N-Q 1 a11-6621_1nq.htm N-Q

 

 

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

OMB APPROVAL

 

OMB Number:    3235-0578
Expires:    April 30, 2013
Estimated average burden hours per response........5.6

 

 

 

 

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)

 

225 Franklin Street, Boston, Massachusetts

 

02110

(Address of principal executive offices)

 

(Zip code)

 

Scott R. Plummer
5228 Ameriprise Financial Center
Minneapolis, MN 55474

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

1-612-671-1947

 

 

Date of fiscal year end:

April 30

 

 

 

 

Date of reporting period:

January 31, 2011

 

 


 

Item 1. Schedule of Investments.

 


 

INVESTMENT PORTFOLIO

 

 

January 31, 2011 (Unaudited)

 

Columbia Core Bond Fund

 

 

 

Par ($)

 

Value ($)*

 

Corporate Fixed-Income Bonds & Notes — 29.4%

 

 

 

 

 

BASIC MATERIALS — 1.5%

 

 

 

 

 

Chemicals — 1.0%

 

 

 

 

 

Dow Chemical Co.

 

 

 

 

 

 

 

4.250% 11/15/20

 

2,145,000

 

2,053,595

 

 

5.700% 05/15/18

 

2,485,000

 

2,680,398

 

 

5.900% 02/15/15

 

2,290,000

 

2,540,490

 

 

8.550% 05/15/19

 

3,500,000

 

4,368,938

 

Lubrizol Corp.

 

 

 

 

 

 

 

8.875% 02/01/19

 

3,455,000

 

4,349,206

 

Chemicals Total

 

15,992,627

 

Iron/Steel — 0.4%

 

 

 

 

 

ArcelorMittal

 

 

 

 

 

 

 

7.000% 10/15/39

 

2,645,000

 

2,716,092

 

Nucor Corp.

 

 

 

 

 

 

 

5.000% 06/01/13

 

1,755,000

 

1,892,453

 

 

5.850% 06/01/18

 

1,375,000

 

1,548,817

 

Iron/Steel Total

 

6,157,362

 

Metals & Mining — 0.1%

 

 

 

 

 

Vale Overseas Ltd.

 

 

 

 

 

 

 

6.875% 11/21/36

 

2,225,000

 

2,347,159

 

Metals & Mining Total

 

2,347,159

 

BASIC MATERIALS TOTAL

 

24,497,148

 

COMMUNICATIONS — 4.4%

 

 

 

 

 

Media — 2.4%

 

 

 

 

 

Comcast Corp.

 

 

 

 

 

 

 

5.850% 11/15/15

 

6,175,000

 

6,937,341

 

 

6.950% 08/15/37

 

645,000

 

711,611

 

DirecTV Holdings LLC

 

 

 

 

 

 

 

3.125% 02/15/16

 

1,620,000

 

1,603,602

 

 

6.375% 06/15/15

 

1,290,000

 

1,333,538

 

NBC Universal, Inc.

 

 

 

 

 

 

 

2.875% 04/01/16 (a)

 

11,790,000

 

11,508,137

 

News America, Inc.

 

 

 

 

 

 

 

6.400% 12/15/35

 

3,760,000

 

3,942,691

 

 

6.550% 03/15/33

 

1,295,000

 

1,363,158

 

Time Warner Cable, Inc.

 

 

 

 

 

 

 

3.500% 02/01/15

 

2,575,000

 

2,652,999

 

 

5.850% 05/01/17

 

1,165,000

 

1,297,601

 

 

5.875% 11/15/40

 

2,610,000

 

2,503,637

 

 

7.300% 07/01/38

 

1,855,000

 

2,112,825

 

 

1


 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

COMMUNICATIONS — (continued)

 

 

 

 

 

Time Warner, Inc.

 

 

 

 

 

 

 

6.500% 11/15/36

 

2,870,000

 

3,027,526

 

Media Total

 

38,994,666

 

Telecommunication Services — 2.0%

 

 

 

 

 

AT&T, Inc.

 

 

 

 

 

 

 

5.625% 06/15/16

 

2,275,000

 

2,558,699

 

 

6.550% 02/15/39

 

1,915,000

 

2,039,393

 

BellSouth Corp.

 

 

 

 

 

 

 

5.200% 09/15/14

 

5,530,000

 

6,080,312

 

British Telecommunications PLC

 

 

 

 

 

 

 

5.150% 01/15/13

 

5,440,000

 

5,806,014

 

 

5.950% 01/15/18

 

4,405,000

 

4,865,375

 

Cellco Partnership/Verizon Wireless Capital LLC

 

 

 

 

 

 

 

5.550% 02/01/14

 

2,670,000

 

2,959,369

 

 

8.500% 11/15/18

 

1,505,000

 

1,962,218

 

Telefonica Emisiones SAU

 

 

 

 

 

 

 

5.134% 04/27/20

 

2,900,000

 

2,879,578

 

 

6.221% 07/03/17

 

1,105,000

 

1,203,182

 

 

6.421% 06/20/16

 

1,850,000

 

2,040,791

 

Telecommunication Services Total

 

32,394,931

 

COMMUNICATIONS TOTAL

 

71,389,597

 

CONSUMER CYCLICAL — 0.6%

 

 

 

 

 

Airlines — 0.1%

 

 

 

 

 

Continental Airlines, Inc.

 

 

 

 

 

 

 

7.461% 04/01/15

 

504,361

 

524,535

 

Airlines Total

 

524,535

 

Home Builders — 0.0%

 

 

 

 

 

D.R. Horton, Inc.

 

 

 

 

 

 

 

5.625% 09/15/14

 

365,000

 

378,688

 

Home Builders Total

 

378,688

 

Retail — 0.5%

 

 

 

 

 

CVS Pass-Through Trust

 

 

 

 

 

 

 

5.298% 01/11/27 (a)

 

643,780

 

631,212

 

 

8.353% 07/10/31 (a)

 

3,342,114

 

4,026,980

 

Macy’s Retail Holdings, Inc.

 

 

 

 

 

 

 

5.350% 03/15/12

 

455,000

 

471,494

 

McDonald’s Corp.

 

 

 

 

 

 

 

4.875% 07/15/40

 

1,195,000

 

1,116,303

 

 

2


 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

CONSUMER CYCLICAL — (continued)

 

 

 

 

 

 

5.700% 02/01/39

 

2,245,000

 

2,365,094

 

Retail Total

 

8,611,083

 

CONSUMER CYCLICAL TOTAL

 

9,514,306

 

CONSUMER NON-CYCLICAL — 3.4%

 

 

 

 

 

Beverages — 0.7%

 

 

 

 

 

Anheuser-Busch InBev Worldwide, Inc.

 

 

 

 

 

 

 

3.625% 04/15/15

 

7,500,000

 

7,806,832

 

 

7.200% 01/15/14 (a)

 

75,000

 

86,465

 

 

7.750% 01/15/19 (a)

 

1,480,000

 

1,827,075

 

PepsiCo, Inc.

 

 

 

 

 

 

 

4.500% 01/15/20

 

1,330,000

 

1,393,716

 

Beverages Total

 

11,114,088

 

Commercial Services — 0.2%

 

 

 

 

 

President & Fellows of Harvard College

 

 

 

 

 

 

 

4.875% 10/15/40

 

2,550,000

 

2,436,270

 

 

6.500% 01/15/39 (a)

 

850,000

 

1,001,997

 

Commercial Services Total

 

3,438,267

 

Food — 1.8%

 

 

 

 

 

ConAgra Foods, Inc.

 

 

 

 

 

 

 

7.000% 10/01/28

 

2,680,000

 

2,932,161

 

General Mills, Inc.

 

 

 

 

 

 

 

5.200% 03/17/15

 

4,040,000

 

4,471,306

 

Kraft Foods, Inc.

