N-Q 1 a09-20558_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

811-04367

 

 

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:

April 30

 

 

 

 

Date of reporting period:

July 31, 2009

 

 


 

Item 1. Schedule of Investments.

 


 

INVESTMENT PORTFOLIO

 

 

July 31, 2009 (Unaudited)

 

Columbia Core Bond Fund

 

 

 

 

Par ($)

 

Value ($)*

 

Mortgage-Backed Securities — 30.3%

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

 

 

 

 

 

5.500% 01/01/37

 

85,547,828

 

88,743,798

 

 

5.602% 08/01/37(a)

 

9,162,024

 

9,626,147

 

 

5.704% 06/01/37(a)

 

8,276,116

 

8,708,023

 

 

5.714% 06/01/36(a)

 

11,066,416

 

11,634,581

 

 

7.000% 12/01/10

 

11,121

 

11,555

 

 

7.000% 12/01/14

 

32,505

 

34,860

 

 

7.000% 11/01/25

 

4,031

 

4,472

 

 

7.000% 03/01/27

 

3,236

 

3,548

 

 

7.000% 10/01/31

 

28,822

 

31,380

 

 

7.500% 09/01/25

 

1,741

 

1,941

 

 

7.500% 10/01/29

 

86,831

 

96,940

 

 

8.000% 06/01/26

 

2,158

 

2,442

 

 

9.500% 04/01/11

 

133

 

142

 

 

9.500% 09/01/16

 

827

 

920

 

 

10.000% 05/01/11

 

1,777

 

1,864

 

Federal National Mortgage Association

 

 

 

 

 

 

 

4.000% 03/01/39

 

12,741,636

 

12,510,169

 

 

4.500% 02/01/39

 

23,665,889

 

23,835,272

 

 

4.838% 04/01/38(a)

 

8,360,785

 

8,664,003

 

 

4.897% 04/01/38(a)

 

8,842,130

 

9,169,327

 

 

5.000% 03/01/37

 

27,320,766

 

28,002,959

 

 

5.000% 03/01/38

 

10,342,697

 

10,595,522

 

 

5.199% 08/01/36(a)

 

118,388

 

120,426

 

 

5.240% 09/01/12

 

2,324,340

 

2,466,147

 

 

5.500% 02/01/37

 

7,195,174

 

7,463,978

 

 

5.636% 10/01/37(a)

 

7,637,708

 

8,025,809

 

 

5.764% 09/01/37(a)

 

7,331,473

 

7,694,600

 

 

6.000% 11/01/38

 

110,004,748

 

115,592,590

 

 

6.500% 09/01/36

 

6,728,792

 

7,208,761

 

 

6.500% 09/01/37

 

14,562,329

 

15,594,243

 

 

6.500% 10/01/37

 

1,163,695

 

1,246,156

 

 

6.500% 03/01/38

 

7,281,746

 

7,797,745

 

 

7.000% 06/01/32

 

12,551

 

13,782

 

 

7.500% 10/01/15

 

21,600

 

23,483

 

 

7.500% 01/01/30

 

12,102

 

13,464

 

 

7.500% 03/01/30

 

19,036

 

21,180

 

 

7.785% 02/01/19

 

1,716,684

 

1,883,813

 

 

8.000% 12/01/09

 

1

 

1

 

 

8.000% 12/01/29

 

243,810

 

275,683

 

 

8.000% 02/01/30

 

18,205

 

20,591

 

 

1


 

 

 

 

Par ($)

 

Value ($)

 

Mortgage-Backed Securities — (continued)

 

 

 

 

 

 

 

8.000% 03/01/30

 

59,417

 

67,206

 

 

8.000% 04/01/30

 

32,415

 

36,664

 

 

8.000% 05/01/30

 

5,151

 

5,826

 

 

8.500% 08/01/17

 

1,109

 

1,209

 

 

10.000% 10/01/20

 

67,201

 

73,892

 

 

10.000% 12/01/20

 

146,598

 

163,755

 

Government National Mortgage Association

 

 

 

 

 

 

 

4.500% 07/15/39

 

25,447,371

 

25,681,066

 

 

4.625% 07/20/21(a)

 

43,980

 

45,086

 

 

4.625% 07/20/22(a)

 

52,577

 

53,816

 

 

5.000% 04/20/39

 

57,373,150

 

59,004,264

 

 

5.375% 04/20/22(a)

 

220,386

 

226,735

 

 

7.000% 05/15/12

 

23,987

 

25,601

 

 

7.000% 09/15/13

 

27,446

 

29,370

 

 

7.000% 11/15/22

 

51,054

 

55,911

 

 

7.000% 10/15/23

 

24,547

 

26,843

 

 

7.000% 06/15/26

 

163,784

 

179,650

 

 

7.000% 10/15/27

 

18,325

 

20,113

 

 

7.000% 05/15/28

 

28,249

 

31,021

 

 

7.000% 06/15/28

 

6,917

 

7,595

 

 

7.000% 12/15/28

 

37,412

 

41,084

 

 

7.000% 08/15/29

 

20,328

 

22,361

 

 

7.000% 02/15/30

 

4,479

 

4,929

 

 

7.000% 05/15/32

 

147,463

 

161,224

 

 

7.500% 04/15/26

 

111,278

 

124,228

 

 

7.500% 02/15/27

 

13,763

 

15,373

 

 

7.500% 09/15/29

 

425,090

 

475,171

 

 

7.500% 03/15/30

 

81,110

 

90,691

 

 

8.000% 06/15/25

 

3,676

 

4,157

 

 

8.000% 10/15/25

 

17,489

 

19,777

 

 

8.000% 01/15/26

 

11,597

 

13,126

 

 

8.000% 02/15/26

 

2,215

 

2,507

 

 

8.000% 05/15/26

 

2,129

 

2,410

 

 

8.000% 06/15/26

 

10,588

 

11,975

 

 

8.000% 03/15/27

 

18,284

 

20,689

 

 

9.000% 11/15/17

 

37,832

 

41,224

 

 

9.500% 08/15/20

 

1,815

 

2,043

 

 

9.500% 12/15/20

 

1,232

 

1,387

 

 

10.000% 05/15/16

 

2,703

 

2,952

 

 

10.000% 07/15/17

 

14,397

 

15,974

 

 

2


 

 

 

 

Par ($)

 

Value ($)

 

Mortgage-Backed Securities — (continued)

 

 

 

 

 

 

 

10.000% 08/15/17

 

3,779

 

4,193

 

 

11.500% 06/15/13

 

15,457

 

17,145

 

 

 

 

 

 

 

Total Mortgage-Backed Securities
(cost of $463,853,268)

 

473,972,560

 

Corporate Fixed-Income Bonds & Notes — 24.0%

 

 

 

 

 

BASIC MATERIALS — 0.8%

 

 

 

 

 

 

Chemicals — 0.3%

 

 

 

 

 

 

Dow Chemical Co.

 

 

 

 

 

 

 

5.700% 05/15/18

 

2,485,000

 

2,298,496

 

 

8.550% 05/15/19

 

1,250,000

 

1,371,369

 

Lubrizol Corp.

 

 

 

 

 

 

 

6.500% 10/01/34

 

1,000,000

 

906,213

 

Chemicals Total

 

4,576,078

 

Iron/Steel — 0.5%

 

 

 

 

 

 

ArcelorMittal

 

 

 

 

 

 

 

9.850% 06/01/19

 

3,835,000

 

4,438,015

 

Nucor Corp.

