

 

19,948

 

23,220

 

 

 

 

 

 

 

 

 

Total Mortgage-Backed Securities
(cost of $627,485,604)

 

 

 

643,999,259

 

 

 

 

 

 

 

 

Government & Agency Obligations – 20.2%

 

 

 

 

 

FOREIGN GOVERNMENT OBLIGATIONS – 1.8%

 

 

 

 

 

European Investment Bank

 

 

 

 

 

 

 

2.875% 03/15/13

 

1,810,000

 

1,781,842

 

Export-Import Bank of Korea

 

 

 

 

 

 

 

5.500% 10/17/12(c)

 

700,000

 

723,705

 

Kreditanstalt fuer Wiederaufbau

 

 

 

 

 

 

 

4.875% 01/17/17(c)

 

3,070,000

 

3,268,936

 

Pemex Project Funding Master Trust

 

 

 

 

 

 

 

5.750% 03/01/18(d)

 

5,765,000

 

5,860,122

 

Province of New Brunswick

 

 

 

 

 

 

 

5.200% 02/21/17

 

5,500,000

 

5,933,411

 

Province of Nova Scotia

 

 

 

 

 

 

 

5.125% 01/26/17

 

1,055,000

 

1,126,032

 

Province of Ontario

 

 

 

 

 

 

 

5.000% 10/18/11

 

1,500,000

 

1,593,128

 

Province of Quebec

 

 

 

 

 

 

 

5.125% 11/14/16

 

4,500,000

 

4,817,601

 

 

6.125% 01/22/11

 

2,000,000

 

2,163,136

 

Republic of South Africa

 

 

 

 

 

 

 

6.500% 06/02/14

 

2,134,000

 

2,262,040

 

FOREIGN GOVERNMENT OBLIGATIONS TOTAL

 

29,529,953

 

U.S. GOVERNMENT AGENCIES – 3.3%

 

 

 

 

 

 

Federal Home Loan Bank

 

 

 

 

 

 

 

5.000% 11/17/17(c)

 

10,280,000

 

10,903,575

 

 

4


 

 

 

 

Par ($)

 

Value ($)

 

Government & Agency Obligations – (continued)

 

 

 

 

 

U.S. GOVERNMENT AGENCIES – (continued)

 

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

 

 

 

 

 

5.200% 03/05/19

 

5,000,000

 

5,087,865

 

 

5.750% 06/27/16(c)

 

3,000,000

 

3,306,540

 

Federal National Mortgage Association

 

 

 

 

 

 

 

5.500% 03/26/14(c)

 

8,000,000

 

8,029,912

 

 

5.800% 02/09/26

 

2,000,000

 

2,103,404

 

 

6.000% 04/18/36(c)

 

11,200,000

 

12,056,666

 

 

6.125% 08/17/26(e)

 

12,475,000

 

13,289,954

 

U.S. GOVERNMENT AGENCIES TOTAL

 

54,777,916

 

U.S. GOVERNMENT OBLIGATIONS – 15.1%

 

 

 

 

 

U.S. Treasury Bonds

 

 

 

 

 

 

 

4.750% 02/15/37(c)

 

19,625,000

 

20,906,748

 

 

5.000% 05/15/37(c)

 

750,000

 

830,684

 

 

6.250% 08/15/23(c)

 

2,868,000

 

3,523,384

 

U.S. Treasury Notes

 

 

 

 

 

 

 

2.875% 01/31/13

 

113,785,000

 

114,069,463

 

 

3.750% 05/15/08(c)

 

9,920,000

 

9,968,052

 

 

4.250% 11/15/17

 

96,675,000

 

101,523,831

 

 

4.375% 12/15/10

 

1,185,000

 

1,254,988

 

U.S. GOVERNMENT OBLIGATIONS TOTAL

 

252,077,150

 

 

 

 

 

 

Total Government & Agency
Obligations
(cost of $327,474,172)

 

 

 

336,385,019

 

Corporate Fixed-Income Bonds & Notes – 17.8%

 

 

 

 

 

BASIC MATERIALS – 0.2%

 

 

 

 

 

 

Chemicals – 0.1%

 

 

 

 

 

 

Lubrizol Corp.

 

 

 

 

 

 

 

6.500% 10/01/34

 

1,000,000

 

996,122

 

Chemicals Total

 

996,122

 

Forest Products & Paper – 0.1%

 

 

 

 

 

 

Weyerhaeuser Co.

 

 

 

 

 

 

 

7.375% 03/15/32

 

1,740,000

 

1,726,974

 

Forest Products & Paper Total

 

1,726,974

 

BASIC MATERIALS TOTAL

 

2,723,096

 

COMMUNICATIONS – 1.3%

 

 

 

 

 

 

Media – 0.4%

 

 

 

 

 

 

Comcast Corp.

 

 

 

 

 

 

 

6.300% 11/15/17(c)

 

770,000

 

793,359

 

 

6.950% 08/15/37(c)

 

1,635,000

 

1,680,400

 

Time Warner Entertainment Co. LP

 

 

 

 

 

 

 

7.250% 09/01/08(c)

 

1,785,000

 

1,813,078

 

 

5


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

COMMUNICATIONS – (continued)

 

 

 

 

 

 

Media – (continued)

 

 

 

 

 

 

Viacom, Inc.

 

 

 

 

 

 

 

5.750% 04/30/11

 

1,635,000

 

1,675,641

 

 

6.875% 04/30/36

 

250,000

 

244,276

 

Media Total

 

6,206,754

 

Telecommunication Services – 0.9%

 

 

 

 

 

 

AT&T, Inc.

 

 

 

 

 

 

 

4.950% 01/15/13(c)

 

765,000

 

783,255

 

 

5.625% 06/15/16

 

3,825,000

 

3,898,497

 

Nextel Communications, Inc.

 

 

 

 

 

 

 

6.875% 10/31/13(c)

 

1,090,000

 

1,016,813

 

 

7.375% 08/01/15

 

2,065,000

 

1,889,033

 

Sprint Capital Corp.

 

 

 

 

 

 

 

8.750% 03/15/32

 

195,000

 

191,289

 

Telefonica Emisiones SAU

 

 

 

 

 

 

 

6.221% 07/03/17

 

1,325,000

 

1,390,802

 

 

6.421% 06/20/16

 

2,500,000

 

2,663,718

 

Verizon Communications, Inc.

