UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04367
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: November 30, 2022
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.
November 30, 2022 (Unaudited)
3 | |
5 | |
6 | |
30 | |
32 | |
34 | |
36 | |
40 | |
61 |
(Unaudited)
Average annual total returns (%) (for the period ended November 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Class A | Excluding sales charges | 01/28/15 | 0.50 | 1.82 | -5.34 | -3.74 |
Including sales charges | -5.28 | -4.03 | -6.46 | -4.46 | ||
Advisor Class | 01/28/15 | 0.67 | 2.10 | -5.09 | -3.49 | |
Class C | Excluding sales charges | 01/28/15 | 0.11 | 1.05 | -6.07 | -4.45 |
Including sales charges | -0.89 | 0.05 | -6.07 | -4.45 | ||
Institutional Class | 01/28/15 | 0.60 | 2.03 | -5.11 | -3.51 | |
Institutional 2 Class | 01/28/15 | 0.63 | 2.11 | -5.05 | -3.43 | |
Institutional 3 Class | 01/28/15 | 0.67 | 2.16 | -4.99 | -3.37 | |
Class R | 01/28/15 | 0.36 | 1.54 | -5.57 | -3.98 | |
FTSE One-Month U.S. Treasury Bill Index | 1.08 | 1.14 | 1.15 | 0.85 | ||
HFRX Global Hedge Fund Index | -1.07 | -3.89 | 1.57 | 1.52 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at November 30, 2022) | |
Asset-Backed Securities — Non-Agency | 3.6 |
Commercial Mortgage-Backed Securities - Agency | 0.1 |
Commercial Mortgage-Backed Securities - Non-Agency | 3.8 |
Money Market Funds(a) | 36.4 |
Options Purchased Calls | 0.6 |
Residential Mortgage-Backed Securities - Agency | 25.7 |
Residential Mortgage-Backed Securities - Non-Agency | 12.1 |
Treasury Bills | 17.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its principal investment strategies. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Consolidated Financial Statements. |
Market exposure through derivatives investments (% of notional exposure) (at November 30, 2022)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 381.7 | (471.6) | (89.9) |
Commodities Derivative Contracts | 11.6 | (22.3) | (10.7) |
Equity Derivative Contracts | 99.7 | (114.6) | (14.9) |
Foreign Currency Derivative Contracts | 775.6 | (760.1) | 15.5 |
Total Notional Market Value of Derivative Contracts | 1,268.6 | (1,368.6) | (100.0) |
4 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
(Unaudited)
June 1, 2022 — November 30, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,005.00 | 1,018.55 | 6.53 | 6.58 | 1.30 |
Advisor Class | 1,000.00 | 1,000.00 | 1,006.70 | 1,019.75 | 5.33 | 5.37 | 1.06 |
Class C | 1,000.00 | 1,000.00 | 1,001.10 | 1,014.79 | 10.28 | 10.35 | 2.05 |
Institutional Class | 1,000.00 | 1,000.00 | 1,006.00 | 1,019.80 | 5.28 | 5.32 | 1.05 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,006.30 | 1,020.00 | 5.08 | 5.11 | 1.01 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,006.70 | 1,020.26 | 4.83 | 4.86 | 0.96 |
Class R | 1,000.00 | 1,000.00 | 1,003.60 | 1,017.30 | 7.79 | 7.84 | 1.55 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 5 |
November 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency 4.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class DR | ||||
3-month USD LIBOR + 6.870% Floor 6.870% 04/15/2034 | 10.949% | 1,500,000 | 1,280,107 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2020-4A Class E | ||||
3-month USD LIBOR + 7.950% Floor 7.950% 10/20/2033 | 12.193% | 900,000 | 858,027 | |
Carlyle Global Market Strategies(a),(b) | ||||
Series 2021-5A Class E | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/20/2034 | 10.493% | 1,000,000 | 876,418 | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2016-4A Class A2R | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 10/20/2027 | 5.693% | 3,100,000 | 3,001,504 | |
Consumer Loan Underlying Bond Credit Trust(a),(c),(d) | ||||
Subordinated Series 2018-P1 Class CERT | ||||
07/15/2025 | 0.000% | 100,000 | 590,000 | |
Subordinated Series 2018-P2 Class CERT | ||||
10/15/2025 | 0.000% | 100,000 | 855,000 | |
Exeter Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class E | ||||
