UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-04367
Columbia Funds Series Trust I
(Exact name of registrant as specified in charter)
290 Congress Street
Boston, MA 02210
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: May 31
Date of reporting period: May 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
May 31, 2021
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Average annual total returns (%) (for the period ended May 31, 2021) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class A | Excluding sales charges | 01/28/15 | 6.50 | -4.21 | -4.13 |
Including sales charges | 0.44 | -5.34 | -5.02 | ||
Advisor Class | 01/28/15 | 6.79 | -3.96 | -3.88 | |
Class C | Excluding sales charges | 01/28/15 | 5.73 | -4.91 | -4.84 |
Including sales charges | 4.73 | -4.91 | -4.84 | ||
Institutional Class | 01/28/15 | 6.73 | -3.95 | -3.91 | |
Institutional 2 Class | 01/28/15 | 6.81 | -3.88 | -3.81 | |
Institutional 3 Class | 01/28/15 | 6.86 | -3.81 | -3.75 | |
Class R | 01/28/15 | 6.31 | -4.43 | -4.36 | |
FTSE One-Month U.S. Treasury Bill Index | 0.07 | 1.08 | 0.87 | ||
HFRX Global Hedge Fund Index | 13.54 | 4.19 | 2.55 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 3 |
Portfolio breakdown (%) (at May 31, 2021) | |
Asset-Backed Securities — Non-Agency | 8.1 |
Commercial Mortgage-Backed Securities - Agency | 0.1 |
Commercial Mortgage-Backed Securities - Non-Agency | 6.3 |
Money Market Funds | 37.4 |
Options Purchased Puts | 1.0 |
Residential Mortgage-Backed Securities - Agency | 13.9 |
Residential Mortgage-Backed Securities - Non-Agency | 15.0 |
Treasury Bills | 18.2 |
Total | 100.0 |
Market exposure through derivatives investments (% of notional exposure) (at May 31, 2021)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 114.4 | (218.3) | (103.9) |
Commodities Derivative Contracts | 4.5 | (2.1) | 2.4 |
Equity Derivative Contracts | 19.0 | (17.4) | 1.6 |
Foreign Currency Derivative Contracts | 119.4 | (119.5) | (0.1) |
Total Notional Market Value of Derivative Contracts | 257.3 | (357.3) | (100.0) |
4 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
• | The single largest contributor to positive absolute returns in our portion of the Fund’s portfolio during the period emanated from strong performance in the Mortgage Opportunities strategy. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 5 |
○ | Strong returns resulted from a tightening of credit spreads and rapid recovery from the COVID-19 market bottom, along with flexible duration positioning that contributed significantly to performance after interest rates bottomed out in August 2020. |
○ | Non-agency residential mortgage-backed securities (RMBS) generated positive contributions as housing fundamentals were boosted by the Fed’s actions to keep borrowing costs low. |
○ | Smaller allocations to commercial mortgage-backed securities (CMBS), asset-backed securities and collateralized loan obligations also added to performance as stimulus efforts supported consumer fundamentals. |
○ | Agency mortgage-backed securities, to a lesser degree, performed well over the period, particularly the strategy’s emphasis on current, lower coupon mortgage pools that have been a focus of the Fed’s bond purchase program. |
○ | Starting in August of last year, the sleeve’s duration was hedged back to a neutral positioning (aka duration of zero years). This was highly beneficial once rates began selling off in the latter parts of the year as well as in the first quarter of 2021. |
• | Positive performance in the G10 FX Currency during the period was driven by positive contributions from long positions in foreign currencies outperforming negative contributions from short positions. |
○ | During this period, the G10 FX Currency was generally long commodity and/or higher beta equity currencies while short more traditional carry currencies. |
○ | On average, long positions in Norwegian Krone (NOK), Canadian dollar (CAD), Swedish Krona (SEK), and New Zealand dollar (NZD) contributed positively to the overall performance of our portion of the Fund’s portfolio. |
• | Within the G10 Currency strategy, short positions in British Pound sterling (GBP), Euro (EUR), Japanese Yen (JPY), and Swiss Franc (CHF) detracted. |
• | The Global Tactical Asset Allocation (GTAA) strategy, which invests on a long/short basis across both equity and fixed income markets, detracted from performance. |
○ | Within the GTAA strategy, both equity and fixed-Income positioning hurt over the past year. |
○ | Relative underweights (short positions) in Japanese and U.K. equities hurt equity performance. |
○ | Relative long positions in Australian, Canadian, and U.S. fixed-income detracted from fixed-income performance. |
• | For systematic views, positions in equities and commodities contributed positively during the period. |
○ | Notable contributors among these asset classes include emerging equity market and directional agricultural commodity market strategies. |
○ | In emerging equities, the relative value and directional strategies both contributed positively to performance. |
○ | In the relative value strategy, gains were driven by long exposure to Korean equities and short exposure to Chinese equity markets. |
6 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
○ | In the agriculturals directional strategy, long exposure to corn and soybean oil drove gains. Corn and soybean oil rallied during the period as strong export sales reflected a positive demand environment. |
• | For discretionary views, positive performance was driven by commodities with fixed income and currencies also adding to gains. |
○ | A discretionary long position in gold added to returns early in the trailing one-year period, as declining real yields and uncertainty over the inflation outlook boosted the price of precious metals. |
○ | Later in the period, long positioning in crude oil was also profitable, as prices benefited from rising expectations for global growth and continued supply discipline from oil producers. |
○ | A discretionary short position in U.S. 10-year Treasury futures added to returns in the first quarter of 2021, as the rollout of the vaccination campaign and the passage of additional fiscal stimulus led to upward revisions to U.S. growth forecasts and a meaningful increase in bond yields. |
• | For systematic views, fixed income was the largest detractor, with currencies also detracting. |
○ | Notable detractors among these asset classes include yield curve, developed fixed income, and developed currency relative value strategies. |
○ | From a factor perspective, carry (notably in fixed income and commodity strategies) and value (mostly in equity and commodity strategies) detracted. |
○ | Within fixed income, losses were driven by yield curve and developed fixed income relative value strategies. |
○ | In the yield curve relative value strategy, a relative flattener position in the U.S. drove losses as the U.S. curve steepened (both outright and relative to most other countries) as growth prospects improved due to the acceleration in the pace of coronavirus vaccinations and the passing of a large stimulus bill in the United States. |
○ | A relative steepener position in Switzerland also contributed to losses. A steepener is a type of interest rate swap where one party agrees to pay the other a fixed rate in exchange for a floating rate in the expectation that the interest rate curve will steepen and not remain flat. |
• | In the developed fixed income relative value strategy, short exposure to German bunds and long exposure to Canadian bonds detracted over the period. |
○ | German bunds outperformed as a notably slow start to European vaccination campaigns, a renewed wave of lockdown measures, and more aggressive asset purchases from the European Central Bank all served to keep yields low. |
○ | Canadian bonds underperformed as the rally in oil prices supported the outlook for the economy, and as the Bank of Canada signaled in early 2021 that it could begin to taper its bond purchases relatively soon. |
• | Within currencies, the developed currencies relative strategy drove losses. |
○ | Long exposure to the Japanese yen and short exposure to the British pound detracted from performance. The Japanese yen underperformed as improvements in global risk sentiment on the back of U.S. fiscal stimulus and COVID-19 vaccines approvals weighed on safe-haven currencies. |
○ | The British pound outperformed, particularly in the third quarter of 2020 as purchasing managers index data showed a strong rebound in the U.K. services sector. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 7 |
• | The largest contributor in our portion of the Fund’s portfolio was our relative value positioning within the commodity sub-strategy. |
○ | Over the period, we gained from overweight positions in our portion of the portfolio in soybean oil, gasoline and silver. |
○ | The strategy benefited from the strong performance of sentiment and carry factors. |
• | Positive contribution from our directional sub-strategy, which takes views across asset classes, was primarily driven by our overweight in equity markets. |
• | Top performing country allocations during the period came from the Swedish Krona and Canadian and Italian equities. |
• | For the period, the largest detractor in our portion of the Fund’s portfolio came from our Global Country Equity Selection sub-strategy. |
○ | We suffered from losses on underweight allocations in France, Sweden, Taiwan and India. |
○ | Value and growth factor exposures experienced negative returns, due mainly to the impact of the COVID-19 pandemic in 2020. |
• | Our relative value global currency sub-strategy also detracted, primarily driven by our short positions in the Australian Dollar, Norwegian Krone and British Pound. |
○ | In this case our value and risk factors were the main detractors. |
• | The largest detracting international country positions over the period were the Australian Dollar, French equities and the Norwegian Krone. |
8 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
(Unaudited)
December 1, 2020 — May 31, 2021 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,023.80 | 1,018.24 | 6.35 | 6.33 | 1.28 |
Advisor Class | 1,000.00 | 1,000.00 | 1,025.30 | 1,019.47 | 5.12 | 5.10 | 1.03 |
Class C | 1,000.00 | 1,000.00 | 1,020.00 | 1,014.61 | 10.01 | 9.98 | 2.02 |
Institutional Class | 1,000.00 | 1,000.00 | 1,025.00 | 1,019.47 | 5.11 | 5.10 | 1.03 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,025.50 | 1,019.71 | 4.87 | 4.85 | 0.98 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,025.80 | 1,020.01 | 4.57 | 4.56 | 0.92 |
Class R | 1,000.00 | 1,000.00 | 1,023.00 | 1,017.12 | 7.49 | 7.47 | 1.51 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 9 |
May 31, 2021
Asset-Backed Securities — Non-Agency 8.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Credit Acceptance Receivables Trust(a) | ||||
Series 2019-1 Class E | ||||
04/14/2025 | 4.840% | 900,000 | 952,981 | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class DR | ||||
3-month USD LIBOR + 6.870% Floor 6.870% 04/15/2034 | 7.100% | 1,500,000 | 1,497,750 | |
ARES XLVII CLO Ltd.(a),(b) | ||||
Series 2018-47A Class B | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 04/15/2030 | 1.634% | 2,500,000 | 2,482,555 | |
Avant Loans Funding Trust(a) | ||||
Series 2019-A Class B | ||||
12/15/2022 | 3.800% | 151,550 | 151,756 | |
Series 2019-B Class B | ||||
10/15/2026 | 3.150% | 1,483,191 | 1,492,305 | |
Series 2019-B Class C | ||||
10/15/2026 | 4.540% | 3,000,000 | 3,057,534 | |
Series 2020-REV1 Class B | ||||
05/15/2029 | 2.680% | 496,000 | 499,117 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2020-3A Class E | ||||
3-month USD LIBOR + 7.500% Floor 7.500% 10/23/2032 | 7.759% | 1,000,000 | 1,004,003 | |
Series 2020-4A Class E | ||||
3-month USD LIBOR + 7.950% Floor 7.950% 10/20/2033 | 8.111% | 900,000 | 900,386 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2020-2A Class C | ||||
3-month USD LIBOR + 3.770% Floor 3.770% 10/20/2031 | 3.979% | 500,000 | 500,866 | |
Series 2020-2A Class D | ||||
3-month USD LIBOR + 7.630% Floor 7.630% 10/20/2031 | 7.839% | 500,000 | 501,515 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2019-3A Class ER | ||||
3-month USD LIBOR + 6.700% Floor 6.700% 04/20/2031 | 6.822% | 750,000 | 750,000 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carlyle Global Market Strategies(a),(b),(c) | ||||
Series 2021-5A Class E | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/20/2034 | 6.400% | 1,000,000 | 1,000,000 | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2016-4A Class A2R | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 10/20/2027 | 1.638% | 3,100,000 | 3,091,797 | |
Series 2020-2A Class D | ||||
3-month USD LIBOR + 7.400% Floor 7.400% 10/25/2031 | 7.574% | 990,000 | 990,645 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2019-B Class B | ||||
06/17/2024 | 3.620% | 505,868 | 506,739 | |
Consumer Loan Underlying Bond Credit Trust(a) | ||||
Subordinated Series 2017-P1 Class C | ||||
09/15/2023 | 5.020% | 282,691 | 283,456 | |
Consumer Loan Underlying Bond Credit Trust(a),(d),(e) | ||||
Subordinated Series 2018-P1 Class CERT | ||||
07/15/2025 | 0.000% | 100,000 | 900,000 | |
Subordinated Series 2018-P2 Class CERT | ||||
10/15/2025 | 0.000% | 100,000 | 950,000 | |
Consumer Underlying Bond Securitization(a) | ||||
Series 2018-1 Class A | ||||
02/17/2026 | 4.790% | 334,189 | 338,773 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2020-86A Class E | ||||
3-month USD LIBOR + 6.660% Floor 6.660% 07/17/2030 | 6.850% | 1,400,000 | 1,400,685 | |
ENVA LLC(a) | ||||
Series 2019-A Class B | ||||
06/22/2026 | 6.170% | 336,014 | 339,156 | |
Series 2019-A Class C | ||||
06/22/2026 | 7.620% | 500,000 | 517,730 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2020-3A Class E | ||||
08/17/2026 | 3.440% | 800,000 | 826,017 | |
Subordinated Series 2020-3A Class F | ||||
06/15/2027 | 5.560% | 500,000 | 529,668 | |
Exeter Automobile Receivables Trust(a),(c) | ||||
Subordinated Series 2021-2A Class E | ||||
07/17/2028 | 2.900% | 900,000 | 895,061 |
10 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freed ABS Trust(a) | ||||
Subordinated Series 2021-1CP Class C | ||||
03/20/2028 | 2.830% | 700,000 | 705,251 | |
LendingClub Receivables Trust(a) | ||||
Series 2019-3 Class A | ||||
10/15/2025 | 3.750% | 909,315 | 925,204 | |
Series 2019-5 Class A | ||||
12/15/2045 | 3.750% | 959,749 | 975,006 | |
Series 2019-7 Class A | ||||
01/15/2027 | 3.750% | 406,137 | 411,500 | |
Series 2020-T1 Class A | ||||
02/15/2046 | 3.500% | 518,740 | 520,533 | |
LendingClub Receivables Trust(a),(d),(e) | ||||
Series 2020-2 Class R | ||||
02/15/2046 | 0.000% | 85,000 | 733,125 | |
LendingClub Receivables Trust(a),(d),(e),(f) | ||||
Series 2020-JPSL Class R | ||||
02/15/2025 | 0.000% | 50,000 | 1,398,000 | |
Lendingpoint Asset Securitization Trust(a) | ||||
Subordinated Series 2019-2 Class C | ||||
11/10/2025 | 4.660% | 1,200,000 | 1,213,304 | |
LendingPoint Asset Securitization Trust(a),(e),(f) | ||||
Subordinated Series 2021-1 Class C | ||||
04/15/2027 | 4.935% | 1,150,000 | 1,152,695 | |
Subordinated Series 2021-1 Class D | ||||
04/15/2027 | 7.226% | 1,000,000 | 1,000,938 | |
Madison Park Funding XLVII Ltd.(a),(b) | ||||
Series 2020-47A Class E | ||||
3-month USD LIBOR + 7.460% Floor 7.460% 01/19/2034 | 7.706% | 500,000 | 503,710 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 1.938% | 7,000,000 | 7,000,574 | |
Marlette Funding Trust(a) | ||||
Series 2021-1A Class D | ||||
06/16/2031 | 2.470% | 100,000 | 100,215 | |
Octagon Investment Partners 47 Ltd.(a),(b),(c) | ||||
Series 2020-1A Class ER | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/20/2034 | 6.300% | 750,000 | 750,000 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-3 Class B | ||||
11/16/2026 | 5.625% | 1,100,000 | 1,128,476 | |
Series 2021-2 Class NOTE | ||||
01/25/2029 | 3.000% | 1,000,000 | 1,000,000 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pagaya AI Debt Selection Trust(a),(e) | ||||
Series 2020-2 Class NOTE | ||||
12/15/2027 | 7.500% | 773,338 | 781,071 | |
Pagaya AI Debt Selection Trust(a),(d),(e) | ||||
Series 2020-3 Class CERT | ||||
05/17/2027 | 0.000% | 3,200,000 | 3,184,000 | |
Pagaya AI Debt Selection Trust(a),(e),(g) | ||||
Series 2021-1 Class CERT | ||||
11/15/2027 | 0.000% | 1,846,200 | 3,000,075 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2020-4A Class D | ||||
3-month USD LIBOR + 7.050% Floor 7.050% 11/25/2028 | 7.197% | 1,000,000 | 1,003,543 | |
Prosper Pass-Through Trust(a),(e) | ||||
Series 2019-ST2 Class A | ||||
11/15/2025 | 3.750% | 856,682 | 860,966 | |
RR 16 Ltd.(a),(b),(c) | ||||
Series 2021-16A Class D | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/15/2036 | 2.500% | 1,000,000 | 1,000,000 | |
SoFi Consumer Loan Program LLC(a),(e),(h) | ||||
Series 2016-4 Class R | ||||
11/25/2025 | 0.000% | 100,000 | 1,017,969 | |
Theorem Funding Trust(a) | ||||
Series 2020-1A Class C | ||||
10/15/2026 | 6.250% | 2,300,000 | 2,411,095 | |
Upgrade Receivables Trust(a) | ||||
Series 2019-2A Class B | ||||
10/15/2025 | 3.510% | 2,290,893 | 2,296,928 | |
Subordinated Series 2019-2A Class C | ||||
10/15/2025 | 4.450% | 2,000,000 | 2,029,864 | |
Upstart Pass-Through Trust(a),(e) | ||||
Series 2020-ST4 Class A | ||||
11/20/2026 | 3.250% | 829,864 | 829,864 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST1 Class A | ||||
02/20/2027 | 2.750% | 681,830 | 688,568 | |
Upstart Securitization Trust(a) | ||||
Subordinated Series 2019-1 Class C | ||||
04/20/2026 | 5.130% | 1,127,728 | 1,145,713 | |
Westlake Automobile Receivables Trust(a) | ||||
Series 2020-3A Class E | ||||
06/15/2026 | 3.340% | 750,000 | 775,726 | |
Total Asset-Backed Securities — Non-Agency (Cost $65,845,298) | 66,904,408 | |||
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 11 |
May 31, 2021
Commercial Mortgage-Backed Securities - Agency 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(g),(i) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.849% | 1,639,968 | 116,411 | |
Series 2019-109 Class IO | ||||
04/16/2060 | 0.811% | 3,631,123 | 258,023 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.904% | 3,861,084 | 269,429 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 0.892% | 2,475,669 | 202,899 | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.838% | 2,697,141 | 189,769 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $1,610,657) | 1,036,531 | |||
Commercial Mortgage-Backed Securities - Non-Agency 6.5% | ||||
BAMLL Commercial Mortgage Securities Trust(a),(g) | ||||
Subordinated Series 2013-WBRK Class E | ||||
03/10/2037 | 3.652% | 500,000 | 411,903 | |
BAMLL Commercial Mortgage Securities Trust(a),(b) | ||||
Subordinated Series 2018-DSNY Class D | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 09/15/2034 | 1.801% | 2,065,000 | 2,049,429 | |
Subordinated Series 2019-RLJ Class C | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 04/15/2036 | 1.701% | 1,250,000 | 1,239,948 | |
BBCMS Trust(a),(b) | ||||
Series 2018-BXH Class A | ||||
1-month USD LIBOR + 1.000% Floor 1.000% 10/15/2037 | 1.101% | 207,394 | 207,763 | |
Subordinated Series 2018-BXH Class F | ||||
1-month USD LIBOR + 2.950% Floor 2.950% 10/15/2037 | 3.051% | 1,500,000 | 1,301,391 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 2.641% | 400,000 | 388,970 | |
Series 2019-DPLO Class G | ||||
1-month USD LIBOR + 3.190% Floor 3.190% 10/15/2034 | 3.291% | 1,000,000 | 965,823 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 2.501% | 1,000,000 | 884,200 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BX Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-MFM1 Class F | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 01/15/2034 | 3.101% | 500,000 | 502,505 | |
Subordinated Series 2021-MFM1 Class G | ||||
1-month USD LIBOR + 3.900% Floor 3.900% 01/15/2034 | 4.001% | 100,000 | 99,940 | |
BX Trust(a),(b) | ||||
Series 2018-GW Class D | ||||
1-month USD LIBOR + 1.770% Floor 1.770% 05/15/2037 | 1.871% | 1,175,000 | 1,174,271 | |
Series 2018-GW Class F | ||||
1-month USD LIBOR + 2.420% Floor 2.420% 05/15/2035 | 2.521% | 500,000 | 498,439 | |
Series 2019-ATL Class E | ||||
1-month USD LIBOR + 2.237% Floor 2.237% 10/15/2036 | 2.338% | 2,000,000 | 1,962,541 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,000,000 | 1,070,922 | |
Series 2019-OC11 Class E | ||||
12/09/2041 | 4.076% | 1,350,000 | 1,408,879 | |
BX Trust(a),(g) | ||||
Subordinated Series 2019-OC11 Class D | ||||
12/09/2041 | 3.944% | 500,000 | 531,116 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.350% 11/15/2036 | 1.601% | 1,000,000 | 1,001,251 | |
Series 2017-CSMO Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.100% 11/15/2036 | 2.351% | 1,000,000 | 1,001,875 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 2.822% | 900,000 | 882,003 | |
Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 3.518% | 1,350,000 | 1,236,515 |
12 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cold Storage Trust(a),(b) | ||||
Subordinated Series 2020-ICE5 Class F | ||||
1-month USD LIBOR + 3.493% Floor 3.333% 11/15/2023 | 3.593% | 638,944 | 644,732 | |
COMM Mortgage Trust(a),(g) | ||||
Series 2020-CBM Class D | ||||
02/10/2037 | 3.633% | 600,000 | 594,819 | |
Series 2020-CBM Class F | ||||
02/10/2037 | 3.633% | 2,200,000 | 2,056,057 | |
Cosmopolitan Hotel Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-CSMO Class F | ||||
1-month USD LIBOR + 3.741% Floor 3.741% 11/15/2036 | 3.842% | 2,550,000 | 2,562,100 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 745,000 | 716,810 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 4,600,000 | 3,970,735 | |
CSMC Trust(a),(g) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.283% | 600,000 | 517,261 | |
Hilton USA Trust(a),(g) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 3,000,000 | 2,999,276 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 2,500,000 | 2,515,851 | |
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 1,300,000 | 1,309,856 | |
Home Partners of America Trust(a) | ||||
Series 2019-2 Class F | ||||
10/19/2039 | 3.866% | 346,968 | 344,089 | |
KKR Industrial Portfolio Trust(a),(b) | ||||
Series 2020-AIP Class F | ||||
1-month USD LIBOR + 3.429% Floor 3.429% 03/15/2037 | 3.530% | 819,575 | 821,630 | |
Morgan Stanley Capital I Trust(a),(g) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 600,000 | 557,119 | |
Progress Residential Trust(a) | ||||
Series 2018-SF3 Class B | ||||
10/17/2035 | 4.079% | 2,000,000 | 2,013,805 | |
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 575,000 | 582,058 | |
Subordinated Series 2019-SFR3 Class E | ||||
09/17/2036 | 3.369% | 1,000,000 | 1,028,139 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2019-SFR3 Class F | ||||
09/17/2036 | 3.867% | 6,700,000 | 6,816,519 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/18/2037 | 6.152% | 500,000 | 531,431 | |
UBS Commercial Mortgage Trust(a),(b) | ||||
Series 2018-NYCH Class D | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 02/15/2032 | 2.201% | 800,000 | 790,546 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2017-SMP Class A | ||||
1-month USD LIBOR + 0.875% Floor 0.750% 12/15/2034 | 0.976% | 1,200,000 | 1,196,980 | |
Series 2020-SDAL Class E | ||||
1-month USD LIBOR + 2.740% Floor 2.740% 02/15/2037 | 2.841% | 1,000,000 | 930,074 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $50,645,459) | 52,319,571 | |||
Residential Mortgage-Backed Securities - Agency 14.1% | ||||
Federal Home Loan Mortgage Corp.(b),(i) | ||||
CMO Series 2013-101 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.500% Cap 6.500% 10/25/2043 | 6.408% | 1,119,841 | 289,300 | |
CMO Series 4987 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 5.988% | 1,671,555 | 409,546 | |
CMO Series 4993 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2050 | 5.958% | 2,320,646 | 647,175 | |
Federal Home Loan Mortgage Corp.(i) | ||||
CMO Series 5034 Class JI | ||||
11/25/2050 | 2.500% | 9,650,757 | 1,594,584 | |
Federal Home Loan Mortgage Corp. REMIC(b),(i) | ||||
CMO Series 4999 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 06/25/2050 | 6.058% | 3,378,590 | 735,069 | |
Federal Home Loan Mortgage Corp. REMICS(b),(i) | ||||
CMO Series 4606 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 12/15/2044 | 5.899% | 5,791,482 | 1,202,971 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 13 |
May 31, 2021
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(b),(i) | ||||
CMO Series 2016-53 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 5.908% | 19,136,380 | 4,667,355 | |
CMO Series 2020-38 Class WS | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 06/25/2050 | 4.908% | 4,028,982 | 752,025 | |
Federal National Mortgage Association(i) | ||||
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 4,546,605 | 806,807 | |
CMO Series 2021-4 Class IO | ||||
02/25/2051 | 2.500% | 5,744,825 | 950,002 | |
Federal National Mortgage Association REMICS(i) | ||||
CMO Series 2021-22 Class LI | ||||
04/25/2051 | 3.000% | 3,529,524 | 594,270 | |
Government National Mortgage Association(b),(i) | ||||
CMO Series 2019-103 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/20/2049 | 5.951% | 3,543,442 | 743,885 | |
CMO Series 2019-120 Class CS | ||||
-1.0 x 1-month USD LIBOR + 3.400% Cap 3.400% 09/20/2049 | 3.301% | 33,327,459 | 3,197,913 | |
CMO Series 2019-120 Class SA | ||||
-1.0 x 1-month USD LIBOR + 3.400% Cap 3.400% 09/20/2049 | 3.301% | 3,667,231 | 375,983 | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/20/2049 | 6.001% | 4,398,549 | 893,365 | |
CMO Series 2019-98 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 08/20/2049 | 6.001% | 13,889,603 | 2,291,051 | |
CMO Series 2020-104 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% 07/20/2050 | 6.101% | 2,322,597 | 460,478 | |
Government National Mortgage Association(i) | ||||
CMO Series 2019-129 Class AI | ||||
10/20/2049 | 3.500% | 3,089,569 | 408,723 | |
CMO Series 2019-158 Class PI | ||||
12/20/2049 | 3.500% | 6,125,733 | 756,559 | |
CMO Series 2020-104 Class IY | ||||
07/20/2050 | 3.000% | 3,453,075 | 503,737 | |
CMO Series 2020-129 Class GI | ||||
09/20/2050 | 3.000% | 3,305,050 | 518,750 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-129 Class YI | ||||
09/20/2050 | 2.500% | 4,192,322 | 574,642 | |
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 5,876,789 | 767,476 | |
CMO Series 2020-148 Class AI | ||||
10/20/2050 | 2.500% | 9,660,824 | 1,274,480 | |
CMO Series 2020-153 Class CI | ||||
10/20/2050 | 2.500% | 3,876,633 | 566,806 | |
CMO Series 2020-160 Class IA | ||||
10/20/2050 | 2.500% | 4,914,808 | 717,239 | |
CMO Series 2020-164 Class CI | ||||
11/20/2050 | 3.000% | 2,944,949 | 433,456 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 3,932,188 | 589,705 | |
CMO Series 2020-181 Class BI | ||||
12/20/2050 | 2.500% | 6,001,542 | 803,949 | |
CMO Series 2020-185 Class KI | ||||
12/20/2050 | 2.500% | 5,799,526 | 784,864 | |
CMO Series 2020-187 Class AI | ||||
12/20/2050 | 2.500% | 5,901,653 | 798,295 | |
CMO Series 2020-188 Class KI | ||||
12/20/2050 | 2.500% | 6,907,199 | 997,380 | |
CMO Series 2020-191 Class UC | ||||
12/20/2050 | 4.000% | 2,931,060 | 505,479 | |
CMO Series 2021-1 Class IT | ||||
01/20/2051 | 3.000% | 4,942,208 | 687,605 | |
CMO Series 2021-24 Class MI | ||||
02/20/2051 | 3.000% | 2,973,150 | 436,204 | |
CMO Series 2021-7 Class QI | ||||
01/20/2051 | 2.500% | 6,524,726 | 937,426 | |
CMO Series 2021-9 Class MI | ||||
01/20/2051 | 2.500% | 2,962,002 | 397,116 | |
Government National Mortgage Association TBA(c) | ||||
06/21/2051 | 2.500% | 30,000,000 | 31,072,265 | |
Uniform Mortgage-Backed Security TBA(c) | ||||
06/14/2051 | 2.000% | 34,500,000 | 34,849,043 | |
06/14/2051 | 2.500% | 14,000,000 | 14,496,016 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $112,250,481) | 114,488,994 | |||
Residential Mortgage-Backed Securities - Non-Agency 15.3% | ||||
Ajax Mortgage Loan Trust(a),(g) | ||||
CMO Series 2021-C Class A | ||||
01/25/2061 | 2.115% | 489,349 | 489,583 | |
Angel Oak Mortgage Trust I LLC(a),(g) | ||||
Subordinated CMO Series 2019-2 Class B2 | ||||
03/25/2049 | 6.286% | 700,000 | 720,490 |
14 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bayview Koitere Fund Trust(a),(g) | ||||
CMO Series 2020-LT1 Class A1 | ||||
06/28/2035 | 4.213% | 1,092,134 | 1,097,811 | |
Bayview Opportunity Master Fund IVa Trust(a),(g) | ||||
CMO Series 2020-RN2 Class A1 | ||||
06/28/2035 | 4.424% | 830,243 | 835,820 | |
Bayview Opportunity Master Fund Trust(a),(g) | ||||
CMO Series 2020-RN1 Class A1 | ||||
02/28/2035 | 3.228% | 146,973 | 147,551 | |
Bellemeade Re Ltd(a),(b) | ||||
Subordinated CMO Series 2020-1A Class B1 | ||||
1-month USD LIBOR + 4.400% 06/25/2030 | 4.518% | 800,000 | 804,701 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2018-2A Class M1C | ||||
1-month USD LIBOR + 1.600% 08/25/2028 | 1.692% | 469,801 | 469,798 | |
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 03/25/2029 | 1.842% | 1,500,000 | 1,501,067 | |
CMO Series 2019-4A Class M1C | ||||
1-month USD LIBOR + 2.500% Floor 2.500% 10/25/2029 | 2.592% | 200,000 | 200,000 | |
CMO Series 2020-2A Class M2 | ||||
1-month USD LIBOR + 6.000% Floor 6.000% 08/26/2030 | 6.092% | 1,700,000 | 1,799,573 | |
CMO Series 2020-3A Class M2 | ||||
1-month USD LIBOR + 4.850% Floor 4.850% 10/25/2030 | 4.942% | 650,000 | 682,085 | |
BRAVO Residential Funding Trust(a),(g) | ||||
CMO Series 2019-NQM1 Class B1 | ||||
07/25/2059 | 4.006% | 4,782,000 | 4,947,295 | |
CMO Series 2019-NQM1 Class M1 | ||||
07/25/2059 | 2.997% | 2,512,500 | 2,529,961 | |
CMO Series 2019-NQM2 Class B1 | ||||
11/25/2059 | 3.954% | 1,000,000 | 1,002,196 | |
CMO Series 2020-NQM1 Class B1 | ||||
05/25/2060 | 5.086% | 300,000 | 316,166 | |
CMO Series 2020-NQM1 Class B2 | ||||
05/25/2060 | 5.630% | 430,000 | 446,797 | |
BRAVO Residential Funding Trust(a),(b) | ||||
CMO Series 2021-HE2 Class B1 | ||||
30-day Average SOFR + 2.400% 11/25/2069 | 3.000% | 338,000 | 338,000 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2021-HE2 Class B2 | ||||
30-day Average SOFR + 3.400% 11/25/2069 | 3.000% | 353,000 | 353,000 | |
BVRT Financing Trust(a),(b),(e) | ||||
CMO Series 2020-CRT1 Class M3 | ||||
1-month USD LIBOR + 4.000% 07/10/2032 | 4.095% | 1,000,000 | 1,005,000 | |
CMO Series 2021-CRT1 Class M4 | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 07/10/2032 | 3.595% | 1,875,000 | 1,813,281 | |
BVRT Financing Trust(a),(b),(e),(f) | ||||
CMO Series 2021-2F Class M2 | ||||
30-day Average SOFR + 2.500% Floor 2.500% 01/10/2032 | 2.516% | 1,000,000 | 1,000,000 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 2.842% | 370,000 | 371,594 | |
Citigroup Mortgage Loan Trust, Inc.(a),(g) | ||||
CMO Series 2019-IMC1 Class M1 | ||||
07/25/2049 | 3.170% | 4,500,000 | 4,515,547 | |
COLT Mortgage Loan Trust(a),(g) | ||||
CMO Series 2020-2 Class M1 | ||||
03/25/2065 | 5.250% | 200,000 | 209,167 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-HRP1 Class B1 | ||||
1-month USD LIBOR + 9.250% 11/25/2039 | 9.342% | 1,600,000 | 1,644,317 | |
CMO Series 2019-HRP1 Class M2 | ||||
1-month USD LIBOR + 2.150% 11/25/2039 | 2.242% | 556,097 | 548,423 | |
CMO Series 2020-R01 Class 1M2 | ||||
1-month USD LIBOR + 2.050% Floor 2.050% 01/25/2040 | 2.142% | 3,413,762 | 3,429,282 | |
CSMC Trust(a),(g) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.454% | 1,859,034 | 1,898,717 | |
Deephaven Residential Mortgage Trust(a),(g) | ||||
CMO Series 2020-2 Class B2 | ||||
05/25/2065 | 5.898% | 600,000 | 612,156 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M1 | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 11/25/2028 | 1.792% | 1,825,512 | 1,831,144 | |
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 1.892% | 481,252 | 481,566 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 15 |
May 31, 2021
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae Connecticut Avenue Securities(b) | ||||
CMO Series 14-C02 Class 1M2 | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 05/25/2024 | 2.692% | 1,497,338 | 1,500,146 | |
CMO Series 2014-C03 Class 1M2 | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 07/25/2024 | 3.092% | 1,533,872 | 1,542,551 | |
FMC GMSR Issuer Trust(a),(g) | ||||
CMO Series 2019-GT1 Class B | ||||
05/25/2024 | 5.660% | 4,000,000 | 4,021,882 | |
Freddie Mac STACR(a),(b) | ||||
Subordinated CMO Series 2019-HQA3 Class B1 | ||||
1-month USD LIBOR + 3.000% 09/25/2049 | 3.092% | 1,000,000 | 1,010,207 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2020-DNA4 Class B1 | ||||
1-month USD LIBOR + 6.000% 08/25/2050 | 6.092% | 1,600,000 | 1,714,907 | |
Subordinated CMO Series 2020-DNA6 Class B2 | ||||
30-day Average SOFR + 5.650% 12/25/2050 | 5.660% | 1,000,000 | 1,009,079 | |
Subordinated CMO Series 2020-HQA3 Class B1 | ||||
1-month USD LIBOR + 5.750% 07/25/2050 | 5.842% | 1,000,000 | 1,076,205 | |
Subordinated CMO Series 2020-HQA4 Class B1 | ||||
1-month USD LIBOR + 5.250% 09/25/2050 | 5.356% | 2,400,000 | 2,540,630 | |
Subordinated CMO Series 2021-DNA1 Class B2 | ||||
30-day Average SOFR + 4.750% 01/25/2051 | 4.760% | 1,200,000 | 1,139,758 | |
Freddie Mac STACR Trust(a),(b) | ||||
Subordinated CMO Series 2019-HQA2 Class B1 | ||||
1-month USD LIBOR + 4.100% 04/25/2049 | 4.192% | 1,500,000 | 1,550,248 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(b) | ||||
CMO Series 2014-DN1 Class M3 | ||||
1-month USD LIBOR + 4.500% 02/25/2024 | 4.592% | 507,590 | 520,022 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
Subordinated CMO Series 2020-DNA3 Class B1 | ||||
1-month USD LIBOR + 5.100% 06/25/2050 | 5.192% | 2,000,000 | 2,096,453 | |
Subordinated CMO Series 2020-HQA5 Class B2 | ||||
30-day Average SOFR + 7.400% 11/25/2050 | 7.410% | 1,800,000 | 2,046,682 | |
GCAT Trust(a),(g) | ||||
CMO Series 2019-NQM3 Class M1 | ||||
11/25/2059 | 3.450% | 600,000 | 613,531 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2019-1 Class M1 | ||||
1-month USD LIBOR + 1.900% Floor 1.900% 11/26/2029 | 1.992% | 1,252,167 | 1,252,171 | |
Glebe Funding Trust (The)(a) | ||||
CMO Series 2021-1 Class PT | ||||
10/27/2023 | 3.000% | 1,209,311 | 1,209,310 | |
Headlands Residential LLC(a) | ||||
CMO Series 2019-RPL1 | ||||
06/25/2024 | 3.967% | 5,000,000 | 4,965,903 | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month USD LIBOR + 3.000% 10/25/2028 | 3.092% | 750,000 | 758,490 | |
CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 4.150% Floor 4.150% 10/25/2030 | 4.294% | 250,000 | 257,801 | |
CMO Series 2020-1 Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 5.394% | 1,200,000 | 1,228,812 | |
Homeward Opportunities Fund Trust(a),(g) | ||||
CMO Series 2020-BPL1 Class A2 | ||||
08/25/2025 | 5.438% | 1,500,000 | 1,527,521 | |
L1C LLC(a) | ||||