 

 

 

 

 

 

 

5.550% 02/15/16(c)

 

3,360,000

 

3,428,366

 

Telecommunication Services Total

 

15,261,773

 

COMMUNICATIONS TOTAL

 

21,468,527

 

CONSUMER CYCLICAL – 1.3%

 

 

 

 

 

 

Airlines – 0.0%

 

 

 

 

 

 

Continental Airlines, Inc.

 

 

 

 

 

 

 

7.461% 04/01/15

 

741,423

 

708,059

 

Airlines Total

 

708,059

 

Home Builders – 0.1%

 

 

 

 

 

 

D.R. Horton, Inc.

 

 

 

 

 

 

 

5.625% 09/15/14

 

365,000

 

310,250

 

Lennar Corp.

 

 

 

 

 

 

 

6.500% 04/15/16

 

750,000

 

615,000

 

Home Builders Total

 

925,250

 

Lodging – 0.1%

 

 

 

 

 

 

Marriott International, Inc.

 

 

 

 

 

 

 

5.625% 02/15/13

 

1,710,000

 

1,749,675

 

Lodging Total

 

1,749,675

 

Retail – 1.1%

 

 

 

 

 

 

CVS Caremark Corp.

 

 

 

 

 

 

 

5.298% 01/11/27(d)

 

840,026

 

840,110

 

 

6


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

CONSUMER CYCLICAL – (continued)

 

 

 

 

 

 

Retail – (continued)

 

 

 

 

 

 

CVS Lease Pass-Through

 

 

 

 

 

 

 

6.036% 12/10/28(d)

 

3,288,690

 

3,145,764

 

Federated Retail Holdings, Inc.

 

 

 

 

 

 

 

5.350% 03/15/12

 

455,000

 

442,563

 

Home Depot, Inc.

 

 

 

 

 

 

 

5.875% 12/16/36(c)

 

2,005,000

 

1,673,215

 

JC Penney Corp., Inc.

 

 

 

 

 

 

 

7.400% 04/01/37(c)

 

1,585,000

 

1,545,982

 

Limited Brands, Inc.

 

 

 

 

 

 

 

6.950% 03/01/33

 

1,275,000

 

1,065,532

 

 

7.600% 07/15/37(f)

 

1,355,000

 

1,217,135

 

Macy’s Retail Holdings, Inc.

 

 

 

 

 

 

 

5.900% 12/01/16

 

2,095,000

 

1,952,785

 

 

6.900% 04/01/29

 

1,760,000

 

1,552,431

 

Starbucks Corp.

 

 

 

 

 

 

 

6.250% 08/15/17

 

2,710,000

 

2,790,259

 

Wal-Mart Stores, Inc.

 

 

 

 

 

 

 

5.250% 09/01/35

 

1,405,000

 

1,246,498

 

Retail Total

 

17,472,274

 

CONSUMER CYCLICAL TOTAL

 

20,855,258

 

CONSUMER NON-CYCLICAL – 1.3%

 

 

 

 

 

 

Beverages – 0.2%

 

 

 

 

 

 

SABMiller PLC

 

 

 

 

 

 

 

6.200% 07/01/11(d)

 

2,755,000

 

2,931,731

 

Beverages Total

 

2,931,731

 

Food – 0.6%

 

 

 

 

 

 

ConAgra Foods, Inc.

 

 

 

 

 

 

 

7.000% 10/01/28(f)

 

3,510,000

 

3,728,227

 

Fred Meyer, Inc.

 

 

 

 

 

 

 

7.450% 03/01/08

 

2,444,000

 

2,450,012

 

Kraft Foods, Inc.

 

 

 

 

 

 

 

6.500% 08/11/17

 

1,405,000

 

1,466,742

 

Kroger Co.

 

 

 

 

 

 

 

8.000% 09/15/29

 

2,930,000

 

3,350,323

 

Food Total

 

10,995,304

 

Household Products/Wares – 0.3%

 

 

 

 

 

Clorox Co.

 

 

 

 

 

 

 

5.950% 10/15/17

 

900,000

 

910,469

 

 

7


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

CONSUMER NON-CYCLICAL – (continued)

 

 

 

 

 

Household Products/Wares – (continued)

 

 

 

 

 

Fortune Brands, Inc.

 

 

 

 

 

 

 

5.125% 01/15/11

 

3,815,000

 

3,820,730

 

Household Products/Wares Total

 

4,731,199

 

Pharmaceuticals – 0.2%

 

 

 

 

 

 

Wyeth

 

 

 

 

 

 

 

5.500% 02/15/16(c)

 

3,680,000

 

3,771,043

 

Pharmaceuticals Total

 

3,771,043

 

CONSUMER NON-CYCLICAL TOTAL

 

22,429,277

 

ENERGY – 2.6%

 

 

 

 

 

 

Oil & Gas – 1.5%

 

 

 

 

 

 

Canadian Natural Resources Ltd.

 

 

 

 

 

 

 

6.250% 03/15/38

 

3,950,000

 

3,754,033

 

Gazprom International SA

 

 

 

 

 

 

 

7.201% 02/01/20

 

213,005

 

219,075

 

Hess Corp.

 

 

 

 

 

 

 

7.300% 08/15/31(c)

 

2,085,000

 

2,366,911

 

Marathon Oil Corp.

 

 

 

 

 

 

 

6.000% 07/01/12

 

3,065,000

 

3,258,052

 

Nexen, Inc.

 

 

 

 

 

 

 

5.875% 03/10/35

 

3,495,000

 

3,180,163

 

Qatar Petroleum

 

 

 

 

 

 

 

5.579% 05/30/11(d)

 

2,173,951

 

2,240,554

 

Ras Laffan Liquefied Natural Gas Co., Ltd. III

 

 

 

 

 

 

 

5.832% 09/30/16(d)

 

2,130,000

 

2,117,007

 

Talisman Energy, Inc.

 

 

 

 

 

 

 

5.850% 02/01/37

 

2,145,000

 

1,950,616

 

Valero Energy Corp.