 

 

 

 

 

 

 

5.000% 06/01/13

 

2,000,000

 

2,125,996

 

 

5.850% 06/01/18

 

1,560,000

 

1,676,565

 

Iron/Steel Total

 

8,240,576

 

BASIC MATERIALS TOTAL

 

12,816,654

 

COMMUNICATIONS — 3.0%

 

 

 

 

 

 

Media — 1.7%

 

 

 

 

 

 

Comcast Corp.

 

 

 

 

 

 

 

5.700% 05/15/18

 

1,680,000

 

1,787,016

 

 

6.550% 07/01/39

 

5,580,000

 

6,071,319

 

 

6.950% 08/15/37

 

3,560,000

 

4,043,626

 

News America, Inc.

 

 

 

 

 

 

 

6.400% 12/15/35

 

1,920,000

 

1,914,954

 

 

6.550% 03/15/33

 

575,000

 

583,707

 

Time Warner Cable, Inc.

 

 

 

 

 

 

 

7.300% 07/01/38

 

2,630,000

 

3,017,288

 

Time Warner, Inc.

 

 

 

 

 

 

 

6.500% 11/15/36

 

3,505,000

 

3,518,845

 

 

6.875% 05/01/12

 

2,815,000

 

3,072,581

 

Viacom, Inc.

 

 

 

 

 

 

 

5.750% 04/30/11

 

1,635,000

 

1,708,183

 

 

6.875% 04/30/36

 

250,000

 

262,830

 

Media Total

 

25,980,349

 

Telecommunication Services — 1.3%

 

 

 

 

 

AT&T, Inc.

 

 

 

 

 

 

 

5.625% 06/15/16

 

2,275,000

 

2,431,288

 

 

3


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

COMMUNICATIONS — (CONTINUED)

 

 

 

 

 

 

Telecommunication Services — (continued)

 

 

 

 

 

 

6.550% 02/15/39

 

2,535,000

 

2,814,509

 

BellSouth Corp.

 

 

 

 

 

 

 

5.200% 09/15/14

 

765,000

 

815,798

 

British Telecommunications PLC

 

 

 

 

 

 

 

5.150% 01/15/13

 

565,000

 

581,865

 

Telefonica Emisiones SAU

 

 

 

 

 

 

 

6.221% 07/03/17

 

1,325,000

 

1,470,566

 

 

6.421% 06/20/16

 

2,500,000

 

2,804,505

 

Verizon Wireless Capital LLC

 

 

 

 

 

 

 

5.550% 02/01/14(b)

 

6,010,000

 

6,536,151

 

 

8.500% 11/15/18(b)

 

2,450,000

 

3,111,265

 

Telecommunication Services Total

 

20,565,947

 

COMMUNICATIONS TOTAL

 

46,546,296

 

CONSUMER CYCLICAL — 1.1%

 

 

 

 

 

 

Airlines — 0.1%

 

 

 

 

 

 

Continental Airlines, Inc.

 

 

 

 

 

 

 

7.461% 04/01/15

 

665,228

 

578,748

 

Airlines Total

 

578,748

 

Home Builders — 0.0%

 

 

 

 

 

 

D.R. Horton, Inc.

 

 

 

 

 

 

 

5.625% 09/15/14

 

365,000

 

324,850

 

Home Builders Total

 

324,850

 

Retail — 1.0%

 

 

 

 

 

 

Best Buy Co., Inc.

 

 

 

 

 

 

 

6.750% 07/15/13

 

2,745,000

 

2,875,009

 

CVS Pass-Through Trust

 

 

 

 

 

 

 

5.298% 01/11/27(b)

 

757,180

 

654,256

 

 

6.036% 12/10/28

 

2,807,413

 

2,597,980

 

 

8.353% 07/10/31(b)

 

4,605,000

 

4,757,103

 

Macy’s Retail Holdings, Inc.

 

 

 

 

 

 

 

5.350% 03/15/12

 

455,000

 

446,240

 

McDonald’s Corp.

 

 

 

 

 

 

 

5.000% 02/01/19

 

510,000

 

531,517

 

 

5.700% 02/01/39

 

1,900,000

 

1,941,116

 

 

4


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

CONSUMER CYCLICAL — (CONTINUED)

 

 

 

 

 

Retail — (continued)

 

 

 

 

 

 

Starbucks Corp.

 

 

 

 

 

 

 

6.250% 08/15/17

 

2,050,000

 

2,088,755

 

Retail Total

 

15,891,976

 

CONSUMER CYCLICAL TOTAL

 

16,795,574

 

CONSUMER NON-CYCLICAL — 2.2%

 

 

 

 

 

 

Beverages — 0.5%

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide, Inc.

 

 

 

 

 

 

 

7.750% 01/15/19(b)(c)

 

810,000

 

946,077

 

 

8.000% 11/15/39(b)

 

2,705,000

 

3,335,817

 

 

8.200% 01/15/39(b)

 

930,000

 

1,169,726

 

SABMiller PLC

 

 

 

 

 

 

 

6.200% 07/01/11(b)

 

2,755,000

 

2,925,882

 

Beverages Total

 

8,377,502

 

Food — 0.5%

 

 

 

 

 

 

Campbell Soup Co.

 

 

 

 

 

 

 

4.500% 02/15/19

 

2,470,000

 

2,489,014

 

ConAgra Foods, Inc.

 

 

 

 

 

 

 

7.000% 10/01/28

 

3,160,000

 

3,389,072

 

Kraft Foods, Inc.

 

 

 

 

 

 

 

6.500% 08/11/17

 

1,405,000

 

1,561,393

 

Food Total

 

7,439,479

 

Healthcare Services — 0.4%

 

 

 

 

 

 

Roche Holdings, Inc.

 

 

 

 

 

 

 

6.000% 03/01/19(b)

 

4,230,000

 

4,691,108

 

WellPoint, Inc.

 

 

 

 

 

 

 

7.000% 02/15/19

 

1,700,000

 

1,815,607

 

Healthcare Services Total

 

6,506,715

 

Household Products/Wares — 0.3%

 

 

 

 

 

Clorox Co.

 

 

 

 

 

 

 

5.950% 10/15/17

 

900,000

 

956,832

 

Fortune Brands, Inc.

 

 

 

 

 

 

 

5.125% 01/15/11

 

3,815,000

 

3,880,046

 

Household Products/Wares Total

 

4,836,878

 

Pharmaceuticals — 0.5%

 

 

 

 

 

 

Novartis Securities Investment Ltd.

 

 

 

 

 

 

 

5.125% 02/10/19

 

3,640,000

 

3,834,354

 

 

5

 


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

CONSUMER NON-CYCLICAL — (CONTINUED)

 

 

 

 

 

Pharmaceuticals — (continued)

 

 

 

 

 

Wyeth

 

 

 

 

 

 

 

5.500% 02/15/16

 

3,680,000

 

3,902,725

 

Pharmaceuticals Total

 

7,737,079

 

CONSUMER NON-CYCLICAL TOTAL

 

34,897,653

 

ENERGY — 3.7%

 

 

 

 

 

 

Oil & Gas — 1.7%

 

 

 

 

 

 

Canadian Natural Resources Ltd.

 

 

 

 

 

 

 

6.250% 03/15/38

 

1,445,000

 

1,574,140

 

Devon Energy Corp.

 

 

 

 

 

 

 

6.300% 01/15/19

 

1,230,000

 

1,349,160

 

Gazprom International SA

 

 

 

 

 

 

 

7.201% 02/01/20

 

176,498

 

173,851

 

Hess Corp.

 

 

 

 

 

 

 

7.300% 08/15/31

 

1,980,000

 

2,171,468

 

Marathon Oil Corp.