CMO Series 2020-1 Class NOTE | ||||
08/25/2051 | 5.290% | 700,000 | 703,836 | |
Legacy Mortgage Asset Trust(a),(g) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 484,742 | 484,379 | |
LVII Trust(a),(e),(f),(g) | ||||
Subordinated CMO Series 2020-1 Class B1 | ||||
05/25/2060 | 5.000% | 1,900,000 | 1,892,875 | |
Mortgage Acquisition Trust I LLC(a) | ||||
CMO Series 2021-1 Class PT | ||||
11/29/2023 | 3.500% | 1,000,000 | 1,000,000 | |
New Residential Mortgage Loan Trust(a),(g) | ||||
CMO Series 2020-RPL2 Class A1 | ||||
08/25/2025 | 3.578% | 1,851,504 | 1,887,677 | |
Oaktown Re III Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M2 | ||||
1-month USD LIBOR + 2.550% Floor 2.550% 07/25/2029 | 2.642% | 1,000,000 | 1,004,320 | |
Oaktown Re V Ltd.(a),(b) | ||||
CMO Series 2020-2A Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 5.393% | 1,000,000 | 1,047,686 |
16 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M2 | ||||
30-day Average SOFR + 3.950% Floor 3.950% 10/25/2033 | 3.960% | 500,000 | 503,679 | |
OMSR(a) | ||||
CMO Series 2019-PLS1 Class A | ||||
11/25/2024 | 5.069% | 2,356,473 | 2,368,070 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 2.090% | 999,748 | 990,350 | |
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 2.840% | 1,063,181 | 1,050,070 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-FT1 Class A | ||||
1-month USD LIBOR + 2.350% 04/25/2023 | 2.442% | 500,000 | 498,170 | |
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 2.942% | 2,750,000 | 2,746,979 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 2.742% | 4,250,000 | 4,238,759 | |
Preston Ridge Partners Mortgage(a),(g) | ||||
CMO Series 2021-2 Class A2 | ||||
03/25/2026 | 3.770% | 700,000 | 698,765 | |
CMO Series 2021-4 Class A2 | ||||
04/25/2026 | 3.474% | 400,000 | 400,338 | |
Preston Ridge Partners Mortgage LLC(a),(g) | ||||
CMO Series 2020-6 Class A2 | ||||
11/25/2025 | 4.703% | 200,000 | 198,558 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 981,033 | 981,093 | |
Preston Ridge Partners Mortgage Trust(a),(g) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 972,194 | 971,927 | |
CMO Series 2021-1 Class A2 | ||||
01/25/2026 | 3.720% | 3,250,000 | 3,248,860 | |
Pretium Mortgage Credit Partners I LLC(a),(g) | ||||
CMO Series 2020-NPL2 Class A2 | ||||
02/27/2060 | 6.170% | 300,000 | 300,128 | |
CMO Series 2020-RPL1 Class A2 | ||||
05/27/2060 | 6.170% | 1,817,784 | 1,857,618 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PRPM LLC(a),(g) | ||||
CMO Series 2020-1A Class A2 | ||||
02/25/2025 | 3.967% | 2,250,000 | 2,211,814 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2020-2 Class M2 | ||||
1-month USD LIBOR + 5.600% Floor 5.600% 10/25/2030 | 5.748% | 600,000 | 613,580 | |
RCO V Mortgage LLC(a),(g) | ||||
CMO Series 2019-2 Class A1 | ||||
11/25/2024 | 3.475% | 3,116,224 | 3,123,569 | |
CMO Series 2020-1 Class A2 | ||||
09/25/2025 | 5.389% | 900,000 | 905,954 | |
Residential Mortgage Loan Trust(a),(g) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.257% | 700,000 | 709,272 | |
STACR Trust(a),(b) | ||||
Subordinated CMO Series 2018-HRP1 Class B1 | ||||
1-month USD LIBOR + 3.750% 04/25/2043 | 3.842% | 2,000,000 | 2,050,439 | |
Starwood Mortgage Residential Trust(a),(g) | ||||
CMO Series 2020-3 Class B1 | ||||
04/25/2065 | 4.750% | 250,000 | 260,715 | |
Stonnington Mortgage Trust(a),(e),(g) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 5.500% | 1,020,629 | 1,020,629 | |
Toorak Mortgage Corp., Ltd.(a),(g) | ||||
CMO Series 2019-1 Class A1 | ||||
03/25/2022 | 4.458% | 690,356 | 692,722 | |
Toorak Mortgage Corp., Ltd.(a),(c),(g) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 800,000 | 799,920 | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 10/25/2030 | 4.618% | 1,170,000 | 1,183,629 | |
CMO Series 2020-1 Class M2 | ||||
1-month USD LIBOR + 5.600% Floor 5.600% 10/25/2030 | 5.718% | 1,000,000 | 1,033,497 | |
Subordinated CMO Series 2021-2 Class B1 | ||||
1-month USD LIBOR + 7.500% Floor 7.500% 10/25/2033 | 7.592% | 500,000 | 503,597 | |
VCAT Asset Securitization LLC(a),(c),(g) | ||||
CMO Series 2021-NPL3 Class A2 | ||||
05/25/2051 | 3.967% | 300,000 | 299,997 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 17 |
May 31, 2021
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vericrest Opportunity Loan Transferee(a),(g) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 1,261,262 | 1,262,532 | |
Verus Securitization Trust(a) | ||||
CMO Series 2020-INV1 Class B1 | ||||
04/25/2060 | 5.750% | 150,000 | 157,421 | |
CMO Series 2020-INV1 Class M1 | ||||
04/25/2060 | 5.500% | 550,000 | 588,365 | |
Subordinated CMO Series 2020-INV1 Class B2 | ||||
04/25/2060 | 6.000% | 150,000 | 155,200 | |
Verus Securitization Trust(a),(g) | ||||
CMO Series 2020-NPL1 Class A2 | ||||
08/25/2050 | 5.682% | 1,250,000 | 1,267,796 | |
Subordinated CMO Series 2019-3 Class B1 | ||||
07/25/2059 | 4.043% | 2,289,000 | 2,333,047 | |
Subordinated CMO Series 2019-4 Class B1 | ||||
11/25/2059 | 3.860% | 500,000 | 504,588 | |
Subordinated CMO Series 2020-4 Class B2 | ||||
06/25/2065 | 5.600% | 327,000 | 335,525 | |
Visio Trust(a),(g) | ||||
CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 102,598 | |
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 208,193 | |
Vista Point Securitization Trust(a),(g) | ||||
Subordinated CMO Series 2020-1 Class B1 | ||||
03/25/2065 | 5.375% | 800,000 | 839,460 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $119,103,024) | 123,862,593 | |||
Treasury Bills 18.5% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 18.5% | ||||
U.S. Treasury Bills(j) | ||||
09/09/2021 | 0.010% | 83,000,000 | 82,997,084 | |
U.S. Treasury Bills | ||||
02/24/2022 | 0.020% | 67,000,000 | 66,988,146 | |
Total | 149,985,230 | |||
Total Treasury Bills (Cost $149,942,311) | 149,985,230 |
Options Purchased Puts 1.0% | ||||
Value ($) | ||||
(Cost $2,950,200) | 8,206,038 |
Money Market Funds 38.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.042%(k),(l) | 308,330,023 | 308,299,190 |
Total Money Market Funds (Cost $308,305,377) | 308,299,190 | |
Total Investments in Securities (Cost: $810,652,807) | 825,102,555 | |
Other Assets & Liabilities, Net | (15,505,244) | |
Net Assets | 809,597,311 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
88,946,000 AUD | 70,117,575 USD | Citi | 06/09/2021 | 1,546,816 | — |
26,126,000 NOK | 3,130,753 USD | Citi | 06/09/2021 | 6,710 | — |
3,737,478 USD | 4,822,000 AUD | Citi | 06/09/2021 | — | (20,074) |
69,311,284 USD | 570,346,000 NOK | Citi | 06/09/2021 | — | (1,111,581) |
101,302,000 AUD | 78,650,363 USD | Citi | 06/16/2021 | 551,446 | — |
11,478,000 AUD | 8,778,885 USD | Citi | 06/16/2021 | — | (70,095) |
151,119,915 BRL | 27,356,398 USD | Citi | 06/16/2021 | — | (1,600,790) |
23,328,250 CAD | 19,313,239 USD | Citi | 06/16/2021 | 2,946 | — |
141,713,750 CAD | 115,030,576 USD | Citi | 06/16/2021 | — | (2,275,010) |
28,761,000 CHF | 32,069,611 USD | Citi | 06/16/2021 | 83,560 | — |
31,810,000 CHF | 34,869,430 USD | Citi | 06/16/2021 | — | (507,515) |
4,882,721,698 CLP | 6,868,420 USD | Citi | 06/16/2021 | 129,961 | — |
18 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
2,921,783,550 CLP | 4,004,321 USD | Citi | 06/16/2021 | — | (27,921) |
241,698,000 CNH | 37,154,895 USD | Citi | 06/16/2021 | — | (814,043) |
43,472,229,000 COP | 11,935,268 USD | Citi | 06/16/2021 | 222,024 | — |
5,818,679,000 COP | 1,536,876 USD | Citi | 06/16/2021 | — | (30,921) |
298,777,000 CZK | 14,352,602 USD | Citi | 06/16/2021 | 43,112 | — |
141,400,000 CZK | 6,579,933 USD | Citi | 06/16/2021 | — | (192,215) |
62,981,606 EUR | 77,022,973 USD | Citi | 06/16/2021 | 199,210 | — |
102,700,394 EUR | 123,953,758 USD | Citi | 06/16/2021 | — | (1,318,226) |
42,111,000 GBP | 58,558,392 USD | Citi | 06/16/2021 | — | (1,204,634) |
2,170,472,000 HUF | 7,240,220 USD | Citi | 06/16/2021 | — | (358,972) |
26,550,000,000 IDR | 1,857,226 USD | Citi | 06/16/2021 | 1,965 | — |
155,914,095,000 IDR | 10,657,356 USD | Citi | 06/16/2021 | — | (237,609) |
21,500,000 ILS | 6,557,874 USD | Citi | 06/16/2021 | — | (60,126) |
74,250,000 INR | 1,023,576 USD | Citi | 06/16/2021 | 968 | — |
1,569,096,999 INR | 21,126,681 USD | Citi | 06/16/2021 | — | (483,716) |
7,359,106,000 JPY | 67,758,983 USD | Citi | 06/16/2021 | 750,157 | — |
992,030,000 KRW | 895,016 USD | Citi | 06/16/2021 | 5,058 | — |
27,020,573,000 KRW | 23,992,970 USD | Citi | 06/16/2021 | — | (247,402) |
98,820,000 MXN | 4,960,347 USD | Citi | 06/16/2021 | 7,039 | — |
603,129,000 MXN | 29,169,452 USD | Citi | 06/16/2021 | — | (1,062,118) |
158,578,000 NOK | 19,129,056 USD | Citi | 06/16/2021 | 166,661 | — |
476,187,000 NOK | 55,912,939 USD | Citi | 06/16/2021 | — | (1,028,416) |
47,889,000 NZD | 34,850,936 USD | Citi | 06/16/2021 | 161,487 | — |
117,541,000 NZD | 84,181,374 USD | Citi | 06/16/2021 | — | (962,032) |
193,000,000 PHP | 3,944,070 USD | Citi | 06/16/2021 | — | (90,945) |
122,845,000 PLN | 32,297,729 USD | Citi | 06/16/2021 | — | (1,118,601) |
1,249,212,750 RUB | 16,631,171 USD | Citi | 06/16/2021 | — | (392,577) |
116,861,000 SEK | 14,092,803 USD | Citi | 06/16/2021 | 18,611 | — |
166,114,000 SEK | 19,859,632 USD | Citi | 06/16/2021 | — | (146,361) |
25,110,000 SGD | 18,863,607 USD | Citi | 06/16/2021 | — | (122,491) |
219,550,000 TWD | 7,779,638 USD | Citi | 06/16/2021 | — | (154,123) |
7,929,000 USD | 10,436,000 AUD | Citi | 06/16/2021 | 116,648 | — |
79,847,642 USD | 102,344,000 AUD | Citi | 06/16/2021 | — | (945,394) |
28,530,692 USD | 157,761,081 BRL | Citi | 06/16/2021 | 1,699,058 | — |
132,210,481 USD | 165,042,000 CAD | Citi | 06/16/2021 | 4,405,398 | — |
29,516,707 USD | 27,377,875 CHF | Citi | 06/16/2021 | 931,125 | — |
26,469,665 USD | 23,709,375 CHF | Citi | 06/16/2021 | — | (101,692) |
736,490 USD | 540,000,000 CLP | Citi | 06/16/2021 | 8,744 | — |
11,199,447 USD | 7,960,168,000 CLP | Citi | 06/16/2021 | — | (213,921) |
37,078,933 USD | 241,698,000 CNH | Citi | 06/16/2021 | 890,004 | — |
8,873,057 USD | 33,205,926,101 COP | Citi | 06/16/2021 | 74,014 | — |
4,383,971 USD | 16,084,981,899 COP | Citi | 06/16/2021 | — | (50,001) |
19,289,199 USD | 411,177,000 CZK | Citi | 06/16/2021 | 403,526 | — |
1,392,862 USD | 29,000,000 CZK | Citi | 06/16/2021 | — | (3,949) |
194,341,979 USD | 161,431,000 EUR | Citi | 06/16/2021 | 2,568,480 | — |
5,204,336 USD | 4,251,000 EUR | Citi | 06/16/2021 | — | (19,048) |
41,739,245 USD | 29,808,000 GBP | Citi | 06/16/2021 | 563,627 | — |
7,394,223 USD | 2,170,472,000 HUF | Citi | 06/16/2021 | 204,968 | — |
11,454,017 USD | 166,951,594,999 IDR | Citi | 06/16/2021 | 212,226 | — |
1,088,955 USD | 15,512,500,001 IDR | Citi | 06/16/2021 | — | (4,972) |
5,321,383 USD | 17,350,000 ILS | Citi | 06/16/2021 | 19,189 | — |
1,279,195 USD | 4,150,000 ILS | Citi | 06/16/2021 | — | (1,767) |
22,829,581 USD | 1,687,025,749 INR | Citi | 06/16/2021 | 404,990 | — |
210,700 USD | 15,285,625 INR | Citi | 06/16/2021 | — | (179) |
20,845,257 USD | 2,296,204,000 JPY | Citi | 06/16/2021 | 62,981 | — |
46,949,527 USD | 5,062,902,000 JPY | Citi | 06/16/2021 | — | (848,938) |
16,801,922 USD | 18,856,565,500 KRW | Citi | 06/16/2021 | 114,454 | — |
8,268,537 USD | 9,156,037,500 KRW | Citi | 06/16/2021 | — | (54,583) |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 19 |
May 31, 2021
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
30,839,489 USD | 638,683,750 MXN | Citi | 06/16/2021 | 1,174,247 | — |
3,176,792 USD | 63,265,250 MXN | Citi | 06/16/2021 | — | (5,650) |
23,641,789 USD | 201,328,000 NOK | Citi | 06/16/2021 | 432,554 | — |
44,389,756 USD | 368,831,250 NOK | Citi | 06/16/2021 | — | (285,756) |
71,511,696 USD | 99,577,000 NZD | Citi | 06/16/2021 | 619,092 | — |
33,208,010 USD | 45,529,250 NZD | Citi | 06/16/2021 | — | (227,897) |
3,617,115 USD | 173,699,999 PHP | Citi | 06/16/2021 | 14,398 | — |
26,445,226 USD | 98,029,250 PLN | Citi | 06/16/2021 | 220,717 | — |
6,782,588 USD | 24,815,750 PLN | Citi | 06/16/2021 | — | (32,201) |
18,743,067 USD | 1,410,751,000 RUB | Citi | 06/16/2021 | 482,056 | — |
32,575,669 USD | 272,895,500 SEK | Citi | 06/16/2021 | 290,589 | — |
1,217,413 USD | 10,079,500 SEK | Citi | 06/16/2021 | — | (3,485) |
14,165,007 USD | 18,832,499 SGD | Citi | 06/16/2021 | 74,565 | — |
8,415,342 USD | 231,400,000 TWD | Citi | 06/16/2021 | — | (53,364) |
18,669,452 USD | 280,157,500 ZAR | Citi | 06/17/2021 | 1,619,033 | — |
216,490 USD | 2,979,000 ZAR | Citi | 06/17/2021 | — | (757) |
6,720,000 ZAR | 488,256 USD | Citi | 06/17/2021 | 1,606 | — |
270,805,000 ZAR | 18,681,808 USD | Citi | 06/17/2021 | — | (929,386) |
49,262,000 AUD | 38,166,047 USD | Citi | 09/15/2021 | 174,698 | — |
16,226,749 BRL | 3,032,600 USD | Citi | 09/15/2021 | — | (46,446) |
78,000 CAD | 64,756 USD | Citi | 09/15/2021 | 199 | — |
23,709,375 CHF | 26,531,440 USD | Citi | 09/15/2021 | 101,628 | — |
4,741,875 CHF | 5,267,653 USD | Citi | 09/15/2021 | — | (18,309) |
1,290,000,000 CLP | 1,801,997 USD | Citi | 09/15/2021 | 22,719 | — |
1,680,000,000 CLP | 2,296,929 USD | Citi | 09/15/2021 | — | (20,270) |
857,000 CNH | 132,955 USD | Citi | 09/15/2021 | — | (875) |
15,684,981,899 COP | 4,252,532 USD | Citi | 09/15/2021 | 46,965 | — |
29,129,252,101 COP | 7,758,955 USD | Citi | 09/15/2021 | — | (51,384) |
20,300,000 CZK | 975,143 USD | Citi | 09/15/2021 | 3,284 | — |
7,499,000 EUR | 9,179,283 USD | Citi | 09/15/2021 | 15,940 | — |
183,000 EUR | 223,402 USD | Citi | 09/15/2021 | — | (214) |
12,303,000 GBP | 17,411,329 USD | Citi | 09/15/2021 | — | (49,489) |
364,070,000 HUF | 1,269,487 USD | Citi | 09/15/2021 | — | (2,527) |
8,825,000,001 IDR | 610,112 USD | Citi | 09/15/2021 | 623 | — |
26,474,999,999 IDR | 1,820,824 USD | Citi | 09/15/2021 | — | (7,645) |
15,285,625 INR | 207,814 USD | Citi | 09/15/2021 | 343 | — |
91,713,749 INR | 1,232,566 USD | Citi | 09/15/2021 | — | (12,262) |
1,566,820,000 JPY | 14,388,165 USD | Citi | 09/15/2021 | 111,337 | — |
6,275,244,000 KRW | 5,602,098 USD | Citi | 09/15/2021 | — | (31,352) |
62,537,250 MXN | 3,108,376 USD | Citi | 09/15/2021 | 6,102 | — |
20,845,750 MXN | 1,031,024 USD | Citi | 09/15/2021 | — | (3,067) |
324,221,250 NOK | 39,032,321 USD | Citi | 09/15/2021 | 261,561 | — |
34,436,000 NOK | 4,112,607 USD | Citi | 09/15/2021 | — | (5,291) |
21,631,750 NZD | 15,725,043 USD | Citi | 09/15/2021 | 60,446 | — |
44,173,500 NZD | 31,803,813 USD | Citi | 09/15/2021 | — | (184,355) |
173,699,999 PHP | 3,591,366 USD | Citi | 09/15/2021 | — | (15,010) |
24,815,750 PLN | 6,784,581 USD | Citi | 09/15/2021 | 32,654 | — |
74,447,250 PLN | 20,150,633 USD | Citi | 09/15/2021 | — | (105,147) |
19,172,499 SGD | 14,417,456 USD | Citi | 09/15/2021 | — | (75,672) |
32,622,099 USD | 42,114,000 AUD | Citi | 09/15/2021 | — | (143,360) |
13,617,542 USD | 72,928,915 BRL | Citi | 09/15/2021 | 220,813 | — |
58,531,967 USD | 70,782,750 CAD | Citi | 09/15/2021 | 52,033 | — |
29,344,456 USD | 35,419,250 CAD | Citi | 09/15/2021 | — | (29,386) |
4,001,943 USD | 2,921,783,550 CLP | Citi | 09/15/2021 | 28,030 | — |
2,717,507 USD | 1,947,855,698 CLP | Citi | 09/15/2021 | — | (30,859) |
9,137,307 USD | 59,216,250 CNH | Citi | 09/15/2021 | 109,955 | — |
347,018 USD | 1,300,000,000 COP | Citi | 09/15/2021 | 1,547 | — |
135,254 USD | 500,000,000 COP | Citi | 09/15/2021 | — | (1,190) |
20 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
14,937,073 USD | 311,077,000 CZK | Citi | 09/15/2021 | — | (44,311) |
10,188,514 USD | 8,345,394 EUR | Citi | 09/15/2021 | 9,073 | — |
72,482,709 USD | 59,172,606 EUR | Citi | 09/15/2021 | — | (177,220) |
5,195,692 USD | 3,668,000 GBP | Citi | 09/15/2021 | 10,053 | — |
3,032,781 USD | 870,000,000 HUF | Citi | 09/15/2021 | 6,887 | — |
771,234 USD | 220,000,000 HUF | Citi | 09/15/2021 | — | (2,582) |
752,155 USD | 10,900,000,000 IDR | Citi | 09/15/2021 | 642 | — |
6,013,333 USD | 447,499,999 INR | Citi | 09/15/2021 | 60,572 | — |
1,009,485 USD | 74,250,000 INR | Citi | 09/15/2021 | — | (1,692) |
2,586,520 USD | 2,892,986,000 KRW | Citi | 09/15/2021 | 10,589 | — |
1,550,595 USD | 31,361,000 MXN | Citi | 09/15/2021 | 5,125 | — |
4,632,358 USD | 93,226,000 MXN | Citi | 09/15/2021 | — | (7,713) |
7,096,280 USD | 58,862,000 NOK | Citi | 09/15/2021 | — | (57,492) |
9,203,973 USD | 12,765,000 NZD | Citi | 09/15/2021 | 39,781 | — |
9,165,427 USD | 12,586,000 NZD | Citi | 09/15/2021 | — | (51,295) |
3,503,544 USD | 12,918,000 PLN | Citi | 09/15/2021 | 11,215 | — |
1,339,770 USD | 4,900,000 PLN | Citi | 09/15/2021 | — | (6,567) |
6,482,819 USD | 484,614,750 RUB | Citi | 09/15/2021 | 32,088 | — |
17,682,914 USD | 147,161,000 SEK | Citi | 09/15/2021 | 52,784 | — |
14,919,714 USD | 123,617,000 SEK | Citi | 09/15/2021 | — | (21,516) |
1,289,363 USD | 35,550,000 TWD | Citi | 09/15/2021 | 12,435 | — |
3,713,957 USD | 52,661,000 ZAR | Citi | 09/15/2021 | 53,866 | — |
678,660 USD | 9,450,000 ZAR | Citi | 09/15/2021 | — | (2,525) |
2,979,000 ZAR | 213,900 USD | Citi | 09/15/2021 | 757 | — |
22,342,500 ZAR | 1,575,626 USD | Citi | 09/15/2021 | — | (22,949) |
4,150,000 ILS | 1,280,671 USD | Citi | 09/17/2021 | 1,775 | — |
12,750,000 ILS | 3,920,470 USD | Citi | 09/17/2021 | — | (8,668) |
83,433,000 CAD | 68,951,740 USD | Goldman Sachs International | 06/09/2021 | — | (111,787) |
60,955,000 CHF | 67,808,040 USD | Goldman Sachs International | 06/09/2021 | 30,300 | — |
1,105,000 CHF | 1,226,799 USD | Goldman Sachs International | 06/09/2021 | — | (1,885) |
46,021,000 GBP | 65,110,741 USD | Goldman Sachs International | 06/09/2021 | — | (200,624) |
69,063,909 USD | 83,433,000 CAD | Goldman Sachs International | 06/09/2021 | — | (381) |
4,071,687 USD | 3,651,000 CHF | Goldman Sachs International | 06/09/2021 | — | (12,027) |
66,437,000 NZD | 48,428,620 USD | HSBC | 06/11/2021 | 302,857 | — |
168,064,000 SEK | 20,262,315 USD | HSBC | 06/11/2021 | 22,290 | — |
402,469,000 SEK | 47,871,364 USD | HSBC | 06/11/2021 | — | (598,165) |
47,871,536 USD | 66,437,000 NZD | HSBC | 06/11/2021 | 254,228 | — |
48,390,120 USD | 402,469,000 SEK | HSBC | 06/11/2021 | 79,408 | — |
5,363,000 NZD | 3,868,579 USD | Morgan Stanley | 06/09/2021 | — | (16,303) |
33,604,000 SEK | 4,042,456 USD | Morgan Stanley | 06/09/2021 | — | (4,424) |
2,040,387 USD | 2,837,000 NZD | Morgan Stanley | 06/09/2021 | 14,695 | — |
67,718,918 USD | 92,945,000 NZD | Morgan Stanley | 06/09/2021 | — | (390,868) |
69,169,044 USD | 575,784,000 SEK | Morgan Stanley | 06/09/2021 | 171,771 | — |
49,200,000 AUD | 38,361,765 USD | Morgan Stanley | 06/16/2021 | 430,957 | — |
5,600,000 AUD | 4,276,587 USD | Morgan Stanley | 06/16/2021 | — | (40,741) |
88,135,000 BRL | 15,568,254 USD | Morgan Stanley | 06/16/2021 | — | (1,319,936) |
150,000 CAD | 118,632 USD | Morgan Stanley | 06/16/2021 | — | (5,532) |
29,250,000 CHF | 31,711,304 USD | Morgan Stanley | 06/16/2021 | — | (818,580) |
4,950,000 EUR | 6,046,745 USD | Morgan Stanley | 06/16/2021 | 8,829 | — |
6,750,000 EUR | 8,029,859 USD | Morgan Stanley | 06/16/2021 | — | (203,662) |
30,200,000 GBP | 42,074,109 USD | Morgan Stanley | 06/16/2021 | — | (785,082) |
1,242,525,000 INR | 16,478,541 USD | Morgan Stanley | 06/16/2021 | — | (634,141) |
1,650,000,000 JPY | 15,124,383 USD | Morgan Stanley | 06/16/2021 | 100,199 | — |
15,573,850,000 KRW | 13,830,751 USD | Morgan Stanley | 06/16/2021 | — | (140,674) |
128,295,000 MXN | 6,155,870 USD | Morgan Stanley | 06/16/2021 | — | (274,860) |
151,750,000 NOK | 18,271,262 USD | Morgan Stanley | 06/16/2021 | 125,344 | — |
94,500,000 NOK | 11,095,847 USD | Morgan Stanley | 06/16/2021 | — | (204,247) |
73,250,000 NZD | 52,574,163 USD | Morgan Stanley | 06/16/2021 | — | (486,084) |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 21 |
May 31, 2021
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
79,835,000 PLN | 21,181,168 USD | Morgan Stanley | 06/16/2021 | — | (535,570) |
19,250,000 SEK | 2,258,709 USD | Morgan Stanley | 06/16/2021 | — | (59,671) |
45,510,000 TRY | 5,103,734 USD | Morgan Stanley | 06/16/2021 | — | (168,861) |
422,087 USD | 550,000 AUD | Morgan Stanley | 06/16/2021 | 1,936 | — |
34,572,236 USD | 44,450,000 AUD | Morgan Stanley | 06/16/2021 | — | (303,447) |
10,004,175 USD | 55,005,000 BRL | Morgan Stanley | 06/16/2021 | 535,734 | — |
16,829,355 USD | 21,050,000 CAD | Morgan Stanley | 06/16/2021 | 595,084 | — |
1,659,317 USD | 2,000,000 CAD | Morgan Stanley | 06/16/2021 | — | (3,788) |
17,557,605 USD | 16,250,000 CHF | Morgan Stanley | 06/16/2021 | 514,553 | — |
25,805,334 USD | 21,400,000 EUR | Morgan Stanley | 06/16/2021 | 297,978 | — |
8,717,180 USD | 6,250,000 GBP | Morgan Stanley | 06/16/2021 | 152,686 | — |
17,471,598 USD | 12,300,000 GBP | Morgan Stanley | 06/16/2021 | — | (15,702) |
18,196,892 USD | 1,352,575,000 INR | Morgan Stanley | 06/16/2021 | 431,454 | — |
44,075,128 USD | 4,705,000,000 JPY | Morgan Stanley | 06/16/2021 | — | (1,233,440) |
27,310,510 USD | 548,040,000 MXN | Morgan Stanley | 06/16/2021 | 159,749 | — |
13,587,770 USD | 115,500,000 NOK | Morgan Stanley | 06/16/2021 | 223,456 | — |
1,618,547 USD | 13,500,000 NOK | Morgan Stanley | 06/16/2021 | — | (4,248) |
2,695,558 USD | 3,750,000 NZD | Morgan Stanley | 06/16/2021 | 20,837 | — |
17,708,300 USD | 24,400,000 NZD | Morgan Stanley | 06/16/2021 | — | (33,624) |
37,024,021 USD | 311,500,000 SEK | Morgan Stanley | 06/16/2021 | 491,582 | — |
11,976,132 USD | 95,890,000 TRY | Morgan Stanley | 06/16/2021 | — | (866,723) |
15,100,790 USD | 227,630,000 ZAR | Morgan Stanley | 06/17/2021 | 1,383,750 | — |
75,485,000 ZAR | 5,264,131 USD | Morgan Stanley | 06/17/2021 | — | (202,353) |
Total | 29,414,216 | (30,337,524) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Amsterdam Index | 93 | 06/2021 | EUR | 13,256,220 | 312,162 | — |
Australian 10-Year Bond | 750 | 06/2021 | AUD | 105,130,335 | 581,749 | — |
Australian 10-Year Bond | 358 | 06/2021 | AUD | 50,182,213 | 375,704 | — |
Bist 30 Index | 3,094 | 06/2021 | TRY | 47,314,995 | 112,273 | — |
Brent Crude | 87 | 06/2021 | USD | 5,978,640 | 26,302 | — |
CAC40 Index | 169 | 06/2021 | EUR | 10,936,835 | 234,965 | — |
Canadian Government 10-Year Bond | 112 | 09/2021 | CAD | 16,156,000 | — | (38,260) |
Copper | 21 | 07/2021 | USD | 2,455,688 | 137,608 | — |
Copper | 30 | 07/2021 | USD | 3,508,125 | 47,160 | — |
Corn | 47 | 07/2021 | USD | 1,543,363 | 9,696 | — |
Corn | 13 | 07/2021 | USD | 426,888 | — | (35,838) |
DAX Index | 15 | 06/2021 | EUR | 5,817,000 | 89,193 | — |
DJIA Index E-mini | 5 | 06/2021 | USD | 862,825 | 12,995 | — |
EURO STOXX 50 Index | 8 | 06/2021 | EUR | 325,280 | — | (110) |
Euro-Bund | 376 | 06/2021 | EUR | 63,897,440 | — | (827,216) |
FTSE 100 Index | 38 | 06/2021 | GBP | 2,668,930 | 147,806 | — |
FTSE China A50 Index | 51 | 06/2021 | USD | 929,934 | 8,958 | — |
FTSE Taiwan Index | 29 | 06/2021 | USD | 1,722,600 | 27,803 | — |
FTSE Taiwan Index | 14 | 06/2021 | USD | 831,600 | 9,930 | — |
FTSE/JSE Top 40 Index | 41 | 06/2021 | ZAR | 25,224,840 | 25,866 | — |
FTSE/MIB Index | 94 | 06/2021 | EUR | 11,828,960 | 636,202 | — |
FTSE/MIB Index | 73 | 06/2021 | EUR | 9,186,320 | 514,567 | — |
Gold 100 oz. | 26 | 08/2021 | USD | 4,953,780 | 44,138 | — |
Hang Seng Index | 68 | 06/2021 | HKD | 98,552,400 | 19,593 | — |
KOSPI 200 Index | 146 | 06/2021 | KRW | 15,561,775,000 | 201,485 | — |
KOSPI 200 Index | 1 | 06/2021 | KRW | 106,587,500 | 4,734 | — |
Lead | 3 | 09/2021 | USD | 164,869 | 3,336 | — |
Long Gilt | 104 | 09/2021 | GBP | 13,234,000 | 27,397 | — |
Mexican Bolsa IPC Index | 179 | 06/2021 | MXN | 89,884,850 | 102,828 | — |
22 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 4 | 06/2021 | USD | 467,400 | 25,868 | — |
MSCI Emerging Markets Index | 751 | 06/2021 | USD | 51,101,795 | 924,232 | — |
NASDAQ 100 Index E-mini | 11 | 06/2021 | USD | 3,011,030 | — | (5,916) |
Natural Gas | 177 | 06/2021 | USD | 5,285,220 | 4,843 | — |
Natural Gas | 164 | 06/2021 | USD | 4,897,040 | — | (313,770) |
Nickel | 34 | 09/2021 | USD | 3,696,582 | 233,429 | — |
Nikkei 225 Index | 10 | 06/2021 | JPY | 291,200,000 | 28,433 | — |
NY Harbor ULSD Heat Oil | 60 | 06/2021 | USD | 5,136,516 | 95,052 | — |
NY Harbor ULSD Heat Oil | 4 | 06/2021 | USD | 342,434 | 3,467 | — |
OMXS30 Index | 155 | 06/2021 | SEK | 35,030,000 | 59,479 | — |
Primary Aluminum | 52 | 09/2021 | USD | 3,233,425 | 145,447 | — |
RBOB Gasoline | 42 | 06/2021 | USD | 3,769,492 | 76,685 | — |
RBOB Gasoline | 2 | 06/2021 | USD | 179,500 | 2,640 | — |
Russell 2000 Index E-mini | 14 | 06/2021 | USD | 1,588,020 | — | (15,515) |
S&P 500 Index E-mini | 152 | 06/2021 | USD | 31,938,240 | 713,191 | — |
S&P 500 Index E-mini | 65 | 06/2021 | USD | 13,657,800 | 321,442 | — |
S&P Mid 400 Index E-mini | 7 | 06/2021 | USD | 1,908,690 | 40,683 | — |
Silver | 3 | 07/2021 | USD | 420,210 | 9,665 | — |
Soybean | 56 | 07/2021 | USD | 4,285,400 | 147,050 | — |
Soybean Oil | 201 | 07/2021 | USD | 7,934,274 | 1,045,201 | — |
Soybean Oil | 3 | 07/2021 | USD | 118,422 | 26,544 | — |
TOPIX Index | 231 | 06/2021 | JPY | 4,499,880,000 | 736,330 | — |
TOPIX Index | 99 | 06/2021 | JPY | 1,928,520,000 | 532,962 | — |
TOPIX Index | 67 | 06/2021 | JPY | 1,305,160,000 | — | (83,940) |
U.S. Treasury 10-Year Note | 34 | 09/2021 | USD | 4,485,875 | 8,253 | — |
U.S. Treasury 10-Year Note | 393 | 09/2021 | USD | 51,851,438 | — | (53,633) |
WTI Crude | 144 | 06/2021 | USD | 9,550,080 | 302,054 | — |
WTI Crude | 110 | 06/2021 | USD | 7,295,200 | 164,624 | — |
Zinc | 20 | 09/2021 | USD | 1,532,125 | 56,626 | — |
Total | 9,418,650 | (1,374,198) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
10-Year Mini Japanese Government Bond | (7) | 06/2021 | JPY | (106,029,000) | — | (1,052) |
CAC40 Index | (92) | 06/2021 | EUR | (5,953,780) | — | (237,001) |
Canadian Government 10-Year Bond | (191) | 09/2021 | CAD | (27,551,750) | — | (80,752) |
Coffee | (126) | 07/2021 | USD | (7,671,038) | — | (1,079,171) |
Cotton | (28) | 07/2021 | USD | (1,149,680) | 101,174 | — |
DAX Index | (16) | 06/2021 | EUR | (6,204,800) | — | (122,886) |
Euro Buxl | (4) | 09/2021 | EUR | (797,360) | 287 | — |
EURO STOXX 50 Index | (628) | 06/2021 | EUR | (25,534,480) | — | (1,708,279) |
Euro-Bobl | (208) | 09/2021 | EUR | (27,869,920) | 7,226 | — |
Euro-BTP | (16) | 09/2021 | EUR | (2,400,480) | — | (984) |
Euro-Bund | (156) | 06/2021 | EUR | (26,510,640) | — | (62,249) |
Euro-Bund | (527) | 09/2021 | EUR | (90,375,230) | 39,403 | — |
Euro-OAT | (29) | 09/2021 | EUR | (4,589,830) | — | (38) |
Euro-Schatz | (396) | 09/2021 | EUR | (44,413,380) | — | (1,686) |
FTSE 100 Index | (220) | 06/2021 | GBP | (15,451,700) | — | (1,032,358) |
FTSE 100 Index | (447) | 06/2021 | GBP | (31,395,045) | — | (1,571,903) |
FTSE China A50 Index | (367) | 06/2021 | USD | (6,691,878) | — | (97,038) |
FTSE/JSE Top 40 Index | (271) | 06/2021 | ZAR | (166,730,040) | — | (186,451) |
Gold 100 oz. | (1) | 08/2021 | USD | (190,530) | — | (1,872) |
Hang Seng Index | (20) | 06/2021 | HKD | (28,986,000) | — | (97,100) |
H-Shares Index | (103) | 06/2021 | HKD | (55,161,650) | 6,337 | — |
IBEX 35 Index | (33) | 06/2021 | EUR | (3,035,076) | — | (46,034) |
IBEX 35 Index | (213) | 06/2021 | EUR | (19,590,036) | — | (149,719) |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 23 |
May 31, 2021
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Japanese 10-Year Government Bond | (13) | 06/2021 | JPY | (1,968,590,000) | — | (7,195) |
Japanese 10-Year Government Bond | (81) | 06/2021 | JPY | (12,265,830,000) | — | (279,834) |
KLCI Index | (2) | 06/2021 | MYR | (159,150) | — | (418) |
Lean Hogs | (113) | 06/2021 | USD | (5,299,700) | — | (453,767) |
Live Cattle | (57) | 08/2021 | USD | (2,704,080) | 44,604 | — |
Long Gilt | (224) | 09/2021 | GBP | (28,504,000) | 86,111 | — |
Mexican Bolsa IPC Index | (29) | 06/2021 | MXN | (14,562,350) | — | (30,661) |
MSCI Emerging Markets Index | (5) | 06/2021 | USD | (340,225) | — | (14,407) |
MSCI Singapore Index | (140) | 06/2021 | SGD | (5,061,000) | — | (49,247) |
Nickel | (51) | 06/2021 | USD | (5,533,398) | — | (54,042) |
OMXS30 Index | (389) | 06/2021 | SEK | (87,914,000) | — | (211,489) |
Primary Aluminum | (100) | 06/2021 | USD | (6,166,900) | 22,800 | — |
S&P/TSX 60 Index | (10) | 06/2021 | CAD | (2,375,600) | — | (69,708) |
S&P/TSX 60 Index | (147) | 06/2021 | CAD | (34,921,320) | — | (1,439,249) |
SGX Nifty Index | (48) | 06/2021 | USD | (1,487,280) | — | (24,250) |
SGX Nifty Index | (90) | 06/2021 | USD | (2,788,650) | — | (35,069) |
Soybean | (23) | 07/2021 | USD | (1,760,075) | 5,452 | — |
Soybean Meal | (3) | 07/2021 | USD | (118,650) | — | (247) |
SPI 200 Index | (101) | 06/2021 | AUD | (18,116,875) | — | (729,863) |
SPI 200 Index | (126) | 06/2021 | AUD | (22,601,250) | — | (752,643) |
Sugar #11 | (12) | 06/2021 | USD | (233,318) | — | (2,098) |
Thai SET50 Index | (792) | 06/2021 | THB | (151,604,640) | — | (40,703) |
U.S. Long Bond | (37) | 09/2021 | USD | (5,791,656) | — | (4,236) |
U.S. Treasury 10-Year Note | (498) | 09/2021 | USD | (65,704,875) | — | (12,125) |
U.S. Treasury 2-Year Note | (431) | 09/2021 | USD | (95,136,516) | — | (30,100) |
U.S. Treasury 5-Year Note | (163) | 09/2021 | USD | (20,187,805) | — | (34,304) |
U.S. Ultra Treasury Bond | (57) | 09/2021 | USD | (10,559,250) | 29,858 | — |
Wheat | (104) | 07/2021 | USD | (3,450,200) | — | (11,352) |
Wheat | (32) | 07/2021 | USD | (1,061,600) | — | (33,819) |
WIG 20 Index | (1,018) | 06/2021 | PLN | (45,484,240) | — | (962,839) |
Zinc | (28) | 06/2021 | USD | (2,131,185) | — | (76,095) |
Total | 343,252 | (11,836,333) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 18,000,000 | 18,000,000 | 1.00 | 09/30/2021 | 313,200 | 1,107,304 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 70,000,000 | 70,000,000 | 1.25 | 11/16/2021 | 980,000 | 3,098,893 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 17,000,000 | 17,000,000 | 1.25 | 12/03/2021 | 263,500 | 780,240 |
10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 60,000,000 | 60,000,000 | 1.25 | 01/05/2022 | 1,026,000 | 2,910,582 |
5-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 35,000,000 | 35,000,000 | 1.50 | 05/20/2022 | 367,500 | 309,019 |
Total | 2,950,200 | 8,206,038 |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (15,000,000) | (15,000,000) | 2.20 | 03/17/2022 | (280,500) | (156,297) |
24 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | (30,000,000) | (30,000,000) | 1.70 | 10/01/2021 | (414,750) | (568,434) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
6-Month NOK NIBOR | Fixed rate of 1.000% | Receives SemiAnnually, Pays Annually | Citi | 09/20/2023 | NOK | 652,000,000 | 65,582 | — | — | 65,582 | — |
6-Month NOK NIBOR | Fixed rate of 1.000% | Receives SemiAnnually, Pays Annually | Citi | 12/20/2023 | NOK | 115,500,000 | 4,764 | — | — | 4,764 | — |
3-Month NZD LIBOR | Fixed rate of 1.500% | Receives Quarterly, Pays SemiAnnually | Citi | 12/16/2026 | NZD | 76,800,000 | (144,684) | — | — | — | (144,684) |
Fixed rate of 2.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Citi | 09/17/2031 | NOK | 140,300,000 | (85,624) | — | — | — | (85,624) |
Fixed rate of 2.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | Citi | 12/10/2031 | NZD | 41,700,000 | 27,941 | — | — | 27,941 | — |
Fixed rate of 2.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Citi | 12/17/2031 | NOK | 2,400,000 | 206 | — | — | 206 | — |
Fixed rate of 2.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Citi | 12/17/2031 | NOK | 22,800,000 | (4,528) | — | — | — | (4,528) |
6-Month AUD BBSW | Fixed rate of 0.000% | Receives Quarterly, Pays Quarterly | Credit Suisse | 09/07/2023 | AUD | 34,300,000 | 9,135 | — | — | 9,135 | — |
6-Month AUD BBSW | Fixed rate of 0.000% | Receives Quarterly, Pays Quarterly | Credit Suisse | 09/07/2023 | AUD | 900,000 | (273) | — | — | — | (273) |
Fixed rate of 0.750% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 09/13/2023 | CAD | 10,800,000 | 6,528 | — | — | 6,528 | — |
Fixed rate of 0.750% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 09/13/2023 | CAD | 139,900,000 | (124,455) | — | — | — | (124,455) |
Fixed rate of 0.500% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 09/13/2023 | NZD | 186,100,000 | (313,443) | — | — | — | (313,443) |
6-Month EURIBOR | Fixed rate of -0.008% | Receives SemiAnnually, Pays Annually | Credit Suisse | 09/15/2023 | EUR | 163,700,000 | 203,597 | — | — | 203,597 | — |
6-Month EURIBOR | Fixed rate of -0.500% | Receives SemiAnnually, Pays Annually | Credit Suisse | 09/15/2023 | EUR | 244,300,000 | 137,614 | — | — | 137,614 | — |
3-Month USD LIBOR | Fixed rate of 0.250% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 09/15/2023 | USD | 191,300,000 | (267,836) | — | — | — | (267,836) |
Fixed rate of 0.000% | 6-Month GBP LIBOR | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 09/15/2023 | GBP | 240,900,000 | (421,201) | — | — | — | (421,201) |
3-Month SEK STIBOR | Fixed rate of 0.000% | Receives Quarterly, Pays Annually | Credit Suisse | 09/20/2023 | SEK | 1,144,000,000 | 34,918 | — | — | 34,918 | — |
Fixed rate of 0.010% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 09/20/2023 | NOK | 97,400,000 | 15,730 | — | — | 15,730 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.000% | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 09/20/2023 | JPY | 23,645,000,000 | 9,065 | — | — | 9,065 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.000% | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 09/20/2023 | JPY | 19,539,700,000 | (7,157) | — | — | — | (7,157) |
6-Month CHF LIBOR | Fixed rate of -0.500% | Receives SemiAnnually, Pays Annually | Credit Suisse | 09/20/2023 | CHF | 27,600,000 | (17,105) | — | — | — | (17,105) |
Fixed rate of 0.010% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 09/20/2023 | NOK | 1,388,700,000 | (147,123) | — | — | — | (147,123) |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 25 |
May 31, 2021
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 0.500% | 3-Month AUD BBSW | Receives Quarterly, Pays Quarterly | Credit Suisse | 12/07/2023 | AUD | 45,100,000 | (26,085) | — | — | — | (26,085) |
Fixed rate of 0.500% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 12/13/2023 | NZD | 24,500,000 | 22,279 | — | — | 22,279 | — |
Fixed rate of 1.000% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 12/13/2023 | CAD | 93,800,000 | (46,299) | — | — | — | (46,299) |
Fixed rate of 1.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 12/13/2023 | NZD | 105,600,000 | (147,908) | — | — | — | (147,908) |
6-Month EURIBOR | Fixed rate of -0.500% | Receives SemiAnnually, Pays Annually | Credit Suisse | 12/15/2023 | EUR | 210,600,000 | (11,501) | — | — | — | (11,501) |
3-Month USD LIBOR | Fixed rate of 0.500% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 12/15/2023 | USD | 520,000,000 | (68,601) | — | — | — | (68,601) |
Fixed rate of 0.500% | 6-Month GBP LIBOR | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 12/15/2023 | GBP | 243,500,000 | (128,640) | — | — | — | (128,640) |