07/17/2028 | 2.900% | 900,000 | 782,983 | |
Freed ABS Trust(a) | ||||
Subordinated Series 2021-1CP Class C | ||||
03/20/2028 | 2.830% | 700,000 | 686,451 | |
LendingClub Receivables Trust(a),(c),(d) | ||||
Series 2020-2 Class R | ||||
02/15/2046 | 0.000% | 85,000 | 191,250 | |
LendingPoint Asset Securitization Trust(a),(d),(e) | ||||
Subordinated Series 2021-1 Class C | ||||
04/15/2027 | 4.935% | 1,150,000 | 1,112,625 | |
Subordinated Series 2021-1 Class D | ||||
04/15/2027 | 7.226% | 1,000,000 | 907,500 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2021-A Class C | ||||
12/15/2028 | 2.750% | 2,000,000 | 1,888,781 | |
LP LMS Asset Securitization Trust(a) | ||||
Series 2021-2A Class A | ||||
01/15/2029 | 1.750% | 545,596 | 525,794 | |
LP LMS Asset Securitization Trust(a),(d),(e) | ||||
Subordinated Series 2021-2A Class B | ||||
01/15/2029 | 2.330% | 500,000 | 454,062 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Madison Park Funding XLVII Ltd.(a),(b) | ||||
Series 2020-47A Class E | ||||
3-month USD LIBOR + 7.460% Floor 7.460% 01/19/2034 | 10.198% | 500,000 | 478,708 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 5.975% | 7,000,000 | 6,792,583 | |
Marlette Funding Trust(a) | ||||
Series 2021-1A Class D | ||||
06/16/2031 | 2.470% | 100,000 | 90,164 | |
Octagon Investment Partners 47 Ltd.(a),(b) | ||||
Series 2020-1A Class ER | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/20/2034 | 10.493% | 750,000 | 657,120 | |
Pagaya AI Debt Selection Trust(a),(d) | ||||
Series 2020-2 Class NOTE | ||||
12/15/2027 | 7.500% | 141,662 | 138,829 | |
Pagaya AI Debt Selection Trust(a),(c),(d) | ||||
Series 2020-3 Class CERT | ||||
05/17/2027 | 0.000% | 3,200,000 | 415,706 | |
Series 2021-1 Class CERT | ||||
11/15/2027 | 0.000% | 696,200 | 6,888 | |
Subordinated Series 2021-5 Class | ||||
08/15/2029 | 0.000% | 865,000 | 224,359 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-2 Class NOTE | ||||
01/25/2029 | 3.000% | 474,587 | 441,067 | |
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 245,427 | 235,981 | |
PAGAYA AI Debt Trust(a) | ||||
Subordinated Series 2022-3 Class B | ||||
03/15/2030 | 8.050% | 800,000 | 777,146 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2020-4A Class D | ||||
3-month USD LIBOR + 7.050% Floor 7.050% 11/25/2028 | 11.807% | 1,000,000 | 943,564 | |
Prosper Pass-Through Trust(a),(d) | ||||
Series 2019-ST2 Class A | ||||
11/15/2025 | 3.750% | 112,617 | 112,616 | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 776,592 | 682,275 |
6 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RR 16 Ltd.(a),(b) | ||||
Series 2021-16A Class D | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/15/2036 | 10.329% | 1,000,000 | 881,864 | |
Theorem Funding Trust(a) | ||||
Series 2020-1A Class C | ||||
10/15/2026 | 6.250% | 2,106,022 | 2,102,219 | |
Subordinated Series 2021-1A Class B | ||||
12/15/2027 | 1.840% | 1,000,000 | 925,667 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST1 Class A | ||||
02/20/2027 | 2.750% | 284,742 | 270,367 | |
Series 2021-ST7 Class A | ||||
09/20/2029 | 1.850% | 229,489 | 213,245 | |
US Auto Funding(a) | ||||
Subordinated Series 2021-1A Class D | ||||
03/15/2027 | 4.360% | 1,125,000 | 1,017,432 | |
Total Asset-Backed Securities — Non-Agency (Cost $35,675,154) | 31,418,302 | |||
Commercial Mortgage-Backed Securities - Agency 0.1% | ||||
Government National Mortgage Association(f),(g) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.834% | 1,349,713 | 79,476 | |
Series 2019-109 Class IO | ||||
04/16/2060 | 0.804% | 2,451,761 | 141,327 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.802% | 2,711,194 | 153,215 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 0.699% | 1,756,527 | 95,426 | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.624% | 2,000,845 | 97,079 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $1,467,464) | 566,523 | |||
Commercial Mortgage-Backed Securities - Non-Agency 4.3% | ||||
BAMLL Commercial Mortgage Securities Trust(a),(f) | ||||