 

 

 

 

 

 

 

4.125% 02/09/16

 

12,930,000

 

13,590,995

 

Kroger Co.

 

 

 

 

 

 

 

3.900% 10/01/15

 

8,275,000

 

8,651,488

 

Food Total

 

29,645,950

 

Healthcare Services — 0.3%

 

 

 

 

 

Roche Holdings, Inc.

 

 

 

 

 

 

 

6.000% 03/01/19 (a)

 

3,625,000

 

4,188,767

 

WellPoint, Inc.

 

 

 

 

 

 

 

7.000% 02/15/19

 

1,490,000

 

1,759,698

 

Healthcare Services Total

 

5,948,465

 

Pharmaceuticals — 0.4%

 

 

 

 

 

Novartis Securities Investment Ltd.

 

 

 

 

 

 

 

5.125% 02/10/19

 

3,965,000

 

4,345,307

 

 

3


 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

CONSUMER NON-CYCLICAL — (continued)

 

 

 

 

 

Wyeth

 

 

 

 

 

 

 

5.500% 02/15/16

 

1,755,000

 

1,986,979

 

Pharmaceuticals Total

 

6,332,286

 

CONSUMER NON-CYCLICAL TOTAL

 

56,479,056

 

ENERGY — 3.2%

 

 

 

 

 

Oil & Gas — 1.8%

 

 

 

 

 

Canadian Natural Resources Ltd.

 

 

 

 

 

 

 

6.250% 03/15/38

 

4,525,000

 

4,862,877

 

Devon Energy Corp.

 

 

 

 

 

 

 

6.300% 01/15/19

 

1,025,000

 

1,203,742

 

Hess Corp.

 

 

 

 

 

 

 

5.600% 02/15/41

 

1,580,000

 

1,548,465

 

 

7.300% 08/15/31

 

1,885,000

 

2,247,195

 

Marathon Oil Corp.

 

 

 

 

 

 

 

6.000% 07/01/12

 

3,065,000

 

3,295,574

 

 

7.500% 02/15/19

 

138,000

 

174,451

 

Nexen, Inc.

 

 

 

 

 

 

 

5.875% 03/10/35

 

1,260,000

 

1,142,704

 

 

7.500% 07/30/39

 

1,735,000

 

1,869,721

 

Qatar Petroleum

 

 

 

 

 

 

 

5.579% 05/30/11 (a)

 

310,804

 

313,913

 

Ras Laffan Liquefied Natural Gas Co., Ltd. III

 

 

 

 

 

 

 

5.832% 09/30/16 (a)

 

1,900,386

 

2,044,815

 

Shell International Finance BV

 

 

 

 

 

 

 

5.500% 03/25/40

 

4,290,000

 

4,419,562

 

Talisman Energy, Inc.

 

 

 

 

 

 

 

5.850% 02/01/37

 

1,685,000

 

1,686,111

 

 

7.750% 06/01/19

 

3,825,000

 

4,695,046

 

Oil & Gas Total

 

29,504,176

 

Oil & Gas Services — 0.4%

 

 

 

 

 

Halliburton Co.

 

 

 

 

 

 

 

5.900% 09/15/18

 

1,095,000

 

1,238,868

 

Smith International, Inc.

 

 

 

 

 

 

 

9.750% 03/15/19

 

2,515,000

 

3,449,727

 

Weatherford International Ltd.

 

 

 

 

 

 

 

5.125% 09/15/20

 

770,000

 

776,654

 

 

5.150% 03/15/13

 

62,000

 

65,683

 

 

7.000% 03/15/38

 

1,035,000

 

1,114,349

 

Oil & Gas Services Total

 

6,645,281

 

 

4


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

ENERGY — (continued)

 

 

 

 

 

Pipelines — 1.0%

 

 

 

 

 

Kinder Morgan Energy Partners LP

 

 

 

 

 

 

 

5.625% 02/15/15

 

1,210,000

 

1,335,611

 

 

6.500% 09/01/39

 

345,000

 

353,605

 

 

6.950% 01/15/38

 

1,850,000

 

1,992,287

 

Plains All American Pipeline LP/PAA Finance Corp.

 

 

 

 

 

 

 

5.750% 01/15/20

 

490,000

 

523,532

 

 

6.500% 05/01/18

 

1,420,000

 

1,600,271

 

 

8.750% 05/01/19

 

2,260,000

 

2,837,059

 

Southern Natural Gas Co.

 

 

 

 

 

 

 

8.000% 03/01/32

 

2,120,000

 

2,475,236

 

TransCanada Pipelines Ltd.

 

 

 

 

 

 

 

6.350% 05/15/67 (05/15/17) (b)(c)

 

5,505,000

 

5,522,677

 

Pipelines Total

 

16,640,278

 

ENERGY TOTAL

 

52,789,735

 

FINANCIALS — 11.0%

 

 

 

 

 

Banks — 7.5%

 

 

 

 

 

Bank of New York Mellon Corp.

 

 

 

 

 

 

 

5.450% 05/15/19

 

2,190,000

 

2,403,109

 

Barclays Bank PLC

 

 

 

 

 

 

 

3.900% 04/07/15

 

2,145,000

 

2,212,156

 

 

5.000% 09/22/16

 

1,080,000

 

1,145,433

 

Capital One Capital IV

 

 

 

 

 

 

 

6.745% 02/17/37 (c)

 

5,180,000

 

5,147,625

 

Capital One Capital V

 

 

 

 

 

 

 

10.250% 08/15/39

 

2,735,000

 

2,957,219

 

Capital One Financial Corp.

 

 

 

 

 

 

 

5.700% 09/15/11

 

3,135,000

 

3,224,758

 

 

7.375% 05/23/14

 

825,000

 

947,291

 

Citigroup Capital XIII

 

 

 

 

 

 

 

7.875 10/30/40 (c)

 

130,055

 

3,476,370

 

Citigroup, Inc.

 

 

 

 

 

 

 

4.587% 12/15/15

 

2,420,000

 

2,527,020

 

 

5.625% 08/27/12

 

13,965,000

 

14,703,693

 

 

8.500% 05/22/19

 

6,775,000

 

8,293,000

 

Comerica Bank

 

 

 

 

 

 

 

5.200% 08/22/17

 

1,910,000

 

2,011,971

 

 

5.750% 11/21/16

 

455,000

 

500,410

 

Comerica, Inc.

 

 

 

 

 

 

 

3.000% 09/16/15

 

2,560,000

 

2,550,515

 

 

5


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

FINANCIALS — (continued)

 

 

 

 

 

Discover Bank/Greenwood DE

 

 

 

 

 

 

 

8.700% 11/18/19

 

4,760,000

 

5,699,638

 

Discover Financial Services

 

 

 

 

 

 

 

10.250% 07/15/19

 

1,045,000

 

1,335,766

 

Fifth Third Bancorp

 

 

 

 

 

 

 

3.625% 01/25/16

 

3,805,000

 

3,834,051

 

JPMorgan Chase & Co.

 

 

 

 

 

 

 

2.600% 01/15/16

 

4,085,000

 

3,983,001

 

 

7.900% 04/29/49 (c)

 

3,525,000

 

3,799,351

 

JPMorgan Chase Capital XX

 

 

 

 

 

 

 

6.550% 09/15/66

 

4,115,000

 

4,153,014

 

JPMorgan Chase Capital XXIII

 

 

 

 

 

 

 

1.286% 05/15/77 (02/15/11) (b)(c)

 

755,000

 

580,508

 

KeyBank NA

 

 

 

 

 

 

 

5.800% 07/01/14

 

1,825,000

 

1,984,087

 

Keycorp

 

 

 

 

 

 

 

3.750% 08/13/15

 

3,135,000

 

3,167,891

 

 

6.500% 05/14/13

 

4,245,000

 

4,650,521

 

Lloyds TSB Bank PLC

 

 

 

 

 

 

 

4.375% 01/12/15 (a)

 

3,535,000

 

3,541,257

 

Marshall & IIsley Bank

 

 

 

 

 

 

 

5.300% 09/08/11

 

1,076,000

 

1,083,361

 

Merrill Lynch & Co., Inc.