6-Month JPY BBA LIBOR | Fixed rate of 0.000% | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 12/20/2023 | JPY | 38,949,100,000 | 15,593 | — | — | 15,593 | — |
Fixed rate of 1.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 12/20/2023 | NOK | 4,800,000 | (520) | — | — | — | (520) |
Fixed rate of 1.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 09/11/2031 | AUD | 3,800,000 | 42,271 | — | — | 42,271 | — |
Fixed rate of 2.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 09/11/2031 | AUD | 3,200,000 | 35,002 | — | — | 35,002 | — |
Fixed rate of 1.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 09/11/2031 | AUD | 2,600,000 | (32,862) | — | — | — | (32,862) |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 1.250% | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 09/13/2031 | CAD | 29,000,000 | 359,632 | — | — | 359,632 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 1.250% | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 09/13/2031 | CAD | 6,600,000 | (57,605) | — | — | — | (57,605) |
6-Month GBP LIBOR | Fixed rate of 0.250% | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 09/15/2031 | GBP | 33,800,000 | 614,502 | — | — | 614,502 | — |
Fixed rate of 1.000% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 09/15/2031 | USD | 19,200,000 | 24,053 | — | — | 24,053 | — |
6-Month GBP LIBOR | Fixed rate of 1.000% | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 09/15/2031 | GBP | 5,100,000 | 5,902 | — | — | 5,902 | — |
6-Month GBP LIBOR | Fixed rate of 1.000% | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 09/15/2031 | GBP | 6,200,000 | (1,486) | — | — | — | (1,486) |
Fixed rate of -0.250% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 09/15/2031 | EUR | 37,300,000 | (469,500) | — | — | — | (469,500) |
Fixed rate of 0.000% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 09/17/2031 | JPY | 2,390,800,000 | 144,772 | — | — | 144,772 | — |
6-Month NOK NIBOR | Fixed rate of 1.500% | Receives SemiAnnually, Pays Annually | Credit Suisse | 09/17/2031 | NOK | 59,300,000 | 32,816 | — | — | 32,816 | — |
Fixed rate of 0.000% | 6-Month CHF LIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 09/17/2031 | CHF | 3,400,000 | 1,485 | — | — | 1,485 | — |
6-Month NOK NIBOR | Fixed rate of 1.500% | Receives SemiAnnually, Pays Annually | Credit Suisse | 09/17/2031 | NOK | 89,000,000 | (47,743) | — | — | — | (47,743) |
Fixed rate of 0.500% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | Credit Suisse | 09/17/2031 | SEK | 62,100,000 | (92,295) | — | — | — | (92,295) |
3-Month NZD LIBOR | Fixed rate of 2.000% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 12/10/2031 | NZD | 14,200,000 | 40,069 | — | — | 40,069 | — |
26 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
3-Month NZD LIBOR | Fixed rate of 2.000% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 12/10/2031 | NZD | 2,600,000 | (5,990) | — | — | — | (5,990) |
Fixed rate of 2.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 12/11/2031 | AUD | 4,600,000 | 14,190 | — | — | 14,190 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.000% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 12/13/2031 | CAD | 16,300,000 | 29,917 | — | — | 29,917 | — |
Fixed rate of 1.750% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 12/15/2031 | USD | 14,800,000 | 50,860 | — | — | 50,860 | — |
6-Month GBP LIBOR | Fixed rate of 1.000% | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 12/15/2031 | GBP | 5,600,000 | 21,867 | — | — | 21,867 | — |
Fixed rate of 1.750% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 12/15/2031 | USD | 35,900,000 | (7,882) | — | — | — | (7,882) |
6-Month GBP LIBOR | Fixed rate of 1.000% | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 12/15/2031 | GBP | 16,400,000 | (43,391) | — | — | — | (43,391) |
Fixed rate of 0.000% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 12/15/2031 | EUR | 27,700,000 | (45,358) | — | — | — | (45,358) |
Fixed rate of 0.000% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 12/17/2031 | JPY | 526,000,000 | 947 | — | — | 947 | — |
6-Month NOK NIBOR | Fixed rate of 2.000% | Receives SemiAnnually, Pays Annually | Credit Suisse | 12/17/2031 | NOK | 7,800,000 | 557 | — | — | 557 | — |
6-Month EURIBOR | Fixed rate of -0.209% | Receives SemiAnnually, Pays Annually | Morgan Stanley | 03/04/2030 | EUR | 46,929,000 | 1,215,622 | — | — | 1,215,622 | — |
Fixed rate of 0.891% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 05/04/2030 | AUD | 35,618,000 | (1,578,351) | — | — | — | (1,578,351) |
6-Month EURIBOR | Fixed rate of -0.226% | Receives SemiAnnually, Pays Annually | Morgan Stanley | 08/05/2030 | EUR | 18,523,000 | 623,754 | — | — | 623,754 | — |
6-Month EURIBOR | Fixed rate of -0.148% | Receives SemiAnnually, Pays Annually | Morgan Stanley | 09/03/2030 | EUR | 11,608,000 | 292,760 | — | — | 292,760 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.066% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 09/03/2030 | JPY | 9,125,713,000 | 234,199 | — | — | 234,199 | — |
3-Month SEK STIBOR | Fixed rate of 0.311% | Receives Quarterly, Pays Annually | Morgan Stanley | 10/05/2030 | SEK | 123,846,000 | 600,536 | — | — | 600,536 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.053% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 11/05/2030 | JPY | 2,495,000,000 | 110,632 | — | — | 110,632 | — |
Fixed rate of 0.923% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 12/02/2030 | AUD | 53,063,000 | (2,466,142) | — | — | — | (2,466,142) |
6-Month GBP LIBOR | Fixed rate of 0.395% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 01/04/2031 | GBP | 27,581,000 | 2,192,772 | — | — | 2,192,772 | — |
Fixed rate of -0.283% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Morgan Stanley | 01/06/2031 | EUR | 6,820,000 | (300,103) | — | — | — | (300,103) |
Fixed rate of 1.382% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 02/01/2031 | CAD | 47,319,000 | (1,783,375) | — | — | — | (1,783,375) |
6-Month AUD BBSW | Fixed rate of 1.151% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 02/02/2031 | AUD | 36,304,000 | 1,195,565 | — | — | 1,195,565 | — |
3-Month SEK STIBOR | Fixed rate of 0.450% | Receives Quarterly, Pays Annually | Morgan Stanley | 02/03/2031 | SEK | 241,363,000 | 910,628 | — | — | 910,628 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.070% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 02/03/2031 | JPY | 2,454,600,000 | 80,156 | — | — | 80,156 | — |
3-Month USD LIBOR | Fixed rate of 1.635% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 03/18/2031 | USD | 32,000,000 | (304,801) | — | — | — | (304,801) |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 27 |
May 31, 2021
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 1.751% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 04/07/2031 | USD | 31,799,000 | 658,087 | — | — | 658,087 | — |
Fixed rate of 1.952% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 05/03/2031 | CAD | 9,400,000 | 20,039 | — | — | 20,039 | — |
Total | 906,677 | — | — | 10,106,544 | (9,199,867) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.443 | USD | 5,000,000 | (562,500) | 1,667 | — | (989,749) | 428,916 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.443 | USD | 3,000,000 | (337,500) | 1,000 | — | (695,670) | 359,170 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.443 | USD | 3,500,000 | (393,750) | 1,167 | — | (675,746) | 283,163 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.443 | USD | 2,500,000 | (281,250) | 833 | — | (509,953) | 229,536 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.443 | USD | 2,000,000 | (225,000) | 667 | — | (449,475) | 225,142 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.443 | USD | 1,200,000 | (135,000) | 400 | — | (286,809) | 152,209 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.443 | USD | 2,000,000 | (225,000) | 667 | — | (324,923) | 100,590 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.443 | USD | 750,000 | (84,375) | 250 | — | (126,091) | 41,966 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.443 | USD | 5,000,000 | (562,500) | 1,667 | — | (590,448) | 29,615 | — |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | 3.997 | USD | 4,000,000 | (218,750) | 1,333 | — | (788,548) | 571,131 | — |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | 3.997 | USD | 1,000,000 | (54,688) | 333 | — | (151,033) | 96,678 | — |
Markit CMBX North America Index, Series 12 BBB- | Morgan Stanley | 08/17/2061 | 3.000 | Monthly | 3.992 | USD | 3,000,000 | (180,938) | 1,000 | — | (444,511) | 264,573 | — |
Markit CMBX North America Index, Series 12 BBB- | Morgan Stanley | 08/17/2061 | 3.000 | Monthly | 3.992 | USD | 1,000,000 | (60,313) | 333 | — | (154,137) | 94,157 | — |
Total | (3,321,564) | 11,317 | — | (6,187,093) | 2,876,846 | — |
28 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Total return swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on MSCI Netherlands Net Return EUR Index | 1-Month EURIBOR plus 0.001% | Monthly | JPMorgan | 06/16/2021 | EUR | 3,782,844 | 228,469 | 1,514 | — | — | 229,983 | — |
Total return on MSCI Hong Kong Net Return HKD Index | 1-Month HKD HIBOR plus 0.002% | Monthly | JPMorgan | 06/16/2021 | HKD | 1,342,465 | 4,018 | (12) | — | — | 4,006 | — |
Overnight BRL CDI minus 0.005% | Total return on MSCI Brazil Net Return BRL Index | Monthly | JPMorgan | 06/16/2021 | BRL | 827,311 | (3,175) | 137 | — | — | — | (3,038) |
1-Month EURIBOR minus 0.008% | Total return on MSCI Spain Net Return EUR Index | Monthly | JPMorgan | 06/16/2021 | EUR | 418,687 | (9,999) | (263) | — | — | — | (10,262) |
1-Month EURIBOR minus 0.008% | Total return on MSCI Spain Net Return EUR Index | Monthly | JPMorgan | 06/16/2021 | EUR | 653,088 | (15,596) | (411) | — | — | — | (16,007) |
Overnight BRL CDI minus 0.005% | Total return on MSCI Brazil Net Return BRL Index | Monthly | JPMorgan | 06/16/2021 | BRL | 5,658,865 | (21,720) | 937 | — | — | — | (20,783) |
1-Month SGD SOR minus 0.001% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 06/16/2021 | SGD | 1,322,023 | (27,543) | 41 | — | — | — | (27,502) |
1-Month EURIBOR minus 0.008% | Total return on MSCI Spain Net Return EUR Index | Monthly | JPMorgan | 06/16/2021 | EUR | 1,308,572 | (31,250) | (823) | — | — | — | (32,073) |
Total | 123,204 | 1,120 | — | — | 233,989 | (109,665) |
Total return swap contracts on futures | ||||||||
Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Corn Jul 21 | Citi | 07/2021 | USD | 3,119,563 | — | — | 423,989 | — |
KOSPI 200 Index Jun 21 | Citi | 06/2021 | KRW | 106,587,500 | — | — | 4,903 | — |
Soybean Oil Jul 21 | Citi | 07/2021 | USD | 2,289,492 | — | — | 509,725 | — |
WIG 20 Index Jun 21 | Goldman Sachs | 06/2021 | PLN | (178,720) | — | — | — | (5,348) |
Hang Seng Index Jun 21 | JPMorgan | 06/2021 | HKD | 46,377,600 | — | — | 30,909 | — |
KOSPI 200 Index Jun 21 | JPMorgan | 06/2021 | KRW | 213,175,000 | — | — | 10,118 | — |
TAIEX Index Jun 21 | JPMorgan | 06/2021 | TWD | 151,767,000 | — | — | 368,627 | — |
Bist 30 Index Jun 21 | Morgan Stanley | 06/2021 | TRY | 1,162,230 | — | — | 842 | — |
Bist 30 Index Jun 21 | Morgan Stanley | 06/2021 | TRY | 244,680 | — | — | 169 | — |
Hang Seng Index Jun 21 | Morgan Stanley | 06/2021 | HKD | 56,522,700 | — | — | 22,253 | — |
H-Shares Index Jun 21 | Morgan Stanley | 06/2021 | HKD | 48,199,500 | — | — | — | (16,424) |
Ibovespa Index Jun 21 | Morgan Stanley | 06/2021 | BRL | 43,985,900 | — | — | 188,407 | — |
Ibovespa Index Jun 21 | Morgan Stanley | 06/2021 | BRL | (24,506,430) | — | — | — | (231,171) |
KOSPI 200 Index Jun 21 | Morgan Stanley | 06/2021 | KRW | 14,495,900,000 | — | — | 85,177 | — |
Swiss Market Index Jun 21 | Morgan Stanley | 06/2021 | CHF | (32,221,320) | — | — | — | (1,291,729) |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 29 |
May 31, 2021
Total return swap contracts on futures (continued) | ||||||||
Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
TAIEX Index Jun 21 | Morgan Stanley | 06/2021 | TWD | 60,706,800 | — | — | 151,851 | — |
WIG 20 Index Jun 21 | Morgan Stanley | 06/2021 | PLN | (1,295,720) | — | — | — | (37,205) |
Total | — | — | 1,796,970 | (1,581,877) |
* | If the notional amount of the swap contract is long and the swap contract’s value is positive (negative), the Fund will receive (pay) the total return. If the notional amount of the swap contract is short and the swap contract’s value is positive (negative), the Fund will pay (receive) the total return. Receipts and payments occur upon termination of the contract. |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
1-Month HKD HIBOR | Hong Kong Interbank Offered Rate | 0.083% |
3-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 0.181% |
3-Month NZD LIBOR | London Interbank Offered Rate | 0.325% |
3-Month SEK STIBOR | Stockholm Interbank Offered Rate | (0.030%) |
3-Month USD LIBOR | London Interbank Offered Rate | 0.131% |
6-Month AUD BBSW | Bank Bill Swap Rate | 0.085% |
6-Month EURIBOR | Euro Interbank Offered Rate | (0.513%) |
6-Month GBP LIBOR | London Interbank Offered Rate | 0.106% |
6-Month JPY BBA LIBOR | London Interbank Offered Rate | (0.058%) |
1-Month EURIBOR | Euro Interbank Offered Rate | (0.563%) |
3-Month AUD BBSW | Bank Bill Swap Rate | 0.036% |
6-Month CHF LIBOR | London Interbank Offered Rate | (0.703%) |
6-Month NOK NIBOR | Norwegian Interbank Offered Rate | 0.370% |
1-Month SGD SOR | Swap Offer Rate | 0.189% |
Overnight BRL CDI | Interbank Certificate of Deposit | 0.013% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2021, the total value of these securities amounted to $238,168,168, which represents 29.42% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of May 31, 2021. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | Security represents a pool of loans that generate cash payments generally over fixed periods of time. Such securities entitle the security holders to receive distributions (i.e. principal and interest, net of fees and expenses) that are tied to the payments made by the borrower on the underlying loans. Due to the structure of the security the cash payments received are not known until the time of payment. The interest rate shown is the stated coupon rate as of May 31, 2021 and is not reflective of the cash flow payments. |
(e) | Valuation based on significant unobservable inputs. |
(f) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At May 31, 2021, the total value of these securities amounted to $6,444,508, which represents 0.80% of total net assets. |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of May 31, 2021. |
(h) | Zero coupon bond. |
(i) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(j) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(k) | The rate shown is the seven-day current annualized yield at May 31, 2021. |
30 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
(l) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.042% | ||||||||
297,998,586 | 567,029,982 | (556,679,967) | (49,411) | 308,299,190 | (8,941) | 385,503 | 308,330,023 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Yuan Offshore Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thailand Baht |
TRY | Turkish Lira |
TWD | New Taiwan Dollar |
USD | US Dollar |
ZAR | South African Rand |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 31 |
May 31, 2021
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. 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). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 51,095,705 | 15,808,703 | 66,904,408 |
Commercial Mortgage-Backed Securities - Agency | — | 1,036,531 | — | 1,036,531 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 52,319,571 | — | 52,319,571 |
Residential Mortgage-Backed Securities - Agency | — | 114,488,994 | — | 114,488,994 |
Residential Mortgage-Backed Securities - Non-Agency | — | 117,130,808 | 6,731,785 | 123,862,593 |
Treasury Bills | 149,985,230 | — | — | 149,985,230 |
Options Purchased Puts | — | 8,206,038 | — | 8,206,038 |
Money Market Funds | 308,299,190 | — | — | 308,299,190 |
Total Investments in Securities | 458,284,420 | 344,277,647 | 22,540,488 | 825,102,555 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 29,414,216 | — | 29,414,216 |
Futures Contracts | 9,761,902 | — | — | 9,761,902 |
Swap Contracts | — | 15,014,349 | — | 15,014,349 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (30,337,524) | — | (30,337,524) |
Futures Contracts | (13,210,531) | — | — | (13,210,531) |
Options Contracts Written | — | (724,731) | — | (724,731) |
Swap Contracts | — | (10,891,409) | — | (10,891,409) |
Total | 454,835,791 | 346,752,548 | 22,540,488 | 824,128,827 |
32 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
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.
Balance as of 05/31/2020 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 05/31/2021 ($) | |
Asset-Backed Securities — Non-Agency | 4,443,161 | (2,424,709) | 3,427 | 997,269 | 15,363,917 | (2,574,362) | — | — | 15,808,703 |
Residential Mortgage-Backed Securities — Non-Agency | 6,092,951 | 356 | — | 75,032 | 7,635,768 | (979,371) | — | (6,092,951) | 6,731,785 |
Total | 10,536,112 | (2,424,353) | 3,427 | 1,072,301 | 22,999,685 | (3,553,733) | — | (6,092,951) | 22,540,488 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 33 |
May 31, 2021
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $499,397,230) | $508,597,327 |
Affiliated issuers (cost $308,305,377) | 308,299,190 |
Options purchased (cost $2,950,200) | 8,206,038 |
Cash | 220,750 |
Foreign currency (cost $5,822,355) | 5,815,210 |
Cash collateral held at broker for: | |
Swap contracts | 7,770,000 |
Other(a) | 3,280,000 |
Margin deposits on: | |
Futures contracts | 44,188,161 |
Swap contracts | 14,791,617 |
Unrealized appreciation on forward foreign currency exchange contracts | 29,414,216 |
Unrealized appreciation on swap contracts | 4,907,805 |
Receivable for: | |
Investments sold | 462,441 |
Capital shares sold | 1,493,457 |
Dividends | 11,744 |
Interest | 865,859 |
Variation margin for futures contracts | 4,211,143 |
Variation margin for swap contracts | 1,610,019 |
Expense reimbursement due from Investment Manager | 2,806 |
Prepaid expenses | 12,439 |
Trustees’ deferred compensation plan | 66,750 |
Total assets | 944,226,972 |
Liabilities | |
Option contracts written, at value (premiums received $695,250) | 724,731 |
Unrealized depreciation on forward foreign currency exchange contracts | 30,337,524 |
Unrealized depreciation on swap contracts | 1,691,542 |
Upfront receipts on swap contracts | 6,187,093 |
Cash collateral due to broker for: | |
Swap contracts | 1,130,000 |
Other(a) | 1,450,000 |
Payable for: | |
Investments purchased | 837,159 |
Investments purchased on a delayed delivery basis | 85,240,595 |
Capital shares purchased | 983,014 |
Variation margin for futures contracts | 4,455,439 |
Variation margin for swap contracts | 1,364,559 |
Management services fees | 21,248 |
Distribution and/or service fees | 15 |
Transfer agent fees | 68,563 |
Compensation of board members | 4,815 |
Compensation of chief compliance officer | 37 |
Other expenses | 66,577 |
Trustees’ deferred compensation plan | 66,750 |
Total liabilities | 134,629,661 |
Net assets applicable to outstanding capital stock | $809,597,311 |
Represented by | |
Paid in capital | 904,965,552 |
Total distributable earnings (loss) | (95,368,241) |
Total - representing net assets applicable to outstanding capital stock | $809,597,311 |
34 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Class A | |
Net assets | $1,738,975 |
Shares outstanding | 58,641 |
Net asset value per share | $29.65 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $31.46 |
Advisor Class | |
Net assets | $226,256 |
Shares outstanding | 7,534 |
Net asset value per share | $30.03 |
Class C | |
Net assets | $114,113 |
Shares outstanding | 3,991 |
Net asset value per share | $28.59 |
Institutional Class | |
Net assets | $806,627,169 |
Shares outstanding | 26,911,093 |
Net asset value per share | $29.97 |
Institutional 2 Class | |
Net assets | $875,918 |
Shares outstanding | 29,082 |
Net asset value per share | $30.12 |
Institutional 3 Class | |
Net assets | $7,556 |
Shares outstanding | 250 |
Net asset value per share | $30.22 |
Class R | |
Net assets | $7,324 |
Shares outstanding | 250 |
Net asset value per share | $29.30 |
(a) | Includes collateral related to forward foreign currency exchange contracts and swap contracts. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 35 |
Year Ended May 31, 2021
Net investment income | |
Income: | |
Dividends — affiliated issuers | $385,503 |
Interest | 14,125,662 |
Total income | 14,511,165 |
Expenses: | |
Management services fees | 7,038,981 |
Distribution and/or service fees | |
Class A | 4,942 |
Class C | 1,816 |
Class R | 36 |
Transfer agent fees | |
Class A | 2,376 |
Advisor Class | 210 |
Class C | 219 |
Institutional Class | 867,980 |
Institutional 2 Class | 460 |
Institutional 3 Class | 836 |
Class R | 7 |
Compensation of board members | 25,547 |
Custodian fees | 123,650 |
Printing and postage fees | 80,935 |
Registration fees | 151,604 |
Audit fees | 49,500 |
Legal fees | 18,667 |
Interest on collateral | 65,228 |
Compensation of chief compliance officer | 225 |
Other | 63,008 |
Total expenses | 8,496,227 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (977,377) |
Total net expenses | 7,518,850 |
Net investment income | 6,992,315 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 4,085,401 |
Investments — affiliated issuers | (8,941) |
Foreign currency translations | (2,168,575) |
Forward foreign currency exchange contracts | (2,921,513) |
Futures contracts | 19,285,273 |
Options purchased | (1,753,000) |
Swap contracts | 7,277,883 |
Net realized gain | 23,796,528 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 24,391,009 |
Investments — affiliated issuers | (49,411) |
Foreign currency translations | 148,557 |
Forward foreign currency exchange contracts | 523,315 |
Futures contracts | (7,414,129) |
Options purchased | 6,014,802 |
Options contracts written | (29,481) |
Swap contracts | (8,143,890) |
Net change in unrealized appreciation (depreciation) | 15,440,772 |
Net realized and unrealized gain | 39,237,300 |
Net increase in net assets resulting from operations | $46,229,615 |
36 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
Year Ended May 31, 2021 | Year Ended May 31, 2020 | |
Operations | ||
Net investment income | $6,992,315 | $7,033,433 |
Net realized gain (loss) | 23,796,528 | (61,621,348) |
Net change in unrealized appreciation (depreciation) | 15,440,772 | 16,231,296 |
Net increase (decrease) in net assets resulting from operations | 46,229,615 | (38,356,619) |
Increase in net assets from capital stock activity | 131,298,431 | 61,067,201 |
Total increase in net assets | 177,528,046 | 22,710,582 |
Net assets at beginning of year | 632,069,265 | 609,358,683 |
Net assets at end of year | $809,597,311 | $632,069,265 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 37 |
Year Ended | Year Ended | |||
May 31, 2021 | May 31, 2020 | |||
Shares(a) | Dollars ($) | Shares(a) | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 9,549 | 278,887 | 12,446 | 359,008 |
Redemptions | (27,239) | (794,935) | (40,286) | (1,166,857) |
Net decrease | (17,690) | (516,048) | (27,840) | (807,849) |
Advisor Class | ||||
Subscriptions | 4,185 | 122,324 | 1,530 | 43,189 |
Redemptions | (1,364) | (39,438) | (4,003) | (120,171) |
Net increase (decrease) | 2,821 | 82,886 | (2,473) | (76,982) |
Class C | ||||
Subscriptions | — | — | 3,145 | 84,401 |
Redemptions | (4,132) | (118,675) | (11,918) | (337,760) |
Net decrease | (4,132) | (118,675) | (8,773) | (253,359) |
Institutional Class | ||||
Subscriptions | 9,373,060 | 275,195,663 | 6,890,847 | 199,053,286 |
Redemptions | (4,352,530) | (128,547,132) | (4,602,168) | (134,635,102) |
Net increase | 5,020,530 | 146,648,531 | 2,288,679 | 64,418,184 |
Institutional 2 Class | ||||
Subscriptions | 49,488 | 1,450,617 | 8,209 | 242,451 |
Redemptions | (24,820) | (739,212) | (25,990) | (767,244) |
Net increase (decrease) | 24,668 | 711,405 | (17,781) | (524,793) |
Institutional 3 Class | ||||
Redemptions | (528,890) | (15,509,668) | (57,182) | (1,688,000) |
Net decrease | (528,890) | (15,509,668) | (57,182) | (1,688,000) |
Total net increase | 4,497,307 | 131,298,431 | 2,174,630 | 61,067,201 |
(a) | Share activity has been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
38 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 39 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class A(c) | ||||||
Year Ended 5/31/2021 | $27.84 | 0.19 | 1.62 | 1.81 | — | — |
Year Ended 5/31/2020 | $29.79 | 0.28 | (2.23) | (1.95) | — | — |
Year Ended 5/31/2019 | $34.63 | 0.32 | (5.16) | (4.84) | — | — |
Year Ended 5/31/2018 | $37.44 | 0.04 | (2.01) | (1.97) | (0.84) | (0.84) |
Year Ended 5/31/2017 | $37.71 | (0.36) | 0.25 | (0.11) | (0.16) | (0.16) |
Advisor Class(c) | ||||||
Year Ended 5/31/2021 | $28.12 | 0.28 | 1.63 | 1.91 | — | — |
Year Ended 5/31/2020 | $30.01 | 0.32 | (2.21) | (1.89) | — | — |
Year Ended 5/31/2019 | $34.78 | 0.36 | (5.13) | (4.77) | — | — |
Year Ended 5/31/2018 | $37.55 | 0.16 | (2.05) | (1.89) | (0.88) | (0.88) |
Year Ended 5/31/2017 | $37.78 | (0.24) | 0.21 | (0.03) | (0.20) | (0.20) |
Class C(c) | ||||||
Year Ended 5/31/2021 | $27.05 | (0.04) | 1.58 | 1.54 | — | — |
Year Ended 5/31/2020 | $29.16 | 0.04 | (2.15) | (2.11) | — | — |
Year Ended 5/31/2019 | $34.15 | 0.08 | (5.07) | (4.99) | — | — |
Year Ended 5/31/2018 | $37.10 | (0.24) | (1.99) | (2.23) | (0.72) | (0.72) |
Year Ended 5/31/2017 | $37.54 | (0.64) | 0.24 | (0.40) | (0.04) | (0.04) |
Institutional Class(c) | ||||||
Year Ended 5/31/2021 | $28.07 | 0.28 | 1.62 | 1.90 | — | — |
Year Ended 5/31/2020 | $29.96 | 0.32 | (2.21) | (1.89) | — | — |
Year Ended 5/31/2019 | $34.73 | 0.40 | (5.17) | (4.77) | — | — |
Year Ended 5/31/2018 | $37.50 | 0.12 | (2.01) | (1.89) | (0.88) | (0.88) |
Year Ended 5/31/2017 | $37.71 | (0.12) | 0.11 | (0.01) | (0.20) | (0.20) |
Institutional 2 Class(c) | ||||||
Year Ended 5/31/2021 | $28.19 | 0.34 | 1.59 | 1.93 | — | — |
Year Ended 5/31/2020 | $30.07 | 0.40 | (2.28) | (1.88) | — | — |
Year Ended 5/31/2019 | $34.84 | 0.44 | (5.21) | (4.77) | — | — |
Year Ended 5/31/2018 | $37.58 | 0.20 | (2.06) | (1.86) | (0.88) | (0.88) |
Year Ended 5/31/2017 | $37.80 | (0.12) | 0.14 | 0.02 | (0.24) | (0.24) |
40 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A(c) | |||||||
Year Ended 5/31/2021 | $29.65 | 6.50% | 1.40%(d),(e) | 1.27%(d),(e) | 0.66% | 555% | $1,739 |
Year Ended 5/31/2020 | $27.84 | (6.58%) | 1.42%(d),(e) | 1.25%(d),(e) | 0.94% | 789% | $2,125 |
Year Ended 5/31/2019 | $29.79 | (13.97%) | 1.45%(d) | 1.24%(d) | 0.98% | 0% | $3,103 |
Year Ended 5/31/2018 | $34.63 | (5.49%) | 1.49%(d) | 1.28%(d) | 0.06% | 0% | $4,343 |
Year Ended 5/31/2017 | $37.44 | (0.28%) | 1.61% | 1.41% | (0.95%) | 71% | $5,582 |
Advisor Class(c) | |||||||
Year Ended 5/31/2021 | $30.03 | 6.79% | 1.16%(d),(e) | 1.02%(d),(e) | 0.97% | 555% | $226 |
Year Ended 5/31/2020 | $28.12 | (6.27%) | 1.17%(d),(e) | 0.99%(d),(e) | 1.15% | 789% | $133 |
Year Ended 5/31/2019 | $30.01 | (13.79%) | 1.20%(d) | 1.01%(d) | 1.07% | 0% | $216 |
Year Ended 5/31/2018 | $34.78 | (5.27%) | 1.24%(d) | 1.03%(d) | 0.41% | 0% | $4,433 |
Year Ended 5/31/2017 | $37.55 | (0.06%) | 1.36% | 1.15% | (0.66%) | 71% | $552 |
Class C(c) | |||||||
Year Ended 5/31/2021 | $28.59 | 5.73% | 2.15%(d),(e) | 2.02%(d),(e) | (0.14%) | 555% | $114 |
Year Ended 5/31/2020 | $27.05 | (7.27%) | 2.17%(d),(e) | 1.99%(d),(e) | 0.21% | 789% | $220 |
Year Ended 5/31/2019 | $29.16 | (14.64%) | 2.20%(d) | 1.99%(d) | 0.22% | 0% | $493 |
Year Ended 5/31/2018 | $34.15 | (6.15%) | 2.24%(d) | 2.03%(d) | (0.68%) | 0% | $838 |
Year Ended 5/31/2017 | $37.10 | (1.03%) | 2.36% | 2.16% | (1.68%) | 71% | $1,100 |
Institutional Class(c) | |||||||
Year Ended 5/31/2021 | $29.97 | 6.73% | 1.16%(d),(e) | 1.02%(d),(e) | 0.95% | 555% | $806,627 |
Year Ended 5/31/2020 | $28.07 | (6.28%) | 1.17%(d),(e) | 1.00%(d),(e) | 1.17% | 789% | $614,500 |
Year Ended 5/31/2019 | $29.96 | (13.71%) | 1.20%(d) | 0.99%(d) | 1.23% | 0% | $587,203 |
Year Ended 5/31/2018 | $34.73 | (5.35%) | 1.24%(d) | 1.03%(d) | 0.34% | 0% | $706,826 |
Year Ended 5/31/2017 | $37.50 | 0.05% | 1.36% | 1.08% | (0.28%) | 71% | $520,564 |
Institutional 2 Class(c) | |||||||
Year Ended 5/31/2021 | $30.12 | 6.81% | 1.11%(d),(e) | 0.98%(d),(e) | 1.14% | 555% | $876 |
Year Ended 5/31/2020 | $28.19 | (6.25%) | 1.10%(d),(e) | 0.92%(d),(e) | 1.28% | 789% | $124 |
Year Ended 5/31/2019 | $30.07 | (13.66%) | 1.11%(d) | 0.90%(d) | 1.32% | 0% | $667 |
Year Ended 5/31/2018 | $34.84 | (5.08%) | 1.11%(d) | 0.90%(d) | 0.48% | 0% | $825 |
Year Ended 5/31/2017 | $37.58 | (0.02%) | 1.21% | 0.93% | (0.33%) | 71% | $23 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 41 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Institutional 3 Class(c) | ||||||
Year Ended 5/31/2021 | $28.27 | 0.23 | 1.72 | 1.95 | — | — |
Year Ended 5/31/2020 | $30.14 | 0.36 | (2.23) | (1.87) | — | — |
Year Ended 5/31/2019 | $34.89 | 0.44 | (5.19) | (4.75) | — | — |
Year Ended 5/31/2018 | $37.63 | 0.20 | (2.02) | (1.82) | (0.92) | (0.92) |
Year Ended 5/31/2017 | $37.81 | (0.04) | 0.10 | 0.06 | (0.24) | (0.24) |
Class R(c) | ||||||
Year Ended 5/31/2021 | $27.57 | 0.13 | 1.60 | 1.73 | — | — |
Year Ended 5/31/2020 | $29.56 | 0.20 | (2.19) | (1.99) | — | — |
Year Ended 5/31/2019 | $34.44 | 0.24 | (5.12) | (4.88) | — | — |
Year Ended 5/31/2018 | $37.30 | (0.08) | (1.98) | (2.06) | (0.80) | (0.80) |
Year Ended 5/31/2017 | $37.63 | (0.40) | 0.19 | (0.21) | (0.12) | (0.12) |
Notes to Consolidated Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Per share amounts have been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
(d) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 5/31/2021 | 5/31/2020 | 5/31/2019 | 5/31/2018 |
Class A | 0.01% | 0.01% | 0.02% | 0.01% |
Advisor Class | 0.01% | 0.01% | 0.02% | 0.01% |
Class C | 0.01% | 0.01% | 0.02% | 0.01% |
Institutional Class | 0.01% | 0.01% | 0.02% | 0.01% |
Institutional 2 Class | 0.01% | 0.01% | 0.02% | 0.01% |
Institutional 3 Class | less than 0.01% | 0.01% | 0.02% | 0.01% |
Class R | 0.01% | 0.01% | 0.02% | 0.01% |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
42 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class(c) | |||||||
Year Ended 5/31/2021 | $30.22 | 6.86% | 1.03%(d),(e) | 0.90%(d),(e) | 0.79% | 555% | $8 |
Year Ended 5/31/2020 | $28.27 | (6.11%) | 1.05%(d),(e) | 0.88%(d),(e) | 1.30% | 789% | $14,960 |
Year Ended 5/31/2019 | $30.14 | (13.65%) | 1.06%(d) | 0.84%(d) | 1.38% | 0% | $17,670 |
Year Ended 5/31/2018 | $34.89 | (5.16%) | 1.05%(d) | 0.84%(d) | 0.50% | 0% | $20,459 |
Year Ended 5/31/2017 | $37.63 | 0.21% | 1.18% | 0.88% | (0.07%) | 71% | $21,559 |
Class R(c) | |||||||
Year Ended 5/31/2021 | $29.30 | 6.31% | 1.63%(d),(e) | 1.51%(d),(e) | 0.45% | 555% | $7 |
Year Ended 5/31/2020 | $27.57 | (6.77%) | 1.63%(d),(e) | 1.47%(d),(e) | 0.71% | 789% | $7 |
Year Ended 5/31/2019 | $29.56 | (14.17%) | 1.69%(d) | 1.48%(d) | 0.75% | 0% | $7 |
Year Ended 5/31/2018 | $34.44 | (5.80%) | 1.74%(d) | 1.53%(d) | (0.19%) | 0% | $9 |
Year Ended 5/31/2017 | $37.30 | (0.50%) | 1.89% | 1.63% | (1.10%) | 71% | $9 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 43 |
May 31, 2021
CMSAF1 Offshore Fund, Ltd. | CMSAF2 Offshore Fund, Ltd. | CMSAF3 Offshore Fund, Ltd. | |
% of consolidated fund net assets | 0.00% | 5.25% | 2.10% |
Net assets | $6,006 | $42,473,835 | $16,991,453 |
Net investment income (loss) | (11,122) | (367,465) | (219,256) |
Net realized gain (loss) | — | 5,359,326 | 14,287,090 |
Net change in unrealized appreciation (depreciation) | (4) | 2,191,362 | 412,729 |
44 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 45 |
May 31, 2021
46 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 47 |
May 31, 2021
48 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 49 |
May 31, 2021
50 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 2,876,846* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 5,850,317* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 1,097,245* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 29,414,216 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,155,988* |
Interest rate risk | Investments, at value — Options purchased | 8,206,038 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 10,106,544* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 2,755,597* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 933,714* |
Total | 62,396,505 |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Upfront receipts on swap contracts | 6,187,093 |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 9,714,796* |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,691,542* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 30,337,524 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,433,664* |
Interest rate risk | Options contracts written, at value | 724,731 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 9,199,867* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,062,071* |
Total | 61,351,288 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 51 |
May 31, 2021
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | 17,469,083 | — | 2,171,903 | 19,640,986 |
Credit risk | — | — | — | 3,374,379 | 3,374,379 |
Equity risk | — | 4,899,235 | — | 2,250,594 | 7,149,829 |
Foreign exchange risk | (2,921,513) | — | — | — | (2,921,513) |
Interest rate risk | — | (3,083,045) | (1,753,000) | (518,993) | (5,355,038) |
Total | (2,921,513) | 19,285,273 | (1,753,000) | 7,277,883 | 21,888,643 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | 1,771,341 | — | — | 830,008 | 2,601,349 |
Credit risk | — | — | — | — | 1,104,105 | 1,104,105 |
Equity risk | — | (8,672,255) | — | — | 418,156 | (8,254,099) |
Foreign exchange risk | 523,315 | — | — | — | — | 523,315 |
Interest rate risk | — | (513,215) | (29,481) | 6,014,802 | (10,496,159) | (5,024,053) |
Total | 523,315 | (7,414,129) | (29,481) | 6,014,802 | (8,143,890) | (9,049,383) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 614,569,461* |
Futures contracts — short | 841,800,316* |
Credit default swap contracts — buy protection | 280,220** |
Credit default swap contracts — sell protection | 27,400,000* |
Derivative instrument | Average value ($) |
Options contracts — purchased | 4,813,066* |
Options contracts — written | (129,743)** |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 31,326,487 | (31,530,587) |
Interest rate swap contracts | 13,086,442 | (12,214,655) |
Total return swap contracts | 1,498,907 | (1,255,556) |
* | Based on the ending quarterly outstanding amounts for the year ended May 31, 2021. |