Subordinated Series 2013-WBRK Class E | ||||
03/10/2037 | 3.652% | 500,000 | 415,867 | |
BAMLL Commercial Mortgage Securities Trust(a),(b) | ||||
Subordinated Series 2018-DSNY Class D | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 09/15/2034 | 5.576% | 2,065,000 | 1,941,060 | |
Subordinated Series 2019-RLJ Class C | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 04/15/2036 | 5.475% | 1,250,000 | 1,206,762 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BBCMS Trust(a),(b) | ||||
Series 2018-BXH Class A | ||||
1-month USD LIBOR + 1.000% Floor 1.000% 10/15/2037 | 4.875% | 207,394 | 198,903 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 6.413% | 300,000 | 280,361 | |
Series 2019-DPLO Class G | ||||
1-month USD LIBOR + 3.190% Floor 3.190% 10/15/2034 | 7.063% | 1,000,000 | 934,049 | |
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 5.126% | 3,000,000 | 2,887,491 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 6.276% | 1,000,000 | 923,755 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-MFM1 Class G | ||||
1-month USD LIBOR + 3.900% Floor 3.900% 01/15/2034 | 7.775% | 100,000 | 90,513 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,000,000 | 845,175 | |
BXP Trust(a),(f) | ||||
Subordinated Series 2021-601L Class E | ||||
01/15/2044 | 2.868% | 1,500,000 | 913,027 | |
CLNY Trust(a),(b) | ||||
Subordinated Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 6.596% | 900,000 | 825,653 | |
Subordinated Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 7.292% | 1,350,000 | 1,223,882 | |
Cold Storage Trust(a),(b) | ||||
Subordinated Series 2020-ICE5 Class F | ||||
1-month USD LIBOR + 3.492% Floor 3.492% 11/15/2037 | 7.368% | 638,944 | 606,984 | |
COMM Mortgage Trust(a),(f) | ||||
Subordinated Series 2020-CBM Class F | ||||
02/10/2037 | 3.754% | 2,200,000 | 1,893,963 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 7 |
November 30, 2022 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 4,600,000 | 3,035,465 | |
CSMC Trust(a),(f) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.393% | 600,000 | 437,529 | |
Hilton USA Trust(a),(f) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.333% | 3,000,000 | 2,540,043 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 1,700,000 | 1,567,693 | |
Home Partners of America Trust(a) | ||||
Series 2019-2 Class F | ||||
10/19/2039 | 3.866% | 331,130 | 274,290 | |
Morgan Stanley Capital I Trust(a),(f) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.283% | 600,000 | 514,299 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 575,000 | 517,397 | |
Subordinated Series 2019-SFR3 Class E | ||||
09/17/2036 | 3.369% | 1,000,000 | 935,464 | |
Subordinated Series 2019-SFR3 Class F | ||||
09/17/2036 | 3.867% | 6,700,000 | 6,274,290 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/17/2037 | 6.152% | 500,000 | 483,418 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2017-SMP Class A | ||||
1-month USD LIBOR + 0.875% Floor 0.875% 12/15/2034 | 4.750% | 1,000,000 | 970,886 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $35,806,742) | 32,738,219 | |||
Residential Mortgage-Backed Securities - Agency 29.0% | ||||
Fannie Mae REMICS(b),(g) | ||||
CMO Series 2017-81 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 10/25/2047 | 2.184% | 2,196,933 | 256,278 | |
Federal Home Loan Mortgage Corp. | ||||
05/01/2052- 08/01/2052 | 3.000% | 8,233,067 | 7,350,043 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(b),(g) | ||||
CMO Series 2013-101 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.500% Cap 6.500% 10/25/2043 | 2.484% | 754,835 | 92,318 | |
CMO Series 4987 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 2.064% | 1,344,162 | 197,639 | |
CMO Series 4993 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2050 | 2.034% | 1,926,881 | 292,810 | |
Federal Home Loan Mortgage Corp. REMICS(b),(g) | ||||
CMO Series 4606 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 12/15/2044 | 2.127% | 3,928,192 | 391,197 | |