 

 

 

 

 

 

 

5.000% 02/03/14

 

5,550,000

 

5,880,436

 

 

5.700% 05/02/17

 

1,545,000

 

1,587,458

 

 

6.150% 04/25/13

 

1,400,000

 

1,510,404

 

Morgan Stanley

 

 

 

 

 

 

 

4.900% 01/15/15

 

655,000

 

704,686

 

National City Bank of Cleveland

 

 

 

 

 

 

 

6.200% 12/15/11

 

715,000

 

748,868

 

National City Bank of Kentucky

 

 

 

 

 

 

 

6.300% 02/15/11

 

1,275,000

 

1,277,318

 

National City Corp.

 

 

 

 

 

 

 

6.875% 05/15/19

 

1,765,000

 

1,993,239

 

Northern Trust Co.

 

 

 

 

 

 

 

6.500% 08/15/18

 

275,000

 

318,947

 

Northern Trust Corp.

 

 

 

 

 

 

 

5.500% 08/15/13

 

560,000

 

619,121

 

PNC Funding Corp.

 

 

 

 

 

 

 

3.625% 02/08/15

 

2,015,000

 

2,084,652

 

 

5.125% 02/08/20

 

3,285,000

 

3,440,643

 

 

6


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

FINANCIALS — (continued)

 

 

 

 

 

Regions Financial Corp.

 

 

 

 

 

 

 

7.000% 03/01/11

 

1,315,000

 

1,315,000

 

Santander U.S. Debt SA Unipersonal

 

 

 

 

 

 

 

3.781% 10/07/15 (a)

 

10,010,000

 

9,393,633

 

Scotland International Finance No. 2

 

 

 

 

 

 

 

4.250% 05/23/13 (a)

 

1,700,000

 

1,690,696

 

Wachovia Bank NA

 

 

 

 

 

 

 

5.850% 02/01/37

 

340,000

 

337,749

 

Banks Total

 

122,815,866

 

Diversified Financial Services — 0.8%

 

 

 

 

 

Eaton Vance Corp.

 

 

 

 

 

 

 

6.500% 10/02/17

 

1,340,000

 

1,519,003

 

ERAC USA Finance LLC

 

 

 

 

 

 

 

2.750% 07/01/13 (a)

 

3,615,000

 

3,683,384

 

 

5.250% 10/01/20 (a)

 

3,860,000

 

3,891,671

 

General Electric Capital Corp.

 

 

 

 

 

 

 

4.375% 09/16/20

 

3,060,000

 

2,973,212

 

Lehman Brothers Holdings, Inc.

 

 

 

 

 

 

 

5.625% 01/24/13 (d)

 

3,890,000

 

967,638

 

 

6.875% 05/02/18 (d)

 

505,000

 

126,881

 

Diversified Financial Services Total

 

13,161,789

 

Insurance — 2.1%

 

 

 

 

 

CNA Financial Corp.

 

 

 

 

 

 

 

5.850% 12/15/14

 

961,000

 

1,016,670

 

 

7.350% 11/15/19

 

2,454,000

 

2,698,242

 

ING Groep NV

 

 

 

 

 

 

 

5.775% 12/29/49 (12/08/15) (b)(c)

 

4,850,000

 

4,219,500

 

Liberty Mutual Group, Inc.

 

 

 

 

 

 

 

7.500% 08/15/36 (a)

 

4,930,000

 

4,934,807

 

Lincoln National Corp.

 

 

 

 

 

 

 

8.750% 07/01/19

 

2,995,000

 

3,760,079

 

MetLife Capital Trust X

 

 

 

 

 

 

 

9.250% 04/08/68 (04/08/38) (a)(b)(c)

 

760,000

 

912,000

 

MetLife, Inc.

 

 

 

 

 

 

 

10.750% 08/01/69

 

2,905,000

 

4,030,687

 

Prudential Financial, Inc.

 

 

 

 

 

 

 

7.375% 06/15/19

 

4,315,000

 

5,115,907

 

 

8.875% 06/15/68 (06/15/38) (b)(c)

 

1,615,000

 

1,893,588

 

Transatlantic Holdings, Inc.

 

 

 

 

 

 

 

8.000% 11/30/39

 

2,210,000

 

2,276,839

 

 

7


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

FINANCIALS — (continued)

 

 

 

 

 

Unum Group

 

 

 

 

 

 

 

7.125% 09/30/16

 

2,635,000

 

2,983,252

 

Insurance Total

 

33,841,571

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

Brandywine Operating Partnership LP

 

 

 

 

 

 

 

7.500% 05/15/15

 

3,380,000

 

3,753,656

 

Duke Realty LP

 

 

 

 

 

 

 

8.250% 08/15/19

 

4,725,000

 

5,589,864

 

Highwoods Properties, Inc.

 

 

 

 

 

 

 

5.850% 03/15/17

 

945,000

 

996,487

 

Real Estate Investment Trusts (REITs) Total

 

10,340,007

 

FINANCIALS TOTAL

 

180,159,233

 

INDUSTRIALS — 1.6%

 

 

 

 

 

Aerospace & Defense — 0.3%

 

 

 

 

 

Embraer Overseas Ltd.

 

 

 

 

 

 

 

6.375% 01/15/20

 

2,365,000

 

2,492,119

 

Raytheon Co.

 

 

 

 

 

 

 

7.200% 08/15/27

 

1,645,000

 

2,043,310

 

Aerospace & Defense Total

 

4,535,429

 

Miscellaneous Manufacturing — 0.4%

 

 

 

 

 

Ingersoll-Rand Global Holding Co., Ltd.

 

 

 

 

 

 

 

9.500% 04/15/14

 

3,380,000

 

4,067,418

 

Tyco International Ltd./Tyco International Finance SA

 

 

 

 

 

 

 

6.875% 01/15/21

 

2,415,000

 

2,870,906

 

Miscellaneous Manufacturing Total

 

6,938,324

 

Transportation — 0.9%

 

 

 

 

 

BNSF Funding Trust I

 

 

 

 

 

 

 

6.613% 12/15/55 (01/15/26) (b)(c)

 

4,650,000

 

4,836,000

 

Burlington Northern Santa Fe Corp.

 

 

 

 

 

 

 

7.950% 08/15/30

 

1,200,000

 

1,500,816

 

CSX Corp.

 

 

 

 

 

 

 

6.250% 04/01/15

 

6,170,000

 

7,049,879

 

Union Pacific Corp.

 

 

 

 

 

 

 

5.700% 08/15/18

 

1,335,000

 

1,507,464

 

Transportation Total

 

14,894,159

 

INDUSTRIALS TOTAL

 

26,367,912

 

 

8


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

TECHNOLOGY — 0.4%

 

 

 

 

 

Networking Products — 0.1%

 

 

 

 

 

Cisco Systems, Inc.

 

 

 

 

 

 

 

5.900% 02/15/39

 

1,625,000

 

1,729,416

 

Networking Products Total

 

1,729,416

 

Software — 0.3%

 

 

 

 

 

Oracle Corp.

 

 

 

 

 

 

 

5.375% 07/15/40 (a)

 

2,590,000

 

2,552,224

 

 

6.500% 04/15/38

 

2,120,000

 

2,400,794

 

Software Total

 

4,953,018

 

TECHNOLOGY TOTAL

 

6,682,434

 

UTILITIES — 3.3%

 

 

 

 

 

Electric — 2.7%

 

 

 

 

 

American Electric Power Co., Inc.

 

 

 

 

 

 

 

5.250% 06/01/15

 

725,000

 

795,189

 

Carolina Power & Light Co.