** | Based on the ending daily outstanding amounts for the year ended May 31, 2021. |
52 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
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Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 53 |
May 31, 2021
54 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
Citi ($)(a) | Citi ($)(a) | Citi ($)(a) | Citi ($)(a) | Credit Suisse ($) | Goldman Sachs ($) | Goldman Sachs International ($) | HSBC ($) | JPMorgan ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Total ($) | |
Assets | |||||||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | 288,689 | 1,051,693 | - | - | - | - | - | - | - | 269,637 | - | 1,610,019 |
Forward foreign currency exchange contracts | 21,511,013 | 1,553,526 | - | - | - | - | 30,300 | 658,783 | - | - | 5,474,128 | 186,466 | - | - | 29,414,216 |
Options purchased puts | - | 4,986,437 | - | - | - | - | - | - | - | - | - | 3,219,601 | - | - | 8,206,038 |
OTC credit default swap contracts (c) | - | - | - | - | - | - | - | - | - | - | - | 2,876,846 | - | - | 2,876,846 |
OTC total return swap contracts (c) | - | - | - | - | - | - | - | - | 233,989 | - | - | - | - | - | 233,989 |
OTC total return swap contracts on futures (c) | 4,903 | - | 933,714 | - | - | - | - | - | 409,654 | 218,857 | 229,842 | - | - | - | 1,796,970 |
Total assets | 21,515,916 | 6,539,963 | 933,714 | 288,689 | 1,051,693 | - | 30,300 | 658,783 | 643,643 | 218,857 | 5,703,970 | 6,282,913 | 269,637 | - | 44,138,078 |
Liabilities | |||||||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | 371,559 | 482,185 | - | - | - | - | - | - | - | 458,180 | 52,635 | 1,364,559 |
Forward foreign currency exchange contracts | 19,528,439 | 1,131,655 | - | - | - | - | 326,704 | 598,165 | - | - | 8,340,966 | 411,595 | - | - | 30,337,524 |
Options contracts written | - | 156,297 | - | - | - | - | - | - | - | - | - | 568,434 | - | - | 724,731 |
OTC credit default swap contracts (c) | - | - | - | - | - | - | - | - | - | - | - | 6,187,093 | - | - | 6,187,093 |
OTC total return swap contracts (c) | - | - | - | - | - | - | - | - | 109,665 | - | - | - | - | - | 109,665 |
OTC total return swap contracts on futures (c) | - | - | - | - | - | 5,348 | - | - | - | 1,022,280 | 554,249 | - | - | - | 1,581,877 |
Total liabilities | 19,528,439 | 1,287,952 | - | 371,559 | 482,185 | 5,348 | 326,704 | 598,165 | 109,665 | 1,022,280 | 8,895,215 | 7,167,122 | 458,180 | 52,635 | 40,305,449 |
Total financial and derivative net assets | 1,987,477 | 5,252,011 | 933,714 | (82,870) | 569,508 | (5,348) | (296,404) | 60,618 | 533,978 | (803,423) | (3,191,245) | (884,209) | (188,543) | (52,635) | 3,832,629 |
Total collateral received (pledged) (d) | - | 4,623,000 | 830,000 | (82,870) | - | - | - | - | - | (803,423) | (3,191,245) | (670,000) | (188,543) | (52,635) | 464,284 |
Net amount (e) | 1,987,477 | 629,011 | 103,714 | - | 569,508 | (5,348) | (296,404) | 60,618 | 533,978 | - | - | (214,209) | - | - | 3,368,345 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Consolidated Statement of Assets and Liabilities. |
(c) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
May 31, 2021
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 55 |
May 31, 2021
56 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 57 |
May 31, 2021
Effective rate (%) | |
Class A | 0.12 |
Advisor Class | 0.12 |
Class C | 0.12 |
Institutional Class | 0.12 |
Institutional 2 Class | 0.07 |
Institutional 3 Class | 0.01 |
Class R | 0.10 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 1,445 |
Class C | — | 1.00(b) | — |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
58 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Fee rate(s) contractual through September 30, 2021 | |
Class A | 1.27% |
Advisor Class | 1.02 |
Class C | 2.02 |
Institutional Class | 1.02 |
Institutional 2 Class | 0.96 |
Institutional 3 Class | 0.90 |
Class R | 1.52 |
Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(2,218,936) | (23,898) | 2,242,834 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 59 |
May 31, 2021
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
13,980,487 | — | (70,698,343) | (36,145,663) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
854,999,724 | 12,397,679 | (48,543,342) | (36,145,663) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(63,457,772) | (7,240,571) | (70,698,343) | 2,044,235 |
60 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 61 |
May 31, 2021
62 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
May 31, 2021
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 63 |
May 31, 2021
64 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 65 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 170 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 170 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 170 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
66 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 168 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 168 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 168 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 170 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 170 | Trustee, Catholic Schools Foundation since 2004 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 67 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2021 | Independent business executive since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 168 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 168 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 168 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 170 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
68 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 170 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 170 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008 - January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 168 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 170 | Director, NAPE Education Foundation, October 2016-October 2020 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 69 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees of CFST, CFST I, CFST II, Columbia ETF Trust I, Columbia ETF Trust II, and CFVST II, effective January 1, 2021, and of CFVIT, effective July 1, 2020. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010-December 2014); officer of Columbia Funds and affiliated funds since 2007 | 170 | None |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
(a) | Mr. Petersen serves as the Senior Vice President and Assistant Secretary of the Columbia Funds (since 2021). |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Daniel J. Beckman 290 Congress Street Boston, MA 02210 1962 | President and Principal Executive Officer (2021) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); officer of Columbia Funds and affiliated funds since 2020. |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President – Pricing and Corporate Actions, May 2010 - March 2017). |
70 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; Chief Compliance Officer, Ameriprise Certificate Company September 2010 – September 2020. |
Colin Moore 290 Congress Street Boston, MA 02210 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2021 | 71 |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 86,127,701,985 | 836,188,991 | 0 |
Kathleen Blatz | 86,243,229,991 | 720,660,985 | 0 |
Pamela G. Carlton | 86,264,105,441 | 699,785,535 | 0 |
Janet Langford Carrig | 86,054,199,101 | 909,691,875 | 0 |
J. Kevin Connaughton | 86,079,927,846 | 883,963,131 | 0 |
Olive M. Darragh | 86,229,808,655 | 734,082,321 | 0 |
Patricia M. Flynn | 86,198,477,183 | 765,413,793 | 0 |
Brian J. Gallagher | 86,107,199,569 | 856,691,407 | 0 |
Douglas A. Hacker | 85,856,681,960 | 1,107,209,016 | 0 |
Nancy T. Lukitsh | 86,082,583,872 | 881,307,104 | 0 |
David M. Moffett | 85,916,196,449 | 1,047,694,527 | 0 |
Catherine James Paglia | 86,220,544,249 | 743,346,727 | 0 |
Anthony M. Santomero | 86,032,441,166 | 931,449,811 | 0 |
Minor M. Shaw | 86,027,511,771 | 936,379,205 | 0 |
Natalie A. Trunow | 86,222,277,961 | 741,613,015 | 0 |
Sandra Yeager | 86,214,429,708 | 749,461,268 | 0 |
Christopher O. Petersen | 86,067,188,679 | 896,702,297 | 0 |
72 | Columbia Multi Strategy Alternatives Fund | Annual Report 2021 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
May 31, 2021
3 | |
5 | |
7 | |
8 | |
12 | |
14 | |
15 | |
18 | |
22 | |
31 | |
32 | |
32 | |
38 | |
39 |
Average annual total returns (%) (for the period ended May 31, 2021) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/25/02 | 35.42 | 14.25 | 12.57 |
Including sales charges | 27.63 | 12.91 | 11.91 | ||
Advisor Class* | 11/08/12 | 35.76 | 14.54 | 12.85 | |
Class C | Excluding sales charges | 11/25/02 | 34.43 | 13.40 | 11.73 |
Including sales charges | 33.43 | 13.40 | 11.73 | ||
Institutional Class | 03/04/98 | 35.76 | 14.53 | 12.85 | |
Institutional 2 Class* | 11/08/12 | 35.84 | 14.62 | 12.95 | |
Institutional 3 Class* | 11/08/12 | 35.95 | 14.69 | 13.01 | |
Class R | 03/28/08 | 35.08 | 13.97 | 12.29 | |
Class V | Excluding sales charges | 03/04/98 | 35.40 | 14.25 | 12.55 |
Including sales charges | 27.62 | 12.91 | 11.89 | ||
Russell 1000 Index | 42.66 | 17.46 | 14.41 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Institutional Class shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
Columbia Dividend Income Fund | Annual Report 2021 | 3 |
Portfolio breakdown (%) (at May 31, 2021) | |
Common Stocks | 96.8 |
Money Market Funds | 3.2 |
Total | 100.0 |
Equity sector breakdown (%) (at May 31, 2021) | |
Communication Services | 4.0 |
Consumer Discretionary | 8.5 |
Consumer Staples | 6.9 |
Energy | 3.8 |
Financials | 18.4 |
Health Care | 12.3 |
Industrials | 14.5 |
Information Technology | 21.0 |
Materials | 2.5 |
Real Estate | 2.7 |
Utilities | 5.4 |
Total | 100.0 |
4 | Columbia Dividend Income Fund | Annual Report 2021 |
• | The Fund’s performance relative to its benchmark was driven primarily by stock selection within the health care, financials and communication services sectors. |
• | Sector allocation was a secondary detractor, with the Fund’s overweight to the weak-performing utilities sector and underweight to the strong-performing consumer discretionary sector weighing on results versus the benchmark. |
• | Within the industrials sector, the Fund’s position in aerospace and defense company Lockheed Martin Corp. underperformed as investor sentiment favored more economically sensitive names and concerns over the defense spending policy of the new U.S. administration. |
• | Within the health care sector: |
○ | Shares of Merck & Co., Inc. came under pressure during the period from investor concerns over potential regulatory changes and lower drug prices in the pharmaceutical industry, as well as anticipated changes in Merck’s management team. |
○ | The Fund’s overweight position in Johnson & Johnson detracted from relative results. While shares delivered strong absolute performance during the period, the health care sector overall was a weaker performing sector in the benchmark during the period. |
• | Within information technology: |
○ | Computer network equipment maker Cisco Systems, Inc. weighed on results as enterprise spending on networking was slow to recover during the period. |
○ | Chipmaker Intel Corporation was also among the Fund’s detractors. We exited the position on news that delivery of its next generation chip would be delayed. |
• | The Fund’s lack of exposure to names such as Tesla and Alphabet weighed on results relative to the benchmark. Tesla alone accounted for nearly all the underperformance in consumer discretionary. As non-dividend paying stocks, the Fund is unable to hold these positions. |
• | The Fund’s stock selection within the information technology sector and overweight allocation to the strong-performing financials and industrials sectors benefited results compared to the benchmark during the period. |
• | Fund positions in semiconductor capital equipment stocks Lam Research Corp. and KLA Corp. were notable contributors. |
Columbia Dividend Income Fund | Annual Report 2021 | 5 |
○ | Lam Research makes equipment necessary to the manufacture of semiconductors, while KLA makes testing equipment that allows manufacturers to maximize chip yield. |
○ | Both Lam Research and KLA possess high profit margins, strong cash flow and balance sheets, producing high barriers to entry. Both stocks benefited during the period from the shortage of semiconductors, which has led to a ramp up in chip production. Importantly, we believe that the long-term trends of growing end markets for semiconductors and increasing chip complexity remain firmly in place. |
• | Trane Technologies PLC, a top contributor during the period, specializes in climate control within the industrials sector. During the past several years, Trane has increased market share across both the residential and commercial segments. In addition, its business expanded due to COVID-19-driven initiatives to improve ventilation in schools and other buildings. |
• | Within consumer discretionary, retailer Target Corp. was well positioned entering the pandemic and was a top contributor. Investments in e-commerce have produced competitive advantages leading to share gains that we believe will endure beyond the COVID-19 pandemic. |
• | Within the financial sector, positions in Bank of America Corp. and JPMorgan Chase & Co. delivered strong gains. During the period, bank stocks benefited from the market’s rotation into value, a steepening of the yield curve, and the expectation of a strong economic recovery. |
6 | Columbia Dividend Income Fund | Annual Report 2021 |
(Unaudited)
December 1, 2020 — May 31, 2021 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,179.70 | 1,020.01 | 4.92 | 4.56 | 0.92 |
Advisor Class | 1,000.00 | 1,000.00 | 1,181.30 | 1,021.23 | 3.58 | 3.32 | 0.67 |
Class C | 1,000.00 | 1,000.00 | 1,175.60 | 1,016.33 | 8.91 | 8.26 | 1.67 |
Institutional Class | 1,000.00 | 1,000.00 | 1,180.90 | 1,021.23 | 3.58 | 3.32 | 0.67 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,181.50 | 1,021.53 | 3.26 | 3.02 | 0.61 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,181.90 | 1,021.77 | 3.00 | 2.78 | 0.56 |
Class R | 1,000.00 | 1,000.00 | 1,178.30 | 1,018.78 | 6.25 | 5.79 | 1.17 |
Class V | 1,000.00 | 1,000.00 | 1,179.70 | 1,020.01 | 4.92 | 4.56 | 0.92 |
Columbia Dividend Income Fund | Annual Report 2021 | 7 |
May 31, 2021
Common Stocks 97.1% | ||
Issuer | Shares | Value ($) |
Communication Services 3.9% | ||
Diversified Telecommunication Services 1.6% | ||
AT&T, Inc. | 6,130,372 | 180,416,848 |
Verizon Communications, Inc. | 6,553,818 | 370,225,179 |
Total | 550,642,027 | |
Media 2.3% | ||
Comcast Corp., Class A | 14,486,377 | 830,648,857 |
Total Communication Services | 1,381,290,884 | |
Consumer Discretionary 8.2% | ||
Hotels, Restaurants & Leisure 0.8% | ||
McDonald’s Corp. | 1,172,545 | 274,246,550 |
Internet & Direct Marketing Retail 1.4% | ||
eBay, Inc. | 8,204,643 | 499,498,666 |
Multiline Retail 2.7% | ||
Target Corp. | 4,184,681 | 949,587,812 |
Specialty Retail 3.3% | ||
Best Buy Co., Inc. | 1,447,067 | 168,207,068 |
Home Depot, Inc. (The) | 2,573,394 | 820,681,081 |
TJX Companies, Inc. (The) | 2,589,026 | 174,862,816 |
Total | 1,163,750,965 | |
Total Consumer Discretionary | 2,887,083,993 | |
Consumer Staples 6.7% | ||
Beverages 2.2% | ||
Coca-Cola Co. (The) | 6,336,740 | 350,358,355 |
PepsiCo, Inc. | 2,731,195 | 404,052,988 |
Total | 754,411,343 | |
Food & Staples Retailing 0.7% | ||
Walmart, Inc. | 1,815,757 | 257,891,967 |
Food Products 1.1% | ||
Hershey Co. (The) | 998,061 | 172,714,456 |
Mondelez International, Inc., Class A | 3,351,438 | 212,916,856 |
Total | 385,631,312 | |
Household Products 1.7% | ||
Procter & Gamble Co. (The) | 4,477,784 | 603,829,172 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 1.0% | ||
Philip Morris International, Inc. | 3,536,267 | 341,002,227 |
Total Consumer Staples | 2,342,766,021 | |
Energy 3.7% | ||
Oil, Gas & Consumable Fuels 3.7% | ||
Chevron Corp. | 3,155,190 | 327,477,170 |
ConocoPhillips Co. | 3,550,776 | 197,920,254 |
EOG Resources, Inc. | 3,296,010 | 264,801,443 |
Exxon Mobil Corp. | 5,776,872 | 337,196,019 |
Phillips 66 | 2,008,694 | 169,172,209 |
Total | 1,296,567,095 | |
Total Energy | 1,296,567,095 | |
Financials 17.9% | ||
Banks 8.7% | ||
Bank of America Corp. | 22,079,595 | 935,954,032 |
JPMorgan Chase & Co. | 6,660,401 | 1,093,904,261 |
PNC Financial Services Group, Inc. (The) | 2,788,340 | 542,834,031 |
U.S. Bancorp | 8,063,481 | 490,098,375 |
Total | 3,062,790,699 | |
Capital Markets 4.5% | ||
BlackRock, Inc. | 398,006 | 349,067,182 |
CME Group, Inc. | 1,799,751 | 393,713,529 |
Northern Trust Corp. | 3,407,663 | 412,974,679 |
T. Rowe Price Group, Inc. | 2,129,062 | 407,396,014 |
Total | 1,563,151,404 | |
Insurance 4.7% | ||
Allstate Corp. (The) | 3,998,204 | 546,194,648 |
Chubb Ltd. | 3,089,169 | 525,127,838 |
Marsh & McLennan Companies, Inc. | 4,281,273 | 592,314,120 |
Total | 1,663,636,606 | |
Total Financials | 6,289,578,709 | |
Health Care 12.0% | ||
Biotechnology 0.4% | ||
Gilead Sciences, Inc. | 1,809,856 | 119,649,580 |
8 | Columbia Dividend Income Fund | Annual Report 2021 |
May 31, 2021
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 2.8% | ||
Abbott Laboratories | 2,394,536 | 279,322,624 |
Becton Dickinson and Co. | 1,085,092 | 262,472,904 |
Medtronic PLC | 3,492,325 | 442,093,422 |
Total | 983,888,950 | |
Health Care Providers & Services 1.4% | ||
UnitedHealth Group, Inc. | 1,176,500 | 484,623,880 |
Pharmaceuticals 7.4% | ||
Bristol-Myers Squibb Co. | 6,713,222 | 441,192,950 |
Eli Lilly & Co. | 2,743,092 | 547,905,196 |
Johnson & Johnson | 6,633,794 | 1,122,769,635 |
Merck & Co., Inc. | 6,540,687 | 496,372,736 |
Total | 2,608,240,517 | |
Total Health Care | 4,196,402,927 | |
Industrials 14.0% | ||
Aerospace & Defense 2.4% | ||
Lockheed Martin Corp. | 1,636,879 | 625,615,154 |
Northrop Grumman Corp. | 608,246 | 222,538,964 |
Total | 848,154,118 | |
Air Freight & Logistics 1.1% | ||
United Parcel Service, Inc., Class B | 1,780,692 | 382,136,503 |
Building Products 1.6% | ||
Trane Technologies PLC | 3,127,797 | 583,021,361 |
Commercial Services & Supplies 1.2% | ||
Waste Management, Inc. | 2,947,779 | 414,693,550 |
Electrical Equipment 0.8% | ||
Eaton Corp. PLC | 2,082,252 | 302,447,103 |
Industrial Conglomerates 1.9% | ||
Honeywell International, Inc. | 2,833,785 | 654,349,294 |
Machinery 2.7% | ||
Cummins, Inc. | 1,087,196 | 279,713,787 |
Deere & Co. | 972,485 | 351,164,333 |
Parker-Hannifin Corp. | 1,015,525 | 312,934,029 |
Total | 943,812,149 | |
Road & Rail 2.3% | ||
Union Pacific Corp. | 3,552,086 | 798,260,287 |
Total Industrials | 4,926,874,365 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 20.4% | ||
Communications Equipment 2.1% | ||
Cisco Systems, Inc. | 13,802,806 | 730,168,437 |
Electronic Equipment, Instruments & Components 0.8% | ||
TE Connectivity Ltd. | 2,091,079 | 283,717,599 |
IT Services 5.0% | ||
Accenture PLC, Class A | 1,607,486 | 453,568,250 |
Automatic Data Processing, Inc. | 1,911,015 | 374,597,160 |
Fidelity National Information Services, Inc. | 2,266,343 | 337,639,780 |
International Business Machines Corp. | 4,128,359 | 593,410,323 |
Total | 1,759,215,513 | |
Semiconductors & Semiconductor Equipment 9.2% | ||
Analog Devices, Inc. | 2,605,358 | 428,841,927 |
Broadcom, Inc. | 1,625,695 | 767,864,519 |
KLA Corp. | 1,754,015 | 555,829,813 |
Lam Research Corp. | 1,237,597 | 804,252,411 |
Texas Instruments, Inc. | 3,543,215 | 672,573,071 |
Total | 3,229,361,741 | |
Software 3.3% | ||
Citrix Systems, Inc. | 386,899 | 44,477,909 |
Microsoft Corp. | 4,420,392 | 1,103,683,475 |
Total | 1,148,161,384 | |
Total Information Technology | 7,150,624,674 | |
Materials 2.5% | ||
Chemicals 1.0% | ||
Linde PLC | 1,164,343 | 350,001,506 |
Containers & Packaging 1.5% | ||
Avery Dennison Corp. | 999,229 | 220,359,971 |
Packaging Corp. of America | 872,418 | 129,684,936 |
Sonoco Products Co. | 2,430,647 | 164,117,285 |
Total | 514,162,192 | |
Total Materials | 864,163,698 |
Columbia Dividend Income Fund | Annual Report 2021 | 9 |
May 31, 2021
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate 2.6% | ||
Equity Real Estate Investment Trusts (REITS) 2.6% | ||
AvalonBay Communities, Inc. | 873,929 | 180,850,867 |
Crown Castle International Corp. | 1,059,739 | 200,820,540 |
Digital Realty Trust, Inc. | 2,278,955 | 345,398,420 |
Extra Space Storage, Inc. | 1,316,533 | 197,229,809 |
Total | 924,299,636 | |
Total Real Estate | 924,299,636 | |
Utilities 5.2% | ||
Electric Utilities 3.0% | ||
American Electric Power Co., Inc. | 2,465,874 | 212,065,164 |
Duke Energy Corp. | 870,910 | 87,282,600 |
Eversource Energy | 2,233,875 | 181,368,311 |
NextEra Energy, Inc. | 3,595,569 | 263,267,562 |
Pinnacle West Capital Corp. | 991,580 | 83,867,837 |
Xcel Energy, Inc. | 3,218,571 | 228,132,313 |
Total | 1,055,983,787 | |
Multi-Utilities 2.2% | ||
Ameren Corp. | 2,498,222 | 210,350,292 |
CMS Energy Corp. | 2,686,765 | 168,567,636 |
DTE Energy Co. | 1,190,233 | 164,240,252 |
WEC Energy Group, Inc. | 2,469,664 | 231,926,146 |
Total | 775,084,326 | |
Total Utilities | 1,831,068,113 | |
Total Common Stocks (Cost $21,978,476,835) | 34,090,720,115 | |
Money Market Funds 3.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.042%(a),(b) | 1,112,547,693 | 1,112,436,439 |
Total Money Market Funds (Cost $1,112,613,420) | 1,112,436,439 | |
Total Investments in Securities (Cost: $23,091,090,255) | 35,203,156,554 | |
Other Assets & Liabilities, Net | (91,085,598) | |
Net Assets | 35,112,070,956 |
(a) | The rate shown is the seven-day current annualized yield at May 31, 2021. |
(b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.042% | ||||||||
806,457,121 | 4,163,122,823 | (3,857,002,087) | (141,418) | 1,112,436,439 | (27,826) | 1,114,660 | 1,112,547,693 |
10 | Columbia Dividend Income Fund | Annual Report 2021 |
May 31, 2021
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. 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). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 1,381,290,884 | — | — | 1,381,290,884 |
Consumer Discretionary | 2,887,083,993 | — | — | 2,887,083,993 |
Consumer Staples | 2,342,766,021 | — | — | 2,342,766,021 |
Energy | 1,296,567,095 | — | — | 1,296,567,095 |
Financials | 6,289,578,709 | — | — | 6,289,578,709 |
Health Care | 4,196,402,927 | — | — | 4,196,402,927 |
Industrials | 4,926,874,365 | — | — | 4,926,874,365 |
Information Technology | 7,150,624,674 | — | — | 7,150,624,674 |
Materials | 864,163,698 | — | — | 864,163,698 |
Real Estate | 924,299,636 | — | — | 924,299,636 |
Utilities | 1,831,068,113 | — | — | 1,831,068,113 |
Total Common Stocks | 34,090,720,115 | — | — | 34,090,720,115 |
Money Market Funds | 1,112,436,439 | — | — | 1,112,436,439 |
Total Investments in Securities | 35,203,156,554 | — | — | 35,203,156,554 |
Columbia Dividend Income Fund | Annual Report 2021 | 11 |
May 31, 2021
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $21,978,476,835) | $34,090,720,115 |
Affiliated issuers (cost $1,112,613,420) | 1,112,436,439 |
Receivable for: | |
Investments sold | 20,238,332 |
Capital shares sold | 56,868,962 |
Dividends | 66,916,435 |
Prepaid expenses | 351,772 |
Trustees’ deferred compensation plan | 878,530 |
Total assets | 35,348,410,585 |
Liabilities | |
Payable for: | |
Investments purchased | 209,303,631 |
Capital shares purchased | 22,154,834 |
Management services fees | 510,711 |
Distribution and/or service fees | 67,744 |
Transfer agent fees | 2,928,723 |
Compensation of board members | 80,917 |
Compensation of chief compliance officer | 1,406 |
Other expenses | 413,133 |
Trustees’ deferred compensation plan | 878,530 |
Total liabilities | 236,339,629 |
Net assets applicable to outstanding capital stock | $35,112,070,956 |
Represented by | |
Paid in capital | 22,469,172,363 |
Total distributable earnings (loss) | 12,642,898,593 |
Total - representing net assets applicable to outstanding capital stock | $35,112,070,956 |
12 | Columbia Dividend Income Fund | Annual Report 2021 |
May 31, 2021
Class A | |
Net assets | $4,247,346,158 |
Shares outstanding | 144,001,572 |
Net asset value per share | $29.50 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $31.30 |
Advisor Class | |
Net assets | $3,140,636,151 |
Shares outstanding | 104,480,385 |
Net asset value per share | $30.06 |
Class C | |
Net assets | $1,286,988,747 |
Shares outstanding | 45,176,104 |
Net asset value per share | $28.49 |
Institutional Class | |
Net assets | $16,364,360,509 |
Shares outstanding | 554,120,278 |
Net asset value per share | $29.53 |
Institutional 2 Class | |
Net assets | $3,093,984,627 |
Shares outstanding | 103,025,835 |
Net asset value per share | $30.03 |
Institutional 3 Class | |
Net assets | $6,667,176,892 |
Shares outstanding | 221,664,281 |
Net asset value per share | $30.08 |
Class R | |
Net assets | $217,516,089 |
Shares outstanding | 7,371,323 |
Net asset value per share | $29.51 |
Class V | |
Net assets | $94,061,783 |
Shares outstanding | 3,187,495 |
Net asset value per share | $29.51 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class V shares) | $31.31 |
Columbia Dividend Income Fund | Annual Report 2021 | 13 |
Year Ended May 31, 2021
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $648,784,625 |
Dividends — affiliated issuers | 1,114,660 |
Interfund lending | 3,722 |
Total income | 649,903,007 |
Expenses: | |
Management services fees | 144,330,100 |
Distribution and/or service fees | |
Class A | 8,237,836 |
Class C | 11,397,189 |
Class R | 841,991 |
Class V | 205,430 |
Transfer agent fees | |
Class A | 3,968,466 |
Advisor Class | 2,777,582 |
Class C | 1,374,651 |
Institutional Class | 15,222,077 |
Institutional 2 Class | 1,187,168 |
Institutional 3 Class | 354,326 |
Class R | 202,778 |
Class V | 99,110 |
Compensation of board members | 397,646 |
Custodian fees | 109,923 |
Printing and postage fees | 962,940 |
Registration fees | 1,726,932 |
Audit fees | 29,500 |
Legal fees | 510,199 |
Compensation of chief compliance officer | 8,028 |
Other | 914,730 |
Total expenses | 194,858,602 |
Expense reduction | (2,290) |
Total net expenses | 194,856,312 |
Net investment income | 455,046,695 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 760,842,130 |
Investments — affiliated issuers | (27,826) |
Net realized gain | 760,814,304 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 7,244,632,678 |
Investments — affiliated issuers | (141,418) |
Net change in unrealized appreciation (depreciation) | 7,244,491,260 |
Net realized and unrealized gain | 8,005,305,564 |
Net increase in net assets resulting from operations | $8,460,352,259 |
14 | Columbia Dividend Income Fund | Annual Report 2021 |
Year Ended May 31, 2021 | Year Ended May 31, 2020 | |
Operations | ||
Net investment income | $455,046,695 | $341,487,027 |
Net realized gain (loss) | 760,814,304 | (270,788,769) |
Net change in unrealized appreciation (depreciation) | 7,244,491,260 | 732,149,792 |
Net increase in net assets resulting from operations | 8,460,352,259 | 802,848,050 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (49,428,431) | (72,310,865) |
Advisor Class | (38,780,396) | (36,530,363) |
Class C | (9,791,341) | (21,795,983) |
Institutional Class | (218,145,747) | (243,532,921) |
Institutional 2 Class | (35,895,357) | (34,573,013) |
Institutional 3 Class | (92,843,269) | (112,949,501) |
Class R | (2,142,487) | (3,459,949) |
Class V | (1,260,258) | (2,283,400) |
Total distributions to shareholders | (448,287,286) | (527,435,995) |
Increase in net assets from capital stock activity | 6,543,776,661 | 6,630,926,334 |
Total increase in net assets | 14,555,841,634 | 6,906,338,389 |
Net assets at beginning of year | 20,556,229,322 | 13,649,890,933 |
Net assets at end of year | $35,112,070,956 | $20,556,229,322 |
Columbia Dividend Income Fund | Annual Report 2021 | 15 |
Year Ended | Year Ended | |||
May 31, 2021 | May 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 50,007,846 | 1,275,884,602 | 47,315,992 | 1,079,082,264 |
Distributions reinvested | 1,733,693 | 42,293,367 | 2,867,800 | 63,889,934 |
Redemptions | (29,316,546) | (733,623,440) | (26,251,769) | (585,045,044) |
Net increase | 22,424,993 | 584,554,529 | 23,932,023 | 557,927,154 |
Advisor Class | ||||
Subscriptions | 56,024,623 | 1,450,944,181 | 50,090,172 | 1,143,153,143 |
Distributions reinvested | 1,536,627 | 38,480,661 | 1,609,783 | 36,181,485 |
Redemptions | (25,844,863) | (684,176,868) | (16,245,393) | (364,842,461) |
Net increase | 31,716,387 | 805,247,974 | 35,454,562 | 814,492,167 |
Class C | ||||
Subscriptions | 13,152,585 | 323,629,018 | 17,602,901 | 388,435,957 |
Distributions reinvested | 359,266 | 8,423,071 | 833,773 | 18,297,531 |
Redemptions | (16,855,240) | (416,157,334) | (11,239,913) | (242,169,261) |
Net increase (decrease) | (3,343,389) | (84,105,245) | 7,196,761 | 164,564,227 |
Institutional Class | ||||
Subscriptions | 220,345,007 | 5,539,486,775 | 237,051,969 | 5,315,773,621 |
Distributions reinvested | 7,665,184 | 187,915,195 | 9,352,529 | 207,409,928 |
Redemptions | (107,476,146) | (2,734,627,580) | (90,569,183) | (1,993,383,047) |
Net increase | 120,534,045 | 2,992,774,390 | 155,835,315 | 3,529,800,502 |
Institutional 2 Class | ||||
Subscriptions | 58,480,496 | 1,519,686,930 | 39,674,026 | 901,246,401 |
Distributions reinvested | 1,398,857 | 35,068,200 | 1,500,926 | 33,795,226 |
Redemptions | (18,371,200) | (477,014,670) | (15,067,105) | (339,917,088) |
Net increase | 41,508,153 | 1,077,740,460 | 26,107,847 | 595,124,539 |
Institutional 3 Class | ||||
Subscriptions | 83,621,634 | 2,163,505,618 | 68,865,213 | 1,569,092,884 |
Distributions reinvested | 2,205,212 | 55,272,501 | 2,450,404 | 55,105,287 |
Redemptions | (40,939,428) | (1,076,820,451) | (29,729,444) | (672,877,610) |
Net increase | 44,887,418 | 1,141,957,668 | 41,586,173 | 951,320,561 |
Class R | ||||
Subscriptions | 2,530,274 | 65,037,850 | 2,231,170 | 50,849,348 |
Distributions reinvested | 86,943 | 2,126,132 | 150,122 | 3,365,101 |
Redemptions | (1,467,115) | (37,298,861) | (1,434,181) | (32,178,813) |
Net increase | 1,150,102 | 29,865,121 | 947,111 | 22,035,636 |
Class V | ||||
Subscriptions | 40,333 | 1,011,908 | 47,255 | 1,073,693 |
Distributions reinvested | 41,771 | 1,016,120 | 82,749 | 1,851,868 |
Redemptions | (249,686) | (6,286,264) | (319,325) | (7,264,013) |
Net decrease | (167,582) | (4,258,236) | (189,321) | (4,338,452) |
Total net increase | 258,710,127 | 6,543,776,661 | 290,870,471 | 6,630,926,334 |
16 | Columbia Dividend Income Fund | Annual Report 2021 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class A | |||||||
Year Ended 5/31/2021 | $22.13 | 0.38 | 7.37 | 7.75 | (0.38) | — | (0.38) |
Year Ended 5/31/2020 | $21.45 | 0.41 | 0.93 | 1.34 | (0.40) | (0.26) | (0.66) |
Year Ended 5/31/2019 | $21.63 | 0.39 | 0.88 | 1.27 | (0.38) | (1.07) | (1.45) |
Year Ended 5/31/2018 | $20.46 | 0.36 | 1.75 | 2.11 | (0.34) | (0.60) | (0.94) |
Year Ended 5/31/2017 | $18.43 | 0.34 | 2.46 | 2.80 | (0.32) | (0.45) | (0.77) |
Advisor Class | |||||||
Year Ended 5/31/2021 | $22.54 | 0.45 | 7.51 | 7.96 | (0.44) | — | (0.44) |
Year Ended 5/31/2020 | $21.84 | 0.48 | 0.94 | 1.42 | (0.46) | (0.26) | (0.72) |
Year Ended 5/31/2019 | $22.00 | 0.45 | 0.89 | 1.34 | (0.43) | (1.07) | (1.50) |
Year Ended 5/31/2018 | $20.80 | 0.42 | 1.78 | 2.20 | (0.40) | (0.60) | (1.00) |
Year Ended 5/31/2017 | $18.71 | 0.39 | 2.52 | 2.91 | (0.37) | (0.45) | (0.82) |
Class C | |||||||
Year Ended 5/31/2021 | $21.38 | 0.18 | 7.14 | 7.32 | (0.21) | — | (0.21) |
Year Ended 5/31/2020 | $20.73 | 0.23 | 0.91 | 1.14 | (0.23) | (0.26) | (0.49) |
Year Ended 5/31/2019 | $20.95 | 0.22 | 0.84 | 1.06 | (0.21) | (1.07) | (1.28) |
Year Ended 5/31/2018 | $19.84 | 0.19 | 1.70 | 1.89 | (0.18) | (0.60) | (0.78) |
Year Ended 5/31/2017 | $17.88 | 0.18 | 2.41 | 2.59 | (0.18) | (0.45) | (0.63) |
Institutional Class | |||||||
Year Ended 5/31/2021 | $22.15 | 0.44 | 7.38 | 7.82 | (0.44) | — | (0.44) |
Year Ended 5/31/2020 | $21.48 | 0.47 | 0.92 | 1.39 | (0.46) | (0.26) | (0.72) |
Year Ended 5/31/2019 | $21.66 | 0.44 | 0.88 | 1.32 | (0.43) | (1.07) | (1.50) |
Year Ended 5/31/2018 | $20.48 | 0.41 | 1.77 | 2.18 | (0.40) | (0.60) | (1.00) |
Year Ended 5/31/2017 | $18.45 | 0.38 | 2.47 | 2.85 | (0.37) | (0.45) | (0.82) |
Institutional 2 Class | |||||||
Year Ended 5/31/2021 | $22.52 | 0.46 | 7.51 | 7.97 | (0.46) | — | (0.46) |
Year Ended 5/31/2020 | $21.83 | 0.49 | 0.94 | 1.43 | (0.48) | (0.26) | (0.74) |
Year Ended 5/31/2019 | $21.99 | 0.47 | 0.89 | 1.36 | (0.45) | (1.07) | (1.52) |
Year Ended 5/31/2018 | $20.78 | 0.44 | 1.79 | 2.23 | (0.42) | (0.60) | (1.02) |
Year Ended 5/31/2017 | $18.71 | 0.41 | 2.50 | 2.91 | (0.39) | (0.45) | (0.84) |
18 | Columbia Dividend Income Fund | Annual Report 2021 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Year Ended 5/31/2021 | $29.50 | 35.42% | 0.92% | 0.92%(c) | 1.49% | 11% | $4,247,346 |
Year Ended 5/31/2020 | $22.13 | 6.26% | 0.94% | 0.94%(c) | 1.80% | 14% | $2,689,884 |
Year Ended 5/31/2019 | $21.45 | 6.10% | 0.96% | 0.96%(c) | 1.77% | 13% | $2,094,539 |
Year Ended 5/31/2018 | $21.63 | 10.35% | 0.97% | 0.97%(c) | 1.66% | 15% | $1,834,772 |
Year Ended 5/31/2017 | $20.46 | 15.52% | 1.00% | 1.00%(c) | 1.74% | 16% | $1,750,090 |
Advisor Class | |||||||
Year Ended 5/31/2021 | $30.06 | 35.76% | 0.67% | 0.67%(c) | 1.74% | 11% | $3,140,636 |
Year Ended 5/31/2020 | $22.54 | 6.53% | 0.69% | 0.69%(c) | 2.07% | 14% | $1,640,078 |
Year Ended 5/31/2019 | $21.84 | 6.35% | 0.71% | 0.71%(c) | 2.04% | 13% | $815,017 |
Year Ended 5/31/2018 | $22.00 | 10.60% | 0.72% | 0.72%(c) | 1.93% | 15% | $564,834 |
Year Ended 5/31/2017 | $20.80 | 15.89% | 0.75% | 0.75%(c) | 1.99% | 16% | $390,004 |
Class C | |||||||
Year Ended 5/31/2021 | $28.49 | 34.43% | 1.67% | 1.67%(c) | 0.75% | 11% | $1,286,989 |
Year Ended 5/31/2020 | $21.38 | 5.44% | 1.69% | 1.69%(c) | 1.05% | 14% | $1,037,413 |
Year Ended 5/31/2019 | $20.73 | 5.29% | 1.71% | 1.71%(c) | 1.02% | 13% | $856,621 |
Year Ended 5/31/2018 | $20.95 | 9.53% | 1.72% | 1.72%(c) | 0.91% | 15% | $809,269 |
Year Ended 5/31/2017 | $19.84 | 14.73% | 1.75% | 1.75%(c) | 0.99% | 16% | $764,036 |
Institutional Class | |||||||
Year Ended 5/31/2021 | $29.53 | 35.76% | 0.67% | 0.67%(c) | 1.74% | 11% | $16,364,361 |
Year Ended 5/31/2020 | $22.15 | 6.50% | 0.69% | 0.69%(c) | 2.06% | 14% | $9,604,530 |
Year Ended 5/31/2019 | $21.48 | 6.36% | 0.71% | 0.71%(c) | 2.02% | 13% | $5,966,124 |
Year Ended 5/31/2018 | $21.66 | 10.67% | 0.72% | 0.72%(c) | 1.89% | 15% | $4,781,049 |
Year Ended 5/31/2017 | $20.48 | 15.79% | 0.75% | 0.75%(c) | 1.98% | 16% | $6,140,961 |
Institutional 2 Class | |||||||
Year Ended 5/31/2021 | $30.03 | 35.84% | 0.61% | 0.61% | 1.79% | 11% | $3,093,985 |
Year Ended 5/31/2020 | $22.52 | 6.57% | 0.62% | 0.62% | 2.13% | 14% | $1,385,364 |