Federal Home Loan Mortgage Corp. REMICS(g) | ||||
CMO Series 5105 Class ID | ||||
05/25/2051 | 3.000% | 2,848,334 | 542,533 | |
Federal National Mortgage Association | ||||
04/01/2052 | 3.500% | 5,743,060 | 5,265,167 | |
05/01/2052 | 3.000% | 4,892,248 | 4,343,483 | |
08/01/2052 | 4.000% | 11,830,091 | 11,294,083 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 2016-53 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 1.984% | 14,541,912 | 2,271,724 | |
CMO Series 2020-38 Class WS | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 06/25/2050 | 0.984% | 3,086,125 | 282,586 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2021-HQA2 Class B2 | ||||
30-day Average SOFR + 5.450% 12/25/2033 | 8.971% | 800,000 | 601,555 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2019-103 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/20/2049 | 2.111% | 2,269,850 | 254,391 |
8 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-120 Class CS | ||||
-1.0 x 1-month USD LIBOR + 3.400% Cap 3.400% 09/20/2049 | 0.000% | 20,648,824 | 472,474 | |
CMO Series 2019-120 Class SA | ||||
-1.0 x 1-month USD LIBOR + 3.400% Cap 3.400% 09/20/2049 | 0.000% | 2,309,294 | 61,724 | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/20/2049 | 2.161% | 2,823,149 | 320,692 | |
CMO Series 2019-98 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 08/20/2049 | 2.161% | 8,262,801 | 857,779 | |
CMO Series 2020-104 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% 07/20/2050 | 2.261% | 1,480,788 | 173,097 | |
CMO Series 2020-133 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2050 | 2.361% | 5,840,584 | 685,663 | |
CMO Series 2020-78 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 06/20/2050 | 2.211% | 2,506,312 | 272,963 | |
CMO Series 2021-117 Class HS | ||||
1-month USD LIBOR + 6.300% Cap 6.300% 07/20/2051 | 2.361% | 2,523,395 | 305,599 | |
CMO Series 2021-122 Class SB | ||||
-1.0 x 30-day Average SOFR + 2.600% Cap 2.600% 07/20/2051 | 0.000% | 7,920,151 | 78,488 | |
CMO Series 2021-122 Class SG | ||||
1-month USD LIBOR + 6.300% Cap 6.300% 07/20/2051 | 2.361% | 4,051,216 | 462,851 | |
CMO Series 2021-142 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 08/20/2051 | 2.361% | 5,230,831 | 669,536 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-156 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2051 | 2.361% | 3,927,265 | 528,906 | |
CMO Series 2021-160 Class S | ||||
-1.0 x 30-day Average SOFR + 2.650% Cap 2.650% 09/20/2051 | 0.000% | 6,079,215 | 56,604 | |
CMO Series 2021-161 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2051 | 2.361% | 3,523,276 | 487,822 | |
CMO Series 2021-193 Class ES | ||||
30-day Average SOFR + 1.700% 11/20/2051 | 0.000% | 21,830,400 | 124,202 | |
CMO Series 2021-42 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 11/20/2050 | 2.361% | 3,777,231 | 519,266 | |
CMO Series 2021-96 Class US | ||||
-1.0 x 30-day Average SOFR + 3.250% Cap 3.250% 06/20/2051 | 0.000% | 3,678,707 | 59,727 | |
CMO Series 2021-97 Class CS | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 06/20/2051 | 2.361% | 3,629,600 | 438,095 | |
Government National Mortgage Association(g) | ||||
CMO Series 2020-104 Class IY | ||||
07/20/2050 | 3.000% | 2,635,792 | 389,786 | |
CMO Series 2020-129 Class GI | ||||
09/20/2050 | 3.000% | 2,623,001 | 397,350 | |
CMO Series 2020-129 Class YI | ||||
09/20/2050 | 2.500% | 3,287,745 | 426,946 | |
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 4,888,910 | 648,379 | |
CMO Series 2020-153 Class CI | ||||
10/20/2050 | 2.500% | 3,199,078 | 486,243 | |
CMO Series 2020-164 Class CI | ||||
11/20/2050 | 3.000% | 2,342,044 | 353,549 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 3,415,135 | 477,512 | |
CMO Series 2020-191 Class UC | ||||
12/20/2050 | 4.000% | 2,315,395 | 364,126 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 9 |
November 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-158 Class VI | ||||
09/20/2051 | 3.000% | 2,593,985 | 421,438 | |