 

 

 

 

 

 

 

5.125% 09/15/13

 

2,545,000

 

2,793,222

 

Commonwealth Edison Co.

 

 

 

 

 

 

 

4.000% 08/01/20

 

3,560,000

 

3,461,217

 

 

5.900% 03/15/36

 

750,000

 

767,316

 

 

5.950% 08/15/16

 

2,685,000

 

3,063,263

 

 

6.150% 09/15/17

 

1,975,000

 

2,277,244

 

 

6.950% 07/15/18

 

1,495,000

 

1,676,394

 

Consolidated Edison Co. of New York, Inc.

 

 

 

 

 

 

 

6.750% 04/01/38

 

180,000

 

210,809

 

Detroit Edison Co.

 

 

 

 

 

 

 

3.450% 10/01/20

 

5,020,000

 

4,769,371

 

Duke Energy Carolinas, LLC

 

 

 

 

 

 

 

5.300% 10/01/15

 

355,000

 

400,048

 

Exelon Generation Co., LLC

 

 

 

 

 

 

 

6.200% 10/01/17

 

925,000

 

1,036,881

 

FPL Energy National Wind LLC

 

 

 

 

 

 

 

5.608% 03/10/24 (a)

 

675,640

 

679,998

 

Georgia Power Co.

 

 

 

 

 

 

 

4.750% 09/01/40

 

4,625,000

 

4,173,776

 

Hydro Quebec

 

 

 

 

 

 

 

8.500% 12/01/29

 

1,195,000

 

1,696,628

 

MidAmerican Energy Holdings Co.

 

 

 

 

 

 

 

5.875% 10/01/12

 

1,655,000

 

1,782,698

 

Nevada Power Co.

 

 

 

 

 

 

 

5.375% 09/15/40

 

6,225,000

 

6,018,768

 

Niagara Mohawk Power Corp.

 

 

 

 

 

 

 

4.881% 08/15/19 (a)

 

1,325,000

 

1,398,861

 

 

9


 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes — (continued)

 

 

 

 

 

UTILITIES — (continued)

 

 

 

 

 

Oncor Electric Delivery Co., LLC

 

 

 

 

 

 

 

5.950% 09/01/13

 

165,000

 

182,522

 

Southern California Edison Co.

 

 

 

 

 

 

 

4.500% 09/01/40

 

2,270,000

 

1,977,347

 

 

5.000% 01/15/16

 

2,500,000

 

2,776,350

 

Xcel Energy, Inc.

 

 

 

 

 

 

 

4.700% 05/15/20

 

1,425,000

 

1,475,895

 

Electric Total

 

43,413,797

 

Gas — 0.6%

 

 

 

 

 

Atmos Energy Corp.

 

 

 

 

 

 

 

6.350% 06/15/17

 

2,325,000

 

2,587,172

 

 

8.500% 03/15/19

 

1,960,000

 

2,468,206

 

Nakilat, Inc.

 

 

 

 

 

 

 

6.067% 12/31/33 (a)

 

3,045,000

 

3,143,962

 

Sempra Energy

 

 

 

 

 

 

 

6.500% 06/01/16

 

1,975,000

 

2,286,055

 

Gas Total

 

10,485,395

 

UTILITIES TOTAL

 

53,899,192

 

 

 

 

 

 

Total Corporate Fixed-Income Bonds & Notes
(cost of $464,140,981)

 

481,778,613

 

 

 

 

 

 

Mortgage-Backed Securities — 31.2%

 

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

 

 

 

 

 

4.000% 12/01/40

 

35,141,179

 

34,808,591

 

 

5.500% 06/01/40

 

15,335,476

 

16,353,334

 

 

5.588% 08/01/37 (02/01/11) (b)(c)

 

4,601,639

 

4,893,367

 

 

5.616% 06/01/37 (02/01/11) (b)(c)

 

3,718,301

 

3,952,372

 

 

5.716% 06/01/36 (02/01/11) (b)(c)

 

5,365,323

 

5,737,869

 

 

6.000% 02/01/39

 

3,475,801

 

3,776,443

 

 

7.000% 12/01/14

 

19,952

 

21,646

 

 

7.000% 11/01/25

 

3,585

 

4,078

 

 

7.000% 03/01/27

 

2,564

 

2,923

 

 

7.000% 10/01/31

 

21,889

 

25,024

 

 

7.500% 09/01/25

 

1,337

 

1,533

 

 

7.500% 10/01/29

 

78,221

 

90,018

 

 

8.000% 06/01/26

 

1,647

 

1,933

 

 

9.500% 09/01/16

 

517

 

590

 

 

TBA

 

 

 

 

 

 

5.500% 02/01/41 (e)

 

97,450,000

 

103,852,757

 

Federal National Mortgage Association

 

 

 

 

 

 

 

2.574% 08/01/36 (02/01/11) (b)(c)

 

119,638

 

121,646

 

 

10


 

 

 

 

Par ($)

 

Value ($)

 

Mortgage-Backed Securities — (continued)

 

 

 

 

 

 

 

4.000% 12/01/40

 

18,648,914

 

18,513,211

 

 

4.500% 04/01/40

 

6,429,306

 

6,608,121

 

 

4.500% 05/01/40

 

8,943,962

 

9,215,452

 

 

4.500% 06/01/40

 

19,025,459

 

19,530,823

 

 

4.500% 07/01/40

 

8,185,745

 

8,403,179

 

 

4.760% 09/01/19

 

4,296,581

 

4,529,209

 

 

4.770% 06/01/19

 

4,428,791

 

4,687,417

 

 

4.831% 04/01/38 (02/01/11) (b)(c)

 

4,386,559

 

4,635,342

 

 

4.896% 04/01/38 (02/01/11) (b)(c)

 

5,679,688

 

6,002,108

 

 

5.000% 07/01/40

 

58,328,739

 

61,650,159

 

 

5.500% 08/01/37

 

19,860,871

 

21,359,746

 

 

5.500% 01/01/40

 

9,069,682

 

9,700,308

 

 

5.769% 09/01/37 (02/01/11)(b)(c)

 

3,743,880

 

4,011,143

 

 

6.000% 05/01/37

 

10,133,983

 

11,021,611

 

 

6.000% 05/01/38

 

14,211,707

 

15,456,499

 

 

6.000% 07/01/38

 

37,939,686

 

41,262,795

 

 

6.000% 08/01/38

 

26,699,546

 

29,029,795

 

 

6.000% 12/01/38

 

7,992,085

 

8,712,086

 

 

7.000% 06/01/32

 

12,197

 

13,922

 

 

7.500% 10/01/15

 

13,484

 

14,870

 

 

7.500% 01/01/30

 

11,688

 

13,423

 

 

7.785% 02/01/19

 

1,529,813

 

1,686,536

 

 

8.000% 12/01/29

 

208,629

 

241,226

 

 

8.000% 02/01/30

 

17,651

 

20,436

 

 

8.000% 03/01/30

 

32,309

 

37,416

 

 

8.000% 04/01/30

 

46,645

 

54,019

 

 

8.000% 05/01/30

 

10,839

 

12,552

 

 

8.500% 08/01/17

 

814

 

900

 

 

10.000% 10/01/20

 

52,210

 

58,079

 

 

10.000% 12/01/20

 

120,441

 

136,293

 

 

TBA:

 

 

 

 

 

 

3.500% 02/01/41 (e)

 

7,380,000

 

7,035,214

 

 

4.000% 02/01/41 (e)

 

15,500,000

 

15,361,957

 

Government National Mortgage Association

 

 

 

 

 

 

 

2.625% 07/20/21 (02/01/11) (b)(c)

 

33,968

 

35,159

 

 

2.625% 07/20/22 (02/01/11) (b)(c)

 

43,562

 

45,089

 

 