 

 

 

 

 

 

 

6.625% 06/15/37(c)(f)

 

3,195,000

 

3,155,970

 

 

6.875% 04/15/12

 

2,547,000

 

2,746,219

 

Oil & Gas Total

 

24,988,600

 

Oil, Gas & Consumable Fuels – 0.3%

 

 

 

 

 

Petrobras International Finance Co.

 

 

 

 

 

 

 

5.875% 03/01/18(c)

 

4,160,000

 

4,168,869

 

Oil, Gas & Consumable Fuels Total

 

4,168,869

 

Pipelines – 0.8%

 

 

 

 

 

 

Duke Capital LLC

 

 

 

 

 

 

 

4.370% 03/01/09

 

1,415,000

 

1,420,690

 

 

8


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

ENERGY – (continued)

 

 

 

 

 

 

Pipelines – (continued)

 

 

 

 

 

 

Kinder Morgan Energy Partners LP

 

 

 

 

 

 

 

6.950% 01/15/38(c)

 

1,945,000

 

2,020,262

 

ONEOK Partners LP

 

 

 

 

 

 

 

6.850% 10/15/37

 

835,000

 

850,723

 

Plains All American Pipeline LP

 

 

 

 

 

 

 

6.650% 01/15/37

 

2,385,000

 

2,372,734

 

TEPPCO Partners LP

 

 

 

 

 

 

 

7.625% 02/15/12

 

1,311,000

 

1,470,102

 

TransCanada Pipelines Ltd.

 

 

 

 

 

 

 

6.350% 05/15/67(b)

 

5,900,000

 

5,493,838

 

Pipelines Total

 

13,628,349

 

ENERGY TOTAL

 

42,785,818

 

FINANCIALS – 7.9%

 

 

 

 

 

 

Banks – 2.2%

 

 

 

 

 

 

HSBC Bank USA

 

 

 

 

 

 

 

3.875% 09/15/09

 

4,145,000

 

4,144,900

 

Lloyds TSB Group PLC

 

 

 

 

 

 

 

6.267% 12/31/49(b)(d)

 

2,455,000

 

2,171,050

 

M&I Marshall & Ilsley Bank

 

 

 

 

 

 

 

5.300% 09/08/11

 

5,130,000

 

5,250,560

 

PNC Funding Corp.

 

 

 

 

 

 

 

5.125% 12/14/10(c)

 

3,105,000

 

3,184,010

 

 

5.625% 02/01/17

 

1,745,000

 

1,738,296

 

Regions Financial Corp.

 

 

 

 

 

 

 

4.500% 08/08/08

 

1,885,000

 

1,892,681

 

Regions Financing Trust II

 

 

 

 

 

 

 

6.625% 05/15/47(b)

 

1,075,000

 

851,972

 

Scotland International Finance

 

 

 

 

 

 

 

4.250% 05/23/13(d)

 

1,700,000

 

1,625,377

 

Union Planters Corp.

 

 

 

 

 

 

 

4.375% 12/01/10

 

2,155,000

 

2,164,822

 

USB Capital IX

 

 

 

 

 

 

 

6.189% 04/15/42(b)

 

3,500,000

 

2,782,500

 

Wachovia Bank N.A.

 

 

 

 

 

 

 

6.600% 01/15/38

 

1,540,000

 

1,529,665

 

Wachovia Capital Trust III

 

 

 

 

 

 

 

5.800% 03/15/42(b)

 

1,460,000

 

1,153,400

 

Wachovia Corp.

 

 

 

 

 

 

 

5.625% 12/15/08

 

2,790,000

 

2,826,532

 

 

9


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

FINANCIALS – (continued)

 

 

 

 

 

 

Banks – (continued)

 

 

 

 

 

 

Wells Fargo & Co.

 

 

 

 

 

 

 

5.300% 08/26/11(c)

 

4,520,000

 

4,698,608

 

Banks Total

 

36,014,373

 

Diversified Financial Services – 3.5%

 

 

 

 

 

American Express Centurion Bank

 

 

 

 

 

 

 

4.375% 07/30/09(c)

 

1,265,000

 

1,275,297

 

Bear Stearns Companies, Inc.

 

 

 

 

 

 

 

5.550% 01/22/17(c)

 

655,000

 

573,209

 

Capital One Capital IV

 

 

 

 

 

 

 

6.745% 02/17/37(b)

 

3,965,000

 

2,705,625

 

Capital One Financial Corp.

 

 

 

 

 

 

 

5.700% 09/15/11

 

4,485,000

 

4,133,923

 

 

6.750% 09/15/17(c)

 

510,000

 

484,655

 

CIT Group, Inc.

 

 

 

 

 

 

 

5.850% 09/15/16(c)

 

2,325,000

 

1,916,026

 

Eaton Vance Corp.

 

 

 

 

 

 

 

6.500% 10/02/17

 

1,970,000

 

2,056,828

 

Ford Motor Credit Co.

 

 

 

 

 

 

 

7.375% 10/28/09

 

5,915,000

 

5,696,228

 

 

7.375% 02/01/11

 

1,630,000

 

1,488,721

 

Goldman Sachs Group, Inc.

 

 

 

 

 

 

 

6.250% 09/01/17(c)

 

895,000

 

948,995

 

 

6.750% 10/01/37

 

1,435,000

 

1,407,807

 

HSBC Finance Corp.

 

 

 

 

 

 

 

5.158% 11/16/09(b)(c)

 

7,540,000

 

7,338,622

 

 

5.875% 02/01/09(c)

 

945,000

 

963,425

 

International Lease Finance Corp.

 

 

 

 

 

 

 

4.750% 07/01/09

 

630,000

 

632,752

 

 

4.875% 09/01/10(c)

 

2,280,000

 

2,317,444

 

JPMorgan Chase & Co.

 

 

 

 

 

 

 

5.375% 10/01/12(c)

 

3,350,000

 

3,480,704

 

 

6.000% 01/15/18(a)

 

3,520,000

 

3,653,063

 

Merrill Lynch & Co., Inc.