CMO Series 2021-160 Class CI | ||||
09/20/2051 | 2.500% | 5,183,640 | 694,143 | |
CMO Series 2021-24 Class MI | ||||
02/20/2051 | 3.000% | 2,205,583 | 330,321 | |
CMO Series 2021-25 Class GI | ||||
02/20/2051 | 2.500% | 4,518,438 | 697,724 | |
CMO Series 2021-7 Class IT | ||||
01/16/2051 | 3.000% | 1,839,451 | 374,211 | |
Government National Mortgage Association TBA(h) | ||||
12/20/2052 | 4.000% | 12,000,000 | 11,453,906 | |
12/20/2052 | 5.500% | 17,000,000 | 17,201,620 | |
Uniform Mortgage-Backed Security TBA(h) | ||||
12/13/2052 | 4.000% | 44,000,000 | 41,605,781 | |
12/13/2052 | 4.500% | 75,000,000 | 72,996,094 | |
12/13/2052 | 5.000% | 33,000,000 | 32,835,000 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $225,996,617) | 222,165,424 | |||
Residential Mortgage-Backed Securities - Non-Agency 13.7% | ||||
510 Asset Backed Trust(a),(f) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 804,395 | 744,838 | |
Ajax Mortgage Loan Trust(a),(f) | ||||
CMO Series 2021-C Class A | ||||
01/25/2061 | 2.115% | 315,282 | 295,608 | |
Angel Oak Mortgage Trust(a),(f) | ||||
CMO Series 2021-5 Class A3 | ||||
07/25/2066 | 1.311% | 407,577 | 315,047 | |
Angel Oak Mortgage Trust I LLC(a),(f) | ||||
Subordinated CMO Series 2019-2 Class B2 | ||||
03/25/2049 | 6.286% | 2,700,000 | 2,601,578 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 03/25/2029 | 5.794% | 48,271 | 48,186 | |
CMO Series 2019-4A Class M1C | ||||
1-month USD LIBOR + 2.500% Floor 2.500% 10/25/2029 | 6.544% | 183,483 | 183,037 | |
CMO Series 2020-2A Class M2 | ||||
1-month USD LIBOR + 6.000% Floor 6.000% 08/26/2030 | 10.044% | 1,700,000 | 1,715,860 | |
CMO Series 2020-3A Class M2 | ||||
1-month USD LIBOR + 4.850% Floor 4.850% 10/25/2030 | 8.894% | 650,000 | 634,999 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-4A Class M2B | ||||
1-month USD LIBOR + 3.600% Floor 3.600% 06/25/2030 | 7.644% | 237,095 | 236,807 | |
Subordinated CMO Series 2019-4A Class B1 | ||||
1-month USD LIBOR + 3.850% Floor 3.850% 10/25/2029 | 7.894% | 950,000 | 892,231 | |
BRAVO Residential Funding Trust(a),(f) | ||||
CMO Series 2020-NQM1 Class B1 | ||||
05/25/2060 | 5.086% | 300,000 | 267,677 | |
CMO Series 2020-NQM1 Class B2 | ||||
05/25/2060 | 5.667% | 430,000 | 396,297 | |
Subordinated CMO Series 2021-NQM2 Class B1 | ||||
03/25/2060 | 3.044% | 200,000 | 158,143 | |
Subordinated CMO Series 2021-NQM2 Class B2 | ||||
03/25/2060 | 4.099% | 300,000 | 234,639 | |
BRAVO Residential Funding Trust(a),(b) | ||||
CMO Series 2021-HE2 Class B1 | ||||
30-day Average SOFR + 2.400% 11/25/2069 | 5.187% | 338,000 | 330,840 | |
Subordinated CMO Series 2021-HE2 Class B2 | ||||
30-day Average SOFR + 3.400% 11/25/2069 | 5.187% | 353,000 | 344,845 | |
BVRT Financing Trust(a),(b),(d) | ||||
CMO Series 2021-2F Class M2 | ||||
30-day Average SOFR + 2.500% Floor 2.500% 01/10/2032 | 3.761% | 250,444 | 250,708 | |
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 3,000,000 | 3,000,000 | |
BVRT Financing Trust(a),(b),(d),(e) | ||||
CMO Series 2021-CRT1 Class M4 | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 07/10/2032 | 3.589% | 1,875,000 | 1,785,328 | |
CIM Trust(a),(f) | ||||
CMO Series 2021-NR4 Class A1 | ||||
10/25/2061 | 2.816% | 511,192 | 468,012 | |
COLT Mortgage Loan Trust(a),(f) | ||||
CMO Series 2020-2 Class M1 | ||||
03/25/2065 | 5.250% | 200,000 | 176,350 | |
CMO Series 2021-3 Class A3 | ||||
09/27/2066 | 1.419% | 603,180 | 452,517 | |
Subordinated CMO Series 2021-4 Class B1 | ||||
10/25/2066 | 3.764% | 400,000 | 257,635 | |
Subordinated Series 2021-3 Class B1 | ||||
09/27/2066 | 3.059% | 200,000 | 101,160 |
10 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-HRP1 Class M2 | ||||
1-month USD LIBOR + 2.150% 11/25/2039 | 6.166% | 343,241 | 330,545 | |
Subordinated CMO Series 2019-R01 Class 2B1 | ||||
1-month USD LIBOR + 4.350% 07/25/2031 | 8.366% | 950,000 | 923,997 | |
Subordinated CMO Series 2021-R03 Class 1B2 | ||||
30-day Average SOFR + 5.500% Floor 5.500% 12/25/2041 | 9.021% | 1,200,000 | 1,014,696 | |