 

 

 

 

 

 

 

6.000% 07/01/12

 

3,065,000

 

3,257,111

 

 

7.500% 02/15/19

 

1,160,000

 

1,339,561

 

Nexen, Inc.

 

 

 

 

 

 

 

5.875% 03/10/35

 

1,995,000

 

1,781,738

 

 

7.500% 07/30/39

 

1,500,000

 

1,609,747

 

Qatar Petroleum

 

 

 

 

 

 

 

5.579% 05/30/11(b)

 

1,242,378

 

1,274,462

 

Ras Laffan Liquefied Natural Gas Co., Ltd. III

 

 

 

 

 

 

 

5.832% 09/30/16(b)

 

2,130,000

 

2,143,760

 

Talisman Energy, Inc.

 

 

 

 

 

 

 

5.850% 02/01/37(c)

 

855,000

 

757,630

 

 

7.750% 06/01/19

 

4,595,000

 

5,374,441

 

Valero Energy Corp.

 

 

 

 

 

 

 

6.625% 06/15/37

 

1,500,000

 

1,333,037

 

 

6.875% 04/15/12

 

1,807,000

 

1,943,916

 

Oil & Gas Total

 

26,084,022

 

Oil & Gas Services — 0.7%

 

 

 

 

 

 

Halliburton Co.

 

 

 

 

 

 

 

5.900% 09/15/18

 

2,040,000

 

2,235,461

 

Smith International, Inc.

 

 

 

 

 

 

 

9.750% 03/15/19

 

1,855,000

 

2,243,624

 

Weatherford International Ltd.

 

 

 

 

 

 

 

5.150% 03/15/13

 

4,500,000

 

4,625,163

 

 

6


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

ENERGY — (CONTINUED)

 

 

 

 

 

Oil & Gas Services — (continued)

 

 

 

 

 

 

7.000% 03/15/38

 

1,090,000

 

1,121,409

 

Oil & Gas Services Total

 

10,225,657

 

Pipelines — 1.3%

 

 

 

 

 

 

Enbridge Energy Partners LP

 

 

 

 

 

 

 

7.500% 04/15/38

 

1,060,000

 

1,209,387

 

Energy Transfer Partners LP

 

 

 

 

 

 

 

6.000% 07/01/13

 

3,195,000

 

3,351,143

 

 

8.500% 04/15/14

 

2,175,000

 

2,513,334

 

Kinder Morgan Energy Partners LP

 

 

 

 

 

 

 

5.625% 02/15/15

 

1,275,000

 

1,347,149

 

 

6.950% 01/15/38

 

1,945,000

 

2,105,752

 

ONEOK Partners LP

 

 

 

 

 

 

 

6.850% 10/15/37

 

835,000

 

881,626

 

Plains All American Pipeline LP

 

 

 

 

 

 

 

6.500% 05/01/18

 

3,325,000

 

3,576,782

 

TEPPCO Partners LP

 

 

 

 

 

 

 

7.625% 02/15/12

 

1,311,000

 

1,437,723

 

TransCanada Pipelines Ltd.

 

 

 

 

 

 

 

6.350% 05/15/67(a)

 

5,985,000

 

4,668,300

 

Pipelines Total

 

21,091,196

 

ENERGY TOTAL

 

57,400,875

 

FINANCIALS — 8.9%

 

 

 

 

 

 

Banks — 5.7%

 

 

 

 

 

 

ANZ National International Ltd.

 

 

 

 

 

 

 

6.200% 07/19/13(b)

 

2,515,000

 

2,616,636

 

Bank of New York Mellon Corp.

 

 

 

 

 

 

 

5.450% 05/15/19

 

5,530,000

 

5,829,378

 

Capital One Capital IV

 

 

 

 

 

 

 

6.745% 02/17/37(a)

 

4,415,000

 

3,178,800

 

Capital One Capital V

 

 

 

 

 

 

 

10.250% 08/15/39

 

1,980,000

 

2,014,650

 

Capital One Financial Corp.

 

 

 

 

 

 

 

5.700% 09/15/11

 

3,135,000

 

3,243,342

 

 

7.375% 05/23/14

 

825,000

 

894,387

 

Citigroup, Inc.

 

 

 

 

 

 

 

5.000% 09/15/14

 

810,000

 

724,939

 

 

6.125% 08/25/36

 

1,205,000

 

907,681

 

 

6.875% 03/05/38

 

2,805,000

 

2,477,679

 

 

8.125% 07/15/39

 

4,825,000

 

4,860,179

 

 

8.500% 05/22/19

 

2,955,000

 

3,146,224

 

 

7


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

FINANCIALS — (CONTINUED)

 

 

 

 

 

Banks — (continued)

 

 

 

 

 

Comerica Bank

 

 

 

 

 

 

 

5.200% 08/22/17

 

2,425,000

 

1,992,736

 

 

5.750% 11/21/16

 

545,000

 

459,073

 

Deutsche Bank AG

 

 

 

 

 

 

 

4.875% 05/20/13

 

5,880,000

 

6,143,118

 

Fifth Third Bank

 

 

 

 

 

 

 

4.200% 02/23/10

 

2,565,000

 

2,585,943

 

JPMorgan Chase Capital XX

 

 

 

 

 

 

 

6.550% 09/29/36

 

1,485,000

 

1,266,696

 

JPMorgan Chase Capital XXII

 

 

 

 

 

 

 

6.450% 02/02/37

 

1,930,000

 

1,627,654

 

KeyBank NA

 

 

 

 

 

 

 

5.800% 07/01/14

 

1,920,000

 

1,772,680

 

Keycorp

 

 

 

 

 

 

 

6.500% 05/14/13(c)

 

4,180,000

 

4,150,840

 

Lloyds TSB Group PLC

 

 

 

 

 

 

 

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

 

1,425,000

 

598,500

 

M&I Marshall & Ilsley Bank

 

 

 

 

 

 

 

5.300% 09/08/11

 

2,490,000

 

2,293,345

 

Merrill Lynch & Co., Inc.

 

 

 

 

 

 

 

5.700% 05/02/17(d)

 

3,850,000

 

3,396,558

 

 

6.050% 08/15/12(d)

 

645,000

 

664,407

 

 

6.150% 04/25/13(d)

 

2,200,000

 

2,259,704

 

 

7.750% 05/14/38(d)

 

2,075,000

 

2,080,409

 

Morgan Stanley

 

 

 

 

 

 

 

7.300% 05/13/19

 

2,755,000

 

3,103,395

 

National Australia Bank Ltd.

 

 

 

 

 

 

 

5.350% 06/12/13(b)

 

3,530,000

 

3,723,042

 

National City Bank of Cleveland

 

 

 

 

 

 

 

6.200% 12/15/11

 

715,000

 

741,667

 

National City Bank of Kentucky

 

 

 

 

 

 

 

6.300% 02/15/11

 

1,275,000

 

1,289,308

 

National City Corp.

 

 

 

 

 

 

 

4.900% 01/15/15

 

655,000

 

624,157

 

 

6.875% 05/15/19

 

2,135,000

 

2,094,593

 

Northern Trust Co.

 

 

 

 

 

 

 

6.500% 08/15/18

 

1,620,000

 

1,778,741

 

Northern Trust Corp.

 

 

 

 

 

 

 

5.500% 08/15/13

 

1,865,000

 

2,018,335

 

 

8


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

FINANCIALS — (CONTINUED)

 

 

 

 

 

Banks — (continued)

 

 

 

 

 

Scotland International Finance No. 2

 

 

 

 

 

 

4.250% 05/23/13(b)

 

1,700,000

 

1,423,502

 

Union Planters Corp.