 

 

 

 

 

 

 

5.450% 02/05/13

 

1,955,000

 

1,958,040

 

 

5.700% 05/02/17

 

3,850,000

 

3,713,741

 

 

6.050% 08/15/12(c)

 

645,000

 

671,193

 

Morgan Stanley

 

 

 

 

 

 

 

5.750% 10/18/16

 

4,630,000

 

4,627,296

 

SLM Corp.

 

 

 

 

 

 

 

3.541% 07/25/08(b)

 

4,345,000

 

4,250,183

 

 

10


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

FINANCIALS – (continued)

 

 

 

 

 

 

Diversified Financial Services – (continued)

 

 

 

 

 

 

5.000% 10/01/13

 

150,000

 

129,295

 

 

5.375% 05/15/14

 

2,590,000

 

2,246,934

 

Diversified Financial Services Total

 

58,670,006

 

Insurance – 0.8%

 

 

 

 

 

 

Hartford Life Global Funding Trusts

 

 

 

 

 

 

 

5.161% 09/15/09(b)

 

3,530,000

 

3,530,967

 

ING Groep NV

 

 

 

 

 

 

 

5.775% 12/29/49(b)

 

2,845,000

 

2,652,524

 

Liberty Mutual Group, Inc.

 

 

 

 

 

 

 

7.500% 08/15/36(d)

 

4,615,000

 

4,534,967

 

Prudential Financial, Inc.

 

 

 

 

 

 

 

4.750% 04/01/14

 

2,900,000

 

2,840,591

 

Insurance Total

 

13,559,049

 

Real Estate – 0.2%

 

 

 

 

 

 

ERP Operating LP

 

 

 

 

 

 

 

5.750% 06/15/17

 

3,655,000

 

3,366,968

 

Real Estate Total

 

3,366,968

 

Real Estate Investment Trusts (REITs) – 1.2%

 

 

 

 

 

Camden Property Trust

 

 

 

 

 

 

 

5.375% 12/15/13

 

1,744,000

 

1,692,078

 

Health Care Property Investors, Inc.

 

 

 

 

 

 

 

6.300% 09/15/16

 

3,450,000

 

3,146,607

 

 

7.072% 06/08/15

 

2,380,000

 

2,391,291

 

Highwoods Properties, Inc.

 

 

 

 

 

 

 

5.850% 03/15/17

 

995,000

 

890,591

 

Hospitality Properties Trust

 

 

 

 

 

 

 

5.625% 03/15/17

 

2,140,000

 

1,942,919

 

iStar Financial, Inc.

 

 

 

 

 

 

 

5.800% 03/15/11

 

3,000,000

 

2,680,302

 

Liberty Property LP

 

 

 

 

 

 

 

5.500% 12/15/16

 

2,975,000

 

2,732,769

 

Simon Property Group LP

 

 

 

 

 

 

 

5.450% 03/15/13(c)

 

3,555,000

 

3,509,595

 

Real Estate Investment Trusts (REITs) Total

 

18,986,152

 

 

11


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

FINANCIALS – (continued)

 

 

 

 

 

 

Savings & Loans – 0.0%

 

 

 

 

 

 

World Savings Bank

 

 

 

 

 

 

 

4.500% 06/15/09

 

630,000

 

637,336

 

Savings & Loans Total

 

637,336

 

FINANCIALS TOTAL

 

131,233,884

 

INDUSTRIAL – 0.9%

 

 

 

 

 

 

Aerospace & Defense – 0.2%

 

 

 

 

 

 

Raytheon Co.

 

 

 

 

 

 

 

7.200% 08/15/27

 

2,595,000

 

2,940,371

 

Aerospace & Defense Total

 

2,940,371

 

Machinery – 0.1%

 

 

 

 

 

 

John Deere Capital Corp.

 

 

 

 

 

 

 

4.950% 12/17/12

 

1,035,000

 

1,066,373

 

Machinery Total

 

1,066,373

 

Transportation – 0.6%

 

 

 

 

 

 

BNSF Funding Trust I

 

 

 

 

 

 

 

6.613% 12/15/55(b)(c)

 

800,000

 

730,987

 

Burlington Northern Santa Fe Corp.

 

 

 

 

 

 

 

6.200% 08/15/36

 

785,000

 

759,528

 

 

7.950% 08/15/30

 

1,260,000

 

1,464,570

 

Union Pacific Corp.

 

 

 

 

 

 

 

5.700% 08/15/18

 

1,835,000

 

1,834,431

 

 

6.650% 01/15/11

 

5,550,000

 

5,884,060

 

Transportation Total

 

10,673,576

 

INDUSTRIAL TOTAL

 

14,680,320

 

TECHNOLOGY – 0.1%

 

 

 

 

 

 

Software – 0.1%

 

 

 

 

 

 

Oracle Corp.

 

 

 

 

 

 

 

5.000% 01/15/11(c)

 

2,455,000

 

2,515,074

 

Software Total

 

2,515,074

 

TECHNOLOGY TOTAL

 

2,515,074

 

UTILITIES – 2.2%

 

 

 

 

 

 

Electric – 1.7%

 

 

 

 

 

 

American Electric Power Co., Inc.

 

 

 

 

 

 

 

5.250% 06/01/15

 

1,465,000

 

1,457,329

 

Carolina Power & Light Co.

 

 

 

 

 

 

 

5.125% 09/15/13

 

2,545,000

 

2,647,673

 

Commonwealth Edison Co.

 

 

 

 

 

 

 

4.700% 04/15/15

 

1,250,000

 

1,195,725

 

 

12


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

UTILITIES– (continued)

 

 

 

 

 

 

Electric – (continued)

 

 

 

 

 

 

 

5.900% 03/15/36

 

790,000

 

737,554

 

 

5.950% 08/15/16

 

2,825,000

 

2,903,592

 

 

6.950% 07/15/18

 

1,575,000

 

1,620,281

 

Duke Energy Corp.

 

 

 

 

 

 

 

5.300% 10/01/15

 

2,400,000

 

2,464,205

 

Exelon Generation Co. LLC

 

 

 

 

 

 

 

6.200% 10/01/17(c)

 

1,000,000

 

1,015,424

 

FPL Energy National Wind LLC

 

 

 

 

 

 

 

5.608% 03/10/24(d)

 

868,420

 

878,251

 

Hydro Quebec

 

 

 

 

 

 

 

8.500% 12/01/29

 

2,240,000

 

3,215,672

 

MidAmerican Energy Holdings Co.