Year Ended 5/31/2019 | $21.83 | 6.44% | 0.63% | 0.63% | 2.11% | 13% | $772,924 |
Year Ended 5/31/2018 | $21.99 | 10.76% | 0.63% | 0.63% | 2.00% | 15% | $605,285 |
Year Ended 5/31/2017 | $20.78 | 15.92% | 0.63% | 0.63% | 2.10% | 16% | $524,608 |
Columbia Dividend Income Fund | Annual Report 2021 | 19 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | |||||||
Year Ended 5/31/2021 | $22.55 | 0.48 | 7.52 | 8.00 | (0.47) | — | (0.47) |
Year Ended 5/31/2020 | $21.86 | 0.50 | 0.94 | 1.44 | (0.49) | (0.26) | (0.75) |
Year Ended 5/31/2019 | $22.02 | 0.48 | 0.89 | 1.37 | (0.46) | (1.07) | (1.53) |
Year Ended 5/31/2018 | $20.80 | 0.46 | 1.78 | 2.24 | (0.42) | (0.60) | (1.02) |
Year Ended 5/31/2017 | $18.72 | 0.43 | 2.50 | 2.93 | (0.40) | (0.45) | (0.85) |
Class R | |||||||
Year Ended 5/31/2021 | $22.14 | 0.31 | 7.38 | 7.69 | (0.32) | — | (0.32) |
Year Ended 5/31/2020 | $21.46 | 0.35 | 0.94 | 1.29 | (0.35) | (0.26) | (0.61) |
Year Ended 5/31/2019 | $21.64 | 0.33 | 0.88 | 1.21 | (0.32) | (1.07) | (1.39) |
Year Ended 5/31/2018 | $20.47 | 0.30 | 1.76 | 2.06 | (0.29) | (0.60) | (0.89) |
Year Ended 5/31/2017 | $18.43 | 0.29 | 2.47 | 2.76 | (0.27) | (0.45) | (0.72) |
Class V | |||||||
Year Ended 5/31/2021 | $22.14 | 0.38 | 7.37 | 7.75 | (0.38) | — | (0.38) |
Year Ended 5/31/2020 | $21.46 | 0.41 | 0.93 | 1.34 | (0.40) | (0.26) | (0.66) |
Year Ended 5/31/2019 | $21.64 | 0.39 | 0.88 | 1.27 | (0.38) | (1.07) | (1.45) |
Year Ended 5/31/2018 | $20.47 | 0.36 | 1.75 | 2.11 | (0.34) | (0.60) | (0.94) |
Year Ended 5/31/2017 | $18.43 | 0.33 | 2.48 | 2.81 | (0.32) | (0.45) | (0.77) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | The benefits derived from expense reductions had an impact of less than 0.01%. |
20 | Columbia Dividend Income Fund | Annual Report 2021 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Year Ended 5/31/2021 | $30.08 | 35.95% | 0.56% | 0.56% | 1.85% | 11% | $6,667,177 |
Year Ended 5/31/2020 | $22.55 | 6.62% | 0.57% | 0.57% | 2.17% | 14% | $3,986,971 |
Year Ended 5/31/2019 | $21.86 | 6.48% | 0.58% | 0.58% | 2.15% | 13% | $2,955,434 |
Year Ended 5/31/2018 | $22.02 | 10.84% | 0.59% | 0.59% | 2.08% | 15% | $2,587,372 |
Year Ended 5/31/2017 | $20.80 | 16.03% | 0.59% | 0.59% | 2.17% | 16% | $610,882 |
Class R | |||||||
Year Ended 5/31/2021 | $29.51 | 35.08% | 1.17% | 1.17%(c) | 1.24% | 11% | $217,516 |
Year Ended 5/31/2020 | $22.14 | 5.97% | 1.19% | 1.19%(c) | 1.54% | 14% | $137,720 |
Year Ended 5/31/2019 | $21.46 | 5.83% | 1.21% | 1.21%(c) | 1.52% | 13% | $113,166 |
Year Ended 5/31/2018 | $21.64 | 10.07% | 1.22% | 1.22%(c) | 1.41% | 15% | $104,036 |
Year Ended 5/31/2017 | $20.47 | 15.29% | 1.25% | 1.25%(c) | 1.49% | 16% | $99,305 |
Class V | |||||||
Year Ended 5/31/2021 | $29.51 | 35.40% | 0.92% | 0.92%(c) | 1.50% | 11% | $94,062 |
Year Ended 5/31/2020 | $22.14 | 6.26% | 0.94% | 0.94%(c) | 1.78% | 14% | $74,269 |
Year Ended 5/31/2019 | $21.46 | 6.10% | 0.96% | 0.96%(c) | 1.76% | 13% | $76,067 |
Year Ended 5/31/2018 | $21.64 | 10.35% | 0.97% | 0.97%(c) | 1.66% | 15% | $81,875 |
Year Ended 5/31/2017 | $20.47 | 15.58% | 1.00% | 1.00%(c) | 1.74% | 16% | $78,342 |
Columbia Dividend Income Fund | Annual Report 2021 | 21 |
May 31, 2021
22 | Columbia Dividend Income Fund | Annual Report 2021 |
May 31, 2021
Columbia Dividend Income Fund | Annual Report 2021 | 23 |
May 31, 2021
24 | Columbia Dividend Income Fund | Annual Report 2021 |
May 31, 2021
Effective rate (%) | |
Class A | 0.12 |
Advisor Class | 0.12 |
Class C | 0.12 |
Institutional Class | 0.12 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.12 |
Class V | 0.12 |
Columbia Dividend Income Fund | Annual Report 2021 | 25 |
May 31, 2021
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 5,210,011 |
Class C | — | 1.00(b) | 60,655 |
Class V | 5.75 | 0.50 - 1.00(a) | 2,197 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
October 1, 2020 through September 30, 2021 | Prior to October 1, 2020 | |
Class A | 1.13% | 1.14% |
Advisor Class | 0.88 | 0.89 |
Class C | 1.88 | 1.89 |
Institutional Class | 0.88 | 0.89 |
Institutional 2 Class | 0.81 | 0.82 |
Institutional 3 Class | 0.76 | 0.77 |
Class R | 1.38 | 1.39 |
Class V | 1.13 | 1.14 |
26 | Columbia Dividend Income Fund | Annual Report 2021 |
May 31, 2021
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
(3,098,036) | 3,098,036 | — |
Year Ended May 31, 2021 | Year Ended May 31, 2020 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
448,287,286 | — | 448,287,286 | 327,136,601 | 200,299,394 | 527,435,995 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
62,951,864 | 471,753,356 | — | 12,109,127,783 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
23,094,028,771 | 12,205,460,484 | (96,332,701) | 12,109,127,783 |
Columbia Dividend Income Fund | Annual Report 2021 | 27 |
May 31, 2021
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 4,942,105 | 0.64 | 38 |
28 | Columbia Dividend Income Fund | Annual Report 2021 |
May 31, 2021
Columbia Dividend Income Fund | Annual Report 2021 | 29 |
May 31, 2021
30 | Columbia Dividend Income Fund | Annual Report 2021 |
Columbia Dividend Income Fund | Annual Report 2021 | 31 |
Qualified dividend income | Dividends received deduction | Capital gain dividend |
100.00% | 100.00% | $495,341,024 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 170 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
32 | Columbia Dividend Income Fund | Annual Report 2021 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 170 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 170 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 168 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 168 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 168 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Columbia Dividend Income Fund | Annual Report 2021 | 33 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 170 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 170 | Trustee, Catholic Schools Foundation since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2021 | Independent business executive since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 168 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 168 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 168 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
34 | Columbia Dividend Income Fund | Annual Report 2021 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 170 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 170 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 170 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Columbia Dividend Income Fund | Annual Report 2021 | 35 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008 - January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 168 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 170 | Director, NAPE Education Foundation, October 2016-October 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees of CFST, CFST I, CFST II, Columbia ETF Trust I, Columbia ETF Trust II, and CFVST II, effective January 1, 2021, and of CFVIT, effective July 1, 2020. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010-December 2014); officer of Columbia Funds and affiliated funds since 2007 | 170 | None |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
(a) | Mr. Petersen serves as the Senior Vice President and Assistant Secretary of the Columbia Funds (since 2021). |
36 | Columbia Dividend Income Fund | Annual Report 2021 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Petersen, who is Senior Vice President and Assistant Secretary, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Daniel J. Beckman 290 Congress Street Boston, MA 02210 1962 | President and Principal Executive Officer (2021) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); officer of Columbia Funds and affiliated funds since 2020. |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President – Pricing and Corporate Actions, May 2010 - March 2017). |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; Chief Compliance Officer, Ameriprise Certificate Company September 2010 – September 2020. |
Columbia Dividend Income Fund | Annual Report 2021 | 37 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Colin Moore 290 Congress Street Boston, MA 02210 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
38 | Columbia Dividend Income Fund | Annual Report 2021 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 86,127,701,985 | 836,188,991 | 0 |
Kathleen Blatz | 86,243,229,991 | 720,660,985 | 0 |
Pamela G. Carlton | 86,264,105,441 | 699,785,535 | 0 |
Janet Langford Carrig | 86,054,199,101 | 909,691,875 | 0 |
J. Kevin Connaughton | 86,079,927,846 | 883,963,131 | 0 |
Olive M. Darragh | 86,229,808,655 | 734,082,321 | 0 |
Patricia M. Flynn | 86,198,477,183 | 765,413,793 | 0 |
Brian J. Gallagher | 86,107,199,569 | 856,691,407 | 0 |
Douglas A. Hacker | 85,856,681,960 | 1,107,209,016 | 0 |
Nancy T. Lukitsh | 86,082,583,872 | 881,307,104 | 0 |
David M. Moffett | 85,916,196,449 | 1,047,694,527 | 0 |
Catherine James Paglia | 86,220,544,249 | 743,346,727 | 0 |
Anthony M. Santomero | 86,032,441,166 | 931,449,811 | 0 |
Minor M. Shaw | 86,027,511,771 | 936,379,205 | 0 |
Natalie A. Trunow | 86,222,277,961 | 741,613,015 | 0 |
Sandra Yeager | 86,214,429,708 | 749,461,268 | 0 |
Christopher O. Petersen | 86,067,188,679 | 896,702,297 | 0 |
Columbia Dividend Income Fund | Annual Report 2021 | 39 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
May 31, 2021
3 | |
5 | |
7 | |
8 | |
23 | |
25 | |
26 | |
28 | |
32 | |
44 | |
45 | |
45 | |
51 | |
52 |
Average annual total returns (%) (for the period ended May 31, 2021) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 07/31/00 | 14.64 | 4.46 | 5.94 |
Including sales charges | 11.18 | 3.82 | 5.62 | ||
Advisor Class* | 03/19/13 | 14.86 | 4.65 | 6.15 | |
Class C | Excluding sales charges | 07/15/02 | 13.94 | 3.79 | 5.28 |
Including sales charges | 12.94 | 3.79 | 5.28 | ||
Institutional Class | 03/05/84 | 14.97 | 4.69 | 6.16 | |
Institutional 2 Class* | 11/08/12 | 15.03 | 4.72 | 6.23 | |
Institutional 3 Class* | 03/01/17 | 15.05 | 4.77 | 6.20 | |
Blended Benchmark | 12.17 | 5.37 | 5.96 | ||
Bloomberg Barclays High Yield Municipal Bond Index | 17.37 | 6.57 | 7.04 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
Columbia High Yield Municipal Fund | Annual Report 2021 | 3 |
Quality breakdown (%) (at May 31, 2021) | |
AAA rating | 2.1 |
AA rating | 5.5 |
A rating | 14.8 |
BBB rating | 24.9 |
BB rating | 12.4 |
B rating | 1.7 |
CCC rating | 0.3 |
C rating | 0.3 |
D rating | 2.2 |
Not rated | 35.8 |
Total | 100.0 |
Top Ten States/Territories (%) (at May 31, 2021) | |
Illinois | 10.3 |
Florida | 9.2 |
California | 7.1 |
Texas | 6.4 |
New Jersey | 5.3 |
Colorado | 5.2 |
Washington | 4.8 |
New York | 4.6 |
Puerto Rico | 4.6 |
Virginia | 3.6 |
4 | Columbia High Yield Municipal Fund | Annual Report 2021 |
• | The leading contributors to performance included positions in lower rated investment-grade issues, as well as those rated below investment grade. |
• | Holdings in longer term debt, specifically, bonds with maturities of 17 years and above, also added value. |
• | At the sector level, investments in continuing care retirement communities (CCRCs), airline, and state general obligation bonds (primarily Illinois) aided results. Holdings in special tax and toll road revenue bonds contributed, as well. |
○ | Many of these issues had drastically underperformed during the depths of the pandemic in early 2020. CCRCs experienced weakness during this time due to the vulnerability of the elderly to COVID-19. Toll roads and other transportation issues also fared poorly when the economy was shut down, as did special-tax issues that relied on retail or commercial development. |
○ | We maintained positions in what we believed were the stronger issues in these areas, while adding new holdings we thought were undervalued and selectively selling weaker securities. As a result, the Fund was positioned to benefit from the outperformance in these sectors as the economy recovered from the pandemic. |
• | At the close of the period, credit quality was improving nationally as the United States continued to re-open. A strengthening economy is typically supportive for high-yield municipals since many are project-based or are backed by revenues that are sensitive to broader economic activity. We were therefore comfortable with the Fund’s credit positioning, and we remained on the lookout for opportunities to add to these sectors. |
• | Security selection in longer dated issues, particularly those with maturities of 30 years and above, detracted from results. |
• | Underweights in bonds rated BB and below in the corporate-backed, special-tax and tobacco sectors hurt performance, as did investments in housing issues. The availability of securities in many of these sectors became extremely scarce amid the downturn in new issuance. This prevented us from investing in these sectors to the extent we would have preferred, which limited performance somewhat. |
Columbia High Yield Municipal Fund | Annual Report 2021 | 5 |
6 | Columbia High Yield Municipal Fund | Annual Report 2021 |
(Unaudited)
December 1, 2020 — May 31, 2021 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,058.90 | 1,020.40 | 4.24 | 4.16 | 0.84 |
Advisor Class | 1,000.00 | 1,000.00 | 1,058.90 | 1,021.38 | 3.23 | 3.17 | 0.64 |
Class C | 1,000.00 | 1,000.00 | 1,055.70 | 1,017.46 | 7.26 | 7.12 | 1.44 |
Institutional Class | 1,000.00 | 1,000.00 | 1,059.90 | 1,021.38 | 3.23 | 3.17 | 0.64 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,060.10 | 1,021.58 | 3.03 | 2.97 | 0.60 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,060.30 | 1,021.77 | 2.83 | 2.78 | 0.56 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 7 |
May 31, 2021
Corporate Bonds & Notes 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 0.0% | ||||
Anuvia Florida LLC(a),(b),(c) | ||||
01/01/2029 | 0.000% | 209,805 | 104,902 | |
Total Corporate Bonds & Notes (Cost $209,805) | 104,902 | |||
Municipal Bonds 98.4% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Arizona 2.0% | ||||
Arizona Industrial Development Authority | ||||
Revenue Bonds | ||||
Great Lakes Senior Living Communities LLC | ||||
Series 2019 | ||||
01/01/2054 | 5.000% | 1,500,000 | 1,516,834 | |
Arizona Industrial Development Authority(d) | ||||
Revenue Bonds | ||||
Legacy Cares, Inc. Project | ||||
Series 2020 | ||||
07/01/2050 | 7.750% | 3,000,000 | 3,349,673 | |
City of Phoenix Civic Improvement Corp.(e) | ||||
Revenue Bonds | ||||
Junior Lien Airport | ||||
Series 2019B | ||||
07/01/2044 | 4.000% | 2,000,000 | 2,306,506 | |
Industrial Development Authority of the City of Phoenix (The) | ||||
Revenue Bonds | ||||
Downtown Phoenix Student Housing II LLC - Arizona State University Project | ||||
Series 2019 | ||||
07/01/2059 | 5.000% | 1,000,000 | 1,171,496 | |
La Paz County Industrial Development Authority | ||||
Revenue Bonds | ||||
Charter School Solutions - Harmony Public Schools Project | ||||
Series 2016 | ||||
02/15/2036 | 5.000% | 1,200,000 | 1,354,919 | |
02/15/2046 | 5.000% | 1,500,000 | 1,672,332 | |
Series 2018 | ||||
02/15/2048 | 5.000% | 230,000 | 266,087 | |
Maricopa County Industrial Development Authority(d) | ||||
Revenue Bonds | ||||
Christian Care Surprise, Inc. Project | ||||
Series 2016 | ||||
01/01/2048 | 6.000% | 3,595,000 | 3,701,035 | |
Total | 15,338,882 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
California 7.0% | ||||
California County Tobacco Securitization Agency | ||||
Refunding Revenue Bonds | ||||
Subordinated Series 2020B-1 | ||||
06/01/2049 | 5.000% | 500,000 | 617,389 | |
California Municipal Finance Authority | ||||
Revenue Bonds | ||||
National University | ||||
Series 2019A | ||||
04/01/2040 | 5.000% | 1,275,000 | 1,581,465 | |
04/01/2041 | 5.000% | 250,000 | 309,415 | |
California Municipal Finance Authority(b),(d),(e) | ||||
Revenue Bonds | ||||
UTS Renewable Energy-Waste Water Facilities | ||||
Series 2011 | ||||
12/01/2032 | 0.000% | 1,835,000 | 36,700 | |
California Statewide Communities Development Authority | ||||
Refunding Revenue Bonds | ||||
899 Charleston Project | ||||
Series 2014A | ||||
11/01/2044 | 5.250% | 1,500,000 | 1,596,157 | |
Revenue Bonds | ||||
Loma Linda University Medical Center | ||||
Series 2014 | ||||
12/01/2054 | 5.500% | 3,000,000 | 3,409,449 | |
California Statewide Communities Development Authority(d) | ||||
Revenue Bonds | ||||
Loma Linda University Medical Center | ||||
Series 2018 | ||||
12/01/2058 | 5.500% | 1,000,000 | 1,187,541 | |
Chino Public Financing Authority | ||||
Prerefunded 09/01/22 Special Tax Bonds | ||||
Series 2012 | ||||
09/01/2034 | 5.000% | 1,775,000 | 1,880,381 | |
City of Carson | ||||
Special Assessment Bonds | ||||
Assessment District No. 92-1 | ||||
Series 1992 | ||||
09/02/2022 | 7.375% | 20,000 | 20,326 | |
City of Long Beach Marina System | ||||
Revenue Bonds | ||||
Series 2015 | ||||
05/15/2045 | 5.000% | 500,000 | 552,327 | |
City of Santa Maria Water & Wastewater(f) | ||||
Refunding Revenue Bonds | ||||
Series 2012A | ||||
02/01/2025 | 0.000% | 3,100,000 | 2,667,159 |
8 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Compton Unified School District(f) | ||||
Unlimited General Obligation Bonds | ||||
Election of 2002 - Capital Appreciation | ||||
Series 2006C | ||||
06/01/2025 | 0.000% | 2,310,000 | 2,232,112 | |
Empire Union School District(f) | ||||
Special Tax Bonds | ||||
Communities Facilities District No. 1987-1 | ||||
Series 2002A (AMBAC) | ||||
10/01/2021 | 0.000% | 1,665,000 | 1,661,961 | |
Foothill-Eastern Transportation Corridor Agency | ||||
Refunding Revenue Bonds | ||||
Junior Lien | ||||
Subordinated Series 2014C | ||||
01/15/2043 | 4.000% | 5,248,000 | 6,167,835 | |
Golden State Tobacco Securitization Corp. | ||||
Refunding Revenue Bonds | ||||
Series 2018A-2 | ||||
06/01/2047 | 5.000% | 12,500,000 | 12,944,084 | |
Hastings Campus Housing Finance Authority | ||||
Revenue Bonds | ||||
Green Bonds | ||||
Series 2020A | ||||
07/01/2061 | 5.000% | 1,000,000 | 1,158,784 | |
Hastings Campus Housing Finance Authority(d),(f) | ||||
Revenue Bonds | ||||
Green Bonds | ||||
Subordinated Series 2020A | ||||
07/01/2061 | 0.000% | 3,000,000 | 1,734,743 | |
M-S-R Energy Authority | ||||
Revenue Bonds | ||||
Series 2009B | ||||
11/01/2039 | 6.500% | 5,000,000 | 8,232,829 | |
Palomar Health | ||||
Refunding Revenue Bonds | ||||
Series 2016 | ||||
11/01/2036 | 5.000% | 1,845,000 | 2,131,810 | |
State of California | ||||
Unlimited General Obligation Bonds | ||||
Various Purpose | ||||
Series 2012 | ||||
04/01/2042 | 5.000% | 3,000,000 | 3,117,033 | |
Total | 53,239,500 | |||
Colorado 5.1% | ||||
Aurora Crossroads Metropolitan District No. 2 | ||||
Limited General Obligation Bonds | ||||
Senior Series 2020A | ||||
12/01/2050 | 5.000% | 1,000,000 | 1,089,563 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Colorado Bridge Enterprise(e) | ||||
Revenue Bonds | ||||
Central 70 Project | ||||
Series 2017 | ||||
06/30/2051 | 4.000% | 6,000,000 | 6,502,373 | |
Colorado Health Facilities Authority | ||||
Refunding Revenue Bonds | ||||
CommonSpirit Health | ||||
Series 2019A | ||||
08/01/2049 | 4.000% | 3,250,000 | 3,679,396 | |
Revenue Bonds | ||||
NJH-SJH Center for Outpatient Health Project | ||||
Series 2019 | ||||
01/01/2045 | 3.000% | 5,000,000 | 5,381,098 | |
Senior Living - Ralston Creek at Arvada | ||||
Series 2017 | ||||
11/01/2052 | 6.000% | 3,890,000 | 3,582,085 | |
Jefferson Center Metropolitan District No. 1 | ||||
Refunding Revenue Bonds | ||||
Subordinated Series 2020B | ||||
12/15/2050 | 5.750% | 4,000,000 | 4,316,796 | |
Leyden Rock Metropolitan District No. 10 | ||||
Limited General Obligation Bonds | ||||
Series 2016A | ||||
12/01/2045 | 5.000% | 1,000,000 | 1,039,311 | |
Palisade Metropolitan District No. 2 | ||||
Limited General Obligation Bonds | ||||
Series 2016 | ||||
12/01/2046 | 5.000% | 1,393,000 | 1,446,405 | |
Peak Metropolitan District No. 1(d) | ||||
Limited General Obligation Bonds | ||||
Series 2021A | ||||
12/01/2051 | 5.000% | 1,150,000 | 1,263,659 | |
Regional Transportation District | ||||
Certificate of Participation | ||||
Series 2014A | ||||
06/01/2039 | 5.000% | 5,000,000 | 5,396,021 | |
Sierra Ridge Metropolitan District No. 2 | ||||
Senior Limited General Obligation Bonds | ||||
Series 2016A | ||||
12/01/2046 | 5.500% | 1,500,000 | 1,560,754 | |
Transport Metropolitan District No. 3 | ||||
Limited General Obligation Bonds | ||||
Series 2021A-1 | ||||
12/01/2051 | 5.000% | 3,000,000 | 3,346,466 | |
Total | 38,603,927 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 9 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Connecticut 0.5% | ||||
Connecticut State Health & Educational Facility Authority(d) | ||||
Revenue Bonds | ||||
Church Home of Hartford, Inc. Project | ||||
Series 2016 | ||||
09/01/2053 | 5.000% | 1,750,000 | 1,935,692 | |
State of Connecticut | ||||
Unlimited General Obligation Bonds | ||||
Series 2018C | ||||
06/15/2038 | 5.000% | 1,000,000 | 1,243,003 | |
Series 2018E | ||||
09/15/2037 | 5.000% | 500,000 | 626,546 | |
Total | 3,805,241 | |||
District of Columbia 0.4% | ||||
District of Columbia | ||||
Revenue Bonds | ||||
KIPP DC Project | ||||
Series 2019 | ||||
07/01/2049 | 4.000% | 680,000 | 756,838 | |
Metropolitan Washington Airports Authority Dulles Toll Road | ||||
Refunding Revenue Bonds | ||||
Dulles Metrorail | ||||
Subordinated Series 2019 | ||||
10/01/2049 | 4.000% | 2,275,000 | 2,599,274 | |
Total | 3,356,112 | |||
Florida 9.0% | ||||
Capital Trust Agency, Inc.(d) | ||||
04/27/2021 | ||||
07/01/2056 | 5.000% | 4,000,000 | 4,692,757 | |
Revenue Bonds | ||||
University Bridge LLC Student Housing Project | ||||
Series 2018 | ||||
12/01/2058 | 5.250% | 3,500,000 | 4,020,047 | |
Capital Trust Agency, Inc.(b),(d) | ||||
Revenue Bonds | ||||
1st Mortgage - Tapestry Walden Senior Housing Project | ||||
Series 2017 | ||||
07/01/2052 | 0.000% | 3,400,000 | 1,037,000 | |
1st Mortgage Tallahassee Tapestry Senior Housing Project | ||||
Series 2015 | ||||
12/01/2050 | 0.000% | 3,550,000 | 1,136,000 | |
Capital Trust Agency, Inc.(d),(f) | ||||
Subordinated | ||||
07/01/2061 | 0.000% | 30,000,000 | 2,626,377 | |
City of Atlantic Beach | ||||
Revenue Bonds | ||||
Fleet Landing Project | ||||
Series 2018A | ||||
11/15/2053 | 5.000% | 1,500,000 | 1,685,102 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
City of Tallahassee | ||||
Revenue Bonds | ||||
Tallahassee Memorial Healthcare, Inc. Project | ||||
Series 2016 | ||||
12/01/2055 | 5.000% | 3,000,000 | 3,360,404 | |
City of Tampa(f) | ||||
Revenue Bonds | ||||
Series 2020A | ||||
09/01/2053 | 0.000% | 1,800,000 | 540,028 | |
County of Broward Airport System(e) | ||||
Revenue Bonds | ||||
Series 2019A | ||||
10/01/2049 | 4.000% | 700,000 | 799,776 | |
County of Miami-Dade | ||||
Prerefunded 10/01/22 Revenue Bonds | ||||
Subordinated Series 2012B | ||||
10/01/2037 | 5.000% | 1,530,000 | 1,629,658 | |
County of Miami-Dade(f) | ||||
Revenue Bonds | ||||
Capital Appreciation | ||||
Subordinated Series 2009B | ||||
10/01/2041 | 0.000% | 10,000,000 | 5,504,919 | |
County of Miami-Dade Aviation(e) | ||||
Refunding Revenue Bonds | ||||
Series 2019A | ||||
10/01/2049 | 5.000% | 3,000,000 | 3,694,163 | |
County of Osceola Transportation(f) | ||||
Refunding Revenue Bonds | ||||
Osceola Parkway Toll Facility | ||||
Series 2019A-2 | ||||
10/01/2049 | 0.000% | 1,700,000 | 657,310 | |
Series 2020A-2 | ||||
10/01/2046 | 0.000% | 3,175,000 | 1,378,807 | |
10/01/2048 | 0.000% | 2,000,000 | 804,013 | |
Florida Development Finance Corp.(g) | ||||
Refunding Revenue Bonds | ||||
Glenridge on Palmer Ranch Project (The) | ||||
Series 2021 | ||||
06/01/2051 | 5.000% | 2,000,000 | 2,289,875 | |
Florida Development Finance Corp.(d) | ||||
Refunding Revenue Bonds | ||||
Renaissance Charter School | ||||
Series 2020 | ||||
09/15/2050 | 5.000% | 2,200,000 | 2,442,286 | |
Revenue Bonds | ||||
Discovery High School Project | ||||
Series 2020 | ||||
06/01/2055 | 5.000% | 2,000,000 | 2,200,369 | |
Renaissance Charter School | ||||
Series 2015 | ||||
06/15/2046 | 6.125% | 4,900,000 | 5,540,209 |
10 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Florida Development Finance Corp.(d),(e) | ||||
Revenue Bonds | ||||
Green Bonds - Brightline Florida Passenger Rail Project | ||||
Series 2020 | ||||
01/01/2049 | 7.375% | 2,000,000 | 2,166,960 | |
Florida Development Finance Corp. | ||||
Revenue Bonds | ||||
Renaissance Charter School | ||||
Series 2012A | ||||
06/15/2043 | 6.125% | 2,000,000 | 2,064,706 | |
Series 2013A | ||||
06/15/2044 | 8.500% | 3,000,000 | 3,355,201 | |
Greater Orlando Aviation Authority(e) | ||||
Revenue Bonds | ||||
Series 2019A | ||||
10/01/2054 | 5.000% | 1,500,000 | 1,845,071 | |
Orange County Health Facilities Authority | ||||
Refunding Revenue Bonds | ||||
Mayflower Retirement Center | ||||
Series 2012 | ||||
06/01/2042 | 5.125% | 750,000 | 751,190 | |
Orange County Industrial Development Authority(b),(d),(e) | ||||
Revenue Bonds | ||||
Anuvia Florida LLC Project | ||||
Series 2018A | ||||
07/01/2048 | 0.000% | 4,100,000 | 307,500 | |
Palm Beach County Health Facilities Authority | ||||
Revenue Bonds | ||||
ACTS Retirement | ||||
Series 2020B | ||||
11/15/2042 | 5.000% | 2,000,000 | 2,419,733 | |
Sinai Residences Boca Raton | ||||
Series 2014 | ||||
06/01/2049 | 7.500% | 1,250,000 | 1,337,896 | |
Polk County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Carpenter’s Home Estates, Inc. | ||||
Series 2019 | ||||
01/01/2055 | 5.000% | 2,615,000 | 2,889,348 | |
Seminole County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Legacy Pointe at UCF Project | ||||
Series 2019 | ||||
11/15/2054 | 5.750% | 2,525,000 | 2,640,601 | |
St. Johns County Industrial Development Authority(b) | ||||
Refunding Revenue Bonds | ||||
Bayview Project | ||||
Series 2007A | ||||
10/01/2041 | 0.000% | 3,725,000 | 2,607,500 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Westridge Community Development District | ||||
Special Assessment Bonds | ||||
Series 2005 | ||||
05/01/2037 | 5.800% | 285,000 | 285,227 | |
Total | 68,710,033 | |||
Georgia 2.3% | ||||
City of Atlanta Department of Aviation(e) | ||||
Revenue Bonds | ||||
Airport | ||||
Subordinated Series 2019 | ||||
07/01/2037 | 4.000% | 1,710,000 | 2,006,425 | |
07/01/2040 | 4.000% | 1,000,000 | 1,166,047 | |
Floyd County Development Authority | ||||
Revenue Bonds | ||||
Spires Berry College Project | ||||
Series 2018 | ||||
12/01/2048 | 6.250% | 1,500,000 | 1,476,777 | |
Georgia Housing & Finance Authority | ||||
Revenue Bonds | ||||
Single Family Mortgage | ||||
Series 2017A | ||||
12/01/2042 | 4.050% | 1,155,000 | 1,220,364 | |
Georgia State Road & Tollway Authority(d),(h) | ||||
Revenue Bonds | ||||
I-75 S Expressway | ||||
Series 2014S | ||||
06/01/2049 | 0.000% | 4,600,000 | 4,093,125 | |
Glynn-Brunswick Memorial Hospital Authority | ||||
Revenue Bonds | ||||
SE Georgia Health System Anticipation Certificates | ||||
Series 2017 | ||||
08/01/2047 | 5.000% | 355,000 | 416,898 | |
Oconee County Industrial Development Authority | ||||
Revenue Bonds | ||||
Presbyterian Village Athens Project | ||||
Series 2018 | ||||
12/01/2053 | 6.375% | 3,000,000 | 3,029,307 | |
Savannah Economic Development Authority | ||||
Prerefunded 01/01/24 Revenue Bonds | ||||
Marshes Skidaway Island Project | ||||
Series 2013 | ||||
01/01/2049 | 7.250% | 3,500,000 | 4,112,893 | |
Total | 17,521,836 | |||
Guam 0.6% | ||||
Territory of Guam(i) | ||||
Refunding Revenue Bonds | ||||
Series 2021A | ||||
11/01/2040 | 5.000% | 1,000,000 | 1,248,605 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 11 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Territory of Guam(g),(i) | ||||
Refunding Revenue Bonds | ||||
Series 2021F | ||||
01/01/2042 | 4.000% | 2,750,000 | 3,127,786 | |
Total | 4,376,391 | |||
Idaho 0.5% | ||||
Idaho Health Facilities Authority | ||||
Revenue Bonds | ||||
Terraces of Boise Project | ||||
Series 2014A | ||||
10/01/2049 | 8.125% | 4,000,000 | 3,464,594 | |
Illinois 10.2% | ||||
Chicago Board of Education(d) | ||||
Unlimited General Obligation Bonds | ||||
Dedicated | ||||
Series 2017A | ||||
12/01/2046 | 7.000% | 3,000,000 | 3,907,702 | |
Chicago Board of Education | ||||
Unlimited General Obligation Bonds | ||||
Dedicated | ||||
Series 2017H | ||||
12/01/2036 | 5.000% | 1,665,000 | 1,991,206 | |
Project | ||||
Series 2015C | ||||
12/01/2039 | 5.250% | 2,000,000 | 2,219,696 | |
Series 2011A | ||||
12/01/2041 | 5.000% | 1,110,000 | 1,132,359 | |
Series 2012A | ||||
12/01/2042 | 5.000% | 1,000,000 | 1,052,696 | |
Series 2016B | ||||
12/01/2046 | 6.500% | 1,500,000 | 1,848,928 | |
Series 2018D | ||||
12/01/2046 | 5.000% | 5,000,000 | 5,338,499 | |
Series 2021A | ||||
12/01/2041 | 5.000% | 1,400,000 | 1,730,409 | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2018A (AGM) | ||||
12/01/2035 | 5.000% | 500,000 | 622,689 | |
Chicago O’Hare International Airport(e) | ||||
Refunding Revenue Bonds | ||||
Senior Lien | ||||
Series 2018A | ||||
01/01/2053 | 5.000% | 5,000,000 | 6,041,610 | |
Revenue Bonds | ||||
TriPs Obligated Group | ||||
Series 2018 | ||||
07/01/2048 | 5.000% | 800,000 | 950,031 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Chicago Park District | ||||
Limited General Obligation Bonds | ||||
Series 2015A | ||||
01/01/2040 | 5.000% | 3,000,000 | 3,232,962 | |
City of Chicago | ||||
Unlimited General Obligation Bonds | ||||
Series 2017A | ||||
01/01/2038 | 6.000% | 3,235,000 | 3,932,170 | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2007F | ||||
01/01/2042 | 5.500% | 1,000,000 | 1,117,297 | |
City of Chicago Wastewater Transmission | ||||
Refunding Revenue Bonds | ||||
2nd Lien | ||||
Series 2015C | ||||
01/01/2035 | 5.000% | 1,000,000 | 1,148,466 | |
Du Page County Special Service Area No. 31 | ||||
Special Tax Bonds | ||||
Monarch Landing Project | ||||
Series 2006 | ||||
03/01/2036 | 5.625% | 648,000 | 650,559 | |
Metropolitan Pier & Exposition Authority | ||||
Refunding Revenue Bonds | ||||
McCormick Place Expansion Project | ||||
Series 2020 | ||||
06/15/2042 | 5.000% | 2,500,000 | 3,146,229 | |
06/15/2050 | 4.000% | 1,200,000 | 1,375,026 | |
Revenue Bonds | ||||
McCormick Place Expansion Project | ||||
Series 2017 | ||||
06/15/2057 | 5.000% | 1,250,000 | 1,476,976 | |
State of Illinois | ||||
Unlimited General Obligation Bonds | ||||
Rebuild Illinois Program | ||||
Series 2019B | ||||
11/01/2039 | 4.000% | 2,000,000 | 2,273,499 | |
Series 2016 | ||||
01/01/2041 | 5.000% | 3,830,000 | 4,331,631 | |
Series 2017A | ||||
12/01/2035 | 5.000% | 1,345,000 | 1,601,555 | |
12/01/2038 | 5.000% | 3,000,000 | 3,545,413 | |
Series 2018A | ||||
05/01/2032 | 5.000% | 2,500,000 | 3,026,268 | |
05/01/2040 | 5.000% | 4,000,000 | 4,759,549 | |
05/01/2041 | 5.000% | 3,910,000 | 4,643,006 | |
05/01/2042 | 5.000% | 2,800,000 | 3,317,764 | |
05/01/2043 | 5.000% | 3,000,000 | 3,548,699 | |
Series 2020 | ||||
05/01/2039 | 5.500% | 570,000 | 731,274 | |
05/01/2045 | 5.750% | 750,000 | 967,940 |
12 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2018B | ||||
10/01/2033 | 5.000% | 1,000,000 | 1,217,500 | |
Village of Lincolnshire | ||||
Special Tax Bonds | ||||
Sedgebrook Project | ||||
Series 2004 | ||||
03/01/2034 | 6.250% | 559,000 | 559,439 | |
Total | 77,439,047 | |||
Indiana 0.1% | ||||
Indiana Finance Authority | ||||
Refunding Revenue Bonds | ||||
US Steel Corp. Project | ||||
Series 2021 | ||||
12/01/2026 | 4.125% | 500,000 | 546,057 | |
Iowa 2.5% | ||||
Iowa Finance Authority(h) | ||||
Refunding Revenue Bonds | ||||
Deerfield Retirement Community | ||||
Series 2014 | ||||
11/15/2046 | 5.400% | 2,007,801 | 2,153,792 | |
Iowa Finance Authority(b) | ||||
Refunding Revenue Bonds | ||||
Deerfield Retirement Community | ||||
Series 2014 | ||||
05/15/2056 | 0.000% | 401,062 | 5,013 | |
Iowa Finance Authority | ||||
Revenue Bonds | ||||
Lifespace Communities, Inc. | ||||
Series 2018A | ||||
05/15/2043 | 5.000% | 1,740,000 | 2,009,371 | |
05/15/2048 | 5.000% | 2,475,000 | 2,844,754 | |
PHS Council Bluffs, Inc. Project | ||||
Series 2018 | ||||
08/01/2055 | 5.250% | 3,200,000 | 3,348,871 | |
Iowa Tobacco Settlement Authority(f) | ||||
Refunding Revenue Bonds | ||||
Series 2021B-2 | ||||
06/01/2065 | 0.000% | 50,000,000 | 8,822,940 | |
Total | 19,184,741 | |||
Kansas 0.9% | ||||
City of Overland Park | ||||
Revenue Bonds | ||||
Prairiefire-Lionsgate Project | ||||
Series 2012 | ||||
12/15/2032 | 6.000% | 6,000,000 | 3,410,952 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Wyandotte County-Kansas City Unified Government | ||||
Revenue Bonds | ||||
Legends Village West Project | ||||
Series 2006 | ||||
10/01/2028 | 4.875% | 3,635,000 | 3,635,762 | |
Total | 7,046,714 | |||
Kentucky 0.4% | ||||
Kentucky Economic Development Finance Authority | ||||
Refunding Revenue Bonds | ||||
Owensboro Health | ||||
Series 2017A | ||||
06/01/2045 | 5.000% | 1,000,000 | 1,143,166 | |
Kentucky State Property & Building Commission | ||||
Revenue Bonds | ||||
Project #119 | ||||
Series 2018 | ||||
05/01/2037 | 5.000% | 1,500,000 | 1,841,414 | |
Total | 2,984,580 | |||
Louisiana 1.4% | ||||
Louisiana Public Facilities Authority | ||||
Prerefunded 05/15/26 Revenue Bonds | ||||
Ochsner Clinic Foundation Project | ||||
Series 2016 | ||||
05/15/2034 | 5.000% | 25,000 | 30,129 | |
Refunding Revenue Bonds | ||||
Nineteenth Judicial District | ||||
Series 2015C (AGM) | ||||
06/01/2042 | 5.000% | 1,000,000 | 1,155,422 | |
Louisiana Public Facilities Authority(e) | ||||
Revenue Bonds | ||||
Impala Warehousing LLC Project | ||||
Series 2013 | ||||
07/01/2036 | 6.500% | 4,420,000 | 4,748,171 | |
Parish of St. James(d) | ||||
Revenue Bonds | ||||
NuStar Logistics LP Project | ||||
Series 2020-2 | ||||
07/01/2040 | 6.350% | 3,750,000 | 4,878,682 | |
Total | 10,812,404 | |||
Maryland 1.0% | ||||
Howard County Housing Commission | ||||
Revenue Bonds | ||||
Woodfield Oxford Square Apartments | ||||
Series 2017 | ||||
12/01/2037 | 5.000% | 4,000,000 | 4,704,137 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 13 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Maryland Economic Development Corp. | ||||
Tax Allocation Bonds | ||||
Port Covington Project | ||||
Series 2020 | ||||
09/01/2050 | 4.000% | 2,700,000 | 3,086,421 | |
Total | 7,790,558 | |||
Massachusetts 1.4% | ||||
Massachusetts Development Finance Agency(d) | ||||
Refunding Revenue Bonds | ||||
NewBridge on the Charles, Inc. | ||||
Series 2017 | ||||
10/01/2057 | 5.000% | 2,000,000 | 2,185,043 | |
Revenue Bonds | ||||
Linden Ponds, Inc. Facility | ||||
Series 2018 | ||||
11/15/2046 | 5.125% | 2,000,000 | 2,217,748 | |
Massachusetts Development Finance Agency(f) | ||||
Revenue Bonds | ||||
Linden Ponds, Inc. Facility | ||||
Subordinated Series 2011B | ||||