 

 

 

 

 

 

 

4.375% 12/01/10

 

1,665,000

 

1,612,937

 

USB Capital IX

 

 

 

 

 

 

 

6.189% 04/15/42(a)

 

3,415,000

 

2,441,725

 

Wachovia Capital Trust III

 

 

 

 

 

 

 

5.800% 03/29/49(a)

 

360,000

 

235,800

 

Wachovia Corp.

 

 

 

 

 

 

 

5.500% 05/01/13

 

2,975,000

 

3,117,702

 

 

5.750% 02/01/18

 

3,700,000

 

3,813,808

 

Banks Total

 

89,204,270

 

Diversified Financial Services — 0.7%

 

 

 

 

 

Ameriprise Financial, Inc.

 

 

 

 

 

 

 

7.300% 06/28/19

 

2,485,000

 

2,647,330

 

Discover Financial Services

 

 

 

 

 

 

 

10.250% 07/15/19

 

1,255,000

 

1,321,348

 

Eaton Vance Corp.

 

 

 

 

 

 

 

6.500% 10/02/17

 

1,970,000

 

1,944,853

 

International Lease Finance Corp.

 

 

 

 

 

 

 

4.875% 09/01/10

 

2,867,000

 

2,453,335

 

 

5.650% 06/01/14

 

525,000

 

365,876

 

Lehman Brothers Holdings, Inc.

 

 

 

 

 

 

 

5.625% 01/24/13(e)(f)

 

6,620,000

 

1,175,050

 

 

6.875% 05/02/18(e)(f)

 

505,000

 

89,638

 

Diversified Financial Services Total

 

9,997,430

 

Insurance — 2.0%

 

 

 

 

 

 

Hartford Life Global Funding Trusts

 

 

 

 

 

 

 

0.799% 09/15/09(a)

 

3,530,000

 

3,528,863

 

ING Groep NV

 

 

 

 

 

 

 

5.775% 12/29/49(a)

 

2,845,000

 

1,792,350

 

Liberty Mutual Group, Inc.

 

 

 

 

 

 

 

7.500% 08/15/36(b)

 

4,615,000

 

3,369,712

 

Lincoln National Corp.

 

 

 

 

 

 

 

8.750% 07/01/19

 

6,415,000

 

7,062,126

 

MetLife, Inc.

 

 

 

 

 

 

 

10.750% 08/01/39

 

1,980,000

 

2,118,600

 

New York Life Global Funding

 

 

 

 

 

 

 

4.650% 05/09/13(b)

 

1,600,000

 

1,641,973

 

 

9


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

FINANCIALS — (CONTINUED)

 

 

 

 

 

Insurance — (continued)

 

 

 

 

 

Principal Life Income Funding Trusts

 

 

 

 

 

 

 

5.300% 04/24/13

 

5,930,000

 

5,989,377

 

Prudential Financial, Inc.

 

 

 

 

 

 

 

7.375% 06/15/19

 

5,855,000

 

6,204,315

 

Insurance Total

 

31,707,316

 

Real Estate Investment Trusts (REITs) — 0.2%

 

 

 

 

Camden Property Trust

 

 

 

 

 

 

 

5.375% 12/15/13

 

1,744,000

 

1,606,212

 

Highwoods Properties, Inc.

 

 

 

 

 

 

 

5.850% 03/15/17

 

995,000

 

811,801

 

Hospitality Properties Trust

 

 

 

 

 

 

 

5.625% 03/15/17

 

1,665,000

 

1,285,025

 

Real Estate Investment Trusts (REITs) Total

 

3,703,038

 

Savings & Loans — 0.3%

 

 

 

 

 

 

Wachovia Mortgage FSB

 

 

 

 

 

 

 

4.125% 12/15/09

 

3,905,000

 

3,950,255

 

Savings & Loans Total

 

3,950,255

 

FINANCIALS TOTAL

 

138,562,309

 

INDUSTRIALS — 1.5%

 

 

 

 

 

 

Aerospace & Defense — 0.4%

 

 

 

 

 

 

Boeing Co.

 

 

 

 

 

 

 

6.000% 03/15/19

 

1,660,000

 

1,818,527

 

Raytheon Co.

 

 

 

 

 

 

 

7.200% 08/15/27

 

2,595,000

 

3,068,595

 

United Technologies Corp.

 

 

 

 

 

 

 

6.125% 02/01/19

 

355,000

 

399,009

 

Aerospace & Defense Total

 

5,286,131

 

Machinery — 0.5%

 

 

 

 

 

 

Caterpillar Financial Services Corp.

 

 

 

 

 

 

 

4.250% 02/08/13

 

2,830,000

 

2,860,417

 

 

5.450% 04/15/18

 

1,485,000

 

1,511,059

 

 

6.200% 09/30/13

 

300,000

 

319,900

 

Caterpillar, Inc.

 

 

 

 

 

 

 

8.250% 12/15/38

 

2,040,000

 

2,605,284

 

John Deere Capital Corp.

 

 

 

 

 

 

 

4.950% 12/17/12

 

1,035,000

 

1,105,917

 

Machinery Total

 

8,402,577

 

Transportation — 0.6%

 

 

 

 

 

 

BNSF Funding Trust I

 

 

 

 

 

 

 

6.613% 12/15/55(a)

 

800,000

 

640,000

 

 

10


 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

INDUSTRIALS — (CONTINUED)

 

 

 

 

 

Transportation — (continued)

 

 

 

 

 

Burlington Northern Santa Fe Corp.

 

 

 

 

 

 

 

7.950% 08/15/30

 

1,260,000

 

1,527,259

 

Union Pacific Corp.

 

 

 

 

 

 

 

5.700% 08/15/18

 

1,835,000

 

1,917,883

 

 

6.650% 01/15/11

 

5,550,000

 

5,819,824

 

Transportation Total

 

9,904,966

 

INDUSTRIALS TOTAL

 

23,593,674

 

TECHNOLOGY — 0.5%

 

 

 

 

 

 

Networking Products — 0.2%

 

 

 

 

 

 

Cisco Systems, Inc.

 

 

 

 

 

 

 

5.900% 02/15/39

 

2,900,000

 

3,081,584

 

Networking Products Total

 

3,081,584

 

Software — 0.3%

 

 

 

 

 

 

Oracle Corp.

 

 

 

 

 

 

 

5.000% 01/15/11(c)

 

2,455,000

 

2,568,728

 

 

6.500% 04/15/38

 

2,500,000

 

2,890,517

 

Software Total

 

5,459,245

 

TECHNOLOGY TOTAL

 

8,540,829

 

UTILITIES — 2.3%

 

 

 

 

 

 

Electric — 1.7%

 

 

 

 

 

 

American Electric Power Co., Inc.

 

 

 

 

 

 

 

5.250% 06/01/15

 

1,465,000

 

1,461,184

 

Carolina Power & Light Co.

 

 

 

 

 

 

 

5.125% 09/15/13

 

2,545,000

 

2,721,195

 

Commonwealth Edison Co.

 

 

 

 

 

 

 

5.900% 03/15/36

 

790,000

 

826,126

 

 

5.950% 08/15/16

 

2,825,000

 

3,051,585

 

 

6.150% 09/15/17

 

1,200,000

 

1,316,071

 

 

6.950% 07/15/18

 

1,575,000

 

1,722,820

 

Consolidated Edison Co. of New York, Inc.

 

 

 

 

 

 

 

6.750% 04/01/38

 

1,330,000

 

1,564,405

 

Duke Energy Corp.