 

 

 

 

 

 

 

5.875% 10/01/12

 

2,855,000

 

3,035,656

 

Pacific Gas & Electric Co.

 

 

 

 

 

 

 

6.050% 03/01/34

 

2,230,000

 

2,214,836

 

Progress Energy, Inc.

 

 

 

 

 

 

 

7.750% 03/01/31

 

1,345,000

 

1,589,301

 

Southern California Edison Co.

 

 

 

 

 

 

 

5.000% 01/15/16

 

2,500,000

 

2,490,855

 

Southern Power Co.

 

 

 

 

 

 

 

6.375% 11/15/36

 

850,000

 

830,521

 

Electric Total

 

28,296,875

 

Gas – 0.5%

 

 

 

 

 

 

Atmos Energy Corp.

 

 

 

 

 

 

 

4.950% 10/15/14(c)

 

3,475,000

 

3,362,090

 

 

6.350% 06/15/17

 

1,760,000

 

1,811,594

 

Nakilat, Inc.

 

 

 

 

 

 

 

6.067% 12/31/33(d)

 

1,895,000

 

1,771,048

 

Southern California Gas Co.

 

 

 

 

 

 

 

5.294% 12/01/09(b)

 

2,080,000

 

2,058,075

 

Gas Total

 

9,002,807

 

UTILITIES TOTAL

 

37,299,682

 

 

 

 

 

 

Total Corporate Fixed-Income Bonds &
Notes
(cost of $302,330,307)

 

295,990,936

 

Asset-Backed Securities – 16.3%

 

 

 

 

 

 

ACE Securities Corp.

 

 

 

 

 

 

 

3.506% 05/25/36(b)

 

3,050,000

 

2,921,138

 

AmeriCredit Automobile Receivables Trust

 

 

 

 

 

 

 

3.930% 10/06/11

 

3,443,450

 

3,364,986

 

 

4.730% 07/06/10

 

2,500,000

 

2,518,308

 

 

13


 

 

 

 

Par ($)

 

Value ($)

 

Asset-Backed Securities – (continued)

 

 

 

 

 

 

Americredit Prime Automobile Receivable

 

 

 

 

 

 

 

5.220% 06/08/12

 

9,850,000

 

9,886,805

 

Bay View Auto Trust

 

 

 

 

 

 

 

5.310% 06/25/14

 

2,550,000

 

2,552,845

 

Bombardier Capital Mortgage Securitization Corp.

 

 

 

 

 

 

 

6.230% 04/15/28

 

3,088

 

3,218

 

Capital Auto Receivables Asset Trust

 

 

 

 

 

 

 

5.500% 04/20/10(d)

 

1,850,000

 

1,878,470

 

 

5.730% 03/15/11

 

4,000,000

 

3,983,622

 

Capital One Master Trust

 

 

 

 

 

 

 

Series 2002-1A, Class A

 

 

 

 

 

 

4.436% 11/15/11(b)

 

10,000,000

 

9,979,715

 

Capital One Prime Auto Receivables Trust

 

 

 

 

 

 

 

4.890% 01/17/12

 

5,855,000

 

5,981,533

 

Carmax Auto Owner Trust

 

 

 

 

 

 

 

5.370% 06/15/12

 

2,125,000

 

2,034,600

 

Centex Home Equity

 

 

 

 

 

 

 

3.646% 10/25/35(b)

 

770,394

 

769,126

 

Chase Credit Card Master Trust

 

 

 

 

 

 

 

4.346% 02/15/11(b)

 

10,000,000

 

9,976,975

 

Chase Issuance Trust

 

 

 

 

 

 

 

4.960% 09/17/12

 

8,340,000

 

8,604,601

 

Chase Manhattan Auto Owner Trust

 

 

 

 

 

 

 

2.830% 09/15/10

 

705,912

 

705,610

 

Citibank Credit Card Issuance Trust

 

 

 

 

 

 

 

5.350% 02/07/20(a)

 

8,600,000

 

8,559,236

 

Citibank Credit Card Master Trust I

 

 

 

 

 

 

 

5.875% 03/10/11

 

4,000,000

 

4,112,643

 

CitiFinancial Mortgage Securities, Inc.

 

 

 

 

 

 

 

2.645% 04/25/34

 

978,124

 

962,902

 

Citigroup Mortgage Loan Trust, Inc.

 

 

 

 

 

 

 

5.517% 08/25/35

 

2,800,000

 

2,559,764

 

 

5.598% 03/25/36

 

1,900,000

 

1,917,876

 

 

5.666% 08/25/35

 

1,885,000

 

1,561,841

 

Countrywide Asset-Backed Certificates

 

 

 

 

 

 

 

3.486% 06/25/21(b)

 

4,869,241

 

4,546,546

 

 

3.496% 01/25/37(b)

 

2,674,610

 

2,630,194

 

 

5.393% 04/25/36(b)

 

45,000

 

42,448

 

Countrywide Home Equity Loan Trust

 

 

 

 

 

 

 

4.456% 01/15/34(b)

 

1,098,394

 

950,090

 

 

14


 

 

 

 

Par ($)

 

Value ($)

 

Asset-Backed Securities – (continued)

 

 

 

 

 

 

Credit-Based Asset Servicing and Securitization

 

 

 

 

 

 

 

5.545% 11/25/35

 

2,950,000

 

2,890,709

 

Equity One ABS, Inc.

 

 

 

 

 

 

 

3.716% 07/25/34(b)

 

416,020

 

398,370

 

First Plus Home Loan Trust

 

 

 

 

 

 

 

7.720% 05/10/24

 

20,860

 

20,746

 

Ford Credit Auto Owner Trust

 

 

 

 

 

 

 

4.080% 06/15/10

 

3,500,000

 

3,504,873

 

 

5.150% 11/15/11

 

6,525,000

 

6,692,219

 

 

5.680% 06/15/12

 

2,300,000

 

2,204,134

 

Fremont Home Loan Trust

 

 

 

 

 

 

 

3.476% 05/25/36(b)

 

3,251,663

 

3,194,444

 

 

3.486% 02/25/36(b)

 

6,925,000

 

6,741,512

 

GE Capital Credit Card Master Note Trust

 

 

 

 

 

 

 

4.130% 06/15/13

 

8,491,000

 

8,600,453

 

 

4.246% 06/15/11(b)

 

10,000,000

 

9,994,331

 

GE Equipment Small Ticket LLC

 

 

 

 

 

 

 

4.620% 12/22/14(d)

 

729,920

 

736,551

 

 

5.120% 06/22/15(d)

 

2,748,721

 

2,772,719

 

Green Tree Financial Corp.