11/15/2056 | 0.000% | 975,288 | 183,620 | |
Massachusetts Educational Financing Authority(e) | ||||
Refunding Revenue Bonds | ||||
Issue K | ||||
Subordinated Series 2017B | ||||
07/01/2046 | 4.250% | 1,500,000 | 1,600,379 | |
Series 2016J | ||||
07/01/2033 | 3.500% | 1,620,000 | 1,655,793 | |
Series 2018B | ||||
07/01/2034 | 3.625% | 2,555,000 | 2,685,952 | |
Total | 10,528,535 | |||
Michigan 2.1% | ||||
City of Detroit Sewage Disposal System | ||||
Prerefunded 07/01/22 Revenue Bonds | ||||
Senior Lien | ||||
Series 2012A | ||||
07/01/2039 | 5.250% | 1,375,000 | 1,451,455 | |
City of Detroit Water Supply System | ||||
Prerefunded 07/01/21 Revenue Bonds | ||||
Senior Lien | ||||
Series 2011A | ||||
07/01/2041 | 5.250% | 1,445,000 | 1,451,028 | |
Series 2011C | ||||
07/01/2041 | 5.000% | 1,025,000 | 1,029,069 | |
Michigan Finance Authority(f) | ||||
Refunding Revenue Bonds | ||||
Senior Series 2020B-2 Class 2 | ||||
06/01/2065 | 0.000% | 37,500,000 | 4,907,951 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Michigan Finance Authority | ||||
Revenue Bonds | ||||
Henry Ford Health System | ||||
Series 2019A | ||||
11/15/2050 | 4.000% | 600,000 | 691,038 | |
Michigan State Hospital Finance Authority | ||||
Refunding Revenue Bonds | ||||
Ascension Health Senior Care Group | ||||
Series 2010F-4 | ||||
11/15/2047 | 5.000% | 415,000 | 526,153 | |
Michigan Strategic Fund(e) | ||||
Revenue Bonds | ||||
I-75 Improvement Project | ||||
Series 2018 | ||||
12/31/2043 | 5.000% | 5,000,000 | 6,059,389 | |
Total | 16,116,083 | |||
Minnesota 1.4% | ||||
City of Blaine | ||||
Refunding Revenue Bonds | ||||
Crest View Senior Community Project | ||||
Series 2015 | ||||
07/01/2045 | 6.125% | 3,500,000 | 3,357,529 | |
07/01/2050 | 6.125% | 1,500,000 | 1,424,959 | |
City of Brooklyn Center | ||||
Revenue Bonds | ||||
Sanctuary Brooklyn Center Project | ||||
Series 2016 | ||||
11/01/2035 | 5.500% | 1,970,000 | 1,903,735 | |
City of Crookston | ||||
Revenue Bonds | ||||
Riverview Health Project | ||||
Series 2019 | ||||
05/01/2044 | 5.000% | 500,000 | 521,205 | |
05/01/2051 | 5.000% | 1,500,000 | 1,553,456 | |
Minneapolis/St. Paul Housing Finance Board(e) | ||||
Revenue Bonds | ||||
Mortgage-Backed Securities Program-Cityliving | ||||
Series 2006A-2 (GNMA / FNMA) | ||||
12/01/2038 | 5.000% | 58 | 58 | |
St. Cloud Housing & Redevelopment Authority(b) | ||||
Revenue Bonds | ||||
Sanctuary St. Cloud Project | ||||
Series 2016A | ||||
08/01/2036 | 0.000% | 2,245,000 | 1,916,796 | |
Total | 10,677,738 | |||
Mississippi 0.3% | ||||
County of Lowndes | ||||
Refunding Revenue Bonds | ||||
Weyerhaeuser Co. Project | ||||
Series 1992A | ||||
04/01/2022 | 6.800% | 1,995,000 | 2,096,038 |
14 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 1992B | ||||
04/01/2022 | 6.700% | 230,000 | 241,458 | |
Total | 2,337,496 | |||
Missouri 1.3% | ||||
Kansas City Industrial Development Authority(d) | ||||
Revenue Bonds | ||||
Platte Purchase Project | ||||
Series 2019A | ||||
07/01/2040 | 5.000% | 1,900,000 | 1,953,680 | |
Kirkwood Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Aberdeen Heights Project | ||||
Series 2017 | ||||
05/15/2050 | 5.250% | 4,500,000 | 4,942,605 | |
St. Louis County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
St. Andrews Residence for Seniors | ||||
Series 2015 | ||||
12/01/2045 | 5.125% | 3,000,000 | 3,205,094 | |
Total | 10,101,379 | |||
Montana 0.3% | ||||
City of Kalispell | ||||
Refunding Revenue Bonds | ||||
Immanuel Lutheran Corp. Project | ||||
Series 2017 | ||||
05/15/2047 | 5.250% | 2,200,000 | 2,367,419 | |
Nebraska 0.7% | ||||
Central Plains Energy Project | ||||
Revenue Bonds | ||||
Project #3 | ||||
Series 2012 | ||||
09/01/2042 | 5.000% | 5,000,000 | 5,296,848 | |
Nevada 1.1% | ||||
City of Carson City | ||||
Revenue Bonds | ||||
Carson Tahoe Regional Medical Center | ||||
Series 2017 | ||||
09/01/2047 | 5.000% | 455,000 | 540,608 | |
City of Reno(d),(f) | ||||
Refunding Revenue Bonds | ||||
Retrac-Reno Transportation Rail Access Corridor Project | ||||
Series 2018 | ||||
07/01/2058 | 0.000% | 18,500,000 | 3,084,962 | |
State of Nevada Department of Business & Industry(d) | ||||
Revenue Bonds | ||||
Somerset Academy | ||||
Series 2015A | ||||
12/15/2045 | 5.125% | 2,515,000 | 2,780,505 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2018A | ||||
12/15/2048 | 5.000% | 1,500,000 | 1,648,366 | |
Total | 8,054,441 | |||
New Hampshire 1.0% | ||||
New Hampshire Business Finance Authority(d),(e) | ||||
Refunding Revenue Bonds | ||||
Green Bonds | ||||
Series 2020B (Mandatory Put 07/02/40) | ||||
07/01/2045 | 3.750% | 1,855,000 | 1,926,836 | |
New Hampshire Business Finance Authority(d) | ||||
Revenue Bonds | ||||
The Vista Project | ||||
Series 2019A | ||||
07/01/2054 | 5.750% | 3,750,000 | 3,968,469 | |
New Hampshire Health and Education Facilities Authority Act(b) | ||||
Revenue Bonds | ||||
Hillside Village | ||||
Series 2017A | ||||
07/01/2052 | 0.000% | 2,500,000 | 1,875,000 | |
Total | 7,770,305 | |||
New Jersey 5.3% | ||||
Middlesex County Improvement Authority(b) | ||||
Revenue Bonds | ||||
Heldrich Center Hotel | ||||
Series 2005C | ||||
01/01/2037 | 0.000% | 1,250,000 | 13 | |
New Jersey Economic Development Authority | ||||
Prerefunded 06/15/24 Revenue Bonds | ||||
School Facilities Construction | ||||
Series 2014UU | ||||
06/15/2040 | 5.000% | 280,000 | 320,294 | |
Prerefunded 06/15/25 Revenue Bonds | ||||
Series 2015WW | ||||
06/15/2040 | 5.250% | 25,000 | 29,861 | |
Revenue Bonds | ||||
New Jersey Transit Transportation Project | ||||
Series 2020A | ||||
11/01/2044 | 4.000% | 2,000,000 | 2,276,815 | |
School Facilities Construction | ||||
Series 2019 | ||||
06/15/2044 | 5.000% | 1,200,000 | 1,482,574 | |
Unrefunded Revenue Bonds | ||||
School Facilities Construction | ||||
Series 2014UU | ||||
06/15/2040 | 5.000% | 1,220,000 | 1,357,675 | |
Series 2015WW | ||||
06/15/2040 | 5.250% | 350,000 | 402,004 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 15 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
New Jersey Economic Development Authority(e) | ||||
Revenue Bonds | ||||
UMM Energy Partners LLC | ||||
Series 2012A | ||||
06/15/2043 | 5.125% | 2,000,000 | 2,072,347 | |
New Jersey Higher Education Student Assistance Authority(e) | ||||
Revenue Bonds | ||||
Subordinated Series 2013-1B | ||||
12/01/2043 | 4.750% | 5,000,000 | 5,188,733 | |
New Jersey Transportation Trust Fund Authority | ||||
Refunding Revenue Bonds | ||||
Federal Highway Reimbursement | ||||
Series 2018 | ||||
06/15/2029 | 5.000% | 3,000,000 | 3,569,378 | |
Transportation System | ||||
Series 2018A | ||||
12/15/2036 | 5.000% | 2,500,000 | 3,103,987 | |
Series 2019 | ||||
12/15/2039 | 5.000% | 640,000 | 798,774 | |
Revenue Bonds | ||||
Series 2019BB | ||||
06/15/2044 | 5.000% | 1,000,000 | 1,223,218 | |
06/15/2050 | 5.000% | 4,945,000 | 6,006,854 | |
Transportation Program | ||||
Series 2015AA | ||||
06/15/2045 | 5.000% | 1,750,000 | 1,987,432 | |
Series 2019 | ||||
06/15/2046 | 5.000% | 5,000,000 | 6,097,518 | |
South Jersey Port Corp.(e) | ||||
Revenue Bonds | ||||
Marine Terminal | ||||
Subordinated Series 2017B | ||||
01/01/2048 | 5.000% | 600,000 | 694,960 | |
State of New Jersey | ||||
Unlimited General Obligation Bonds | ||||
COVID-19 Emergency Bonds | ||||
Series 2020 | ||||
06/01/2032 | 4.000% | 1,000,000 | 1,272,333 | |
Tobacco Settlement Financing Corp. | ||||
Refunding Revenue Bonds | ||||
Series 2018A | ||||
06/01/2046 | 5.000% | 835,000 | 997,209 | |
Subordinated Series 2018B | ||||
06/01/2046 | 5.000% | 1,025,000 | 1,204,375 | |
Total | 40,086,354 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
New York 4.6% | ||||
Build NYC Resource Corp. | ||||
Revenue Bonds | ||||
International Leadership Charter School | ||||
Series 2013 | ||||
07/01/2043 | 6.000% | 4,330,000 | 4,497,561 | |
Build NYC Resource Corp.(d) | ||||
Revenue Bonds | ||||
International Leadership Charter School | ||||
Series 2016 | ||||
07/01/2046 | 6.250% | 765,000 | 839,346 | |
Taxable International Leadership | ||||
Series 2016 | ||||
07/01/2021 | 5.000% | 20,000 | 19,997 | |
Glen Cove Local Economic Assistance Corp.(h) | ||||
Revenue Bonds | ||||
Garvies Point | ||||
Series 2016 CABS | ||||
01/01/2055 | 0.000% | 2,500,000 | 2,604,953 | |
Huntington Local Development Corp. | ||||
Revenue Bonds | ||||
Fountaingate Garden Project | ||||
Series 2021A | ||||
07/01/2056 | 5.250% | 250,000 | 267,302 | |
Jefferson County Industrial Development Agency(d),(e) | ||||
Revenue Bonds | ||||
ReEnergy Black River LLC P | ||||
Series 2019 | ||||
01/01/2024 | 5.250% | 1,620,000 | 1,577,728 | |
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
BAN Series 2019D-1 | ||||
09/01/2022 | 5.000% | 2,000,000 | 2,117,182 | |
BAN Series 2019F | ||||
11/15/2022 | 5.000% | 1,200,000 | 1,281,874 | |
Green Bonds | ||||
Series 2020C-1 | ||||
11/15/2055 | 5.250% | 4,000,000 | 4,982,107 | |
Nassau County Tobacco Settlement Corp.(f) | ||||
Asset-Backed Revenue Bonds | ||||
Capital Appreciation | ||||
Third Series 2006D | ||||
06/01/2060 | 0.000% | 25,000,000 | 1,845,183 | |
New York Transportation Development Corp.(e) | ||||
Refunding Revenue Bonds | ||||
John F. Kennedy International Airport Project | ||||
Series 2020 | ||||
08/01/2036 | 5.375% | 1,250,000 | 1,565,922 |
16 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Revenue Bonds | ||||
Delta Air Lines, Inc. Laguardia | ||||
Series 2020 | ||||
10/01/2040 | 5.000% | 5,500,000 | 6,937,808 | |
10/01/2045 | 4.375% | 2,500,000 | 2,960,433 | |
LaGuardia Airport Terminal B Redevelopment Project | ||||
Series 2016 | ||||
07/01/2046 | 4.000% | 3,000,000 | 3,256,474 | |
Total | 34,753,870 | |||
North Carolina 2.7% | ||||
Durham Housing Authority(e) | ||||
Prerefunded 01/31/23 Revenue Bonds | ||||
Magnolia Pointe Apartments | ||||
Series 2005 | ||||
02/01/2038 | 5.650% | 2,880,602 | 3,125,635 | |
North Carolina Medical Care Commission | ||||
Refunding Revenue Bonds | ||||
Sharon Towers | ||||
Series 2019 | ||||
07/01/2049 | 5.000% | 3,500,000 | 3,894,814 | |
United Methodist Retirement Community | ||||
Series 2017 | ||||
10/01/2047 | 5.000% | 2,250,000 | 2,455,895 | |
United Methodist Retirement Homes | ||||
Series 2016 | ||||
10/01/2035 | 5.000% | 1,000,000 | 1,163,590 | |
Revenue Bonds | ||||
Novant Health Obligated Group | ||||
Series 2019A | ||||
11/01/2052 | 4.000% | 2,815,000 | 3,241,860 | |
North Carolina Medical Care Commission(g) | ||||
Revenue Bonds | ||||
Lutheran Services for the Aging | ||||
Series 2021 | ||||
03/01/2051 | 4.000% | 1,500,000 | 1,606,031 | |
North Carolina Turnpike Authority | ||||
Revenue Bonds | ||||
Senior Lien - Triangle Expressway | ||||
Series 2019 | ||||
01/01/2049 | 5.000% | 2,000,000 | 2,442,477 | |
Triangle Expressway System Senior Lien Turnpike | ||||
Series 2019 | ||||
01/01/2055 | 4.000% | 1,400,000 | 1,582,972 | |
North Carolina Turnpike Authority(f) | ||||
Revenue Bonds | ||||
Triangle Expressway System Appropriation | ||||
Series 2019 | ||||
01/01/2049 | 0.000% | 2,500,000 | 1,107,575 | |
Total | 20,620,849 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
North Dakota 0.3% | ||||
City of Fargo | ||||
Prerefunded 11/01/21 Revenue Bonds | ||||
Sanford Obligation Group | ||||
Series 2011 | ||||
11/01/2031 | 6.250% | 2,500,000 | 2,562,112 | |
Ohio 3.1% | ||||
Buckeye Tobacco Settlement Financing Authority | ||||
Refunding Senior Revenue Bonds | ||||
Series 2020B-2 | ||||
06/01/2055 | 5.000% | 10,500,000 | 12,163,017 | |
County of Marion | ||||
Refunding Revenue Bonds | ||||
United Church Homes, Inc. | ||||
Series 2019 | ||||
12/01/2049 | 5.125% | 1,875,000 | 2,021,476 | |
Hickory Chase Community Authority(d) | ||||
Refunding Revenue Bonds | ||||
Hickory Chase Project | ||||
Series 2019 | ||||
12/01/2040 | 5.000% | 1,410,000 | 1,532,400 | |
Lake County Port & Economic Development Authority(b),(d) | ||||
Revenue Bonds | ||||
1st Mortgage - Tapestry Wickliffe LLC | ||||
Series 2017 | ||||
12/01/2052 | 0.000% | 5,600,000 | 1,988,000 | |
Ohio Air Quality Development Authority(e) | ||||
Revenue Bonds | ||||
Ohio Valley Electric Crop. | ||||
Series 2019 (Mandatory Put 10/01/29) | ||||
06/01/2041 | 2.600% | 500,000 | 531,290 | |
Ohio Air Quality Development Authority(d),(e) | ||||
Revenue Bonds | ||||
Pratt Paper LLC Project | ||||
Series 2017 | ||||
01/15/2048 | 4.500% | 500,000 | 567,173 | |
State of Ohio(e) | ||||
Revenue Bonds | ||||
Portsmouth Bypass Project | ||||
Series 2015 | ||||
12/31/2039 | 5.000% | 4,100,000 | 4,632,762 | |
Total | 23,436,118 | |||
Oregon 0.7% | ||||
Clackamas County Hospital Facility Authority | ||||
Revenue Bonds | ||||
Mary’s Woods at Marylhurst, Inc. | ||||
Series 2018 | ||||
05/15/2052 | 5.000% | 1,000,000 | 1,087,868 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 17 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Hospital Facilities Authority of Multnomah County | ||||
Refunding Revenue Bonds | ||||
Mirabella at South Waterfront | ||||
Series 2014A | ||||
10/01/2049 | 5.500% | 3,115,000 | 3,344,590 | |
State of Oregon Housing & Community Services Department | ||||
Revenue Bonds | ||||
Single Family Mortgage Program | ||||
Series 2018C | ||||
07/01/2043 | 3.950% | 1,210,000 | 1,286,814 | |
Total | 5,719,272 | |||
Pennsylvania 3.4% | ||||
Commonwealth Financing Authority | ||||
Revenue Bonds | ||||
Tobacco Master Settlement Payment | ||||
Series 2018 (AGM) | ||||
06/01/2039 | 4.000% | 1,365,000 | 1,561,809 | |
Commonwealth of Pennsylvania | ||||
Refunding Certificate of Participation | ||||
Series 2018A | ||||
07/01/2046 | 4.000% | 2,500,000 | 2,825,923 | |
Dauphin County Industrial Development Authority(e) | ||||
Revenue Bonds | ||||
Dauphin Consolidated Water Supply | ||||
Series 1992A | ||||
06/01/2024 | 6.900% | 3,200,000 | 3,796,731 | |
Franklin County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Menno-Haven, Inc. Project | ||||
Series 2018 | ||||
12/01/2053 | 5.000% | 1,900,000 | 2,033,331 | |
Montgomery County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Meadowood Senior Living Project | ||||
Series 2018 | ||||
12/01/2048 | 5.000% | 1,000,000 | 1,117,687 | |
Northampton County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Morningstar Senior Living, Inc. Project | ||||
Series 2019 | ||||
11/01/2049 | 5.000% | 1,600,000 | 1,751,315 | |
Pennsylvania Economic Development Financing Authority(b),(d) | ||||
Refunding Revenue Bonds | ||||
Tapestry Moon Senior Housing Project | ||||
Series 2018 | ||||
12/01/2053 | 0.000% | 2,750,000 | 1,622,500 | |
Pennsylvania Economic Development Financing Authority(e) | ||||
Revenue Bonds | ||||
PA Bridges Finco LP | ||||
Series 2015 | ||||
12/31/2038 | 5.000% | 1,650,000 | 1,923,934 | |
06/30/2042 | 5.000% | 3,700,000 | 4,292,679 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Philadelphia Authority for Industrial Development | ||||
Revenue Bonds | ||||
1st Philadelphia Preparatory Charter School | ||||
Series 2014 | ||||
06/15/2033 | 7.000% | 1,870,000 | 2,169,892 | |
Scranton School District | ||||
Limited General Obligation Refunding Bonds | ||||
Series 2017D (NPFGC) | ||||
06/01/2037 | 4.250% | 1,750,000 | 1,935,850 | |
Series 2017E (BAM) | ||||
12/01/2037 | 4.000% | 1,000,000 | 1,161,034 | |
Total | 26,192,685 | |||
Puerto Rico 4.5% | ||||
Commonwealth of Puerto Rico(b),(i) | ||||
Unlimited General Obligation Bonds | ||||
Series 2014A | ||||
07/01/2035 | 0.000% | 9,600,000 | 7,728,000 | |
Puerto Rico Electric Power Authority(b),(i) | ||||
Revenue Bonds | ||||
Series 2007TT | ||||
07/01/2037 | 0.000% | 2,000,000 | 1,910,000 | |
Series 2010XX | ||||
07/01/2040 | 0.000% | 7,000,000 | 6,702,500 | |
Puerto Rico Highway & Transportation Authority(b),(i) | ||||
Revenue Bonds | ||||
Series 2005K | ||||
07/01/2030 | 0.000% | 1,000,000 | 508,750 | |
Series 2007M | ||||
07/01/2037 | 0.000% | 3,055,000 | 1,554,231 | |
Unrefunded Revenue Bonds | ||||
Series 2003G | ||||
07/01/2042 | 0.000% | 1,000,000 | 508,750 | |
Puerto Rico Sales Tax Financing Corp.(f),(i) | ||||
Revenue Bonds | ||||
Series 2018A-1 | ||||
07/01/2046 | 0.000% | 33,500,000 | 10,864,720 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax(i) | ||||
Revenue Bonds | ||||
Series 2019A-1 | ||||
07/01/2058 | 5.000% | 4,000,000 | 4,553,222 | |
Total | 34,330,173 | |||
Rhode Island 0.2% | ||||
Rhode Island Student Loan Authority(e) | ||||
Refunding Revenue Bonds | ||||
Series 2018A | ||||
12/01/2034 | 3.500% | 1,205,000 | 1,249,484 |
18 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
South Carolina 1.0% | ||||
South Carolina Jobs-Economic Development Authority | ||||
Refunding Revenue Bonds | ||||
Bon Secours Mercy Health, Inc. | ||||
Series 2020 | ||||
12/01/2046 | 5.000% | 1,000,000 | 1,267,377 | |
Revenue Bonds | ||||
Lutheran Homes of South Carolina, Inc. Obligation Group | ||||
Series 2013 | ||||
05/01/2043 | 5.000% | 750,000 | 761,034 | |
05/01/2048 | 5.125% | 1,500,000 | 1,522,998 | |
York Preparatory Academy Project | ||||
Series 2014A | ||||
11/01/2045 | 7.250% | 4,000,000 | 4,458,104 | |
Total | 8,009,513 | |||
Tennessee 1.3% | ||||
Shelby County Health Educational & Housing Facilities Board | ||||
Revenue Bonds | ||||
Farms at Bailey Station Project (The) | ||||
Series 2019 | ||||
10/01/2059 | 5.750% | 3,750,000 | 3,796,665 | |
Tennessee Housing Development Agency | ||||
Revenue Bonds | ||||
Issue 3 | ||||
Series 2018 | ||||
07/01/2043 | 3.850% | 5,525,000 | 5,955,671 | |
Total | 9,752,336 | |||
Texas 6.3% | ||||
Arlington Higher Education Finance Corp. | ||||
Revenue Bonds | ||||
Brooks Academies of Texas | ||||
Series 2021 | ||||
01/15/2051 | 5.000% | 2,625,000 | 2,763,192 | |
City of Houston Airport System(e) | ||||
Refunding Revenue Bonds | ||||
United Airlines, Inc. Airport Improvement Projects | ||||
Series 2020 | ||||
07/15/2027 | 5.000% | 2,350,000 | 2,789,282 | |
Revenue Bonds | ||||
Subordinated Series 2020A | ||||
07/01/2047 | 4.000% | 1,600,000 | 1,851,596 | |
Clifton Higher Education Finance Corp. | ||||
Revenue Bonds | ||||
International Leadership of Texas | ||||
Series 2015 | ||||
08/15/2045 | 5.750% | 3,500,000 | 4,014,243 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
New Hope Cultural Education Facilities Finance Corp. | ||||
Revenue Bonds | ||||
Bridgemoor Plano Project | ||||
Series 2018 | ||||
12/01/2053 | 7.250% | 3,500,000 | 3,157,687 | |
Cardinal Bay Senior Living/Village on the Park | ||||
Series 2016 | ||||
07/01/2046 | 5.000% | 2,630,000 | 1,960,124 | |
Series 2016A-1 | ||||
07/01/2046 | 5.000% | 950,000 | 992,368 | |
NCCD-College Station Properties LLC | ||||
Series 2015 | ||||
07/01/2035 | 5.000% | 1,000,000 | 865,000 | |
Series 2015A | ||||
07/01/2047 | 5.000% | 1,000,000 | 860,000 | |
New Hope Cultural Education Facilities Finance Corp.(d) | ||||
Revenue Bonds | ||||
Cumberland Academy Project | ||||
Series 2020A | ||||
08/15/2050 | 5.000% | 1,000,000 | 1,082,899 | |
Jubilee Academic Center Project | ||||
Series 2017 | ||||
08/15/2047 | 5.125% | 3,585,000 | 3,601,793 | |
Port Beaumont Navigation District(d),(e) | ||||
Refunding Revenue Bonds | ||||
Jefferson Golf Coast Energy Project | ||||
Series 2020A | ||||
01/01/2050 | 4.000% | 2,000,000 | 2,072,134 | |
Pottsboro Higher Education Finance Corp. | ||||
Revenue Bonds | ||||
Series 2016A | ||||
08/15/2046 | 5.000% | 1,000,000 | 1,089,096 | |
Red River Health Facilities Development Corp. | ||||
Revenue Bonds | ||||
MRC Crossings Project | ||||
Series 2014A | ||||
11/15/2049 | 8.000% | 2,000,000 | 2,234,354 | |
Sanger Industrial Development Corp.(b),(d),(e) | ||||
Revenue Bonds | ||||
Texas Pellets Project | ||||
Series 2012B | ||||
07/01/2038 | 0.000% | 4,950,000 | 1,237,500 | |
Tarrant County Cultural Education Facilities Finance Corp.(b) | ||||
Revenue Bonds | ||||
CC Young Memorial Home | ||||
Series 2009A | ||||
02/15/2038 | 0.000% | 3,000,000 | 2,440,040 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 19 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Texas Private Activity Bond Surface Transportation Corp. | ||||
Refunding Revenue Bonds | ||||
Senior Lien - North Tarrant Express | ||||
Series 2019 | ||||
12/31/2039 | 4.000% | 1,000,000 | 1,167,133 | |
Texas Private Activity Bond Surface Transportation Corp.(e) | ||||
Revenue Bonds | ||||
Segment 3C Project | ||||
Series 2019 | ||||
06/30/2058 | 5.000% | 6,300,000 | 7,714,781 | |
Senior Lien - Blueridge Transportation Group LLC | ||||
Series 2016 | ||||
12/31/2040 | 5.000% | 1,250,000 | 1,420,887 | |
12/31/2055 | 5.000% | 3,515,000 | 3,949,415 | |
Texas Transportation Commission | ||||
Revenue Bonds | ||||
State Highway 249 System Toll | ||||
Series 2019 | ||||
08/01/2057 | 5.000% | 500,000 | 584,169 | |
Total | 47,847,693 | |||
Utah 0.3% | ||||
Salt Lake City Corp. Airport(e) | ||||
Revenue Bonds | ||||
Series 2017A | ||||
07/01/2037 | 5.000% | 2,000,000 | 2,427,977 | |
Virginia 3.5% | ||||
Alexandria Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Goodwin House, Inc. | ||||
Series 2015 | ||||
10/01/2050 | 5.000% | 2,275,000 | 2,563,767 | |
City of Chesapeake Expressway Toll Road(h) | ||||
Refunding Revenue Bonds | ||||
Transportation System | ||||
Series 2012 | ||||
07/15/2040 | 0.000% | 7,530,000 | 8,204,289 | |
Hanover County Economic Development Authority | ||||
Refunding Revenue Bonds | ||||
Covenant Woods | ||||
Series 2018 | ||||
07/01/2051 | 5.000% | 1,200,000 | 1,301,071 | |
Tobacco Settlement Financing Corp. | ||||
Revenue Bonds | ||||
Senior Series 2007B-1 | ||||
06/01/2047 | 5.000% | 5,000,000 | 5,025,691 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Virginia Small Business Financing Authority(e) | ||||
Revenue Bonds | ||||
Transform 66 P3 Project | ||||
Series 2017 | ||||
12/31/2052 | 5.000% | 7,925,000 | 9,520,218 | |
Total | 26,615,036 | |||
Washington 4.8% | ||||
Greater Wenatchee Regional Events Center Public Facilities District | ||||
Revenue Bonds | ||||
Series 2012A | ||||
09/01/2042 | 5.500% | 3,825,000 | 3,966,326 | |
King County Housing Authority | ||||
Refunding Revenue Bonds | ||||
Series 2018 | ||||
05/01/2038 | 3.750% | 3,295,000 | 3,687,748 | |
King County Public Hospital District No. 4 | ||||
Revenue Bonds | ||||
Series 2015A | ||||
12/01/2035 | 6.000% | 1,250,000 | 1,384,803 | |
12/01/2045 | 6.250% | 2,500,000 | 2,776,315 | |
Tacoma Consolidated Local Improvement Districts | ||||
Special Assessment Bonds | ||||
No. 65 | ||||
Series 2013 | ||||
04/01/2043 | 5.750% | 1,220,000 | 1,232,080 | |
Washington State Convention Center Public Facilities District | ||||
Revenue Bonds | ||||
Junior Lodging Tax Green Notes | ||||
Series 2021 | ||||
07/01/2031 | 4.000% | 6,000,000 | 6,921,991 | |
Washington State Housing Finance Commission(d) | ||||
Prerefunded 10/03/22 Revenue Bonds | ||||
Nonprofit Housing-Mirabella | ||||
Series 2012 | ||||
10/01/2047 | 6.750% | 5,000,000 | 5,427,565 | |
Revenue Bonds | ||||
Heron’s Key | ||||
Series 2015A | ||||
07/01/2050 | 7.000% | 4,850,000 | 5,350,354 | |
Transforming Age Projects | ||||
Series 2019A | ||||
01/01/2055 | 5.000% | 5,000,000 | 5,514,020 | |
Total | 36,261,202 | |||
Wisconsin 2.9% | ||||
Public Finance Authority | ||||
Refunding Revenue Bonds | ||||
Friends Homes | ||||
Series 2019 | ||||
09/01/2054 | 5.000% | 2,665,000 | 2,990,261 |
20 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
WakeMed Hospital | ||||
Series 2019A | ||||
10/01/2049 | 4.000% | 4,310,000 | 4,890,431 | |
Public Finance Authority(d) | ||||
Refunding Revenue Bonds | ||||
Mary’s Woods at Marylhurst, Inc. | ||||
Series 2017 | ||||
05/15/2052 | 5.250% | 2,300,000 | 2,523,330 | |
Revenue Bonds | ||||
Wonderful Foundations Charter School Portfolio Projects | ||||
Series 2020 | ||||
01/01/2055 | 5.000% | 2,500,000 | 2,819,767 | |
Wisconsin Center District(f) | ||||
Revenue Bonds | ||||
Junior Dedicated | ||||
Series 2020D (AGM) | ||||
12/15/2060 | 0.000% | 18,000,000 | 4,113,000 | |
Wisconsin Health & Educational Facilities Authority | ||||
Refunding Revenue Bonds | ||||
St. Camillus Health System, Inc. | ||||
Series 2019 | ||||
11/01/2054 | 5.000% | 3,000,000 | 3,172,887 | |
Revenue Bonds | ||||
Covenant Communities, Inc. Project | ||||
Series 2018B | ||||
07/01/2053 | 5.000% | 900,000 | 934,688 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
St. John’s Communities, Inc. Project | ||||
Series 2018A | ||||
09/15/2050 | 5.000% | 750,000 | 793,710 | |
Total | 22,238,074 | |||
Total Municipal Bonds (Cost $701,340,092) | 749,573,609 |
Money Market Funds 1.2% | ||
Shares | Value ($) | |
Dreyfus AMT-Free Tax Exempt Cash Management Fund, Institutional Shares, 0.010%(j) | 205,361 | 205,341 |
JPMorgan Institutional Tax Free Money Market Fund, Institutional Shares, 0.006%(j) | 9,354,231 | 9,354,231 |
Total Money Market Funds (Cost $9,559,592) | 9,559,572 | |
Total Investments in Securities (Cost $711,109,489) | 759,238,083 | |
Other Assets & Liabilities, Net | 2,671,257 | |
Net Assets | $761,909,340 |
(a) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At May 31, 2021, the total value of these securities amounted to $104,902, which represents 0.01% of total net assets. |
(b) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At May 31, 2021, the total value of these securities amounted to $35,226,695, which represents 4.62% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(d) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2021, the total value of these securities amounted to $109,800,172, which represents 14.41% of total net assets. |
(e) | Income from this security may be subject to alternative minimum tax. |
(f) | Zero coupon bond. |
(g) | Represents a security purchased on a when-issued basis. |
(h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of May 31, 2021. |
(i) | Municipal obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At May 31, 2021, the total value of these securities amounted to $38,706,564, which represents 5.08% of total net assets. |
(j) | The rate shown is the seven-day current annualized yield at May 31, 2021. |
Columbia High Yield Municipal Fund | Annual Report 2021 | 21 |
May 31, 2021
AGM | Assured Guaranty Municipal Corporation |
AMBAC | Ambac Assurance Corporation |
BAM | Build America Mutual Assurance Co. |
BAN | Bond Anticipation Note |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
NPFGC | National Public Finance Guarantee Corporation |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Corporate Bonds & Notes | — | — | 104,902 | 104,902 |
Municipal Bonds | — | 749,573,609 | — | 749,573,609 |
Money Market Funds | 9,559,572 | — | — | 9,559,572 |
Total Investments in Securities | 9,559,572 | 749,573,609 | 104,902 | 759,238,083 |
22 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $711,109,489) | $759,238,083 |
Cash | 20,757 |
Margin deposits on: | |
Futures contracts | 791,000 |
Receivable for: | |
Capital shares sold | 1,947,750 |
Interest | 9,770,214 |
Expense reimbursement due from Investment Manager | 386 |
Prepaid expenses | 12,142 |
Trustees’ deferred compensation plan | 171,941 |
Total assets | 771,952,273 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 6,908,395 |
Capital shares purchased | 743,902 |
Distributions to shareholders | 2,120,777 |
Management services fees | 11,162 |
Distribution and/or service fees | 1,843 |
Transfer agent fees | 55,242 |
Compensation of board members | 4,750 |
Compensation of chief compliance officer | 35 |
Other expenses | 24,886 |
Trustees’ deferred compensation plan | 171,941 |
Total liabilities | 10,042,933 |
Net assets applicable to outstanding capital stock | $761,909,340 |
Represented by | |
Paid in capital | 721,313,028 |
Total distributable earnings (loss) | 40,596,312 |
Total - representing net assets applicable to outstanding capital stock | $761,909,340 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 23 |
May 31, 2021
Class A | |
Net assets | $182,124,798 |
Shares outstanding | 16,490,097 |
Net asset value per share | $11.04 |
Maximum sales charge | 3.00% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $11.38 |
Advisor Class | |
Net assets | $12,442,364 |
Shares outstanding | 1,125,593 |
Net asset value per share | $11.05 |
Class C | |
Net assets | $38,720,217 |
Shares outstanding | 3,505,774 |
Net asset value per share | $11.04 |
Institutional Class | |
Net assets | $497,968,984 |
Shares outstanding | 45,080,617 |
Net asset value per share | $11.05 |
Institutional 2 Class | |
Net assets | $27,814,823 |
Shares outstanding | 2,520,237 |
Net asset value per share | $11.04 |
Institutional 3 Class | |
Net assets | $2,838,154 |
Shares outstanding | 256,349 |
Net asset value per share | $11.07 |
24 | Columbia High Yield Municipal Fund | Annual Report 2021 |
Year Ended May 31, 2021
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $152,566 |
Interest | 31,099,141 |
Total income | 31,251,707 |
Expenses: | |
Management services fees | 3,940,655 |
Distribution and/or service fees | |
Class A | 345,849 |
Class C | 393,379 |
Transfer agent fees | |
Class A | 164,856 |
Advisor Class | 6,424 |
Class C | 39,492 |
Institutional Class | 466,421 |
Institutional 2 Class | 10,873 |
Institutional 3 Class | 261 |
Compensation of board members | 26,072 |
Custodian fees | 4,064 |
Printing and postage fees | 21,605 |
Registration fees | 121,662 |
Audit fees | 39,500 |
Legal fees | 19,065 |
Interest on inverse floater program | 40,040 |
Compensation of chief compliance officer | 219 |
Other | 29,755 |
Total expenses | 5,670,192 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (138,447) |
Fees waived by distributor | |
Class C | (56,598) |
Expense reduction | (340) |
Total net expenses | 5,474,807 |
Net investment income | 25,776,900 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 5,210,863 |
Futures contracts | 51,574 |
Net realized gain | 5,262,437 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 70,691,298 |
Net change in unrealized appreciation (depreciation) | 70,691,298 |
Net realized and unrealized gain | 75,953,735 |
Net increase in net assets resulting from operations | $101,730,635 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 25 |
Year Ended May 31, 2021 | Year Ended May 31, 2020 | |
Operations | ||
Net investment income | $25,776,900 | $32,434,950 |
Net realized gain (loss) | 5,262,437 | (958,038) |
Net change in unrealized appreciation (depreciation) | 70,691,298 | (59,567,770) |
Net increase (decrease) in net assets resulting from operations | 101,730,635 | (28,090,858) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (5,872,368) | (7,431,118) |
Advisor Class | (244,663) | (224,558) |
Class C | (1,151,080) | (1,703,982) |
Institutional Class | (17,593,184) | (23,064,873) |
Institutional 2 Class | (704,547) | (703,071) |
Institutional 3 Class | (86,549) | (91,772) |
Total distributions to shareholders | (25,652,391) | (33,219,374) |
Decrease in net assets from capital stock activity | (26,348,088) | (17,349,716) |
Total increase (decrease) in net assets | 49,730,156 | (78,659,948) |
Net assets at beginning of year | 712,179,184 | 790,839,132 |
Net assets at end of year | $761,909,340 | $712,179,184 |
26 | Columbia High Yield Municipal Fund | Annual Report 2021 |
Year Ended | Year Ended | |||
May 31, 2021 | May 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 2,853,563 | 30,387,629 | 4,743,875 | 50,636,888 |
Distributions reinvested | 480,604 | 5,121,662 | 623,120 | 6,613,618 |
Redemptions | (3,354,098) | (35,485,829) | (4,925,507) | (51,080,067) |
Net increase (decrease) | (19,931) | 23,462 | 441,488 | 6,170,439 |
Advisor Class | ||||
Subscriptions | 919,240 | 9,941,448 | 369,414 | 3,871,871 |
Distributions reinvested | 22,882 | 244,663 | 21,162 | 224,150 |
Redemptions | (373,222) | (3,980,176) | (328,256) | (3,480,602) |
Net increase | 568,900 | 6,205,935 | 62,320 | 615,419 |
Class C | ||||
Subscriptions | 294,753 | 3,140,014 | 1,021,502 | 10,981,493 |
Distributions reinvested | 103,367 | 1,100,565 | 147,796 | 1,569,311 |
Redemptions | (1,168,626) | (12,470,240) | (1,659,630) | (17,394,883) |
Net decrease | (770,506) | (8,229,661) | (490,332) | (4,844,079) |
Institutional Class | ||||
Subscriptions | 7,319,362 | 78,209,787 | 11,219,402 | 117,355,858 |
Distributions reinvested | 806,706 | 8,595,131 | 1,048,863 | 11,137,008 |
Redemptions | (11,425,971) | (121,783,718) | (14,959,873) | (154,813,924) |
Net decrease | (3,299,903) | (34,978,800) | (2,691,608) | (26,321,058) |
Institutional 2 Class | ||||
Subscriptions | 1,388,611 | 14,909,617 | 2,423,889 | 25,545,461 |
Distributions reinvested | 65,998 | 704,467 | 66,367 | 702,661 |
Redemptions | (512,393) | (5,411,970) | (1,924,203) | (19,631,308) |
Net increase | 942,216 | 10,202,114 | 566,053 | 6,616,814 |
Institutional 3 Class | ||||
Subscriptions | 80,150 | 864,660 | 70,416 | 749,015 |
Distributions reinvested | 7,986 | 85,449 | 8,554 | 90,787 |
Redemptions | (49,186) | (521,247) | (41,073) | (427,053) |
Net increase | 38,950 | 428,862 | 37,897 | 412,749 |
Total net decrease | (2,540,274) | (26,348,088) | (2,074,182) | (17,349,716) |
Columbia High Yield Municipal Fund | Annual Report 2021 | 27 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class A | ||||||
Year Ended 5/31/2021 | $9.96 | 0.36 | 1.08 | 1.44 | (0.36) | (0.36) |
Year Ended 5/31/2020 | $10.74 | 0.42 | (0.77) | (0.35) | (0.43) | (0.43) |
Year Ended 5/31/2019 | $10.56 | 0.43 | 0.23 | 0.66 | (0.48) | (0.48) |
Year Ended 5/31/2018 | $10.64 | 0.43 | (0.05) | 0.38 | (0.46) | (0.46) |
Year Ended 5/31/2017 | $10.90 | 0.45 | (0.26) | 0.19 | (0.45) | (0.45) |
Advisor Class | ||||||
Year Ended 5/31/2021 | $9.97 | 0.38 | 1.08 | 1.46 | (0.38) | (0.38) |
Year Ended 5/31/2020 | $10.76 | 0.44 | (0.78) | (0.34) | (0.45) | (0.45) |
Year Ended 5/31/2019 | $10.57 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
Year Ended 5/31/2018 | $10.65 | 0.45 | (0.05) | 0.40 | (0.48) | (0.48) |
Year Ended 5/31/2017 | $10.92 | 0.47 | (0.27) | 0.20 | (0.47) | (0.47) |
Class C | ||||||
Year Ended 5/31/2021 | $9.96 | 0.30 | 1.07 | 1.37 | (0.29) | (0.29) |
Year Ended 5/31/2020 | $10.74 | 0.35 | (0.77) | (0.42) | (0.36) | (0.36) |
Year Ended 5/31/2019 | $10.56 | 0.37 | 0.22 | 0.59 | (0.41) | (0.41) |
Year Ended 5/31/2018 | $10.64 | 0.36 | (0.05) | 0.31 | (0.39) | (0.39) |
Year Ended 5/31/2017 | $10.90 | 0.38 | (0.26) | 0.12 | (0.38) | (0.38) |
Institutional Class | ||||||
Year Ended 5/31/2021 | $9.96 | 0.38 | 1.09 | 1.47 | (0.38) | (0.38) |
Year Ended 5/31/2020 | $10.75 | 0.44 | (0.78) | (0.34) | (0.45) | (0.45) |
Year Ended 5/31/2019 | $10.56 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
Year Ended 5/31/2018 | $10.64 | 0.45 | (0.05) | 0.40 | (0.48) | (0.48) |
Year Ended 5/31/2017 | $10.90 | 0.47 | (0.26) | 0.21 | (0.47) | (0.47) |
Institutional 2 Class | ||||||
Year Ended 5/31/2021 | $9.95 | 0.39 | 1.08 | 1.47 | (0.38) | (0.38) |
Year Ended 5/31/2020 | $10.74 | 0.44 | (0.77) | (0.33) | (0.46) | (0.46) |
Year Ended 5/31/2019 | $10.55 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
