UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

TRI-CONTINENTAL CORPORATION

(Exact name of registrant as specified in charter)

50606 Ameriprise Financial Center, Minneapolis, Minnesota 55474
(Address of principal executive offices) (Zip code)

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

(Name and address of agent for service)

Registrant’s telephone number, including area code: (612) 671-1947

Date of fiscal year end: December 31

Date of reporting period: March 31, 2011

 

 

Item 1. Schedule of Investments

Portfolio of Investments
Tri-Continental Corporation
March 31, 2011 (Unaudited)
(Percentages represent value of investments compared to net assets)

The industries identified above are based on the Global Industry Classification Standard (GICS), which was developed by, and is the exclusive property of, Morgan Stanley Capital International Inc. and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc.

Futures Contracts Outstanding at March 31, 2011

Number of

Contracts

Notional

Expiration

Unrealized

Unrealized

Contract Description

Long (Short)

Market Value

Date

Appreciation

Depreciation

S&P 500 Index

14

$

4,623,500

June 2011

$

49,727

$

—

(a)	Non-income producing.
(b)	At March 31, 2011, security was partially or fully on loan.
(c)	At March 31, 2011, investments in securities included securities valued at $702,447 that were partially pledged as collateral to cover initial margin deposits on open stock index futures contracts.
(d)	The share amount for Limited Liability Companies (LLC) or Limited Partnerships (LP) represents capital contributions. At March 31, 2011, there was no capital committed to the LLC or LP for future investment.
(e)	Identifies issues considered to be illiquid as to their marketability. The aggregate value of such securities at March 31, 2011 was $1,913,162, representing 0.17% of net assets. Information concerning such security holdings at March 31, 2011 was as follows:

		Acquisition
Security		Dates				Cost
WCAS Capital Partners II LP		12/11/90 thru 03/24/98				$	4,292,803

(f)

At March 31, 2011, the Fund owned one limited partnership investment that was purchased through a private offering and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. The investment is valued at fair value as determined in accordance with procedures approved by the Board of Directors of the Fund. The acquisition dates of investment in the limited partnership, along with the cost and value at March 31, 2011, were as follows:

Acquisition

Security

Dates

Cost

Value

WCAS Capital Partners II LP

12/11/90 thru 03/24/98

$

4,292,803

$

1,913,162

(g)	Represents fair value as determined in good faith under procedures approved by the Board of Directors. At March 31, 2011, the value of these securities amounted to $1,913,162, which represents 0.17% of net assets.

(h)	Investments in affiliates during the period ended March 31, 2011:

										Sales Cost/												Dividends
										Proceeds from				Realized								or Interest
Issuer		Beginning Cost				Purchase Cost				Sales				Gain/Loss				Ending Cost				Income				Value
Columbia Short-Term Cash Fund		$	3,118,708			$	10,556,335			$	(10,994,485	)		$	—			$	2,680,558			$	6,050			$	2,680,558

(i)	The rate shown is the seven-day current annualized yield at March 31, 2011.
(j)	The table below represents securities received as collateral for repurchase agreements. This collateral, which is generally high quality short-term obligations, is deposited with the Fund’s custodian and, pursuant to the terms of the repurchase agreement, must have an aggregate market value greater than or equal to the repurchase price plus accrued interest at all times. The value of securities and/or cash held as collateral for repurchase agreements is monitored on a daily basis to ensure the existence of the proper level of collateral.

Barclays Capital, Inc. (0.270%)