Subordinated CMO Series 2022-R01 Class 1B2 | ||||
30-day Average SOFR + 6.000% 12/25/2041 | 9.521% | 3,500,000 | 2,969,426 | |
Subordinated CMO Series 2022-R02 Class 2B2 | ||||
30-day Average SOFR + 7.650% 01/25/2042 | 11.171% | 2,600,000 | 2,270,423 | |
Subordinated CMO Series 2022-R03 Class 1B1 | ||||
30-day Average SOFR + 6.250% 03/25/2042 | 9.771% | 200,000 | 201,901 | |
Subordinated CMO Series 2022-R04 Class 1B1 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 8.771% | 900,000 | 874,030 | |
Subordinated CMO Series 2022-R04 Class 1B2 | ||||
30-day Average SOFR + 9.500% 03/25/2042 | 13.021% | 950,000 | 906,044 | |
Subordinated CMO Series 2022-R07 Class 1B2 | ||||
30-day Average SOFR + 12.000% 06/25/2042 | 15.521% | 550,000 | 568,218 | |
Credit Suisse Mortgage Trust(a),(f) | ||||
CMO Series 2022-JR1 Class A1 | ||||
10/25/2066 | 4.267% | 1,898,915 | 1,795,469 | |
CSMC Trust(a),(f) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.447% | 1,435,667 | 1,413,989 | |
CMO Series 2021-JR2 Class A1 | ||||
11/25/2061 | 2.215% | 429,922 | 403,847 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M1 | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 11/25/2028 | 5.744% | 1,825,512 | 1,811,668 | |
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 5.844% | 481,252 | 463,827 | |
CMO Series 2019-1 Class M2 | ||||
1-month USD LIBOR + 3.300% 04/25/2029 | 7.344% | 1,500,000 | 1,429,410 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae Connecticut Avenue Securities(a),(b) | ||||
Subordinated CMO Series 2021-R02 Class 2B2 | ||||
30-day Average SOFR + 6.200% 11/25/2041 | 9.721% | 1,100,000 | 910,260 | |
Freddie Mac STACR(a),(b) | ||||
Subordinated CMO Series 2019-HQA3 Class B1 | ||||
1-month USD LIBOR + 3.000% 09/25/2049 | 7.016% | 1,250,000 | 1,179,692 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2022-HQA1 Class M2 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 8.771% | 800,000 | 750,606 | |
Subordinated CMO Series 2020-DNA4 Class B1 | ||||
1-month USD LIBOR + 6.000% 08/25/2050 | 10.016% | 1,578,370 | 1,667,576 | |
Subordinated CMO Series 2020-DNA6 Class B2 | ||||
30-day Average SOFR + 5.650% 12/25/2050 | 9.171% | 1,000,000 | 820,145 | |
Subordinated CMO Series 2020-HQA1 Class B1 | ||||
1-month USD LIBOR + 2.350% 01/25/2050 | 6.366% | 1,942,000 | 1,772,022 | |
Subordinated CMO Series 2020-HQA3 Class B1 | ||||
1-month USD LIBOR + 5.750% 07/25/2050 | 9.766% | 1,000,000 | 1,022,889 | |
Subordinated CMO Series 2020-HQA4 Class B1 | ||||
1-month USD LIBOR + 5.250% 09/25/2050 | 9.266% | 2,400,000 | 2,445,695 | |
Subordinated CMO Series 2021-DNA1 Class B2 | ||||
30-day Average SOFR + 4.750% 01/25/2051 | 8.271% | 1,750,000 | 1,314,587 | |
Subordinated CMO Series 2021-DNA5 Class B2 | ||||
30-day Average SOFR + 5.500% 01/25/2034 | 9.021% | 3,250,000 | 2,484,241 | |
Subordinated CMO Series 2021-DNA6 Class B2 | ||||
30-day Average SOFR + 7.500% 10/25/2041 | 11.047% | 900,000 | 756,304 | |
Subordinated CMO Series 2022-DNA1 Class B2 | ||||
30-day Average SOFR + 7.100% 01/25/2042 | 10.621% | 1,650,000 | 1,303,723 | |
Subordinated CMO Series 2022-DNA6 Class M1A | ||||
30-day Average SOFR + 2.150% 09/25/2042 | 5.671% | 744,842 | 742,050 | |
Subordinated CMO Series 2022-HQA1 Class B2 | ||||
30-day Average SOFR + 11.000% 03/25/2042 | 14.521% | 1,440,000 | 1,263,429 | |
Freddie Mac STACR Trust(a),(b) | ||||
Subordinated CMO Series 2019-HQA2 Class B1 | ||||
1-month USD LIBOR + 4.100% 04/25/2049 | 8.116% | 1,500,000 | 1,510,866 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 11 |
November 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
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 | 9.116% | 1,614,003 | 1,661,418 | |
Subordinated CMO Series 2020-HQA5 Class B2 | ||||
30-day Average SOFR + 7.400% 11/25/2050 | 10.921% | 1,800,000 | 1,694,561 | |
Subordinated CMO Series 2021-DNA7 Class B2 | ||||
30-day Average SOFR + 7.800% 11/25/2041 | 10.797% | 2,950,000 | 2,466,282 | |