3.375% 04/20/22 (02/01/11) (b)(c)

 

181,154

 

188,048

 

 

4.500% 06/15/39

 

22,105,112

 

22,899,269

 

 

7.000% 05/15/12

 

6,595

 

6,891

 

 

7.000% 09/15/13

 

10,560

 

11,269

 

 

7.000% 11/15/22

 

38,912

 

44,348

 

 

7.000% 10/15/23

 

7,947

 

9,128

 

 

11


 

 

 

 

Par ($)

 

Value ($)

 

Mortgage-Backed Securities — (continued)

 

 

 

 

 

 

 

7.000% 06/15/26

 

121,369

 

139,913

 

 

7.000% 10/15/27

 

13,918

 

16,064

 

 

7.000% 05/15/28

 

26,864

 

31,036

 

 

7.000% 06/15/28

 

6,207

 

7,171

 

 

7.000% 12/15/28

 

36,055

 

41,654

 

 

7.000% 08/15/29

 

19,628

 

22,691

 

 

7.000% 02/15/30

 

4,329

 

5,007

 

 

7.000% 05/15/32

 

79,781

 

92,179

 

 

7.500% 04/15/26

 

86,436

 

100,206

 

 

7.500% 02/15/27

 

12,615

 

14,641

 

 

7.500% 09/15/29

 

253,547

 

294,830

 

 

7.500% 03/15/30

 

76,965

 

89,576

 

 

8.000% 06/15/25

 

3,100

 

3,674

 

 

8.000% 10/15/25

 

16,686

 

19,812

 

 

8.000% 01/15/26

 

5,541

 

6,571

 

 

8.000% 02/15/26

 

1,967

 

2,333

 

 

8.000% 06/15/26

 

7,929

 

9,404

 

 

8.000% 03/15/27

 

11,851

 

14,062

 

 

9.000% 11/15/17

 

26,836

 

30,290

 

 

9.500% 08/15/20

 

1,667

 

1,979

 

 

9.500% 12/15/20

 

1,050

 

1,246

 

 

10.000% 05/15/16

 

2,255

 

2,272

 

 

10.000% 07/15/17

 

12,524

 

14,079

 

 

11.500% 06/15/13

 

10,080

 

10,161

 

 

TBA

 

 

 

 

 

 

4.000% 02/01/41 (e)

 

5,600,000

 

5,621,000

 

 

 

 

 

 

 

 

 

Total Mortgage-Backed Securities
(cost of $511,493,018)

 

 

 

512,491,023

 

 

 

 

 

Commercial Mortgage-Backed Securities — 17.2%

 

 

 

 

 

Bear Stearns Commercial Mortgage Securities

 

 

 

 

 

 

 

4.740% 03/13/40

 

14,889,000

 

15,631,096

 

 

4.830% 08/15/38

 

2,275,000

 

2,369,140

 

 

5.200% 01/12/41 (02/01/11) (b)(c)

 

8,335,000

 

8,908,780

 

 

5.201% 12/11/38

 

2,425,000

 

2,567,070

 

 

5.471% 01/12/45 (02/01/11) (b)(c)

 

7,085,000

 

7,612,787

 

 

5.537% 10/12/41

 

10,303,000

 

11,129,934

 

 

5.700% 06/13/50

 

9,750,000

 

10,396,635

 

 

5.742% 09/11/42 (02/01/11) (b)(c)

 

1,000,000

 

1,085,029

 

Citigroup Commercial Mortgage Trust

 

 

 

 

 

 

 

4.733% 10/15/41

 

3,765,000

 

3,981,564

 

 

12


 

 

 

 

Par ($)

 

Value ($)

 

Commercial Mortgage-Backed Securities — (continued)

 

 

 

 

 

Citigroup/Deutsche Bank Commercial Mortgage Trust

 

 

 

 

 

 

 

5.322% 12/11/49

 

12,355,000

 

12,867,589

 

 

5.886% 11/15/44 (02/01/11) (b)(c)

 

3,285,000

 

3,528,792

 

Commercial Mortgage Pass Through Certificates

 

 

 

 

 

 

 

5.310% 07/10/37 (02/01/11) (b)(c)

 

5,105,000

 

5,509,802

 

Credit Suisse First Boston Mortgage Securities Corp.

 

 

 

 

 

 

 

6.387% 08/15/36

 

1,735,868

 

1,778,572

 

Credit Suisse Mortgage Capital Certificates

 

 

 

 

 

 

 

5.826% 06/15/38 (02/01/11) (b)(c)

 

6,325,000

 

6,911,364

 

Greenwich Capital Commercial Funding Corp.

 

 

 

 

 

 

 

4.799% 08/10/42 (02/01/11) (b)(c)

 

2,700,000

 

2,857,343

 

 

5.444% 03/10/39

 

11,400,000

 

12,126,599

 

JPMorgan Chase Commercial Mortgage Securities Corp.

 

 

 

 

 

 

 

4.879% 01/12/38 (02/01/11) (b)(c)

 

2,925,000

 

3,100,918

 

 

5.205% 12/15/44 (02/01/11) (b)(c)

 

6,700,000

 

7,223,944

 

 

5.255% 07/12/37 (c)

 

3,875,000

 

4,135,532

 

 

5.440% 06/12/47

 

6,640,000

 

7,008,240

 

 

5.552% 05/12/45

 

8,500,000

 

9,121,069

 

 

5.857% 10/12/35

 

291,495

 

294,678

 

LB-UBS Commercial Mortgage Trust

 

 

 

 

 

 

 

5.020% 08/15/29 (02/11/11) (b)(c)

 

7,130,000

 

7,595,744

 

 

5.124% 11/15/32 (02/11/11) (b)(c)

 

6,865,000

 

7,345,669

 

 

5.430% 02/15/40

 

10,250,000

 

10,861,824

 

 

5.866% 09/15/45 (02/11/11) (b)(c)

 

6,005,000

 

6,440,824

 

Merrill Lynch Mortgage Investors, Inc.

 

 

 

 

 

 

 

I.O.,

 

 

 

 

 

 

0.560% 12/15/30 (02/01/11) (b)(c)

 

3,054,074

 

37,388

 

Merrill Lynch Mortgage Trust

 

 

 

 

 

 

 

4.747% 06/12/43 (02/01/11) (b)(c)

 

7,500,000

 

7,925,300

 

Morgan Stanley Capital I

 

 

 

 

 

 

 

4.660% 09/13/45

 

4,350,000

 

4,592,810

 

 

4.970% 12/15/41

 

8,022,000

 

8,540,828

 

 

5.150% 06/13/41

 

11,945,000

 

12,696,922

 

 

5.650% 06/11/42 (02/01/11) (b)(c)

 

2,500,000

 

2,718,466

 

Morgan Stanley Dean Witter Capital I

 

 

 

 

 

 

 

4.920% 03/12/35

 

12,877,000

 

13,562,045

 

 

5.080% 09/15/37

 

3,695,000

 

3,868,046

 

 

5.980% 01/15/39

 

3,786,494

 

3,950,471

 

 

13


 

 

 

 

Par ($)

 

Value ($)

 

Commercial Mortgage-Backed Securities — (continued)

 

 

 

 

 

Wachovia Bank Commercial Mortgage Trust

 

 

 

 

 

 

 

5.012% 12/15/35 (c)

 

8,100,000

 

8,653,040

 

 

5.037% 03/15/42

 

4,790,638

 

4,992,598

 

 

5.203% 10/15/44 (02/01/11) (b)(c)

 

11,540,000

 

12,500,279

 

 

5.272% 12/15/44 (02/01/11) (b)(c)

 

6,300,000

 

6,755,787

 

 

5.609% 03/15/45 (02/01/11) (b)(c)

 

5,052,000

 

5,355,333

 

 

5.997% 06/15/45

 

2,610,000

 

2,816,088

 

 