Security Description		Value
Abbey National NA		$	331,297
Arabella Ltd			470,994
BP Capital Markets PLC			170,734
BPCE			666,641
Dexia Delaware LLC			762,938
Electricite De France			599,720
European Investment Bank			475,799
Nationwide Building			326,024
Skandin Ens Banken AG			579,663
Societe Generale			866,190
Total Market Value of Collateral Securities		$	5,250,000
Cantor Fitzgerald & Co. (0.230%)
Security Description		Value
Breeds Hill Capital Ltd		$	2,778
Fannie Mae Interest Strip			1,080,954
Fannie Mae Pool			9,520,712
Fannie Mae Principal Strip			101,881
Fannie Mae REMICS			317,028
Federal Farm Credit Bank			181,845
Federal Home Loan Banks			269,812
Federal Home Loan Mortgage Corp			158,069
Federal National Mortgage Association			123,639
FHLMC Structured Pass Through Securities			55,363
Freddie Mac Coupon Strips			1,198
Freddie Mac Gold Pool			1,349,259
Freddie Mac Non Gold Pool			4,088,133
Freddie Mac REMICS			404,989
Freddie Mac Strips			105,315
Ginnie Mae I Pool			286,128
Ginnie Mae II Pool			870,363
Government National Mortgage Association			337,982
LMA SA & LMA Americas			957
Metlife Short Term Funding			1,314
Sanofi-Aventis			4,085
Silver Tower US Fund			912
Suncorp-Metway Ltd			2,804
United States Treasury Inflation Indexed Bonds			60,090
United States Treasury Strip Coupon			979,121
United States Treasury Strip Principal			95,271
Total Market Value of Collateral Securities		$	20,400,002
Goldman Sachs & Co. (0.160%)
Security Description		Value
Government National Mortgage Association		$	3,057,737
Total Market Value of Collateral Securities		$	3,057,737
MF Global Holdings Ltd. (0.290%)
Security Description		Value
Fannie Mae REMICS		$	109,833
Freddie Mac Gold Pool			3,194,796
Freddie Mac REMICS			70,742
Ginnie Mae I Pool			318,423
Ginnie Mae II Pool			1,316,470
Government National Mortgage Association			89,763
Total Market Value of Collateral Securities		$	5,100,027
Mizuho Securities USA, Inc. (0.280%)
Security Description		Value
Fannie Mae Grantor Trust		$	46,111
Fannie Mae Pool			2,588,750
Fannie Mae Principal Strip			44,321
Fannie Mae Whole Loan			42,136
Federal Farm Credit Bank			530,995
Federal Farm Credit Discount Notes			64,458
Federal Home Loan Bank Discount Notes			238,394
Federal Home Loan Banks			366,061
Federal Home Loan Mortgage Corp			26,254
Federal National Mortgage Association			303,199
FHLMC Structured Pass Through Securities			36,482
Freddie Mac Gold Pool			242,535
Freddie Mac Non Gold Pool			568,546
Government National Mortgage Association			1,758
Total Market Value of Collateral Securities		$	5,100,000
Nomura Securities (0.240%)
Security Description		Value
Fannie Mae Pool		$	3,714,073
Freddie Mac Gold Pool			1,385,927
Total Market Value of Collateral Securities		$	5,100,000

(k)	At March 31, 2011, the cost of securities for federal income tax purposes was approximately $1,051,411,000 and the approximate aggregate gross unrealized appreciation and depreciation based on that cost was:

Unrealized Appreciation		$	199,564,000
Unrealized Depreciation			(16,451,000	)
Net Unrealized Appreciation		$	183,113,000

(l)	Securities are valued using policies described in the notes to financial statements in the most recent shareholder report.

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.

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.

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

				Fair value at March 31, 2011
				Level 1					Level 2					Level 3
	Description(a)			quoted prices					other					significant					Total
				in active					significant					unobservable
				markets for					observable					inputs
				identical assets(b)					inputs
	Equity Securities
	Common Stocks
	Consumer Discretionary			$	118,072,475				$	—				$	—				$	118,072,475
	Consumer Staples				114,457,893					—					—					114,457,893
	Energy				149,352,835					—					—					149,352,835
	Financials				178,826,361					—					—					178,826,361
	Health Care				128,966,388					—					—					128,966,388
	Industrials				131,407,756					—					—					131,407,756
	Information Technology				209,534,579					—					—					209,534,579
	Materials				44,977,302					—					—					44,977,302
	Telecommunication Services				37,146,343					—					—					37,146,343
	Utilities				34,703,284					—					—					34,703,284
	Total Equity Securities				1,147,445,216					—					—					1,147,445,216
	Other
	Limited Partnerships
	Financials				—					—					1,913,162					1,913,162
	Affiliated Money Market Fund(c)				2,680,558					—					—					2,680,558
	Investments of Cash Collateral Received for Securities on Loan				—					82,485,172					—					82,485,172
	Total Other				2,680,558					82,485,172					1,913,162					87,078,892
	Investments in Securities				1,150,125,774					82,485,172					1,913,162					1,234,524,108
	Derivatives(d)
	Assets
	Futures Contracts				49,727					—					—					49,727
	Total			$	1,150,175,501				$	82,485,172				$	1,913,162				$	1,234,573,835

^(a) See the Portfolio of Investments for all investment classifications not indicated in the table.

^(b) There were no significant transfers between Levels 1 and 2 during the period.

^(c) Money market fund that is a sweep investment for cash balances in the Fund at March 31, 2011.

^(d) Derivative instruments are valued at unrealized appreciation (depreciation).

The following table is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.

				Limited
				Partnerships
	Balance as of December 31, 2010			$	2,019,088
	Accrued discounts/premiums				—
	Realized gain (loss)				—
	Change in unrealized appreciation (depreciation)*				(105,926	)
	Sales				—
	Purchases				—
	Transfers into Level 3				—
	Transfers out of Level 3				—
	Balance as of March 31, 2011			$	1,913,162

* Change in unrealized appreciation (depreciation) relating to securities held at March 31, 2011 was $(105,926).

Transfers in and/or out of Level 3 are determined based on the fair value at the beginning of the period for security positions held throughout the period.

Item 2. Control and Procedures.

(a) The registrant’s principal executive officer and principal financial officer, 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 material 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) Tri-Continental Corporation

By		/s/ J. Kevin Connaughton
		J. Kevin Connaughton
		President and Principal Executive Officer
Date		May 20, 2011