 

 

 

 

 

 

 

5.300% 10/01/15

 

2,400,000

 

2,528,318

 

Exelon Generation Co. LLC

 

 

 

 

 

 

 

6.200% 10/01/17

 

1,000,000

 

1,058,820

 

FPL Energy National Wind LLC

 

 

 

 

 

 

 

5.608% 03/10/24(b)

 

773,480

 

680,662

 

Hydro Quebec

 

 

 

 

 

 

 

8.500% 12/01/29

 

1,195,000

 

1,573,960

 

 

11

 

 


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

UTILITIES — (CONTINUED)

 

 

 

 

 

Electric — (continued)

 

 

 

 

 

MidAmerican Energy Holdings Co.

 

 

 

 

 

 

 

5.875% 10/01/12

 

2,855,000

 

3,091,451

 

Oncor Electric Delivery Co.

 

 

 

 

 

 

 

5.950% 09/01/13

 

2,370,000

 

2,550,395

 

Southern California Edison Co.

 

 

 

 

 

 

 

5.000% 01/15/16

 

2,500,000

 

2,618,880

 

Electric Total

 

26,765,872

 

Gas — 0.6%

 

 

 

 

 

 

Atmos Energy Corp.

 

 

 

 

 

 

 

6.350% 06/15/17

 

1,760,000

 

1,854,179

 

 

8.500% 03/15/19

 

2,220,000

 

2,665,587

 

Nakilat, Inc.

 

 

 

 

 

 

 

6.067% 12/31/33(b)

 

1,895,000

 

1,519,525

 

Sempra Energy

 

 

 

 

 

 

 

6.500% 06/01/16

 

1,315,000

 

1,443,555

 

Southern California Gas Co.

 

 

 

 

 

 

 

0.838% 12/01/09(a)

 

2,080,000

 

2,081,770

 

Gas Total

 

9,564,616

 

UTILITIES TOTAL

 

36,330,488

 

 

 

 

 

 

 

Total Corporate Fixed-Income Bonds & Notes
(cost of $368,053,421)

 

375,484,352

 

Government & Agency Obligations — 23.3%

 

 

 

 

FOREIGN GOVERNMENT OBLIGATIONS — 2.2%

 

 

 

 

European Investment Bank

 

 

 

 

 

 

 

3.000% 04/08/14

 

3,295,000

 

3,319,433

 

 

5.125% 05/30/17

 

5,935,000

 

6,420,204

 

Export-Import Bank of Korea

 

 

 

 

 

 

 

5.500% 10/17/12

 

700,000

 

722,111

 

International Bank for Reconstruction & Development

 

 

 

 

 

 

 

5.000% 04/01/16

 

10,570,000

 

11,499,431

 

Pemex Project Funding Master Trust

 

 

 

 

 

 

 

5.750% 03/01/18

 

5,765,000

 

5,678,525

 

Province of Quebec

 

 

 

 

 

 

 

4.625% 05/14/18

 

6,395,000

 

6,359,955

 

FOREIGN GOVERNMENT OBLIGATIONS TOTAL

 

33,999,659

 

U.S. GOVERNMENT AGENCIES — 4.6%

 

 

 

 

 

 

Federal National Mortgage Association

 

 

 

 

 

 

 

3.625% 08/15/11

 

45,000,000

 

47,185,965

 

 

12


 

 

 

 

Par ($)

 

Value ($)

 

Government & Agency Obligations — (continued)

 

 

 

 

 

U.S. GOVERNMENT AGENCIES — (CONTINUED)

 

 

 

 

 

Resolution Funding Corp., STRIPS

 

 

 

 

 

 

 

(g) 10/15/19

 

11,225,000

 

7,157,408

 

 

(g) 10/15/20

 

10,840,000

 

6,417,269

 

 

(g) 01/15/21

 

19,755,000

 

11,528,524

 

U.S. GOVERNMENT AGENCIES TOTAL

 

72,289,166

 

U.S. GOVERNMENT OBLIGATIONS — 16.5%

 

 

 

 

 

U.S. Treasury Bonds

 

 

 

 

 

 

 

3.500% 02/15/39

 

5,175,000

 

4,472,339

 

 

4.250% 05/15/39

 

1,209,000

 

1,196,535

 

 

4.500% 05/15/38(h)

 

10,660,000

 

10,989,799

 

 

6.125% 11/15/27

 

19,500,000

 

24,045,937

 

U.S. Treasury Inflation Indexed Notes

 

 

 

 

 

 

 

1.625% 01/15/18

 

20,944,969

 

20,846,779

 

 

3.000% 07/15/12

 

3,062,448

 

3,233,755

 

U.S. Treasury Notes

 

 

 

 

 

 

 

0.875% 04/30/11

 

730,000

 

728,635

 

 

1.875% 06/15/12

 

500,000

 

504,415

 

 

2.625% 07/31/14(i)

 

183,525,000

 

184,314,157

 

 

3.125% 05/15/19

 

9,030,000

 

8,750,612

 

U.S. GOVERNMENT OBLIGATIONS TOTAL

 

259,082,963

 

 

 

 

 

 

 

Total Government & Agency Obligations
(cost of $362,857,580)

 

365,371,788

 

Asset-Backed Securities — 10.1%

 

 

 

 

 

 

American Express Credit Account Master Trust

 

 

 

 

 

 

 

0.328% 02/15/13(a)

 

7,460,000

 

7,380,443

 

AmeriCredit Automobile Receivables Trust

 

 

 

 

 

 

 

3.930% 10/06/11

 

1,169,690

 

1,171,826

 

Bay View Auto Trust

 

 

 

 

 

 

 

5.310% 06/25/14

 

2,550,000

 

2,522,666

 

BMW Vehicle Lease Trust

 

 

 

 

 

 

 

2.040% 04/15/11

 

5,175,000

 

5,192,991

 

Bombardier Capital Mortgage Securitization Corp.

 

 

 

 

 

 

 

6.230% 04/15/28

 

2,355

 

1,936

 

Capital Auto Receivables Asset Trust

 

 

 

 

 

 

 

5.500% 04/20/10(b)

 

1,235,668

 

1,235,668

 

 

5.730% 03/15/11

 

4,000,000

 

3,466,801

 

Capital One Multi-Asset Execution Trust

 

 

 

 

 

 

 

0.268% 08/15/12(a)

 

7,505,000

 

7,494,843

 

 

4.850% 11/15/13

 

3,675,000

 

3,800,362

 

 

13


 

 

 

 

Par ($)

 

Value ($)

 

Asset-Backed Securities — (continued)

 

 

 

 

 

 

4.850% 02/18/14

 

9,330,000

 

9,643,717

 

 

4.950% 08/15/12

 

6,215,000

 

6,266,076

 

Capital One Prime Auto Receivables Trust

 

 

 

 

 

 

 

4.890% 01/15/12

 

4,196,239

 

4,276,277

 

Chase Issuance Trust

 

 

 

 

 

 

 

0.538% 09/15/11(a)

 

17,310,000

 

17,306,773

 

 

2.400% 06/17/13

 

7,705,000

 

7,720,364

 

Citibank Credit Card Issuance Trust

 

 

 

 

 

 

 

0.743% 05/21/12(a)

 

2,405,000

 

2,388,973

 

CitiFinancial Mortgage Securities, Inc.

 

 

 

 

 

 

 

2.645% 04/25/34

 

275,193

 

263,012

 

Citigroup Mortgage Loan Trust, Inc.