6.287% 04/15/34

 

2,150,000

 

2,239,005

 

Wells Fargo Commercial Mortgage Trust

 

 

 

 

 

 

 

4.393% 11/15/43 (a)

 

8,950,000

 

8,877,179

 

 

 

 

 

 

 

 

 

Total Commercial Mortgage-Backed Securities
(cost of $269,994,618)

 

282,472,123

 

 

 

 

 

 

Government & Agency Obligations — 15.7%

 

 

 

 

 

FOREIGN GOVERNMENT OBLIGATIONS — 1.2%

 

 

 

 

 

European Investment Bank

 

 

 

 

 

 

 

3.000% 04/08/14

 

3,050,000

 

3,203,686

 

 

5.125% 05/30/17

 

2,985,000

 

3,374,456

 

Export-Import Bank of Korea

 

 

 

 

 

 

 

5.500% 10/17/12

 

700,000

 

742,437

 

Pemex Project Funding Master Trust

 

 

 

 

 

 

 

5.750% 03/01/18

 

2,885,000

 

3,065,480

 

Province of Quebec

 

 

 

 

 

 

 

4.625% 05/14/18

 

8,030,000

 

8,688,396

 

Republic of Italy

 

 

 

 

 

 

 

5.375% 06/12/17

 

1,275,000

 

1,324,946

 

FOREIGN GOVERNMENT OBLIGATIONS TOTAL

 

20,399,401

 

U.S. GOVERNMENT AGENCIES — 1.4%

 

 

 

 

 

Resolution Funding Corp., STRIPS

 

 

 

 

 

 

 

(f) 10/15/20

 

10,840,000

 

7,467,643

 

 

(f) 01/15/21

 

19,755,000

 

13,404,321

 

 

(f) 01/15/30

 

6,000,000

 

2,380,680

 

U.S. GOVERNMENT AGENCIES TOTAL

 

23,252,644

 

U.S. GOVERNMENT OBLIGATIONS — 13.1%

 

 

 

 

 

U.S. Treasury Bonds

 

 

 

 

 

 

 

3.875% 08/15/40

 

23,737,000

 

21,059,182

 

 

4.250% 11/15/40

 

5,295,000

 

5,019,496

 

 

4.500% 02/15/36

 

4,145,000

 

4,152,125

 

U.S. Treasury Inflation Indexed Notes

 

 

 

 

 

 

 

1.625% 01/15/18

 

21,431,293

 

23,142,453

 

 

3.000% 07/15/12

 

3,133,543

 

3,338,201

 

 

14


 

 

 

 

Par ($)

 

Value ($)

 

Government & Agency Obligations — (continued)

 

 

 

 

 

U.S. GOVERNMENT OBLIGATIONS — (continued)

 

 

 

 

 

U.S. Treasury Notes

 

 

 

 

 

 

 

0.750% 12/15/13

 

350,000

 

348,250

 

 

1.375% 11/30/15

 

1,000,000

 

976,719

 

 

2.625% 08/15/20

 

46,631,100

 

43,968,045

 

 

2.625% 11/15/20

 

28,995,000

 

27,182,813

 

U.S. Treasury STRIPS

 

 

 

 

 

 

 

(f) 08/15/20

 

85,000,000

 

60,570,320

 

 

(f) 02/15/22

 

37,715,000

 

24,458,366

 

U.S. GOVERNMENT OBLIGATIONS TOTAL

 

214,215,970

 

 

 

 

 

 

Total Government & Agency Obligations
(cost of $260,418,881)

 

257,868,015

 

 

 

 

 

 

Asset-Backed Securities — 3.4%

 

 

 

 

 

Ally Auto Receivables Trust

 

 

 

 

 

 

 

1.450% 05/15/14

 

1,800,000

 

1,814,270

 

Bay View Auto Trust

 

 

 

 

 

 

 

5.310% 06/25/14

 

1,750,196

 

1,755,291

 

BMW Vehicle Lease Trust

 

 

 

 

 

 

 

0.820% 04/15/13

 

4,100,000

 

4,096,101

 

Bombardier Capital Mortgage Securitization Corp.

 

 

 

 

 

 

 

6.230% 04/15/28

 

1,741

 

1,688

 

Capital Auto Receivables Asset Trust

 

 

 

 

 

 

 

5.210% 03/17/14

 

953,744

 

973,615

 

Chrysler Financial Auto Securitization Trust

 

 

 

 

 

 

 

6.250% 05/08/14 (a)

 

3,890,000

 

4,056,753

 

Chrysler Financial Lease Trust

 

 

 

 

 

 

 

1.780% 06/15/11 (a)

 

842,782

 

843,392

 

Citibank Credit Card Issuance Trust

 

 

 

 

 

 

 

6.300% 06/20/14

 

325,000

 

344,644

 

 

6.950% 02/18/14

 

1,130,000

 

1,190,077

 

CitiFinancial Auto Issuance Trust

 

 

 

 

 

 

 

1.830% 11/15/12 (a)

 

1,575,359

 

1,579,750

 

Citigroup Mortgage Loan Trust, Inc.

 

 

 

 

 

 

 

5.517% 08/25/35 (02/01/11) (b)(c)

 

2,800,000

 

329,462

 

 

5.666% 08/25/35 (02/01/11) (b)(c)

 

1,885,000

 

73,709

 

CNH Equipment Trust

 

 

 

 

 

 

 

1.170% 05/15/15

 

4,060,000

 

4,056,538

 

Daimler Chrysler Auto Trust

 

 

 

 

 

 

 

4.940% 02/08/12

 

1,211,189

 

1,212,158

 

Equity One ABS, Inc.

 

 

 

 

 

 

 

0.600% 07/25/34 (02/25/11) (b)(c)

 

365,527

 

286,545

 

 

15


 

 

 

 

Par ($)

 

Value ($)

 

Asset-Backed Securities — (continued)

 

 

 

 

 

 

Ford Credit Auto Lease Trust

 

 

 

 

 

 

 

0.910% 07/15/13 (a)

 

2,380,000

 

2,377,113

 

Ford Credit Auto Owner Trust

 

 

 

 

 

 

 

1.320% 06/15/14

 

3,700,000

 

3,724,753

 

 

5.150% 11/15/11

 

37,840

 

37,908

 

Franklin Auto Trust

 

 

 

 

 

 

 

5.360% 05/20/16

 

8,491,000

 

8,678,716

 

 

7.160% 05/20/16 (a)

 

2,425,000

 

2,599,673

 

Green Tree Financial Corp.

 

 

 

 

 

 

 

8.250% 07/15/27 (c)

 

245,794

 

253,606

 

GSAA Trust

 

 

 

 

 

 

 

4.316% 11/25/34 (02/01/11) (b)(c)

 

274,743

 

275,658

 

Nissan Auto Lease Trust

 

 

 

 

 

 

 

1.120% 12/15/13

 

3,685,000

 

3,681,095

 

Volkswagen Auto Lease Trust

 

 

 

 

 

 

 

0.770% 01/22/13

 

4,050,000

 

4,051,891

 

Volkswagen Auto Loan Enhanced Trust

 

 

 

 

 

 

 

5.470% 03/20/13

 

2,225,936

 

2,273,540

 

Wachovia Auto Loan Owner Trust

 

 

 

 

 

 

 

5.650% 02/20/13

 

5,000,000

 

5,034,878

 

 

 

 

 

 

 

 

 

Total Asset-Backed Securities
(cost of $59,774,009)

 

55,602,824

 

 

 

 

 

 

Municipal Bonds — 1.6%

 

 

 

 

 

CALIFORNIA — 0.8%

 

 

 

 

 

CA Educational Facilities Authority

 

 

 

 

 

 

 

University of Southern California,

 

 

 

 

 

 

Series 2009 A

 

 

 

 

 

 

5.250% 10/01/38

 

2,050,000

 