 

 

 

 

 

 

 

8.250% 07/15/27(b)

 

545,098

 

578,322

 

GS Auto Loan Trust

 

 

 

 

 

 

 

4.980% 11/15/13

 

1,303,763

 

1,303,599

 

GSAA Trust

 

 

 

 

 

 

 

3.456% 03/25/37(b)

 

6,868,364

 

6,746,675

 

 

4.316% 11/25/34(b)

 

1,600,499

 

1,572,180

 

HSBC Asset Loan Obligation

 

 

 

 

 

 

 

3.436% 12/25/36(b)

 

6,426,814

 

6,179,553

 

Hyundai Auto Receivables Trust

 

 

 

 

 

 

 

4.200% 02/15/12

 

2,125,977

 

2,136,600

 

JPMorgan Mortgage Acquisition Corp.

 

 

 

 

 

 

 

5.488% 10/25/35

 

3,651,000

 

3,683,486

 

Long Beach Auto Receivables Trust

 

 

 

 

 

 

 

4.522% 06/15/12

 

3,000,000

 

3,032,033

 

Merrill Lynch Mortgage Investors, Inc.

 

 

 

 

 

 

 

3.526% 05/25/37(b)

 

4,063,721

 

2,362,009

 

Nomura Home Equity Loan, Inc.

 

 

 

 

 

 

 

3.496% 03/25/36(b)

 

2,000,000

 

1,957,747

 

Oakwood Mortgage Investors, Inc.

 

 

 

 

 

 

 

7.100% 08/15/27

 

456,805

 

467,667

 

Onyx Acceptance Grantor Trust

 

 

 

 

 

 

 

3.890% 02/15/11

 

886,896

 

887,159

 

 

15


 

 

 

 

Par ($)

 

Value ($)

 

Asset-Backed Securities – (continued)

 

 

 

 

 

 

Origen Manufactured Housing

 

 

 

 

 

 

 

4.490% 05/15/18

 

781,077

 

791,483

 

Renaissance Home Equity Loan Trust

 

 

 

 

 

 

 

5.565% 02/25/36

 

11,465,000

 

11,495,801

 

Residential Asset Mortgage Products, Inc.

 

 

 

 

 

 

 

3.446% 05/25/36(b)

 

2,665,463

 

2,634,197

 

 

5.670% 10/25/34

 

2,037,165

 

1,786,246

 

Residential Funding Mortgage Securities II, Inc.

 

 

 

 

 

 

 

4.700% 08/25/34

 

1,152,232

 

1,142,427

 

 

5.110% 09/25/35

 

2,500,000

 

2,038,871

 

Small Business Administration

 

 

 

 

 

 

 

4.340% 03/01/24

 

10,060,231

 

9,968,563

 

 

4.500% 03/01/23

 

4,929,653

 

4,989,917

 

 

4.890% 09/01/22

 

4,128,856

 

4,239,927

 

 

5.110% 04/01/25

 

3,347,015

 

3,434,931

 

 

5.180% 05/01/24

 

6,475,305

 

6,722,828

 

 

5.240% 08/01/23

 

4,780,834

 

4,979,888

 

 

5.310% 08/01/22

 

5,453,224

 

5,680,545

 

 

5.520% 06/01/24

 

3,015,422

 

3,171,320

 

 

5.570% 03/01/26

 

2,518,713

 

2,652,180

 

 

5.660% 07/01/22

 

2,450,379

 

2,577,882

 

 

6.000% 09/01/18

 

1,931,327

 

2,009,205

 

Soundview Home Equity Loan Trust

 

 

 

 

 

 

 

3.466% 07/25/36(b)

 

7,602,509

 

7,471,542

 

USAA Auto Owner Trust

 

 

 

 

 

 

 

4.900% 02/15/12

 

8,675,000

 

8,846,627

 

Wachovia Auto Loan Owner Trust

 

 

 

 

 

 

 

5.650% 02/20/13

 

5,000,000

 

4,821,451

 

Wells Fargo Financial Auto Owner Trust

 

 

 

 

 

 

 

2.670% 08/16/10

 

2,515,127

 

2,514,766

 

WFS Financial Owner Trust

 

 

 

 

 

 

 

2.810% 08/22/11

 

2,786,470

 

2,785,602

 

 

4.620% 11/19/12

 

3,500,000

 

3,544,182

 

 

 

 

 

 

 

 

 

Total Asset-Backed Securities
(cost of $274,457,327)

 

 

 

271,963,564

 

Collateralized Mortgage Obligations – 6.0%

 

 

 

 

 

AGENCY – 1.0%

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

 

 

 

 

 

I.O.,:

 

 

 

 

 

 

5.500% 01/15/23

 

61,424

 

128

 

 

5.500% 05/15/27

 

946,096

 

52,404

 

 

16


 

 

 

 

Par ($)

 

Value ($)

 

Collateralized Mortgage Obligations – (continued)

 

 

 

 

 

AGENCY – (continued)

 

 

 

 

 

 

Federal National Mortgage Association

 

 

 

 

 

 

 

4.717% 08/25/12

 

4,288,059

 

4,384,881

 

 

5.500% 09/25/35

 

5,164,797

 

5,208,094

 

Government National Mortgage Association

 

 

 

 

 

 

 

4.374% 04/16/33

 

3,000,000

 

3,034,066

 

 

4.763% 01/16/25

 

3,432,767

 

3,497,284

 

Vendee Mortgage Trust

 

 

 

 

 

 

 

I.O.,:

 

 

 

 

 

 

0.304% 03/15/29(b)

 

8,726,330

 

51,813

 

 

0.442% 09/15/27(b)

 

6,734,978

 

54,249

 

AGENCY TOTAL

 

16,282,919

 

NON - AGENCY – 5.0%

 

 

 

 

 

 

American Home Mortgage Investment Trust

 

 

 

 

 

 

 

3.486% 06/25/36(b)

 

3,910,714

 

3,874,561

 

Chaseflex Trust

 

 

 

 

 

 

 

5.500% 02/25/35

 

4,659,307

 

4,712,446

 

 

5.500% 06/25/35

 

6,597,900

 

6,593,484

 

Citigroup Mortgage Loan Trust, Inc.