 

 

 

 

 

 

 

5.517% 08/25/35

 

2,800,000

 

204,980

 

 

5.666% 08/25/35

 

1,885,000

 

112,875

 

Daimler Chrysler Auto Trust

 

 

 

 

 

 

 

4.940% 02/08/12

 

7,891,000

 

8,055,793

 

Discover Card Master Trust

 

 

 

 

 

 

 

5.100% 10/15/13

 

6,640,000

 

6,881,558

 

Equity One ABS, Inc.

 

 

 

 

 

 

 

0.625% 07/25/34(a)

 

416,020

 

163,599

 

First Plus Home Loan Trust

 

 

 

 

 

 

 

7.720% 05/10/24

 

14,375

 

14,363

 

Ford Credit Auto Owner Trust

 

 

 

 

 

 

 

5.150% 11/15/11

 

6,525,000

 

6,680,234

 

 

5.160% 04/15/13

 

9,405,000

 

9,748,862

 

 

5.680% 06/15/12

 

2,300,000

 

2,254,905

 

Franklin Auto Trust

 

 

 

 

 

 

 

5.360% 05/20/16

 

4,980,000

 

4,935,941

 

GE Capital Credit Card Master Note Trust

 

 

 

 

 

 

 

4.130% 06/15/13

 

3,966,000

 

4,012,716

 

GE Equipment Small Ticket LLC

 

 

 

 

 

 

 

5.120% 06/22/15(b)

 

961,703

 

892,283

 

Green Tree Financial Corp.

 

 

 

 

 

 

 

8.250% 07/15/27(a)

 

376,930

 

347,889

 

GSAA Trust

 

 

 

 

 

 

 

4.316% 11/25/34(a)

 

954,710

 

900,785

 

Honda Auto Receivables Owner Trust

 

 

 

 

 

 

 

2.310% 05/15/13

 

5,930,000

 

5,929,138

 

 

2.790% 01/15/13

 

3,140,000

 

3,162,516

 

 

4.470% 01/18/12

 

7,020,000

 

7,218,646

 

 

14


 

 

 

 

Par ($)

 

Value ($)

 

Asset-Backed Securities — (continued)

 

 

 

 

 

 

Long Beach Auto Receivables Trust

 

 

 

 

 

 

 

4.522% 06/15/12

 

1,410,058

 

1,397,992

 

Oakwood Mortgage Investors, Inc.

 

 

 

 

 

 

 

7.100% 08/15/27

 

126,236

 

123,490

 

Origen Manufactured Housing

 

 

 

 

 

 

 

4.490% 05/15/18

 

219,304

 

216,261

 

Residential Funding Mortgage Securities II, Inc.

 

 

 

 

 

 

 

4.700% 08/25/34

 

303,139

 

285,468

 

USAA Auto Owner Trust

 

 

 

 

 

 

 

4.280% 10/15/12

 

5,295,000

 

5,448,152

 

 

4.900% 02/15/12

 

5,376,435

 

5,469,865

 

Wachovia Auto Loan Owner Trust

 

 

 

 

 

 

 

5.650% 02/20/13

 

5,000,000

 

3,901,995

 

 

 

 

 

 

 

 

 

Total Asset-Backed Securities
(cost of $162,997,095)

 

 

 

158,493,034

 

Commercial Mortgage-Backed Securities — 9.7%

 

 

 

 

 

Bear Stearns Commercial Mortgage Securities

 

 

 

 

 

 

 

4.740% 03/13/40

 

14,889,000

 

14,983,950

 

 

4.933% 02/13/42(a)

 

2,707,000

 

2,595,120

 

 

5.145% 01/12/45

 

6,443,342

 

6,475,803

 

 

5.588% 09/11/42

 

9,635,000

 

9,001,338

 

 

5.742% 09/11/42(a)

 

2,540,000

 

2,266,055

 

Chase Commercial Mortgage Securities Corp.

 

 

 

 

 

 

 

6.275% 02/12/16(a)(b)

 

12,585,000

 

13,019,427

 

Citigroup Commercial Mortgage Trust

 

 

 

 

 

 

 

4.733% 10/15/41

 

3,765,000

 

3,381,203

 

Citigroup/Deutsche Bank Commercial Mortgage Trust

 

 

 

 

 

 

 

5.225% 07/15/44(a)

 

8,510,000

 

8,404,647

 

Greenwich Capital Commercial Funding Corp.

 

 

 

 

 

 

 

5.917% 07/10/38(a)

 

3,075,000

 

2,653,095

 

JPMorgan Chase Commercial Mortgage Securities Corp.

 

 

 

 

 

 

 

4.878% 01/15/42

 

2,000,000

 

1,779,144

 

 

5.255% 07/12/37(a)

 

3,875,000

 

3,863,953

 

 

5.440% 06/12/47

 

4,710,000

 

3,832,827

 

LB-UBS Commercial Mortgage Trust

 

 

 

 

 

 

 

4.853% 09/15/31

 

7,150,000

 

7,258,136

 

 

5.124% 11/15/32(a)

 

6,865,000

 

6,894,522

 

 

5.611% 04/15/41

 

3,213,796

 

3,278,000

 

 

15


 

 

 

 

Par ($)

 

Value ($)

 

Commercial Mortgage-Backed Securities — (continued)

 

 

 

 

 

Merrill Lynch Mortgage Investors, Inc.

 

 

 

 

 

 

 

I.O.,

 

 

 

 

 

 

0.511% 12/15/30(a)

 

3,884,112

 

59,773

 

Merrill Lynch Mortgage Trust

 

 

 

 

 

 

 

4.747% 06/12/43(a)

 

7,500,000

 

7,110,145

 

Morgan Stanley Capital I

 

 

 

 

 

 

 

4.970% 12/15/41

 

7,949,000

 

7,720,042

 

 

4.989% 08/13/42

 

3,940,000

 

3,782,779

 

 

5.208% 11/14/42(a)

 

3,495,000

 

3,347,335

 

 

5.328% 11/12/41

 

6,000,000

 

5,418,630

 

 

5.447% 02/12/44(a)

 

2,785,000

 

2,261,025

 

Morgan Stanley Dean Witter Capital I

 

 

 

 

 

 

 

4.920% 03/12/35

 

6,335,000

 

6,367,064

 

 

5.080% 09/15/37

 

3,695,000

 

3,682,688

 

 

5.980% 01/15/39

 

7,730,000

 

8,031,838

 

Wachovia Bank Commercial Mortgage Trust

 

 

 

 

 

 

 

5.037% 03/15/42

 

5,560,000

 

5,606,547

 

 

5.609% 03/15/45(a)

 

5,052,000

 

3,189,212

 

 

5.726% 06/15/45

 

3,059,726

 

3,106,210

 

 

5.997% 06/15/45

 

2,610,000

 

2,592,976

 

 

 

 

 

 

 

Total Commercial Mortgage-Backed Securities
(cost of $148,760,942)

 

151,963,484

 

Collateralized Mortgage Obligations — 0.4%

 

 

 

 

AGENCY — 0.4%

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

 

 

 

 

 

I.O.,

 

 

 

 

 

 

5.500% 05/15/27

 

127,194

 

1,167

 

Federal National Mortgage Association

 

 

 

 

 

 

 

4.717% 08/25/12

 

3,623,105

 

3,833,621

 

 

5.500% 09/25/35

 

2,641,395

 

2,698,309

 

Vendee Mortgage Trust

 

 

 

 

 

 

 

I.O.:

 

 

 

 

 

 

0.301% 03/15/29(a)

 

7,187,685

 

47,210

 

 

0.439% 03/15/28(a)

 

5,592,972

 

99,404

 

AGENCY TOTAL

 

6,679,711

 

NON - AGENCY — 0.0%

 

 

 