Subordinated CMO Series 2022-DNA2 Class B2 | ||||
30-day Average SOFR + 8.500% 02/25/2042 | 12.021% | 1,560,000 | 1,305,089 | |
GCAT Trust(a),(f) | ||||
CMO Series 2019-NQM3 Class M1 | ||||
11/25/2059 | 3.450% | 600,000 | 482,708 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2021-3 Class M1B | ||||
30-day Average SOFR + 2.900% Floor 2.900% 02/25/2034 | 5.897% | 2,000,000 | 1,838,568 | |
Subordinated CMO Series 2021-3 Class B1 | ||||
30-day Average SOFR + 4.950% Floor 4.950% 02/25/2034 | 7.947% | 500,000 | 395,054 | |
Glebe Funding Trust (The)(a),(d) | ||||
CMO Series 2021-1 Class PT | ||||
10/27/2023 | 3.000% | 694,235 | 624,811 | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month USD LIBOR + 3.000% 10/25/2028 | 7.016% | 641,687 | 639,028 | |
CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 4.150% Floor 4.150% 10/25/2030 | 8.194% | 110,962 | 110,830 | |
CMO Series 2020-1 Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 9.294% | 1,200,000 | 1,198,501 | |
Homeward Opportunities Fund I Trust(a),(f) | ||||
Subordinated CMO Series 2020-2 Class B1 | ||||
05/25/2065 | 5.450% | 250,000 | 222,677 | |
Homeward Opportunities Fund Trust(a),(f) | ||||
CMO Series 2020-BPL1 Class A2 | ||||
08/25/2025 | 5.438% | 801,223 | 799,005 | |
Imperial Fund Mortgage Trust(a),(f) | ||||
Subordinated CMO Series 2021-NQM3 Class B1 | ||||
11/25/2056 | 4.184% | 500,000 | 314,998 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Legacy Mortgage Asset Trust(a),(f) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 403,200 | 347,981 | |
CMO Series 2021-SL2 Class A | ||||
10/25/2068 | 1.875% | 751,082 | 647,268 | |
Loan Revolving Advance Investment Trust(a),(b),(d),(e) | ||||
CMO Series 2021-2 Class A1X | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 06/30/2023 | 6.623% | 815,976 | 815,976 | |
Mortgage Acquisition Trust I LLC(a),(d) | ||||
CMO Series 2021-1 Class PT | ||||
11/29/2023 | 3.500% | 623,299 | 532,726 | |
Oaktown Re II Ltd.(a),(b) | ||||
Subordinated CMO Series 2018-1A Class M2 | ||||
1-month USD LIBOR + 2.850% 07/25/2028 | 6.894% | 3,017,857 | 3,006,649 | |
Oaktown Re V Ltd.(a),(b) | ||||
CMO Series 2020-2A Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 9.266% | 1,000,000 | 996,170 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M2 | ||||
30-day Average SOFR + 3.950% Floor 3.950% 10/25/2033 | 7.471% | 500,000 | 451,343 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 6.805% | 717,449 | 678,850 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-FT1 Class A | ||||
1-month USD LIBOR + 2.350% 04/25/2023 | 6.366% | 500,000 | 471,149 | |
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 6.894% | 2,750,000 | 2,667,723 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 6.694% | 4,250,000 | 4,056,241 | |
Point Securitization Trust(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 988,148 | 943,761 | |
Preston Ridge Partners Mortgage(a),(f) | ||||
CMO Series 2021-2 Class A2 | ||||
03/25/2026 | 3.770% | 1,000,000 | 822,619 | |
CMO Series 2021-4 Class A2 | ||||
04/25/2026 | 3.474% | 400,000 | 334,061 |
12 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Preston Ridge Partners Mortgage LLC(a),(f) | ||||
CMO Series 2020-6 Class A2 | ||||
11/25/2025 | 4.703% | 200,000 | 178,717 | |
Preston Ridge Partners Mortgage Trust(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 711,263 | 648,289 | |
CMO Series 2021-1 Class A2 | ||||
01/25/2026 | 3.720% | 3,250,000 | 2,728,973 | |
CMO Series 2021-10 Class A1 | ||||
10/25/2026 | 2.487% | 926,522 | 816,132 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 712,086 | 625,915 | |
CMO Series 2021-5 Class A2 | ||||
06/25/2026 | 3.721% | 700,000 | 552,548 | |
CMO Series 2021-7 Class A1 | ||||
08/25/2026 | 1.867% | 1,298,226 | 1,147,881 | |
Pretium Mortgage Credit Partners(a),(f) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 823,351 | 740,994 | |
Pretium Mortgage Credit Partners LLC(a),(f) | ||||
CMO Series 2021-NPL6 Class A2 | ||||