2,066,564

 

CA State

 

 

 

 

 

 

 

Series 2010,

 

 

 

 

 

 

3.950% 11/01/15

 

6,070,000

 

6,097,436

 

 

Series 2009,

 

 

 

 

 

 

7.550% 04/01/39

 

2,850,000

 

2,944,649

 

CA Los Angeles Unified School District

 

 

 

 

 

 

 

Series 2009,

 

 

 

 

 

 

5.750% 07/01/34

 

2,430,000

 

2,256,036

 

CALIFORNIA TOTAL

 

13,364,685

 

 

16


 

 

 

Par ($)

 

Value ($)

 

Municipal Bonds — (continued)

 

 

 

 

 

 

ILLINOIS — 0.0%

 

 

 

 

 

IL Chicago

 

 

 

 

 

 

 

Series 2010,

 

 

 

 

 

 

6.742% 11/01/40

 

740,000

 

765,330

 

ILLINOIS TOTAL

 

765,330

 

KENTUCKY — 0.2%

 

 

 

 

 

KY Asset Liability Commission

 

 

 

 

 

 

 

Series 2010,

 

 

 

 

 

 

3.165% 04/01/18

 

3,665,000

 

3,571,543

 

KENTUCKY TOTAL

 

3,571,543

 

MASSACHUSETTS — 0.4%

 

 

 

 

 

MA State Transportation Fund

 

 

 

 

 

 

 

Series 2010:

 

 

 

 

 

 

5.631% 06/01/30

 

2,640,000

 

2,722,025

 

 

5.731% 06/01/40

 

3,605,000

 

3,682,832

 

MASSACHUSETTS TOTAL

 

6,404,857

 

NEW YORK — 0.2%

 

 

 

 

 

NY New York City Municipal Water Finance Authority

 

 

 

 

 

 

 

Series 2005 D,

 

 

 

 

 

 

5.000% 06/15/39

 

2,550,000

 

2,452,692

 

NEW YORK TOTAL

 

2,452,692

 

 

 

 

 

 

Total Municipal Bonds
(cost of $26,330,076)

 

 

 

26,559,107

 

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 0.1%

 

 

 

 

 

AGENCY — 0.1%

 

 

 

 

 

Federal National Mortgage Association

 

 

 

 

 

 

 

5.500% 09/25/35

 

574,496

 

579,572

 

Vendee Mortgage Trust

 

 

 

 

 

 

 

I.O.:

 

 

 

 

 

 

0.301% 03/15/29 (02/01/11) (b)(c)

 

6,291,514

 

98,799

 

 

0.432% 03/15/28 (02/01/11) (b)(c)

 

4,688,824

 

84,079

 

AGENCY TOTAL

 

762,450

 

NON - AGENCY — 0.0%

 

 

 

 

 

American Mortgage Trust

 

 

 

 

 

 

 

8.445% 09/27/22 (c)(g)

 

10,986

 

6,661

 

Countrywide Alternative Loan Trust

 

 

 

 

 

 

 

5.500% 09/25/35

 

4,632,423

 

78,283

 

NON-AGENCY TOTAL

 

84,944

 

 

 

 

 

 

Total Collateralized Mortgage Obligations
(cost of $5,112,855)

 

847,394

 

 

17


 

 

 

Par ($)

 

Value ($)

 

Short-Term Obligations — 8.9%

 

 

 

 

 

REPURCHASE AGREEMENT — 0.8%

 

 

 

 

 

 

Repurchase agreement with Fixed Income Clearing Corp., dated 01/31/11, due 02/01/11 at 0.150%, collateralized by a U.S. Government Agency obligation maturing 03/15/13, market value $13,575,150 (repurchase proceeds $13,307,055)

 

13,307,000

 

13,307,000

 

REPURCHASE AGREEMENT TOTAL

 

13,307,000

 

U.S. GOVERNMENT OBLIGATIONS — 8.1%

 

 

 

 

 

U.S. Treasury Bills

 

 

 

 

 

 

 

0.010% 08/25/11 (h)

 

3,095,000

 

3,091,914

 

 

0.135% 02/10/11

 

94,000,000

 

93,996,828

 

 

0.140% 02/10/11

 

8,000,000

 

7,999,714

 

 

0.145% 02/10/11

 

27,000,000

 

26,999,021

 

U.S. GOVERNMENT OBLIGATIONS TOTAL

 

132,087,477

 

 

 

 

 

 

 

 

 

Total Short-Term Obligations
(cost of $145,393,597)

 

145,394,477

 

 

 

 

 

 

 

 

 

Total Investments — 107.5%
(cost of $1,742,658,035)(i)(j)

 

1,763,013,576

 

 

 

 

 

 

 

 

 

Other Assets & Liabilities, Net — (7.5)%

 

(122,673,223

)

 

 

 

 

 

 

 

 

Net Assets — 100.0%

 

1,640,340,353

 

 

18


 

 

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 may also be valued based upon 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.

 

Asset-backed and mortgage-backed securities are generally valued by pricing services, which utilize pricing models that incorporate the securities cash flow and loan performance data.  These models also take into account available market data, including trade, market quotations, and benchmark yield curves for identical or similar securities.  Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage, prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life.  Asset-backed and mortgage-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or exchange bid quotation.

 

Short-term investments maturing in 60 days or less 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 swap contracts are marked to market daily based upon spread 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. 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.

 

19


 

 

 

Generally accepted accounting principles (GAAP) require disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category.

 

The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.

 

Fair value inputs are summarized in the three broad levels listed below:

 

· Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.

 

· Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).

 

· Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).

 

Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Fund Administrator, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy. Non-U.S. equity securities actively traded in foreign markets may be reflected in Level 2 despite the availability of closing prices, because the Fund evaluates and determines whether those closing prices reflect fair value at the close of the New York Stock Exchange (NYSE) or require adjustment..

 

Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models rely on one or more significant unobservable inputs and/or significant assumptions by the Fund Administrator. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.

 

20


 

The following table is a summary of the inputs used to value the Fund’s investments as of January 31, 2011:

 

Description

 

Quoted Prices
(Level 1)

 

Other
Significant
Observable
Inputs
(Level 2)

 

Significant
Unobservable Inputs
(Level 3)

 

Total

 

Corporate Fixed-Income Bonds & Notes

 

 

 

 

 

 

 

 

 

Basic Materials

 

$

—

 

$

24,497,148

 

$

—

 

$

24,497,148

 

Communications

 

—

 

71,389,597

 

—

 

71,389,597

 

Consumer Cyclical

 

—

 

8,989,771

 

524,535

 

9,514,306

 

Consumer Non-Cyclical

 

—

 

56,479,056

 

—

 

56,479,056

 

Energy

 

—

 

52,789,735

 

—

 

52,789,735

 

Financials

 

—

 

180,159,233

 

—

 

180,159,233

 

Industrials

 

—

 

26,367,912

 

—

 

26,367,912

 

Technology

 

—

 

6,682,434

 

—

 

6,682,434

 

Utilities

 

—

 

53,899,192

 

—

 

53,899,192

 

Total Corporate Fixed-Income Bonds & Notes

 

—

 

481,254,078

 

524,535

 

481,778,613

 

Total Mortgage-Backed Securities

 

—

 

512,491,023

 

—

 

512,491,023

 

Total Commercial Mortgage-Backed Securities

 

—

 

282,472,123

 

—

 

282,472,123

 

Government & Agency Obligations

 

 

 

 

 

 

 

 

 

Foreign Government Obligations

 

—

 

20,399,401

 

—

 

20,399,401

 

U.S. Government Agencies

 

—

 

23,252,644

 

—

 

23,252,644

 

U.S. Government Obligations

 

214,215,970

 

—

 

—

 

214,215,970

 

Total Government & Agency Obligations

 

214,215,970

 

43,652,045

 

—

 

257,868,015

 