 

 

 

Countrywide Alternative Loan Trust

 

 

 

 

 

 

 

5.500% 09/25/35

 

4,688,453

 

365,271

 

NON-AGENCY TOTAL

 

365,271

 

 

 

 

 

 

 

Total Collateralized Mortgage Obligations
(cost of $10,864,510)

 

7,044,982

 

 

16


 

 

 

 

Par ($)

 

Value ($)

 

Municipal Bond — 0.2%

 

 

 

 

 

 

CALIFORNIA — 0.2%

 

 

 

 

 

 

CA State

 

 

 

 

 

 

 

Series 2009,

 

 

 

 

 

 

7.550% 04/01/39

 

2,360,000

 

2,465,067

 

CALIFORNIA TOTAL

 

2,465,067

 

 

 

 

 

 

 

 

 

Total Municipal Bonds
(cost of $2,219,941)

 

 

 

2,465,067

 

Short-Term Obligations — 2.2%

 

 

 

 

 

 

REPURCHASE AGREEMENT — 1.3%

 

 

 

 

 

 

 

Repurchase agreement with Fixed Income Clearing Corp., dated 07/31/09, due 08/03/09, at 0.120%, collateralized by a U.S. Government Agency obligation maturing 05/07/12, market value $20,351,406 (repurchase proceeds $19,949,199)

 

19,949,000

 

19,949,000

 

REPURCHASE AGREEMENT TOTAL

 

19,949,000

 

U.S. GOVERNMENT AGENCIES — 0.9%

 

 

 

 

 

 

Federal National Mortgage Association

 

 

 

 

 

 

 

4.600% 08/25/19(i)

 

5,585,000

 

5,636,661

 

 

TBA:

 

 

 

 

 

 

4.680% 09/25/19(i)

 

8,260,000

 

8,380,028

 

U.S. GOVERNMENT AGENCIES TOTAL

 

14,016,689

 

 

 

 

 

 

Total Short-Term Obligations
(cost of $33,826,571)

 

 

 

33,965,689

 

 

 

 

 

 

 

 

 

Total Investments — 100.2%
(cost of $1,553,433,328)(j)(k)

 

 

 

1,568,760,956

 

 

 

 

 

 

 

 

 

Other Assets & Liabilities, Net — (0.2)%

 

(3,667,396

)

 

 

 

 

 

 

Net Assets — 100.0%

 

 

 

1,565,093,560

 

 

17

 


 

 

Notes to Investment Portfolio:

 

 

 

 

* Security Valuation:

 

Debt securities generally are valued by pricing services approved by the Trust’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 investments maturing in 60 days or less are valued at amortized cost, which approximates market value.

 

Credit default swap contracts are marked to market daily based upon quotations from market makers. Quotations obtained from independent pricing services use information provided by market makers.

 

Swap agreements are stated at fair value.

 

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

 

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. The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine value.

 

 

 

 

The Fund has implemented Financial Accounting Standards Board (“FASB”) Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“SFAS 157”) which establishes a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value giving the highest priority to unadjusted quoted prices in active markets for identical securities (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the fair value hierarchy under SFAS 157 are described below:

 

 

 

 

 

·

Level 1 – quoted prices in active markets for identical securities

 

 

·

Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others)

 

 

·

Level 3 – prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or less reliable, unobservable inputs may be used.  Unobservable inputs may include management’s own assumptions about the factors market participants would use in pricing an investment.

 

 

 

 

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

 

 

 

 

The following table summarizes the inputs used, as of July 31, 2009, in valuing the Fund’s assets:

 

18


 

Description

 

Quoted Prices
(Level 1)

 

Other Significant
Observable
Inputs
(Level 2)

 

Significant
Unobservable Inputs
(Level 3)

 

Total

 

Mortgage-Backed Securities

 

$

—

 

$

473,972,560

 

$

—

 

$

473,972,560

 

Corporate Fixed-Income Bonds & Notes

 

 

 

 

 

 

 

 

 

Basic Materials

 

—

 

12,816,654

 

—

 

12,816,654

 

Communications

 

—

 

46,546,296

 

—

 

46,546,296

 

Consumer Cyclical

 

—

 

16,216,826

 

578,748

 

16,795,574

 

Consumer Non-Cyclical

 

—

 

34,897,653

 

—

 

34,897,653

 

Energy

 

—

 

57,400,875

 

—

 

57,400,875

 

Financials

 

—

 

138,562,309

 

—

 

138,562,309

 

Industrials

 

—

 

23,593,674

 

—

 

23,593,674

 

Technology

 

—

 

8,540,829

 

—

 

8,540,829

 

Utilities

 

—

 

36,330,488

 

—

 

36,330,488

 

Total Corporate Fixed-Income Bonds & Notes

 

—

 

374,905,604

 

578,748

 

375,484,352

 

Government & Agency Obligations

 

 

 

 

 

 

 

 

 

Foreign Government Obligations

 

—

 

33,999,659

 

—

 

33,999,659

 

U.S. Government Agencies

 

—

 

72,289,166

 

—

 

72,289,166

 

U.S. Government Obligations

 

259,082,963

 

—

 

—

 

259,082,963

 

Total Government & Agency Obligations

 

259,082,963

 

106,288,825

 

—

 

365,371,788

 

Asset-Backed Securities

 

—

 

158,493,034

 

—

 

158,493,034

 

Commercial Mortgage-Backed Securities

 

—

 

151,963,484

 

—

 

151,963,484

 

Collateralized Mortgage Obligations

 

 

 

 

 

 

 

 

 

Agency

 

—

 

6,679,711

 

—

 

6,679,711

 

Non - Agency

 

—

 

365,271

 

—

 

365,271

 

Total Collateralized Mortgage Obligations

 

—

 

7,044,982

 

—

 

7,044,982

 

Municipal Bond

 

—

 

2,465,067

 

—

 

2,465,067

 

Short-Term Obligations

 

—

 

33,965,689

 

—

 

33,965,689

 

Total Investments

 

259,082,963

 

1,309,099,245

 

578,748

 

1,568,760,956

 

Credit default swap contracts

 

—

 

(397,677

)

—

 

(397,677

)

Futures contracts

 

11,364

 

—

 

—

 

11,364

 

Total

 

$

259,094,327

 

$

1,308,701,568

 

$

578,748

 

$

1,568,374,643

 

 

 

 

The Fund’s assets assigned to the Level 2 input category include certain foreign securities for which a third party pricing service may be employed for purposes of fair market valuation.

 

The following table reconciles asset balances for the three month period ended July 31, 2009, in which significant unobservable inputs (Level 3) were used in determining value:

 

 

 

Investments in Securities

 

Balance as of
April 30, 2009

 

Accrued
Discounts/
Premiums

 

Realized Gain/
(Loss)

 

Change in
Unrealized
Appreciation
(Depreciation)

 

Net Purchases

 

Net Sales

 

Net Transfers
into Level 3

 

Net Transfers
out of Level 3

 

Balance as of
July 31, 2009

 

Corporate Fixed-Income Bonds & Notes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consumer Cyclical

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

485,617

 

$

—

 

$

—

 

$

93,131

 

$

—

 

$

—

 

$

—

 

$

—

 

$

578,748

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

485,617

 

$

—

 

$

—

 

$

93,131

 

$

—

 

$

—

 

$

—

 

$

—

 

$

578,748

 

 

 

 

 

The information in the above reconciliation represents fiscal year to date activity for any securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period.

 

The change in unrealized appreciation attributable to securities owned at July 31, 2009 which were valued using significant unobservable inputs (Level 3) amounted to $93,131.