 

 

 

 

 

 

 

5.677% 04/25/37(b)

 

17,786,102

 

17,958,327

 

 

5.786% 11/25/36(b)

 

15,472,624

 

15,646,084

 

Countrywide Alternative Loan Trust

 

 

 

 

 

 

 

5.500% 09/25/35

 

4,748,234

 

3,585,308

 

First Horizon Alternative Mortgage Securities

 

 

 

 

 

 

 

6.000% 01/25/35

 

4,678,599

 

4,706,381

 

GMAC Mortgage Corp. Loan Trust

 

 

 

 

 

 

 

5.638% 04/19/36(b)

 

2,428,041

 

2,349,652

 

GSAA Trust

 

 

 

 

 

 

 

3.519% 11/25/33(b)

 

204,083

 

203,701

 

JPMorgan Alternative Loan Trust

 

 

 

 

 

 

 

5.750% 12/25/36(b)

 

6,498,962

 

6,004,835

 

JPMorgan Mortgage Trust

 

 

 

 

 

 

 

4.972% 07/25/34(b)

 

4,474,012

 

4,237,489

 

 

4.989% 10/25/35(b)

 

3,500,000

 

3,554,075

 

Residential Funding Mortgage Securities I

 

 

 

 

 

 

 

5.773% 07/27/37(b)

 

8,122,952

 

8,209,625

 

Rural Housing Trust

 

 

 

 

 

 

 

6.330% 04/01/26

 

32,111

 

32,118

 

 

17


 

 

 

 

Par ($)

 

Value ($)

 

Collateralized Mortgage Obligations – (continued)

 

 

 

 

 

NON - AGENCY – (continued)

 

 

 

 

 

 

Washington Mutual, Inc.

 

 

 

 

 

 

 

4.671% 04/25/35(b)

 

2,500,000

 

2,525,568

 

NON - AGENCY TOTAL

 

84,193,654

 

 

 

 

 

 

Total Collateralized Mortgage
Obligations
(cost of $101,739,268)

 

 

 

100,476,573

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities – 5.9%

 

 

 

 

 

Bear Stearns Commercial Mortgage Securities

 

 

 

 

 

 

 

5.588% 09/11/42

 

9,635,000

 

9,638,913

 

 

5.934% 09/11/38(b)

 

7,500,000

 

7,246,648

 

Citigroup Commercial Mortgage Trust

 

 

 

 

 

 

 

4.733% 10/15/41

 

3,765,000

 

3,653,969

 

Citigroup/Deutsche Bank Commercial Mortgage Trust

 

 

 

 

 

 

 

5.648% 10/15/48

 

11,000,000

 

10,423,425

 

Credit Suisse Mortgage Capital Certificates

 

 

 

 

 

 

 

5.695% 09/15/40(b)

 

8,745,000

 

8,730,925

 

Greenwich Capital Commercial Funding Corp.

 

 

 

 

 

 

 

5.597% 12/10/49

 

8,905,000

 

8,864,171

 

 

6.109% 07/10/38(b)

 

6,545,000

 

6,402,704

 

JPMorgan Chase Commercial Mortgage Securities Corp.

 

 

 

 

 

 

 

4.780% 07/15/42

 

3,000,000

 

2,713,881

 

 

4.878% 01/15/42

 

2,000,000

 

1,951,366

 

 

5.312% 08/15/42(b)(d)

 

2,500,000

 

1,809,375

 

 

5.565% 04/15/43(b)

 

5,700,000

 

5,185,016

 

LB-UBS Commercial Mortgage Trust

 

 

 

 

 

 

 

5.124% 11/15/32(b)

 

6,865,000

 

6,855,488

 

Merrill Lynch Mortgage Investors, Inc.

 

 

 

 

 

 

 

I.O.,

 

 

 

 

 

 

0.966% 12/15/30(b)

 

9,448,035

 

118,023

 

Merrill Lynch/Countrywide Commercial Mortgage Trust

 

 

 

 

 

 

 

5.700% 09/12/49

 

6,430,000

 

6,422,355

 

Morgan Stanley Capital I

 

 

 

 

 

 

 

4.970% 12/15/41

 

7,949,000

 

7,876,484

 

 

5.948% 10/15/42(b)

 

5,595,000

 

5,402,925

 

 

18


 

 

 

 

Par ($)

 

Value ($)

 

Commercial Mortgage-Backed Securities – (continued)

 

 

 

 

 

Wachovia Bank Commercial Mortgage Trust

 

 

 

 

 

 

 

6.160% 06/15/45(b)

 

4,355,000

 

4,272,975

 

 

 

 

 

 

 

 

 

Total Commercial Mortgage-Backed
Securities
(cost of $101,097,760)

 

97,568,643

 

 

 

 

 

Shares

 

 

 

Securities Lending Collateral – 6.7%

 

 

 

 

 

 

 

State Street Navigator Securities Lending Prime Portfolio (g) (7 day yield of 4.147%)

 

111,721,431

 

111,721,431

 

 

 

 

 

 

 

 

 

Total Securities Lending Collateral
(cost of $111,721,431)

 

111,721,431

 

 

 

 

 

Par ($)

 

 

 

Short-Term Obligation – 2.4%

 

 

 

 

 

 

 

Repurchase agreement with Fixed Income Clearing Corp., dated 01/31/08, due 02/01/08, at 2.740%, collateralized by U.S. Government Agency Obligations with various maturities to 09/15/29, market value $40,887,300 (repurchase proceeds $40,086,051)

 

40,083,000

 

40,083,000

 

 

 

 

 

 

 

 

 

Total Short-Term Obligation
(cost of $40,083,000)