Year Ended 5/31/2018 | $10.63 | 0.45 | (0.04) | 0.41 | (0.49) | (0.49) |
Year Ended 5/31/2017 | $10.90 | 0.48 | (0.27) | 0.21 | (0.48) | (0.48) |
28 | Columbia High Yield Municipal Fund | Annual Report 2021 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Year Ended 5/31/2021 | $11.04 | 14.64% | 0.87%(c) | 0.85%(c),(d) | 3.41% | 22% | $182,125 |
Year Ended 5/31/2020 | $9.96 | (3.41%) | 0.88%(c),(e) | 0.87%(c),(d),(e) | 3.98% | 46% | $164,388 |
Year Ended 5/31/2019 | $10.74 | 6.42% | 0.88% | 0.85%(d) | 4.16% | 35% | $172,655 |
Year Ended 5/31/2018 | $10.56 | 3.68% | 0.88% | 0.85%(d) | 4.04% | 16% | $132,807 |
Year Ended 5/31/2017 | $10.64 | 1.81% | 0.90%(f) | 0.84%(d),(f) | 4.21% | 21% | $130,917 |
Advisor Class | |||||||
Year Ended 5/31/2021 | $11.05 | 14.86% | 0.68%(c) | 0.65%(c),(d) | 3.61% | 22% | $12,442 |
Year Ended 5/31/2020 | $9.97 | (3.30%) | 0.68%(c),(e) | 0.67%(c),(d),(e) | 4.17% | 46% | $5,549 |
Year Ended 5/31/2019 | $10.76 | 6.73% | 0.68% | 0.65%(d) | 4.35% | 35% | $5,318 |
Year Ended 5/31/2018 | $10.57 | 3.89% | 0.68% | 0.65%(d) | 4.24% | 16% | $4,752 |
Year Ended 5/31/2017 | $10.65 | 1.92% | 0.71%(f) | 0.64%(d),(f) | 4.41% | 21% | $3,753 |
Class C | |||||||
Year Ended 5/31/2021 | $11.04 | 13.94% | 1.62%(c) | 1.47%(c),(d) | 2.80% | 22% | $38,720 |
Year Ended 5/31/2020 | $9.96 | (4.04%) | 1.63%(c),(e) | 1.52%(c),(d),(e) | 3.34% | 46% | $42,578 |
Year Ended 5/31/2019 | $10.74 | 5.73% | 1.63% | 1.50%(d) | 3.50% | 35% | $51,214 |
Year Ended 5/31/2018 | $10.56 | 3.01% | 1.63% | 1.50%(d) | 3.39% | 16% | $49,519 |
Year Ended 5/31/2017 | $10.64 | 1.15% | 1.65%(f) | 1.48%(d),(f) | 3.58% | 21% | $51,775 |
Institutional Class | |||||||
Year Ended 5/31/2021 | $11.05 | 14.97% | 0.67%(c) | 0.66%(c),(d) | 3.61% | 22% | $497,969 |
Year Ended 5/31/2020 | $9.96 | (3.31%) | 0.68%(c),(e) | 0.67%(c),(d),(e) | 4.19% | 46% | $481,793 |
Year Ended 5/31/2019 | $10.75 | 6.73% | 0.68% | 0.65%(d) | 4.35% | 35% | $548,850 |
Year Ended 5/31/2018 | $10.56 | 3.88% | 0.68% | 0.65%(d) | 4.24% | 16% | $562,972 |
Year Ended 5/31/2017 | $10.64 | 2.01% | 0.70%(f) | 0.64%(d),(f) | 4.43% | 21% | $604,031 |
Institutional 2 Class | |||||||
Year Ended 5/31/2021 | $11.04 | 15.03% | 0.64%(c) | 0.62%(c) | 3.64% | 22% | $27,815 |
Year Ended 5/31/2020 | $9.95 | (3.28%) | 0.64%(c),(e) | 0.63%(c),(e) | 4.13% | 46% | $15,702 |
Year Ended 5/31/2019 | $10.74 | 6.78% | 0.63% | 0.60% | 4.40% | 35% | $10,868 |
Year Ended 5/31/2018 | $10.55 | 3.92% | 0.63% | 0.59% | 4.30% | 16% | $7,767 |
Year Ended 5/31/2017 | $10.63 | 2.00% | 0.61%(f) | 0.56%(f) | 4.48% | 21% | $5,469 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 29 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Institutional 3 Class | ||||||
Year Ended 5/31/2021 | $9.98 | 0.39 | 1.09 | 1.48 | (0.39) | (0.39) |
Year Ended 5/31/2020 | $10.77 | 0.45 | (0.78) | (0.33) | (0.46) | (0.46) |
Year Ended 5/31/2019 | $10.58 | 0.47 | 0.23 | 0.70 | (0.51) | (0.51) |
Year Ended 5/31/2018 | $10.66 | 0.46 | (0.04) | 0.42 | (0.50) | (0.50) |
Year Ended 5/31/2017(g) | $10.48 | 0.12 | 0.18(h) | 0.30 | (0.12) | (0.12) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest and fee expense related to the participation in certain inverse floater programs. If interest and fee expense related to the participation in certain inverse floater programs had been excluded, expenses would have been lower by 0.01%. Due to an equal increase in interest income from fixed rate municipal bonds held in trust, there is no impact on the Fund’s net assets, net asset value per share, total return or net investment income. |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Ratios include interfund lending expense which is less than 0.01%. |
(f) | Expenses have been reduced due to a reimbursement of expenses overbilled by a third party. If the reimbursement had been excluded, the expense ratios would have been higher by the percentages shown for each class in the table below. All fee waivers and expense reimbursements by the Investment Manager and its affiliates were applied before giving effect to this third party reimbursement. |
Year Ended | Class A | Advisor Class | Class C | Institutional Class | Institutional 2 Class |
05/31/2017 | 0.02% | 0.02% | 0.03% | 0.02% | 0.02% |
(g) | Institutional 3 Class shares commenced operations on March 1, 2017. Per share data and total return reflect activity from that date. |
(h) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
(i) | Annualized. |
30 | Columbia High Yield Municipal Fund | Annual Report 2021 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Year Ended 5/31/2021 | $11.07 | 15.05% | 0.59%(c) | 0.57%(c) | 3.69% | 22% | $2,838 |
Year Ended 5/31/2020 | $9.98 | (3.21%) | 0.59%(c),(e) | 0.58%(c),(e) | 4.26% | 46% | $2,170 |
Year Ended 5/31/2019 | $10.77 | 6.83% | 0.59% | 0.56% | 4.45% | 35% | $1,933 |
Year Ended 5/31/2018 | $10.58 | 3.99% | 0.59% | 0.55% | 4.41% | 16% | $1,533 |
Year Ended 5/31/2017(g) | $10.66 | 2.86% | 0.61%(i) | 0.53%(i) | 4.62%(i) | 21% | $10 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 31 |
May 31, 2021
32 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Columbia High Yield Municipal Fund | Annual Report 2021 | 33 |
May 31, 2021
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 51,574 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — short | 8,127,491 |
34 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
* | Based on the ending daily outstanding amounts for the year ended May 31, 2021. |
Columbia High Yield Municipal Fund | Annual Report 2021 | 35 |
May 31, 2021
36 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Effective rate (%) | |
Class A | 0.10 |
Advisor Class | 0.10 |
Class C | 0.10 |
Institutional Class | 0.10 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 37 |
May 31, 2021
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 3.00 | 0.75(a) | 107,569 |
Class C | — | 1.00(b) | 2,196 |
(a) | This charge is imposed on certain investments of $500,000 or more if redeemed within 12 months after purchase. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
October 1, 2020 through September 30, 2021 | Prior to October 1, 2020 | |
Class A | 0.85% | 0.86% |
Advisor Class | 0.65 | 0.66 |
Class C | 1.60 | 1.61 |
Institutional Class | 0.65 | 0.66 |
Institutional 2 Class | 0.61 | 0.62 |
Institutional 3 Class | 0.56 | 0.57 |
38 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(2) | 2 | — |
Year Ended May 31, 2021 | Year Ended May 31, 2020 | ||||||
Ordinary income ($) | Tax-exempt income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Tax-exempt income ($) | Long-term capital gains ($) | Total ($) |
91,385 | 25,561,006 | — | 25,652,391 | 622,469 | 32,596,905 | — | 33,219,374 |
Undistributed ordinary income ($) | Undistributed tax- exempt income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
— | 9,684,274 | — | (8,868,171) | 42,076,158 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
717,161,925 | 66,299,648 | (24,223,490) | 42,076,158 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(791,555) | (8,076,616) | (8,868,171) | 5,850,954 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 39 |
May 31, 2021
40 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Columbia High Yield Municipal Fund | Annual Report 2021 | 41 |
May 31, 2021
42 | Columbia High Yield Municipal Fund | Annual Report 2021 |
May 31, 2021
Columbia High Yield Municipal Fund | Annual Report 2021 | 43 |
44 | Columbia High Yield Municipal Fund | Annual Report 2021 |
Exempt- interest dividends | |
99.64% |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 170 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 45 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 170 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 170 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 168 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 168 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 168 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
46 | Columbia High Yield Municipal Fund | Annual Report 2021 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 170 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 170 | Trustee, Catholic Schools Foundation since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2021 | Independent business executive since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 168 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 168 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 168 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
Columbia High Yield Municipal Fund | Annual Report 2021 | 47 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 170 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 170 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 170 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
48 | Columbia High Yield Municipal Fund | Annual Report 2021 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008 - January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 168 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 170 | Director, NAPE Education Foundation, October 2016-October 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees of CFST, CFST I, CFST II, Columbia ETF Trust I, Columbia ETF Trust II, and CFVST II, effective January 1, 2021, and of CFVIT, effective July 1, 2020. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010-December 2014); officer of Columbia Funds and affiliated funds since 2007 | 170 | None |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
(a) | Mr. Petersen serves as the Senior Vice President and Assistant Secretary of the Columbia Funds (since 2021). |
Columbia High Yield Municipal Fund | Annual Report 2021 | 49 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Petersen, who is Senior Vice President and Assistant Secretary, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Daniel J. Beckman 290 Congress Street Boston, MA 02210 1962 | President and Principal Executive Officer (2021) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); officer of Columbia Funds and affiliated funds since 2020. |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President – Pricing and Corporate Actions, May 2010 - March 2017). |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; Chief Compliance Officer, Ameriprise Certificate Company September 2010 – September 2020. |
50 | Columbia High Yield Municipal Fund | Annual Report 2021 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Colin Moore 290 Congress Street Boston, MA 02210 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia High Yield Municipal Fund | Annual Report 2021 | 51 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 86,127,701,985 | 836,188,991 | 0 |
Kathleen Blatz | 86,243,229,991 | 720,660,985 | 0 |
Pamela G. Carlton | 86,264,105,441 | 699,785,535 | 0 |
Janet Langford Carrig | 86,054,199,101 | 909,691,875 | 0 |
J. Kevin Connaughton | 86,079,927,846 | 883,963,131 | 0 |
Olive M. Darragh | 86,229,808,655 | 734,082,321 | 0 |
Patricia M. Flynn | 86,198,477,183 | 765,413,793 | 0 |
Brian J. Gallagher | 86,107,199,569 | 856,691,407 | 0 |
Douglas A. Hacker | 85,856,681,960 | 1,107,209,016 | 0 |
Nancy T. Lukitsh | 86,082,583,872 | 881,307,104 | 0 |
David M. Moffett | 85,916,196,449 | 1,047,694,527 | 0 |
Catherine James Paglia | 86,220,544,249 | 743,346,727 | 0 |
Anthony M. Santomero | 86,032,441,166 | 931,449,811 | 0 |
Minor M. Shaw | 86,027,511,771 | 936,379,205 | 0 |
Natalie A. Trunow | 86,222,277,961 | 741,613,015 | 0 |
Sandra Yeager | 86,214,429,708 | 749,461,268 | 0 |
Christopher O. Petersen | 86,067,188,679 | 896,702,297 | 0 |
52 | Columbia High Yield Municipal Fund | Annual Report 2021 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
May 31, 2021
3 | |
6 | |
8 | |
9 | |
17 | |
19 | |
20 | |
22 | |
26 | |
43 | |
44 | |
44 | |
50 | |
51 |
Average annual total returns (%) (for the period ended May 31, 2021) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class A | Excluding sales charges | 06/19/12 | 19.17 | 8.72 | 6.13 |
Including sales charges | 12.27 | 7.44 | 5.43 | ||
Advisor Class* | 10/01/14 | 19.38 | 8.99 | 6.33 | |
Class C | Excluding sales charges | 06/19/12 | 18.14 | 7.90 | 5.33 |
Including sales charges | 17.14 | 7.90 | 5.33 | ||
Institutional Class | 06/19/12 | 19.40 | 8.97 | 6.39 | |
Institutional 2 Class | 06/19/12 | 19.38 | 8.98 | 6.43 | |
Institutional 3 Class* | 10/01/14 | 19.53 | 9.07 | 6.40 | |
Class R | 06/19/12 | 18.82 | 8.46 | 5.88 | |
Modified Blended Benchmark | 25.83 | 9.88 | 8.06 | ||
New Blended Benchmark | 22.21 | 10.15 | 9.26 | ||
FTSE Three-Month U.S. Treasury Bill Index | 0.09 | 1.14 | 0.67 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class A shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 3 |
4 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
Portfolio breakdown (%) (at May 31, 2021) | |
Alternative Strategies Funds | 8.8 |
Common Stocks | 7.0 |
Foreign Government Obligations | 13.0 |
Inflation-Indexed Bonds | 15.0 |
Money Market Funds(a) | 33.5 |
Multi-Asset/Tactical Strategies Funds | 0.2 |
Residential Mortgage-Backed Securities - Agency | 5.1 |
U.S. Treasury Obligations | 17.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds (amounting to $1.4 billion) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
Market exposure by asset class categories (%)(a) (at May 31, 2021) | |
Equity Assets | 44.2 |
Inflation-Hedging Assets | 23.8 |
Spread Assets | 34.1 |
Interest Rate Assets | 49.4 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 5 |
• | The Fund swiftly reduced exposure to equities during the latter part of first quarter 2020, during the COVID-19 pandemic-related market sell-off. However, while this de-risking meaningfully benefited shareholders in early 2020, the market state classification used by the Fund was slow to re-risk portfolio exposures, and this led to some detraction of relative performance versus traditional capital allocated 60/40 in blended benchmarks. |
• | More recently, during the first quarter of 2021, swift upside pressure on medium-to-long-dated U.S. Treasury bond yields also hurt the Fund’s relative returns. |
6 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
• | An underweight allocation to investment-grade corporate bonds served as a slight detractor of relative performance versus core sovereign/government sponsored debt which makes up a sizable portion of the fixed-income benchmark allocation. |
• | From a tactical standpoint, portfolio performance was driven favorably by overweight allocations to small-cap equity, emerging markets equity, U.S. equity, commodities, and high-yield corporate bonds. (Overweight allocations are in relation to neutral policy portfolio positioning and may not necessarily correspond to relative positioning versus a passive 60/40 blended benchmark.) |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 7 |
(Unaudited)
December 1, 2020 — May 31, 2021 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,073.30 | 1,019.62 | 5.08 | 4.95 | 1.00 |
Advisor Class | 1,000.00 | 1,000.00 | 1,074.60 | 1,020.84 | 3.82 | 3.72 | 0.75 |
Class C | 1,000.00 | 1,000.00 | 1,069.50 | 1,015.94 | 8.88 | 8.65 | 1.75 |
Institutional Class | 1,000.00 | 1,000.00 | 1,073.80 | 1,020.84 | 3.81 | 3.72 | 0.75 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,074.90 | 1,020.79 | 3.87 | 3.77 | 0.76 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,075.50 | 1,020.99 | 3.66 | 3.57 | 0.72 |
Class R | 1,000.00 | 1,000.00 | 1,071.80 | 1,018.39 | 6.35 | 6.19 | 1.25 |
8 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Alternative Strategies Funds 8.8% | ||
Shares | Value ($) | |
Columbia Commodity Strategy Fund, Institutional 3 Class(a) | 17,404,684 | 373,852,606 |
Total Alternative Strategies Funds (Cost $285,844,124) | 373,852,606 | |
Common Stocks 7.0% | ||
Issuer | Shares | Value ($) |
Consumer Discretionary 0.1% | ||
Hotels, Restaurants & Leisure 0.1% | ||
Marriott International, Inc., Class A(b) | 27,211 | 3,906,955 |
Total Consumer Discretionary | 3,906,955 | |
Real Estate 6.9% | ||
Equity Real Estate Investment Trusts (REITS) 6.9% | ||
Alexandria Real Estate Equities, Inc. | 85,089 | 15,167,965 |
American Homes 4 Rent, Class A | 280,254 | 10,669,270 |
American Tower Corp. | 41,822 | 10,683,848 |
Americold Realty Trust | 168,288 | 6,398,310 |
AvalonBay Communities, Inc. | 64,460 | 13,339,352 |
Camden Property Trust | 50,649 | 6,350,372 |
Centerspace | 77,601 | 5,524,415 |
Coresite Realty Corp. | 46,688 | 5,660,920 |
Corporate Office Properties Trust | 136,968 | 3,780,317 |
CyrusOne, Inc. | 27,804 | 2,050,545 |
Duke Realty Corp. | 294,527 | 13,683,724 |
Equinix, Inc. | 26,024 | 19,172,401 |
Equity LifeStyle Properties, Inc. | 204,717 | 14,506,247 |
Extra Space Storage, Inc. | 60,383 | 9,045,977 |
Federal Realty Investment Trust | 113,047 | 12,925,794 |
First Industrial Realty Trust, Inc. | 237,081 | 12,005,782 |
Four Corners Property Trust, Inc. | 100,772 | 2,797,431 |
Gaming and Leisure Properties, Inc. | 268,910 | 12,466,668 |
Healthpeak Properties, Inc. | 233,047 | 7,779,109 |
Highwoods Properties, Inc. | 120,305 | 5,495,532 |
Host Hotels & Resorts, Inc.(b) | 526,357 | 9,037,550 |
Invitation Homes, Inc. | 378,218 | 13,717,967 |
Life Storage, Inc. | 117,624 | 11,696,530 |
Medical Properties Trust, Inc. | 443,939 | 9,398,189 |
National Storage Affiliates Trust | 103,098 | 4,752,818 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Prologis, Inc. | 108,162 | 12,745,810 |
SITE Centers Corp. | 235,877 | 3,531,079 |
STORE Capital Corp. | 309,123 | 10,633,831 |
Sun Communities, Inc. | 50,468 | 8,449,352 |
Tanger Factory Outlet Centers, Inc. | 309,968 | 5,433,739 |
Welltower, Inc. | 220,099 | 16,456,802 |
Total | 295,357,646 | |
Total Real Estate | 295,357,646 | |
Total Common Stocks (Cost $246,700,743) | 299,264,601 |
Foreign Government Obligations(c),(d) 13.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.2% | ||||
Canadian Government Bond | ||||
06/01/2028 | 2.000% | CAD | 10,108,000 | 8,833,191 |
Chile 1.2% | ||||
Bonos de la Tesoreria de la Republica en pesos | ||||
03/01/2026 | 4.500% | CLP | 22,545,000,000 | 34,022,977 |
Bonos de la Tesoreria de la Republica en pesos(e) | ||||
09/01/2030 | 4.700% | CLP | 11,315,000,000 | 16,770,251 |
Total | 50,793,228 | |||
China 0.8% | ||||
China Government Bond | ||||
11/21/2029 | 3.130% | CNY | 66,950,000 | 10,525,681 |
05/21/2030 | 2.680% | CNY | 164,000,000 | 24,834,052 |
Total | 35,359,733 | |||
France 1.3% | ||||
French Republic Government Bond OAT(e) | ||||
10/25/2027 | 2.750% | EUR | 10,316,000 | 15,043,833 |
11/25/2028 | 0.750% | EUR | 4,674,000 | 6,081,523 |
05/25/2045 | 3.250% | EUR | 464 | 874 |
French Republic Government Bond OAT(e),(f) | ||||
11/25/2030 | 0.000% | EUR | 28,476,000 | 34,470,459 |
Total | 55,596,689 | |||
Indonesia 0.3% | ||||
Indonesia Treasury Bond | ||||
09/15/2030 | 7.000% | IDR | 173,838,000,000 | 12,634,062 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 9 |
May 31, 2021
Foreign Government Obligations(c),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Italy 0.1% | ||||
Italy Buoni Poliennali Del Tesoro(e) | ||||
03/01/2047 | 2.700% | EUR | 3,517,000 | 5,089,682 |
Japan 2.9% | ||||
Japan Government 20-Year Bond | ||||
06/20/2032 | 1.500% | JPY | 23,300,000 | 243,941 |
09/20/2037 | 0.600% | JPY | 549,150,000 | 5,212,053 |
06/20/2039 | 0.300% | JPY | 692,250,000 | 6,191,844 |
12/20/2039 | 0.300% | JPY | 195,950,000 | 1,745,813 |
06/20/2040 | 0.400% | JPY | 4,048,000,000 | 36,631,564 |
Japan Government 30-Year Bond | ||||
03/20/2037 | 2.400% | JPY | 288,250,000 | 3,468,969 |
03/20/2047 | 0.800% | JPY | 604,150,000 | 5,780,972 |
06/20/2047 | 0.800% | JPY | 337,300,000 | 3,223,873 |
09/20/2047 | 0.800% | JPY | 594,800,000 | 5,680,834 |
03/20/2048 | 0.800% | JPY | 585,450,000 | 5,585,234 |
03/20/2049 | 0.500% | JPY | 354,700,000 | 3,123,037 |
06/20/2049 | 0.400% | JPY | 595,200,000 | 5,092,145 |
12/20/2049 | 0.400% | JPY | 136,600,000 | 1,163,326 |
06/20/2050 | 0.600% | JPY | 4,252,000,000 | 38,104,324 |
09/20/2050 | 0.600% | JPY | 377,000,000 | 3,374,004 |
Total | 124,621,933 | |||
Mexico 1.4% | ||||
Mexican Bonos | ||||
05/31/2029 | 8.500% | MXN | 558,663,300 | 31,525,614 |
Mexico Government International Bond | ||||
05/29/2031 | 7.750% | MXN | 491,600,000 | 26,590,649 |
Total | 58,116,263 | |||
New Zealand 1.0% | ||||
New Zealand Government Bond | ||||
05/15/2031 | 1.500% | NZD | 58,254,000 | 40,823,100 |
South Africa 1.4% | ||||
Republic of South Africa Government Bond | ||||
12/21/2026 | 10.500% | ZAR | 265,148,000 | 21,968,172 |
01/31/2030 | 8.000% | ZAR | 533,227,000 | 36,572,311 |
Total | 58,540,483 | |||
South Korea 1.1% | ||||
Korea Treasury Bond | ||||
12/10/2028 | 2.375% | KRW | 17,210,000,000 | 16,001,204 |
06/10/2029 | 1.875% | KRW | 16,731,000,000 | 14,953,949 |
06/10/2030 | 1.375% | KRW | 17,600,000,000 | 14,933,599 |
Total | 45,888,752 |
Foreign Government Obligations(c),(d) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Spain 0.5% | ||||
Spain Government Bond(e) | ||||
04/30/2029 | 1.450% | EUR | 6,354,000 | 8,504,607 |
04/30/2030 | 0.500% | EUR | 6,006,000 | 7,431,141 |
07/30/2041 | 4.700% | EUR | 2,868,000 | 5,739,558 |
Total | 21,675,306 | |||
United Kingdom 0.8% | ||||
United Kingdom Gilt(e) | ||||
10/22/2028 | 1.625% | GBP | 10,885,000 | 16,599,587 |
06/07/2032 | 4.250% | GBP | 5,928,000 | 11,341,493 |
01/22/2045 | 3.500% | GBP | 3,257,133 | 6,706,499 |
Total | 34,647,579 | |||
Total Foreign Government Obligations (Cost $533,619,989) | 552,620,001 | |||
Inflation-Indexed Bonds(c) 15.0% | ||||
Australia 0.4% | ||||
Australia Government Bond(e) | ||||
11/21/2027 | 0.750% | AUD | 4,233,705 | 3,643,947 |
08/21/2035 | 2.000% | AUD | 3,409,911 | 3,424,145 |
08/21/2040 | 1.250% | AUD | 2,091,042 | 1,924,654 |
Australia Government Index-Linked Bond(e) | ||||
09/20/2025 | 3.000% | AUD | 10,064,326 | 9,335,684 |
Total | 18,328,430 | |||
Brazil 0.1% | ||||
Brazil Notas do Tesouro Nacional Serie B | ||||
08/15/2026 | 6.000% | BRL | 19,833,937 | 4,325,447 |
Canada 0.9% | ||||
Canadian Government Real Return Bond | ||||
12/01/2026 | 4.250% | CAD | 17,369,694 | 18,833,935 |
12/01/2031 | 4.000% | CAD | 7,729,168 | 9,453,103 |
12/01/2036 | 3.000% | CAD | 5,266,069 | 6,432,573 |
12/01/2041 | 2.000% | CAD | 4,741,020 | 5,400,759 |
Total | 40,120,370 | |||
France 0.9% | ||||
France Government Bond OAT(e) | ||||
07/25/2030 | 0.700% | EUR | 7,933,036 | 11,710,713 |
07/25/2032 | 3.150% | EUR | 5,651,652 | 10,628,402 |
French Republic Government Bond OAT(e) | ||||
07/25/2024 | 0.250% | EUR | 7,753,600 | 10,169,793 |
07/25/2040 | 1.800% | EUR | 1,949,432 | 3,766,346 |
Total | 36,275,254 |
10 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Inflation-Indexed Bonds(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Italy 0.3% | ||||
Italy Buoni Poliennali Del Tesoro(e) | ||||
09/15/2026 | 3.100% | EUR | 3,168,246 | 4,754,291 |
05/15/2028 | 1.300% | EUR | 2,756,382 | 3,843,274 |
09/15/2035 | 2.350% | EUR | 972,524 | 1,607,225 |
09/15/2041 | 2.550% | EUR | 675,841 | 1,226,914 |
Total | 11,431,704 | |||
Japan 0.6% | ||||
Japanese Government CPI-Linked Bond | ||||
03/10/2026 | 0.100% | JPY | 800,466,160 | 7,426,354 |
03/10/2027 | 0.100% | JPY | 1,531,328,218 | 14,220,975 |
03/10/2028 | 0.100% | JPY | 252,417,500 | 2,352,155 |
Total | 23,999,484 | |||
Mexico 0.3% | ||||
Mexican Udibonos | ||||
11/30/2028 | 4.000% | MXN | 232,937,739 | 13,057,905 |
New Zealand 0.2% | ||||
New Zealand Government Inflation-Linked Bond(e) | ||||
09/20/2030 | 3.000% | NZD | 7,497,858 | 6,973,897 |
09/20/2035 | 2.500% | NZD | 3,114,112 | 2,869,393 |
Total | 9,843,290 | |||
South Africa 0.1% | ||||
Republic of South Africa Government Bond - CPI Linked | ||||
12/31/2050 | 2.500% | ZAR | 83,807,735 | 4,440,306 |
United Kingdom 4.6% | ||||
United Kingdom Gilt Inflation-Linked Bond(e) | ||||
03/22/2024 | 0.125% | GBP | 8,641,674 | 13,541,034 |
03/22/2029 | 0.125% | GBP | 12,332,828 | 21,981,698 |
03/22/2034 | 0.750% | GBP | 9,111,575 | 19,322,272 |
11/22/2037 | 1.125% | GBP | 9,882,886 | 24,166,452 |
03/22/2044 | 0.125% | GBP | 10,429,099 | 25,050,690 |
03/22/2052 | 0.250% | GBP | 12,978,630 | 37,389,653 |
11/22/2056 | 0.125% | GBP | 8,674,100 | 26,747,909 |
11/22/2065 | 0.125% | GBP | 4,873,372 | 18,353,114 |
03/22/2068 | 0.125% | GBP | 2,253,737 | 9,156,123 |
Total | 195,708,945 | |||
United States 6.6% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
01/15/2022 | 0.125% | 23,654,105 | 24,239,880 | |
01/15/2024 | 0.625% | 46,787,296 | 50,830,258 | |
01/15/2025 | 0.250% | 34,655,225 | 37,883,754 | |
07/15/2027 | 0.375% | 23,394,570 | 26,338,650 | |
01/15/2028 | 0.500% | 21,898,752 | 24,773,858 | |
07/15/2028 | 0.750% | 12,534,841 | 14,490,969 | |
01/15/2029 | 0.875% | 20,270,784 | 23,615,750 | |
07/15/2029 | 0.250% | 17,348,590 | 19,398,123 | |
07/15/2030 | 0.125% | 8,747,440 | 9,673,657 |
Inflation-Indexed Bonds(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
04/15/2032 | 3.375% | 7,214,668 | 10,682,791 | |
02/15/2042 | 0.750% | 9,599,869 | 11,477,359 | |
02/15/2043 | 0.625% | 9,284,083 | 10,842,064 | |
02/15/2045 | 0.750% | 7,303,083 | 8,773,393 | |
02/15/2048 | 1.000% | 7,844,407 | 10,143,872 | |
Total | 283,164,378 | |||
Total Inflation-Indexed Bonds (Cost $567,790,056) | 640,695,513 |
Multi-Asset/Tactical Strategies Funds 0.2% | ||
Shares | Value ($) | |
Columbia Solutions Aggressive Portfolio(a) | 97,416 | 1,244,985 |
Columbia Solutions Conservative Portfolio(a) | 629,542 | 6,754,982 |
Total Multi-Asset/Tactical Strategies Funds (Cost $7,827,906) | 7,999,967 |
Residential Mortgage-Backed Securities - Agency 5.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association TBA(g) | ||||
06/21/2051 | 3.000% | 18,750,000 | 19,561,523 | |
06/21/2051 | 3.500% | 19,050,000 | 20,009,569 | |
06/21/2051 | 4.000% | 16,520,000 | 17,524,106 | |
Uniform Mortgage-Backed Security TBA(g) | ||||
06/17/2036 | 2.500% | 12,248,328 | 12,787,542 | |
06/17/2036- 06/14/2051 | 3.000% | 33,300,000 | 34,840,782 | |
06/14/2051 | 3.500% | 32,230,000 | 34,019,646 | |
06/14/2051 | 4.000% | 36,000,000 | 38,456,719 | |
06/14/2051 | 4.500% | 37,800,000 | 40,786,348 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $218,687,232) | 217,986,235 | |||
U.S. Treasury Obligations 17.3% | ||||
U.S. Treasury | ||||
08/31/2026 | 1.375% | 22,249,000 | 22,850,418 | |
08/15/2027 | 2.250% | 32,673,000 | 34,988,189 | |
11/15/2027 | 2.250% | 31,548,000 | 33,768,684 | |
08/15/2028 | 2.875% | 79,203,500 | 87,990,138 | |
11/15/2028 | 3.125% | 26,771,100 | 30,230,428 | |
05/15/2029 | 2.375% | 26,004,000 | 27,950,237 | |
08/15/2029 | 1.625% | 100,050,500 | 101,723,219 | |
11/15/2029 | 1.750% | 25,254,000 | 25,901,134 | |
02/15/2030 | 1.500% | 24,906,000 | 24,956,590 | |
08/15/2030 | 0.625% | 171,228,000 | 157,877,567 | |
11/15/2030 | 0.875% | 90,496,000 | 85,151,080 | |
02/15/2031 | 1.125% | 109,937,000 | 105,505,165 | |
Total U.S. Treasury Obligations (Cost $761,080,335) | 738,892,849 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 11 |
May 31, 2021
Money Market Funds 33.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.042%(a),(h) | 1,427,334,117 | 1,427,191,383 |
Total Money Market Funds (Cost $1,427,204,149) | 1,427,191,383 | |
Total Investments in Securities (Cost: $4,048,754,534) | 4,258,503,155 | |
Other Assets & Liabilities, Net | 9,353,833 | |
Net Assets | 4,267,856,988 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
68,622,000 CNY | 10,531,914 USD | Citi | 06/11/2021 | — | (242,773) |
142,000,000,000 IDR | 9,726,694 USD | Citi | 06/11/2021 | — | (202,372) |
28,432,034,000 KRW | 25,395,041 USD | Citi | 06/11/2021 | — | (106,617) |
741,000 MXN | 37,137 USD | Citi | 06/11/2021 | — | (26) |
26,660,000 ZAR | 1,892,964 USD | Citi | 06/11/2021 | — | (39,241) |
36,900,030,000 CLP | 51,862,305 USD | Goldman Sachs International | 06/11/2021 | 935,319 | — |
76,658,420,000 IDR | 5,250,936 USD | Goldman Sachs International | 06/11/2021 | — | (109,250) |
149,389,097 GBP | 207,187,557 USD | HSBC | 06/11/2021 | — | (4,820,732) |
26,176,435,280 JPY | 242,555,891 USD | HSBC | 06/11/2021 | 4,213,977 | — |
1,461,099,000 MXN | 73,242,098 USD | HSBC | 06/11/2021 | — | (37,253) |
31,999,000 NOK | 3,849,360 USD | HSBC | 06/11/2021 | 23,031 | — |
70,906,000 NZD | 50,986,122 USD | HSBC | 06/11/2021 | — | (376,904) |
53,000 PLN | 14,038 USD | HSBC | 06/11/2021 | — | (378) |
436,807,000 SEK | 52,071,844 USD | HSBC | 06/11/2021 | — | (533,026) |
4,798,000 SGD | 3,613,635 USD | HSBC | 06/11/2021 | — | (14,260) |
41,904,430 USD | 348,205,000 NOK | HSBC | 06/11/2021 | — | (267,294) |
40,415,639 USD | 339,325,000 SEK | HSBC | 06/11/2021 | 449,428 | — |
724,565,000 ZAR | 50,448,439 USD | HSBC | 06/11/2021 | — | (2,065,008) |
115,397,000 AUD | 89,265,362 USD | Morgan Stanley | 06/11/2021 | 302,000 | — |
112,724,000 CAD | 90,896,252 USD | Morgan Stanley | 06/11/2021 | — | (2,413,296) |
108,811,000 CHF | 119,087,638 USD | Morgan Stanley | 06/11/2021 | — | (1,908,942) |
54,971,000 DKK | 8,932,103 USD | Morgan Stanley | 06/11/2021 | — | (83,395) |
1,202,000 EUR | 1,468,640 USD | Morgan Stanley | 06/11/2021 | 2,605 | — |
217,141,300 EUR | 262,378,139 USD | Morgan Stanley | 06/11/2021 | — | (2,460,996) |
51,841,000 GBP | 71,792,532 USD | Morgan Stanley | 06/11/2021 | — | (1,778,578) |
80,410,000 HKD | 10,362,151 USD | Morgan Stanley | 06/11/2021 | 1,023 | — |
40,493,468 USD | 52,151,000 AUD | Morgan Stanley | 06/11/2021 | — | (288,538) |
41,265,099 USD | 51,571,000 CAD | Morgan Stanley | 06/11/2021 | 1,423,829 | — |
42,147,264 USD | 38,283,000 CHF | Morgan Stanley | 06/11/2021 | 422,992 | — |
176,340,000 ZAR | 12,284,222 USD | Morgan Stanley | 06/11/2021 | — | (496,166) |
23,334,000 BRL | 4,268,982 USD | Standard Chartered | 06/11/2021 | — | (204,371) |
159,739,000 CNY | 24,516,768 USD | Standard Chartered | 06/11/2021 | — | (564,659) |
22,705,072,000 KRW | 20,368,774 USD | Standard Chartered | 06/11/2021 | 3,823 | — |
Total | 7,778,027 | (19,014,075) |
12 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian 10-Year Bond | 980 | 06/2021 | AUD | 137,370,304 | 1,521,549 | — |
Canadian Government 10-Year Bond | 732 | 09/2021 | CAD | 105,591,000 | 90,797 | — |
Euro Buxl | 41 | 06/2021 | EUR | 8,240,180 | — | (383,562) |
Euro-BTP | 245 | 06/2021 | EUR | 36,098,300 | — | (365,945) |
Euro-Bund | 77 | 06/2021 | EUR | 13,085,380 | — | (138,777) |
Euro-OAT | 346 | 06/2021 | EUR | 55,505,320 | — | (732,911) |
Long Gilt | 534 | 09/2021 | GBP | 67,951,500 | — | (92,020) |
MSCI EAFE Index | 3,354 | 06/2021 | USD | 391,914,900 | 22,568,415 | — |
MSCI Emerging Markets Index | 3,451 | 06/2021 | USD | 234,823,295 | 4,672,103 | — |
Russell 2000 Index E-mini | 368 | 06/2021 | USD | 41,742,240 | — | (1,480,855) |
S&P 500 Index E-mini | 4,118 | 06/2021 | USD | 865,274,160 | 55,499,308 | — |
S&P/TSX 60 Index | 226 | 06/2021 | CAD | 53,688,560 | 2,754,926 | — |
U.S. Long Bond | 321 | 09/2021 | USD | 50,246,531 | 353,199 | — |
U.S. Treasury 10-Year Note | 1,475 | 09/2021 | USD | 194,607,813 | 503,860 | — |
U.S. Treasury 5-Year Note | 238 | 09/2021 | USD | 29,476,672 | 49,715 | — |
U.S. Ultra Bond 10-Year Note | 799 | 09/2021 | USD | 115,817,547 | 521,778 | — |
Total | 88,535,650 | (3,194,070) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX Emerging Markets Index, Series 35 | Morgan Stanley | 06/20/2026 | 1.000 | Quarterly | 1.601 | USD | 346,310,000 | 2,051,231 | — | — | 2,051,231 | — |
Markit CDX North America High Yield Index, Series 36 | Morgan Stanley | 06/20/2026 | 5.000 | Quarterly | 2.869 | USD | 685,376,000 | 15,060,873 | — | — | 15,060,873 | — |
Markit CDX North America Investment Grade Index, Series 36 | Morgan Stanley | 06/20/2026 | 1.000 | Quarterly | 0.507 | USD | 204,310,000 | 1,104,970 | — | — | 1,104,970 | — |
Total | 18,217,074 | — | — | 18,217,074 | — |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 13 |
May 31, 2021
(a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Commodity Strategy Fund, Institutional 3 Class | |||||||||
158,710,946 | 305,548,299 | (184,737,085) | 94,330,446 | 373,852,606 | — | 24,727,915 | 480,299 | 17,404,684 | |
Columbia Short-Term Cash Fund, 0.042% | |||||||||
1,221,418,023 | 4,437,502,328 | (4,231,569,708) | (159,260) | 1,427,191,383 | — | (72,830) | 1,674,291 | 1,427,334,117 | |
Columbia Solutions Aggressive Portfolio | |||||||||
— | 1,135,878 | — | 109,107 | 1,244,985 | — | — | — | 97,416 | |
Columbia Solutions Conservative Portfolio | |||||||||
— | 6,692,028 | — | 62,954 | 6,754,982 | — | — | — | 629,542 | |
Total | 1,380,128,969 | 94,343,247 | 1,809,043,956 | — | 24,655,085 | 2,154,590 |
(b) | Non-income producing investment. |
(c) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(d) | Principal and interest may not be guaranteed by a governmental entity. |
(e) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2021, the total value of these securities amounted to $405,367,130, which represents 9.50% of total net assets. |
(f) | Zero coupon bond. |
(g) | Represents a security purchased on a when-issued basis. |
(h) | The rate shown is the seven-day current annualized yield at May 31, 2021. |
TBA | To Be Announced |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | China Yuan Renminbi |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
14 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
ZAR | South African Rand |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | 373,852,606 | — | — | — | 373,852,606 |
Common Stocks | |||||
Consumer Discretionary | 3,906,955 | — | — | — | 3,906,955 |
Real Estate | 295,357,646 | — | — | — | 295,357,646 |
Total Common Stocks | 299,264,601 | — | — | — | 299,264,601 |
Foreign Government Obligations | — | 552,620,001 | — | — | 552,620,001 |
Inflation-Indexed Bonds | — | 640,695,513 | — | — | 640,695,513 |
Multi-Asset/Tactical Strategies Funds | — | — | — | 7,999,967 | 7,999,967 |
Residential Mortgage-Backed Securities - Agency | — | 217,986,235 | — | — | 217,986,235 |
U.S. Treasury Obligations | 738,892,849 | — | — | — | 738,892,849 |
Money Market Funds | 1,427,191,383 | — | — | — | 1,427,191,383 |
Total Investments in Securities | 2,839,201,439 | 1,411,301,749 | — | 7,999,967 | 4,258,503,155 |
Investments in Derivatives |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 15 |
May 31, 2021
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 7,778,027 | — | — | 7,778,027 |
Futures Contracts | 88,535,650 | — | — | — | 88,535,650 |
Swap Contracts | — | 18,217,074 | — | — | 18,217,074 |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (19,014,075) | — | — | (19,014,075) |
Futures Contracts | (3,194,070) | — | — | — | (3,194,070) |
Total | 2,924,543,019 | 1,418,282,775 | — | 7,999,967 | 4,350,825,761 |
16 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,327,878,355) | $2,449,459,199 |
Affiliated issuers (cost $1,720,876,179) | 1,809,043,956 |