 

 

 

(a)

The interest rate shown on floating rate or variable rate securities reflects the rate at July 31, 2009.

 

 

 

 

(b)

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 July 31, 2009, these securities, which are not illiquid, except for the following, amounted to $62,266,537, which represents 4.0% of net assets.

 

 

 

 

 

 

 

Acquisition

 

 

 

 

 

 

 

 

 

Security

 

Date

 

Par

 

Cost

 

Value

 

 

 

Qatar Petroleum

 

 

 

 

 

 

 

 

 

 

 

5.579%, 05/30/11

 

06/04/09

 

$

1,242,378

 

$

1,242,378

 

$

1,274,462

 

 

 

 

 

(c)

A portion of this security is pledged as collateral for credit default swap contracts. At July 31, 2009, the total market value of securities pledged amounted to $2,517,378.

 

 

 

 

(d)

Investments in affiliates during the three month period ended July 31, 2009:

 

19


 

 

 

Security name: Merrill Lynch & Co., Inc., 5.700% 05/02/17

 

 

 

 

 

 

 

 

 

 

Par as of 04/30/09:

 

$

3,850,000

 

 

 

Par purchased:

 

$

—

 

 

 

Par sold:

 

$

—

 

 

 

Par as of 07/31/09:

 

$

3,850,000

 

 

 

Net realized gain (loss):

 

$

—

 

 

 

Interest income earned:

 

$

54,863

 

 

 

Value at end of period:

 

$

3,396,558

 

 

 

 

 

 

 

 

 

Security name: Merrill Lynch & Co., Inc., 6.050% 08/15/12

 

 

 

 

 

 

 

 

 

 

Par as of 04/30/09:

 

$

645,000

 

 

 

Par purchased:

 

$

—

 

 

 

Par sold:

 

$

—

 

 

 

Par as of 07/31/09:

 

$

645,000

 

 

 

Net realized gain (loss):

 

$

—

 

 

 

Interest income earned:

 

$

9,756

 

 

 

Value at end of period:

 

$

664,407

 

 

 

 

 

 

 

 

 

Security name: Merrill Lynch & Co., Inc., 6.150% 04/25/13

 

 

 

 

 

 

 

 

 

 

Par as of 04/30/09:

 

$

2,200,000

 

 

 

Par purchased:

 

$

—

 

 

 

Par sold:

 

$

—

 

 

 

Par as of 07/31/09:

 

$

2,200,000

 

 

 

Net realized gain (loss):

 

$

—

 

 

 

Interest income earned:

 

$

33,825

 

 

 

Value at end of period:

 

$

2,259,704

 

 

 

 

 

 

 

 

 

Security name: Merrill Lynch & Co., Inc., 7.750% 05/14/38

 

 

 

 

 

 

 

 

 

 

Par as of 04/30/09:

 

$

2,075,000

 

 

 

Par purchased:

 

$

—

 

 

 

Par sold:

 

$

—

 

 

 

Par as of 07/31/09:

 

$

2,075,000

 

 

 

Net realized gain (loss):

 

$

—

 

 

 

Interest income earned:

 

$

40,203

 

 

 

Value at end of period:

 

$

2,080,409

 

 

 

 

 

 

As of 01/01/2009, Merrill Lynch & Co., Inc. is a wholly owned subsidiary of Bank of America Corporation and an affiliate of Columbia Management.

 

 

 

 

(e)

The issuer has filed for bankruptcy protection under Chapter 11 and is in default of certain debt covenants. Income is not being accrued. At July 31, 2009, the value of these securities amounted to $1,264,688, which represents 0.1% of net assets.

 

 

 

 

(f)

Represents fair value as determined in good faith under procedures approved by the Board of Trustees. The value of these securities amounted to $1,264,688, which represents 0.1% of net assets.

 

 

 

 

(g)

Zero coupon bond.

 

 

 

 

(h)

A portion of this security with a market value of $3,092,814 is pledged as collateral for open futures contracts.

 

 

 

 

(i)

Security purchased on a delayed delivery basis.

 

 

 

 

(j)

Cost for federal income tax purposes is $1,552,107,311.

 

 

 

 

(k)

Unrealized appreciation and depreciation at July 31, 2009 based on cost of investments for federal income tax purposes was:

 

20


 

 

 

Unrealized

 

Unrealized

 

Net Unrealized

 

 

 

Appreciation

 

Depreciation

 

Appreciation

 

 

 

$

48,346,587

 

$

(31,692,942

)

$

16,653,645

 

 

At July 31, 2009, the Fund has entered into the following credit default swap contracts:

 

Swap
Counterparty

 

Referenced
Obligation

 

Receive
Buy/Sell
Protection

 

Fixed Rate

 

Expiration Date

 

Notional
Amount

 

Upfront
Premiums
Paid
(Received)

 

Value of
Contract

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclays Capital

 

HSBC Finance Corp. 7.000% 05/15/12

 

Buy

 

5.000

%

06/20/14

 

$

1,620,000

 

$

(66,413

)

$

(39,358

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclays Capital

 

Macy’s, Inc.7.450% 07/15/17

 

Buy

 

5.000

%

06/20/14

 

3,405,000

 

(138,492

)

(200,872

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclays Capital

 

Limited Brands, Inc. 6.125% 12/01/12

 

Buy

 

6.150

%

03/20/14

 

500,000

 

—

 

(70,731

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

JPMorgan

 

Macy’s, Inc.7.450% 07/15/17

 

Buy

 

1.000

%

06/20/14

 

5,070,000

 

424,408

 

(35,748

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Morgan Stanley

 

Limited Brands, Inc. 6.125% 12/01/12

 

Buy

 

5.270

%

12/20/13

 

500,000

 

—

 

(50,968

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(397,677

)

 

At July 31, 2009, cash of $270,000 was pledged as collateral for open credit default swap contracts.

 

At July 31, 2009, the Fund held the following open long futures contracts:

 

Type

 

Number of
Contracts

 

Value

 

Aggregate Face
Value

 

Expiration Date

 

Unrealized
Appreciation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2-Year U.S. Treasury Note

 

150

 

$

32,486,719

 

$

32,222,363

 

Sept - 2009

 

$

264,356

 

5-Year U.S Treasury Note

 

600

 

69,229,688

 

67,705,090

 

Sept - 2009

 

1,524,598

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,788,954

 

 

At July 31, 2009, the Fund held the following open short futures contracts:

 

Type

 

Number of
Contracts

 

Value

 

Aggregate Face
Value

 

Expiration Date

 

Unrealized
Depreciation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10-Year U.S Treasury Note

 

450

 

$

52,776,563

 

$

50,998,973

 

Sept - 2009

 

$

(1,777,590

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Acronym

 

Name

 

 

 

 

 

 

 

 

 

 

 

 

I.O.

 

Interest Only

 

 

 

 

STRIPS

 

Separate Trading of Registered Interest and Principal of Securities

 

 

 

 

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/ J. Kevin Connaughton

 

 

 

 

 

J. Kevin Connaughton, President

 

 

 

 

 

 

 

 

 

 

 

 

 

Date

 

September 21, 2009

 

 

 

 

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

 

 

By (Signature and Title)

 

/s/ J. Kevin Connaughton

 

 

 

 

J. Kevin Connaughton, President

 

 

 

 

 

 

 

 

 

 

 

 

 

Date

 

September 21, 2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

By (Signature and Title)

 

/s/ Michael G. Clarke

 

 

 

 

 

Michael G. Clarke, Chief Financial Officer

 

 

 

 

 

 

 

 

 

 

 

 

 

Date

 

September 21, 2009