Total Asset-Backed Securities

 

—

 

55,602,824

 

—

 

55,602,824

 

Total Municipal Bonds

 

—

 

26,559,107

 

—

 

26,559,107

 

Collateralized Mortgage Obligations

 

 

 

 

 

 

 

 

 

Agency

 

—

 

762,450

 

—

 

762,450

 

Non - Agency

 

—

 

78,283

 

6,661

 

84,944

 

Total Collateralized Mortgage Obligations

 

—

 

840,733

 

6,661

 

847,394

 

Short-Term Obligations

 

 

 

 

 

 

 

 

 

Repurchase Agreement

 

—

 

13,307,000

 

—

 

13,307,000

 

U.S. Government Obligations

 

132,087,477

 

—

 

—

 

132,087,477

 

Total Short-Term Obligations

 

132,087,477

 

13,307,000

 

—

 

145,394,477

 

Total Investments

 

346,303,447

 

1,416,178,933

 

531,196

 

1,763,013,576

 

Unrealized Appreciation on Futures Contracts

 

5,985,135

 

—

 

—

 

5,985,135

 

Unrealized Depreciation on Futures Contracts

 

(130,694

)

—

 

—

 

(130,694

)

Value of Credit Default Swap Contracts - Appreciation

 

—

 

65,178

 

—

 

65,178

 

Value of Credit Default Swap Contracts - Depreciation

 

—

 

(555,159

)

—

 

(555,159

)

Total

 

$

352,157,888

 

$

1,415,688,952

 

$

531,196

 

$

1,768,378,036

 

 

The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.

 

Certain short-term obligations may be valued using amortized cost, an income approach which converts future cash flows to a present value based upon the premium or discount at purchase.

 

Certain corporate fixed-income bonds & notes classified as a Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers.

 

Certain collateralized mortgage obligations classified as a Level 3 security are valued using the market approach.  To determine fair value for this security, management considered various factors which may have included, but were not limited to, estimated cash flows of the security and observed yields on securities management deemed comparable.

 

There were no significant transfers of financial assets between Levels 1 and 2 during the period.

 

The following table reconciles asset balances for the nine months ended January 31, 2011, in which significant unobservable inputs (Level 3) were used in determining value:

 

Investments
in Securities

 

Balance as
of April
30, 2010

 

Accrued
Discounts
(Premiums)

 

Realized
Gain
(Loss)

 

Change in
Unrealized
Appreciation
(Depreciation)

 

Purchases

 

Sales

 

Transfers
into
Level 3

 

Transfers out
of Level 3

 

Balance as
of January
31, 2011

 

Corporate Fixed-Income Bonds & Notes Consumer Cyclical

 

$

576,912

 

$

—

 

$

3,909

 

$

2,194

 

$

—

 

$

(58,480

)

$

—

 

$

—

 

$

524,535

 

Collateralized Mortgage Obligations Non-Agency

 

—

 

—

 

113

 

14

 

6,820

 

(286

)

—

 

—

 

6,661

 

 

 

$

576,912

 

$

—

 

$

4,022

 

$

2,208

 

$

6,820

 

$

(58,766

)

$

—

 

$

—

 

$

531,196

 

 

21


 

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 the securities owned at January 31, 2011, which were valued using significant unobservable inputs (Level 3) amounted to $ 2,208.

 

 

(a)

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, 2011, these securities, which are not illiquid, amounted to $81,785,714, which represents 5.0% of net assets.

 

(b)

Parenthetical date represents the next interest rate reset date for the security.

 

(c)

The interest rate shown on floating rate or variable rate securities reflects the rate at January 31, 2011.

 

(d)

The issuer has filed for bankruptcy protection under Chapter 11, and is in default of certain debt covenants. Income is not being accrued. At January 31, 2011, the value of these securities amounted to $1,094,519, which represents 0.1% of net assets.

 

(e)

Security purchased on a delayed delivery basis.

 

(f)

Zero coupon bond.

 

(g)

Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At January 31, 2011, the value of this security amounted to $6,661, which represents less than 0.1% of net assets.

 

(h)

A portion of this security with a market value of $2,997,009 is pledged as collateral for open futures contracts.

 

(i)

Cost for federal income tax purposes is $1,738,662,269.

 

(j)

Unrealized appreciation and depreciation at January 31, 2011 based on cost of investments for federal income tax purposes was:

 

 

 

 

 

 

 

Unrealized

 

Unrealized

 

Net Unrealized

 

 

 

 

 

 

Appreciation

 

Depreciation

 

Appreciation

 

 

 

 

 

 

$

54,711,808

 

$

(30,360,501

)

$

24,351,307

 

 

 

 

At January 31, 2011, the Fund has entered into the following credit default swap contracts:

 

Credit Risk

 

Swap
Counterparty

 

Referenced Obligation

 

Receive
Buy/Sell
Protection

 

Fixed Rate

 

Expiration Date

 

Notional
Amount

 

Upfront
Premium
Paid
(Received)

 

Value of
Contract

 

Barclays Capital

 

D.R. Horton, Inc.

 

Buy

 

1.000

%

03/20/15

 

$

5,500,000

 

$

240,043

 

$

32,633

 

Barclays Capital

 

Macy’s, Inc.
7.450% 07/15/17

 

Buy

 

1.000

%

12/20/15

 

4,400,000

 

164,927

 

(85,359

)

Barclays Capital

 

Toll Brothers, Inc.
5.150% 05/15/15

 

Buy

 

1.000

%

12/20/15

 

12,270,000

 

661,217

 

(204,152

)

Barclays Capital

 

The Home Depot, Inc.
5.875% 12/16/36

 

Buy

 

1.000

%

12/20/15

 

10,200,000

 

(172,171

)

(67,695

)

JPMorgan

 

D.R. Horton, Inc.

 

Buy

 

1.000

%

03/20/15

 

5,500,000

 

240,020

 

32,545

 

JPMorgan

 

Macy’s, Inc.
7.450% 07/15/17

 

Buy

 

1.000

%

12/20/15

 

6,000,000

 

227,837

 

(118,938

)

Morgan Stanley

 

Limited Brands, Inc.

 

Buy

 

1.000

%

03/20/15

 

4,700,000

 

221,572

 

(77,851

)

Morgan Stanley

 

The Home Depot, Inc.
5.875% 12/16/36

 

Buy

 

1.000

%

12/20/15

 

1,250,000

 

(28,522

)

(1,164

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(489,981

)

 

22


 

At January 31, 2011, the Fund  held the following open short futures contracts:

 

 

 

 

 

 

 

 

 

 

 

Unrealized

 

Interest Rate Risk

 

Number of

 

 

 

Aggregate

 

Expiration

 

Appreciation

 

Type

 

Contracts

 

Value

 

Face Value

 

Date

 

(Depreciation)

 

5-Year U.S. Treasury Notes

 

103

 

$

12,196,648

 

$

12,065,954

 

Mar-2011

 

$

(130,694

)

10-Year U.S. Treasury Notes

 

1,577

 

190,496,672

 

196,232,812

 

Mar-2011

 

5,736,140

 

Ultra Long U.S. Treasury Bonds

 

129

 

15,887,156

 

16,136,151

 

Mar-2011

 

248,995

 

 

 

 

 

 

 

 

 

 

 

$

5,854,441

 

 

 

 

Acronym

 

Name

 

 

 

 

 

 

 

I.O.

 

Interest Only

 

 

STRIPS

 

Separate Trading of Registered Interest and Principal of Securities

 

 

 

 

 

 

 

TBA

 

To Be Announced

 

23


 

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

March 23, 2011

 

 

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

March 23, 2011

 

 

 

 

 

 

By (Signature and Title)

/s/ Michael G. Clarke

 

Michael G. Clarke, Chief Financial Officer

 

 

 

 

 

 

 

Date

March 23, 2011