 

 

 

40,083,000

 

 

19


 

 

Total Investments – 114.0%
(cost of $1,886,388,869)(h)(i)

 

 

 

$

1,898,188,425

 

 

 

 

 

 

 

 

 

Other Assets & Liabilities, Net – (14.0)%

 

(232,724,848)

 

 

 

 

 

 

 

Net Assets – 100.0%

 

 

 

$

1,665,463,577

 

 

 

Notes to Investment Portfolio:

 

 

*

Security Valuation:

Debt securities generally are valued by pricing services approved by the Fund’s Board of Trustees, based upon market transactions for normal, institutional-size trading units of similar securities.  The services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes.  Debt securities for which quotations are readily available are valued at an over-the-counter or exchange bid quotation.  Certain debt securities, which tend to be more thinly traded and of lesser quality, are priced based on fundamental analysis of the financial condition of the issuer and the estimated value of any collateral.  Valuations developed through pricing techniques may vary from the actual amounts realized upon sale of the securities, and the potential variation may be greater for those securities valued using fundamental analysis.

 

Short-term debt obligations maturing within 60 days are valued at amortized cost, which approximates market value.

 

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

 

Credit default swaps are marked to market daily based upon quotations from market makers.

 

Investments for which market quotations are not readily available, or that have quotations which management believes are not reliable, are valued at fair value as determined in good faith under consistently applied procedures established by and under the general supervision of the Board of Trustees. If a security is valued at fair value, such value is likely to be different from the last quoted market price for the security.

 

 

 

 

 

 

(a)

Security purchased on a delayed delivery basis.

 

 

 

 

 

 

(b)

The interest rate shown on floating rate or variable rate securities reflects the rate at January 31, 2008.

 

 

 

 

 

 

(c)

All or a portion of this security was on loan at January 31, 2008. The total market value of securities on loan at January 31, 2008 is $104,953,019.

 

 

 

 

 

 

(d)

The security or a portion of the security is pledged as collateral for open futures contracts.  At January 31, 2008, the total market value of securities pledged amounted to $1,491,458.

 

 

 

 

 

 

(e)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2008, these securities, which are not illiquid, amounted to $35,313,097, which represents 2.2% of net assets.

 

 

 

 

 

 

(f)

A portion of this security is pledged as collateral for credit default swaps.

 

 

 

 

 

 

(g)

Investment made with cash collateral received from securities lending activity.

 

 

 

 

(h)

Cost for federal income tax purposes is $1,886,245,061.

 

 

 

 

(i)

Unrealized appreciation and depreciation at January 31, 2008, based on cost of investments for federal income tax purposes was:

 

Unrealized

 

Unrealized

 

Net Unrealized

 

Appreciation

 

Depreciation

 

Appreciation

 

$

33,139,955

 

$

(21,196,591

)

$

11,943,364

 

 

20


 

At January 31, 2008, the Fund held the following open long futures contract:

 

 

 

Number of

 

 

 

Aggregate

 

Expiration

 

Unrealized

 

Type

 

Contracts

 

Value

 

Face Value

 

Date

 

Appreciation

 

2-Year U.S. Treasury Notes

 

1,000

 

$

213,218,750

 

$

211,214,188

 

Mar-2008

 

$

2,004,562

 

5-Year U.S. Treasury Notes

 

2,265

 

255,945,000

 

248,447,225

 

Mar-2008

 

7,497,775

 

10-Year U.S. Treasury Notes

 

450

 

52,523,438

 

51,713,963

 

Mar-2008

 

809,475

 

 

 

 

 

 

 

 

 

 

 

$

10,311,812

 

 

At January 31, 2008, the Fund held the following open short futures contract:

 

 

 

Number of

 

 

 

Aggregate

 

Expiration

 

Unrealized

 

Type

 

Contracts

 

Value

 

Face Value

 

Date

 

(Depreciation)

 

U.S. Treasury Bonds

 

400

 

$

47,725,000

 

$

46,890,284

 

Mar-2008

 

$

(834,716

)

10- Year U.S. Treasury Notes

 

1,750

 

204,257,813

 

198,453,715

 

Mar-2008

 

(5,804,098

)

 

 

 

 

 

 

 

 

 

 

$

(6,638,814

)

 

At January 31, 2008, the Fund has entered into the following credit default  swap contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Unrealized

 

Swap

 

Referenced

 

Buy/Sale

 

Receive/Pay

 

Expiration

 

Notional

 

Appreciation

 

CounterParty

 

Obligation

 

Protection

 

Fixed Rate

 

Date

 

Amount

 

(Depreciation)

 

Morgan Stanley

 

Limited Brands, Inc. 6.15% 12/01/12

 

Sale

 

1.970

%

12/20/20

 

$

1,000,000

 

$

40,425

 

Merrill Lynch

 

Conagra Foods, Inc. 7.000% 10/01/28

 

Sale

 

0.530

%

03/20/13

 

1,300,000

 

(1,502

)

Barclays

 

SLM Corp.
5.125% 08/27/12

 

Buy

 

(4.750

)%

03/20/09

 

2,200,000

 

6,409

 

 

 

 

 

 

 

 

 

 

 

 

 

$

45,332

 

 

 

Acronym

 

Name

 

 

 

 

 

I.O.

 

Interest Only

 

TBA

 

To Be Announced

 

21


 

Item 2.

Controls and Procedures.

 

 

(a)

The registrant’s principal executive officer and principal financial officers, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-Q is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.

 

 

(b)

There was no change in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

 

Item 3.

Exhibits.

 

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

 


 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(registrant)

 

Columbia Funds Series Trust I

 

 

 

 

 

By (Signature and Title)

 

/s/ Christopher L. Wilson

 

 

 

Christopher L. Wilson, President

 

 

 

 

 

Date

 

March 26, 2008

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By (Signature and Title)

 

/s/ Christopher L. Wilson

 

 

 

Christopher L. Wilson, President

 

 

 

 

 

 

 

Date

 

March 26, 2008

 

 

 

By (Signature and Title)

 

/s/ J. Kevin Connaughton

 

 

 

J. Kevin Connaughton, Treasurer

 

 

 

 

 

 

 

Date

 

March 26, 2008