Foreign currency (cost $9,522,777) | 9,667,072 |
Cash collateral held at broker for: | |
Forward foreign currency exchange contracts | 530,000 |
TBA | 467,000 |
Margin deposits on: | |
Futures contracts | 104,492,983 |
Swap contracts | 108,138,888 |
Unrealized appreciation on forward foreign currency exchange contracts | 7,778,027 |
Receivable for: | |
Capital shares sold | 7,103,731 |
Dividends | 260,685 |
Interest | 9,841,368 |
Foreign tax reclaims | 116,591 |
Variation margin for futures contracts | 3,846,572 |
Variation margin for swap contracts | 957,990 |
Prepaid expenses | 52,299 |
Trustees’ deferred compensation plan | 137,945 |
Total assets | 4,511,894,306 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 19,014,075 |
Payable for: | |
Investments purchased on a delayed delivery basis | 218,997,704 |
Capital shares purchased | 4,969,190 |
Variation margin for futures contracts | 555,816 |
Management services fees | 77,467 |
Distribution and/or service fees | 4,302 |
Transfer agent fees | 149,964 |
Compensation of board members | 13,850 |
Compensation of chief compliance officer | 192 |
Other expenses | 116,813 |
Trustees’ deferred compensation plan | 137,945 |
Total liabilities | 244,037,318 |
Net assets applicable to outstanding capital stock | $4,267,856,988 |
Represented by | |
Paid in capital | 3,743,273,914 |
Total distributable earnings (loss) | 524,583,074 |
Total - representing net assets applicable to outstanding capital stock | $4,267,856,988 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 17 |
May 31, 2021
Class A | |
Net assets | $175,014,535 |
Shares outstanding | 14,465,780 |
Net asset value per share | $12.10 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $12.84 |
Advisor Class | |
Net assets | $61,716,476 |
Shares outstanding | 5,090,878 |
Net asset value per share | $12.12 |
Class C | |
Net assets | $113,244,957 |
Shares outstanding | 9,786,643 |
Net asset value per share | $11.57 |
Institutional Class | |
Net assets | $3,831,565,339 |
Shares outstanding | 316,293,933 |
Net asset value per share | $12.11 |
Institutional 2 Class | |
Net assets | $64,418,152 |
Shares outstanding | 5,303,029 |
Net asset value per share | $12.15 |
Institutional 3 Class | |
Net assets | $21,369,378 |
Shares outstanding | 1,758,029 |
Net asset value per share | $12.16 |
Class R | |
Net assets | $528,151 |
Shares outstanding | 44,133 |
Net asset value per share | $11.97 |
18 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
Year Ended May 31, 2021
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $7,872,462 |
Dividends — affiliated issuers | 2,154,590 |
Interest | 26,132,273 |
Foreign taxes withheld | (355,731) |
Total income | 35,803,594 |
Expenses: | |
Management services fees | 25,630,626 |
Distribution and/or service fees | |
Class A | 398,746 |
Class C | 1,047,902 |
Class R | 2,248 |
Transfer agent fees | |
Class A | 76,298 |
Advisor Class | 23,756 |
Class C | 50,135 |
Institutional Class | 1,636,032 |
Institutional 2 Class | 30,846 |
Institutional 3 Class | 2,331 |
Class R | 215 |
Compensation of board members | 71,660 |
Custodian fees | 231,478 |
Printing and postage fees | 111,914 |
Registration fees | 271,385 |
Audit fees | 49,500 |
Legal fees | 78,429 |
Interest on collateral | 124,890 |
Compensation of chief compliance officer | 1,165 |
Other | 118,694 |
Total expenses | 29,958,250 |
Net investment income | 5,845,344 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 34,591,457 |
Investments — affiliated issuers | 24,655,085 |
Foreign currency translations | 1,949,519 |
Forward foreign currency exchange contracts | (106,345,999) |
Futures contracts | 423,653,580 |
Swap contracts | 85,412,648 |
Net realized gain | 463,916,290 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 58,656,389 |
Investments — affiliated issuers | 94,343,247 |
Foreign currency translations | 232,552 |
Forward foreign currency exchange contracts | 9,741,782 |
Futures contracts | 30,117,333 |
Swap contracts | 3,567,452 |
Net change in unrealized appreciation (depreciation) | 196,658,755 |
Net realized and unrealized gain | 660,575,045 |
Net increase in net assets resulting from operations | $666,420,389 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 19 |
Year Ended May 31, 2021 | Year Ended May 31, 2020 | |
Operations | ||
Net investment income | $5,845,344 | $28,628,287 |
Net realized gain | 463,916,290 | 30,429,226 |
Net change in unrealized appreciation (depreciation) | 196,658,755 | 107,869,576 |
Net increase in net assets resulting from operations | 666,420,389 | 166,927,089 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (1,548,063) | (9,500,451) |
Advisor Class | (1,159,036) | (2,950,003) |
Class C | (616,774) | (6,518,987) |
Institutional Class | (75,347,293) | (193,500,858) |
Institutional 2 Class | (1,180,953) | (2,241,416) |
Institutional 3 Class | (435,933) | (1,052,791) |
Class R | (2,542) | (24,678) |
Total distributions to shareholders | (80,290,594) | (215,789,184) |
Increase in net assets from capital stock activity | 505,297,035 | 325,270,491 |
Total increase in net assets | 1,091,426,830 | 276,408,396 |
Net assets at beginning of year | 3,176,430,158 | 2,900,021,762 |
Net assets at end of year | $4,267,856,988 | $3,176,430,158 |
20 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
Year Ended | Year Ended | |||
May 31, 2021 | May 31, 2020 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 3,511,911 | 39,359,283 | 3,643,924 | 38,491,878 |
Distributions reinvested | 129,351 | 1,481,063 | 870,313 | 9,242,723 |
Redemptions | (2,932,206) | (33,082,610) | (2,263,188) | (23,881,177) |
Net increase | 709,056 | 7,757,736 | 2,251,049 | 23,853,424 |
Advisor Class | ||||
Subscriptions | 3,605,975 | 41,235,461 | 2,138,940 | 22,909,172 |
Distributions reinvested | 101,116 | 1,158,793 | 274,751 | 2,948,085 |
Redemptions | (2,600,008) | (29,970,824) | (1,312,832) | (13,787,328) |
Net increase | 1,107,083 | 12,423,430 | 1,100,859 | 12,069,929 |
Class C | ||||
Subscriptions | 1,740,304 | 18,919,109 | 1,727,484 | 17,550,503 |
Distributions reinvested | 54,694 | 601,087 | 623,361 | 6,376,981 |
Redemptions | (1,666,684) | (18,196,912) | (2,107,898) | (21,508,517) |
Net increase | 128,314 | 1,323,284 | 242,947 | 2,418,967 |
Institutional Class | ||||
Subscriptions | 99,516,165 | 1,122,158,944 | 71,682,680 | 759,486,708 |
Distributions reinvested | 6,403,075 | 73,315,210 | 17,517,511 | 187,787,720 |
Redemptions | (64,186,723) | (733,957,702) | (62,974,993) | (679,443,998) |
Net increase | 41,732,517 | 461,516,452 | 26,225,198 | 267,830,430 |
Institutional 2 Class | ||||
Subscriptions | 4,384,916 | 50,120,358 | 2,778,130 | 29,854,974 |
Distributions reinvested | 102,870 | 1,180,952 | 208,483 | 2,241,198 |
Redemptions | (2,922,457) | (33,482,213) | (1,368,060) | (14,372,694) |
Net increase | 1,565,329 | 17,819,097 | 1,618,553 | 17,723,478 |
Institutional 3 Class | ||||
Subscriptions | 481,381 | 5,302,208 | 158,518 | 1,727,852 |
Distributions reinvested | 37,934 | 435,867 | 97,734 | 1,052,591 |
Redemptions | (121,776) | (1,372,157) | (128,981) | (1,351,365) |
Net increase | 397,539 | 4,365,918 | 127,271 | 1,429,078 |
Class R | ||||
Subscriptions | 10,730 | 117,004 | 4,351 | 46,482 |
Distributions reinvested | 223 | 2,525 | 2,331 | 24,474 |
Redemptions | (2,663) | (28,411) | (11,908) | (125,771) |
Net increase (decrease) | 8,290 | 91,118 | (5,226) | (54,815) |
Total net increase | 45,648,128 | 505,297,035 | 31,560,651 | 325,270,491 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 21 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Increase from payment by affiliate | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class A | ||||||||
Year Ended 5/31/2021 | $10.25 | (0.01) | 1.97 | — | 1.96 | (0.04) | (0.07) | (0.11) |
Year Ended 5/31/2020 | $10.44 | 0.08 | 0.51 | — | 0.59 | (0.26) | (0.52) | (0.78) |
Year Ended 5/31/2019 | $10.81 | 0.20 | 0.01 | — | 0.21 | (0.35) | (0.23) | (0.58) |
Year Ended 5/31/2018 | $10.83 | 0.04 | 0.72 | — | 0.76 | — | (0.78) | (0.78) |
Year Ended 5/31/2017 | $10.01 | (0.01) | 1.03 | 0.00(e) | 1.02 | (0.10) | (0.10) | (0.20) |
Advisor Class | ||||||||
Year Ended 5/31/2021 | $10.37 | 0.02 | 1.98 | — | 2.00 | (0.10) | (0.15) | (0.25) |
Year Ended 5/31/2020 | $10.55 | 0.10 | 0.53 | — | 0.63 | (0.29) | (0.52) | (0.81) |
Year Ended 5/31/2019 | $10.92 | 0.23 | 0.01 | — | 0.24 | (0.38) | (0.23) | (0.61) |
Year Ended 5/31/2018 | $10.92 | 0.07 | 0.71 | — | 0.78 | (0.00)(e) | (0.78) | (0.78) |
Year Ended 5/31/2017 | $10.08 | 0.02 | 1.05 | 0.00(e) | 1.07 | (0.13) | (0.10) | (0.23) |
Class C | ||||||||
Year Ended 5/31/2021 | $9.85 | (0.09) | 1.87 | — | 1.78 | — | (0.06) | (0.06) |
Year Ended 5/31/2020 | $10.05 | 0.00(e) | 0.50 | — | 0.50 | (0.18) | (0.52) | (0.70) |
Year Ended 5/31/2019 | $10.42 | 0.11 | 0.02 | — | 0.13 | (0.27) | (0.23) | (0.50) |
Year Ended 5/31/2018 | $10.55 | (0.04) | 0.69 | — | 0.65 | — | (0.78) | (0.78) |
Year Ended 5/31/2017 | $9.75 | (0.08) | 1.01 | 0.00(e) | 0.93 | (0.03) | (0.10) | (0.13) |
Institutional Class | ||||||||
Year Ended 5/31/2021 | $10.36 | 0.02 | 1.98 | — | 2.00 | (0.10) | (0.15) | (0.25) |
Year Ended 5/31/2020 | $10.55 | 0.11 | 0.51 | — | 0.62 | (0.29) | (0.52) | (0.81) |
Year Ended 5/31/2019 | $10.91 | 0.22 | 0.03 | — | 0.25 | (0.38) | (0.23) | (0.61) |
Year Ended 5/31/2018 | $10.91 | 0.06 | 0.72 | — | 0.78 | (0.00)(e) | (0.78) | (0.78) |
Year Ended 5/31/2017 | $10.08 | 0.05 | 1.01 | 0.00(e) | 1.06 | (0.13) | (0.10) | (0.23) |
Institutional 2 Class | ||||||||
Year Ended 5/31/2021 | $10.39 | 0.02 | 1.98 | — | 2.00 | (0.10) | (0.14) | (0.24) |
Year Ended 5/31/2020 | $10.57 | 0.10 | 0.53 | — | 0.63 | (0.29) | (0.52) | (0.81) |
Year Ended 5/31/2019 | $10.93 | 0.22 | 0.03 | — | 0.25 | (0.38) | (0.23) | (0.61) |
Year Ended 5/31/2018 | $10.93 | 0.06 | 0.72 | — | 0.78 | (0.00)(e) | (0.78) | (0.78) |
Year Ended 5/31/2017 | $10.10 | 0.03 | 1.03 | 0.00(e) | 1.06 | (0.13) | (0.10) | (0.23) |
22 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Year Ended 5/31/2021 | $12.10 | 19.17% | 1.00%(c) | 1.00%(c) | (0.06%) | 227% | $175,015 |
Year Ended 5/31/2020 | $10.25 | 5.41% | 1.01%(c) | 1.01%(c),(d) | 0.74% | 314% | $141,074 |
Year Ended 5/31/2019 | $10.44 | 2.33% | 1.00% | 1.00%(d) | 1.87% | 203% | $120,147 |
Year Ended 5/31/2018 | $10.81 | 7.07% | 0.99% | 0.99%(d) | 0.33% | 210% | $132,920 |
Year Ended 5/31/2017 | $10.83 | 10.35%(f) | 0.99% | 0.99%(d) | (0.07%) | 396% | $100,790 |
Advisor Class | |||||||
Year Ended 5/31/2021 | $12.12 | 19.38% | 0.75%(c) | 0.75%(c) | 0.20% | 227% | $61,716 |
Year Ended 5/31/2020 | $10.37 | 5.71% | 0.76%(c) | 0.76%(c),(d) | 0.98% | 314% | $41,312 |
Year Ended 5/31/2019 | $10.55 | 2.58% | 0.75% | 0.75%(d) | 2.14% | 203% | $30,420 |
Year Ended 5/31/2018 | $10.92 | 7.26% | 0.74% | 0.74%(d) | 0.59% | 210% | $19,764 |
Year Ended 5/31/2017 | $10.92 | 10.75%(f) | 0.74% | 0.74%(d) | 0.20% | 396% | $11,580 |
Class C | |||||||
Year Ended 5/31/2021 | $11.57 | 18.14% | 1.75%(c) | 1.75%(c) | (0.80%) | 227% | $113,245 |
Year Ended 5/31/2020 | $9.85 | 4.73% | 1.76%(c) | 1.76%(c),(d) | 0.00% | 314% | $95,090 |
Year Ended 5/31/2019 | $10.05 | 1.56% | 1.75% | 1.75%(d) | 1.10% | 203% | $94,648 |
Year Ended 5/31/2018 | $10.42 | 6.19% | 1.74% | 1.74%(d) | (0.43%) | 210% | $109,335 |
Year Ended 5/31/2017 | $10.55 | 9.59%(f) | 1.74% | 1.74%(d) | (0.77%) | 396% | $95,199 |
Institutional Class | |||||||
Year Ended 5/31/2021 | $12.11 | 19.40% | 0.75%(c) | 0.75%(c) | 0.19% | 227% | $3,831,565 |
Year Ended 5/31/2020 | $10.36 | 5.62% | 0.76%(c) | 0.76%(c),(d) | 1.00% | 314% | $2,845,593 |
Year Ended 5/31/2019 | $10.55 | 2.67% | 0.75% | 0.75%(d) | 2.11% | 203% | $2,618,924 |
Year Ended 5/31/2018 | $10.91 | 7.26% | 0.74% | 0.74%(d) | 0.59% | 210% | $2,782,662 |
Year Ended 5/31/2017 | $10.91 | 10.64%(f) | 0.73% | 0.73%(d) | 0.46% | 396% | $1,810,897 |
Institutional 2 Class | |||||||
Year Ended 5/31/2021 | $12.15 | 19.38% | 0.76%(c) | 0.76%(c) | 0.17% | 227% | $64,418 |
Year Ended 5/31/2020 | $10.39 | 5.69% | 0.77%(c) | 0.77%(c) | 0.95% | 314% | $38,829 |
Year Ended 5/31/2019 | $10.57 | 2.65% | 0.76% | 0.76% | 2.10% | 203% | $22,397 |
Year Ended 5/31/2018 | $10.93 | 7.24% | 0.75% | 0.75% | 0.57% | 210% | $16,033 |
Year Ended 5/31/2017 | $10.93 | 10.69%(f) | 0.73% | 0.73% | 0.24% | 396% | $7,177 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 23 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Increase from payment by affiliate | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | ||||||||
Year Ended 5/31/2021 | $10.41 | 0.03 | 1.99 | — | 2.02 | (0.11) | (0.16) | (0.27) |
Year Ended 5/31/2020 | $10.59 | 0.11 | 0.52 | — | 0.63 | (0.29) | (0.52) | (0.81) |
Year Ended 5/31/2019 | $10.95 | 0.32 | (0.07)(g) | — | 0.25 | (0.38) | (0.23) | (0.61) |
Year Ended 5/31/2018 | $10.95 | 0.07 | 0.72 | — | 0.79 | (0.01) | (0.78) | (0.79) |
Year Ended 5/31/2017 | $10.11 | 0.03 | 1.05 | 0.00(e) | 1.08 | (0.14) | (0.10) | (0.24) |
Class R | ||||||||
Year Ended 5/31/2021 | $10.13 | (0.03) | 1.93 | — | 1.90 | — | (0.06) | (0.06) |
Year Ended 5/31/2020 | $10.32 | 0.05 | 0.52 | — | 0.57 | (0.24) | (0.52) | (0.76) |
Year Ended 5/31/2019 | $10.69 | 0.16 | 0.02 | — | 0.18 | (0.32) | (0.23) | (0.55) |
Year Ended 5/31/2018 | $10.75 | (0.01) | 0.73 | — | 0.72 | — | (0.78) | (0.78) |
Year Ended 5/31/2017 | $9.93 | (0.03) | 1.03 | 0.00(e) | 1.00 | (0.08) | (0.10) | (0.18) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Rounds to zero. |
(f) | The Fund received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.02%. |
(g) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
24 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Year Ended 5/31/2021 | $12.16 | 19.53% | 0.71%(c) | 0.71%(c) | 0.23% | 227% | $21,369 |
Year Ended 5/31/2020 | $10.41 | 5.73% | 0.72%(c) | 0.72%(c) | 1.04% | 314% | $14,168 |
Year Ended 5/31/2019 | $10.59 | 2.67% | 0.71% | 0.71% | 3.02% | 203% | $13,063 |
Year Ended 5/31/2018 | $10.95 | 7.29% | 0.69% | 0.69% | 0.65% | 210% | $3 |
Year Ended 5/31/2017 | $10.95 | 10.85%(f) | 0.67% | 0.67% | 0.29% | 396% | $3 |
Class R | |||||||
Year Ended 5/31/2021 | $11.97 | 18.82% | 1.25%(c) | 1.25%(c) | (0.31%) | 227% | $528 |
Year Ended 5/31/2020 | $10.13 | 5.22% | 1.26%(c) | 1.26%(c),(d) | 0.51% | 314% | $363 |
Year Ended 5/31/2019 | $10.32 | 2.07% | 1.25% | 1.25%(d) | 1.54% | 203% | $424 |
Year Ended 5/31/2018 | $10.69 | 6.75% | 1.25% | 1.25%(d) | (0.08%) | 210% | $325 |
Year Ended 5/31/2017 | $10.75 | 10.15%(f) | 1.22% | 1.22%(d) | (0.25%) | 396% | $5,900 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 25 |
May 31, 2021
26 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 27 |
May 31, 2021
28 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 29 |
May 31, 2021
30 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 18,217,074* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 85,494,752* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 7,778,027 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 3,040,898* |
Total | 114,530,751 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,480,855* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 19,014,075 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,713,215* |
Total | 22,208,145 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 31 |
May 31, 2021
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 85,876,644 | 85,876,644 |
Equity risk | — | 459,097,149 | — | 459,097,149 |
Foreign exchange risk | (106,345,999) | — | — | (106,345,999) |
Interest rate risk | — | (35,443,569) | (463,996) | (35,907,565) |
Total | (106,345,999) | 423,653,580 | 85,412,648 | 402,720,229 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 2,995,147 | 2,995,147 |
Equity risk | — | 24,530,916 | — | 24,530,916 |
Foreign exchange risk | 9,741,782 | — | — | 9,741,782 |
Interest rate risk | — | 5,586,417 | 572,305 | 6,158,722 |
Total | 9,741,782 | 30,117,333 | 3,567,452 | 43,426,567 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,414,540,921 |
Futures contracts — short | 37,670,938 |
Credit default swap contracts — sell protection | 1,377,549,414 |
Derivative instrument | Average unrealized appreciation ($) | Average unrealized depreciation ($) |
Forward foreign currency exchange contracts | 6,480,288* | (11,328,489)* |
Interest rate swap contracts | 15,907** | (61,191)** |
* | Based on the ending quarterly outstanding amounts for the year ended May 31, 2021. |
** | Based on the ending daily outstanding amounts for the year ended May 31, 2021. |
32 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Citi ($) | Goldman Sachs ($) | HSBC ($) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Standard Chartered ($) | Total ($) | |
Assets | |||||||
Centrally cleared credit default swap contracts (b) | - | - | - | 957,990 | - | - | 957,990 |
Forward foreign currency exchange contracts | - | 935,319 | 4,686,436 | - | 2,152,449 | 3,823 | 7,778,027 |
Total assets | - | 935,319 | 4,686,436 | 957,990 | 2,152,449 | 3,823 | 8,736,017 |
Liabilities | |||||||
Forward foreign currency exchange contracts | 591,029 | 109,250 | 8,114,855 | - | 9,429,911 | 769,030 | 19,014,075 |
Total financial and derivative net assets | (591,029) | 826,069 | (3,428,419) | 957,990 | (7,277,462) | (765,207) | (10,278,058) |
Total collateral received (pledged) (c) | - | 826,069 | - | - | - | (530,000) | 296,069 |
Net amount (d) | (591,029) | - | (3,428,419) | 957,990 | (7,277,462) | (235,207) | (10,574,127) |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 33 |
May 31, 2021
34 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 35 |
May 31, 2021
Effective rate (%) | |
Class A | 0.05 |
Advisor Class | 0.05 |
Class C | 0.05 |
Institutional Class | 0.05 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.05 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 463,833 |
Class C | — | 1.00(b) | 4,462 |
36 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
Fee rate(s) contractual through September 30, 2021 | |
Class A | 1.25% |
Advisor Class | 1.00 |
Class C | 2.00 |
Institutional Class | 1.00 |
Institutional 2 Class | 1.01 |
Institutional 3 Class | 0.96 |
Class R | 1.50 |
Excess of distributions over net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
(51,297,844) | 35,460,114 | 15,837,730 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 37 |
May 31, 2021
Year Ended May 31, 2021 | Year Ended May 31, 2020 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
58,672,674 | 21,617,920 | 80,290,594 | 171,063,896 | 44,725,288 | 215,789,184 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
171,879,221 | 196,387,791 | — | 156,144,963 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
4,194,680,798 | 192,772,380 | (36,627,417) | 156,144,963 |
38 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 39 |
May 31, 2021
40 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
May 31, 2021
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 41 |
May 31, 2021
42 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 43 |
Section 199A dividends | Capital gain dividend |
4.98% | $237,774,164 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 170 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
44 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2006 | Attorney; specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018 | 170 | Trustee, BlueCross BlueShield of Minnesota since 2009 (Chair of the Business Development Committee - 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; Director, Robina Foundation, 2009-2020 (Chair, 2014-2020) |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney at Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 170 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee, Nominating and Governance Committee) since 2019 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 168 | Director, EQT Corporation (natural gas producer) since 2019; Director, Whiting Petroleum Corporation (independent oil and gas company) since 2020 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1964 | Trustee since 2020(a) | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 168 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1962 | Trustee since 2020(a) | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 2001-2004 | 168 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 45 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 170 | Trustee, MA Taxpayers Foundation since 1997; Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2019; Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 170 | Trustee, Catholic Schools Foundation since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2021 | Independent business executive since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 168 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 168 | |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 168 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
46 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, Columbia ETF Trust I and Columbia ETF Trust II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 170 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Anthony M. Santomero c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1946 | Trustee since 2008 | Richard K. Mellon Professor Emeritus of Finance, The Wharton School, University of Pennsylvania, since 2002; Senior Advisor, McKinsey & Company (consulting), 2006-2008; President, Federal Reserve Bank of Philadelphia, 2000-2006; Professor of Finance, The Wharton School, University of Pennsylvania, 1972-2002 | 170 | Trustee, Penn Mutual Life Insurance Company since March 2008; Director, RenaissanceRe Holdings Ltd. since May 2008; former Director, Citigroup Inc. and Citibank, N.A., 2009-2019; former Trustee, BofA Funds Series Trust (11 funds), 2008-2011 |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 170 | Director, BlueCross BlueShield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 47 |
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1967 | Trustee since 2020(a) | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008 - January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 168 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions); Independent Director, Investment Committee, Sarona Asset Management |
Sandra Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Mail Drop BX32 05228 Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 170 | Director, NAPE Education Foundation, October 2016-October 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I, Columbia ETF Trust II, Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Gallagher, Petersen and Santomero and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as a director of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
(a) | J. Kevin Connaughton was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective March 1, 2016. Natalie A. Trunow was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective September 1, 2016. Olive M. Darragh was appointed a consultant to the Independent Trustees of CFST I and CFVIT effective June 10, 2019. Shareholders of the Funds elected Mr. Connaughton and Mses. Darragh and Trunow as Trustees of CFST, CFST I, CFST II, Columbia ETF Trust I, Columbia ETF Trust II, and CFVST II, effective January 1, 2021, and of CFVIT, effective July 1, 2020. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Christopher O. Petersen c/o Columbia Management Investment Advisers, LLC 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Trustee since 2020(a) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010-December 2014); officer of Columbia Funds and affiliated funds since 2007 | 170 | None |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
(a) | Mr. Petersen serves as the Senior Vice President and Assistant Secretary of the Columbia Funds (since 2021). |
48 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Petersen, who is Senior Vice President and Assistant Secretary, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Daniel J. Beckman 290 Congress Street Boston, MA 02210 1962 | President and Principal Executive Officer (2021) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); officer of Columbia Funds and affiliated funds since 2020. |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, Columbia ETF Trust I and Columbia ETF Trust II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President – Pricing and Corporate Actions, May 2010 - March 2017). |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for Columbia ETF Trust I and Columbia ETF Trust II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee of Columbia Funds Complex until January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Paul B. Goucher 485 Lexington Avenue New York, NY 10017 1968 | Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; Chief Compliance Officer, Ameriprise Certificate Company September 2010 – September 2020. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 49 |
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Colin Moore 290 Congress Street Boston, MA 02210 1958 | Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
50 | Columbia Adaptive Risk Allocation Fund | Annual Report 2021 |
Trustee | Votes for | Votes withheld | Abstentions |
George S. Batejan | 86,127,701,985 | 836,188,991 | 0 |
Kathleen Blatz | 86,243,229,991 | 720,660,985 | 0 |
Pamela G. Carlton | 86,264,105,441 | 699,785,535 | 0 |
Janet Langford Carrig | 86,054,199,101 | 909,691,875 | 0 |
J. Kevin Connaughton | 86,079,927,846 | 883,963,131 | 0 |
Olive M. Darragh | 86,229,808,655 | 734,082,321 | 0 |
Patricia M. Flynn | 86,198,477,183 | 765,413,793 | 0 |
Brian J. Gallagher | 86,107,199,569 | 856,691,407 | 0 |
Douglas A. Hacker | 85,856,681,960 | 1,107,209,016 | 0 |
Nancy T. Lukitsh | 86,082,583,872 | 881,307,104 | 0 |
David M. Moffett | 85,916,196,449 | 1,047,694,527 | 0 |
Catherine James Paglia | 86,220,544,249 | 743,346,727 | 0 |
Anthony M. Santomero | 86,032,441,166 | 931,449,811 | 0 |
Minor M. Shaw | 86,027,511,771 | 936,379,205 | 0 |
Natalie A. Trunow | 86,222,277,961 | 741,613,015 | 0 |
Sandra Yeager | 86,214,429,708 | 749,461,268 | 0 |
Christopher O. Petersen | 86,067,188,679 | 896,702,297 | 0 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2021 | 51 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Item 2. Code of Ethics.
(a)The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b)During the period covered by this report, there were not any amendments to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item.
(c)During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the code of ethics to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party that relates to one or more of the items set forth in paragraph (b) of this Item.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that David M. Moffett, Brian J. Gallagher, J. Kevin Connaughton, and Sandra L. Yeager, each of whom are members of the registrant's Board of Trustees and Audit Committee, each qualify as an audit committee financial expert. Mr. Moffett, Mr. Gallagher, Mr. Connaughton, and Ms. Yeager are each independent trustees, as defined in paragraph (a)(2) of this item's instructions.
Item 4. Principal Accountant Fees and Services.
Fee information below is disclosed for the four series of the registrant whose reports to stockholders are included in this annual filing.
(a)Audit Fees. Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended May 31, 2021 and May 31, 2020 are approximately as follows:
20212020
$168,000 $162,000
Audit Fees include amounts related to the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b)Audit-Related Fees. Aggregate Audit-Related Fees billed to the registrant by the principal accountant for professional services rendered during the fiscal years ended May 31, 2021 and May 31, 2020 are approximately as follows:
2021 | 2020 |
$0 | $1,500 |
Audit-Related Fees include amounts for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported in Audit Fees above.
During the fiscal years ended May 31, 2021 and May 31, 2020, there were no Audit- Related Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(c)Tax Fees. Aggregate Tax Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended May 31, 2021 and May 31,
2020 are approximately as follows:
2021 | 2020 |
$0 | $3,000 |
Tax Fees include amounts for the review of annual tax returns, the review of required shareholder distribution calculations and typically include amounts for professional services by the principal accountant for tax compliance, tax advice and tax planning.
During the fiscal years ended May 31, 2021 and May 31, 2020, there were no Tax Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(d)All Other Fees. Aggregate All Other Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended May 31, 2021 and May 31, 2020 are approximately as follows:
2021 | 2020 |
$0 | $0 |
All Other Fees, if any, include amounts for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) above.
Aggregate All Other Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant during the fiscal years ended May 31,
2021 and May 31, 2020 are approximately as follows:
20212020
$520,000 $520,000
In fiscal years 2021 and 2020, All Other Fees primarily consists of fees billed for internal control examinations of the registrant's transfer agent and investment adviser.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The registrant's Audit Committee is required to pre-approve the engagement of the registrant's independent auditors to provide audit and non-audit services to the registrant and non-audit services to its investment adviser (excluding any sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser (the "Adviser") or any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (a "Control Affiliate") if the engagement relates directly to the operations and financial reporting of the registrant.
The Audit Committee has adopted a Policy for Engagement of Independent Auditors for Audit and Non-Audit Services (the "Policy"). The Policy sets forth the understanding of the Audit Committee regarding the engagement of the registrant's independent accountants to provide (i) audit and permissible audit-related, tax and other services to the registrant ("Fund Services"); (ii) non-audit services to the registrant's Adviser and any Control Affiliates, that relates directly to the operations and financial reporting of a Fund ("Fund-related Adviser Services"); and (iii) certain other audit and non-audit services to the registrant's Adviser and its Control Affiliates. A service will require specific pre-approval by the Audit Committee if it is to be provided by the Fund's independent auditor; provided, however, that pre-approval of non-audit services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SEC's rules are met.
Under the Policy, the Audit Committee may delegate pre-approval authority to any pre- designated member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any pre- approval decisions to the Audit Committee at its next regular meeting. The Audit Committee's responsibilities with respect to the pre-approval of services performed by the independent auditor may not be delegated to management.
On an annual basis, at a regularly scheduled Audit Committee meeting, the Fund's Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific pre- approval. This schedule will provide a description of each type of service that is subject to specific pre-approval, along with total projected fees for each service. The pre- approval will generally cover a one-year period. The Audit Committee will review and approve the types of services and the projected fees for the next one-year period and may add to, or subtract from, the list of pre-approved services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific types of services that the independent auditor will be permitted to perform and the projected fees for each service.
The Fund's Treasurer or other Fund officer shall report to the Audit Committee at each of its regular meetings regarding all Fund Services or Fund-related Adviser Services provided since the last such report was rendered, including a description of the services, by category, with forecasted fees for the annual reporting period, proposed changes requiring specific pre-approval and a description of services provided by the independent auditor, by category, with actual fees during the current reporting period.
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(e)(2) None, or 0%, of the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund or affiliated entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
(f)Not applicable.
(g)The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal years ended May 31, 2021 and May 31,
2020 are approximately as follows:
20212020
$520,000 $524,500
(h)The registrant's Audit Committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrant's adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a)The registrant's "Schedule I – Investments in securities of unaffiliated issuers" (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR.
(b)Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls 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 information required to be disclosed by the registrant in Form N-CSR 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 period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
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. |
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(registrant) |
| Columbia Funds Series Trust I |
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By (Signature and Title) | /s/ Daniel J. Beckman |
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| Daniel J. Beckman, President and Principal Executive Officer |
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Date |
| July 22, 2021 |
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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/ Daniel J. Beckman | ||
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| Daniel J. Beckman, President and Principal Executive Officer | |
Date |
| July 22, 2021 |
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By (Signature and Title) | /s/ Michael G. Clarke | ||
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| Michael G. Clarke, Chief Financial Officer, Principal Financial Officer | |
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| and Senior Vice President | |
Date |
| July 22, 2021 |
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By (Signature and Title) | /s/ Joseph Beranek | ||
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| Joseph Beranek, Treasurer, Chief Accounting Officer and Principal | |
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| Financial Officer | |
Date |
| July 22, 2021 |
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