07/25/2051 | 5.071% | 400,000 | 350,299 | |
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 440,240 | 398,027 | |
Residential Mortgage Loan Trust(a),(f) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.257% | 700,000 | 626,525 | |
Stanwich Mortgage Loan Co. LLC(a),(f) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 1,906,855 | 1,649,653 | |
Starwood Mortgage Residential Trust(a),(f) | ||||
CMO Series 2020-3 Class B1 | ||||
04/25/2065 | 4.750% | 250,000 | 193,156 | |
CMO Series 2021-3 Class A1 | ||||
06/25/2056 | 1.127% | 339,579 | 271,656 | |
Stonnington Mortgage Trust(a),(d),(e),(f) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 3.500% | 242,374 | 242,374 | |
Toorak Mortgage Corp., Ltd.(a),(d),(e),(f) | ||||
CMO Series 2020-1 Class M1 | ||||
03/25/2023 | 5.000% | 1,400,000 | 1,379,000 | |
Toorak Mortgage Corp., Ltd.(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 800,000 | 762,447 | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
1-month USD LIBOR + 3.400% Floor 3.400% 08/25/2033 | 7.444% | 94,735 | 94,539 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2021-1 Class B1 | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 08/25/2033 | 8.544% | 1,500,000 | 1,409,936 | |
Subordinated CMO Series 2021-2 Class B1 | ||||
1-month USD LIBOR + 7.500% Floor 7.500% 10/25/2033 | 11.544% | 650,000 | 588,267 | |
VCAT Asset Securitization LLC(a),(f) | ||||
CMO Series 2021-NPL3 Class A2 | ||||
05/25/2051 | 3.967% | 300,000 | 243,129 | |
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 960,106 | 861,980 | |
Vericrest Opportunity Loan Transferee(a),(f) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 717,955 | 664,317 | |
Verus Securitization Trust(a) | ||||
CMO Series 2020-INV1 Class M1 | ||||
03/25/2060 | 5.500% | 550,000 | 508,486 | |
Subordinated CMO Series 2020-INV1 Class B1 | ||||
03/25/2060 | 5.750% | 150,000 | 137,029 | |
Subordinated CMO Series 2020-INV1 Class B2 | ||||
03/25/2060 | 6.000% | 150,000 | 138,204 | |
Verus Securitization Trust(a),(f) | ||||
CMO Series 2020-NPL1 Class A2 | ||||
08/25/2050 | 5.682% | 1,033,683 | 1,023,437 | |
Subordinated CMO Series 2019-4 Class B1 | ||||
11/25/2059 | 3.860% | 500,000 | 392,356 | |
Subordinated CMO Series 2020-4 Class B1 | ||||
05/25/2065 | 5.046% | 150,000 | 116,849 | |
Subordinated CMO Series 2020-4 Class B2 | ||||
05/25/2065 | 5.600% | 327,000 | 237,195 | |
Subordinated Series 2021-5 Class B1 | ||||
09/25/2066 | 3.037% | 300,000 | 186,330 | |
Subordinated Series 2021-5 Class B2 | ||||
09/25/2066 | 3.941% | 250,000 | 153,303 | |
Visio Trust(a),(f) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 160,822 | |
Subordinated CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 80,453 | |
Vista Point Securitization Trust(a),(f) | ||||
Subordinated CMO Series 2020-1 Class B1 | ||||
03/25/2065 | 5.353% | 800,000 | 709,068 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $114,098,851) | 104,758,250 | |||
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 13 |
November 30, 2022 (Unaudited)
Treasury Bills 20.1% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 20.1% | ||||
U.S. Treasury Bills(i) | ||||
07/13/2023 | 4.550% | 89,000,000 | 86,572,262 | |
U.S. Treasury Bills | ||||
11/02/2023 | 4.730% | 70,000,000 | 67,073,458 | |
Total | 153,645,720 | |||
Total Treasury Bills (Cost $154,300,017) | 153,645,720 |
Options Purchased Calls 0.7% | ||||
Value ($) | ||||
(Cost $6,342,020) | 5,443,966 |
Money Market Funds 41.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 3.989%(j),(k) | 315,735,117 | 315,608,823 |
Total Money Market Funds (Cost $315,600,197) | 315,608,823 | |
Total Investments in Securities (Cost: $889,287,062) | 866,345,227 | |
Other Assets & Liabilities, Net | (100,860,874) | |
Net Assets | 765,484,353 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
106,760,000 AUD | 68,110,742 USD | Barclays | 12/07/2022 | — | (4,370,046) |
9,320,025,000 JPY | 65,972,903 USD | Barclays | 12/07/2022 | — | (1,569,355) |
121,301,000 NZD | 74,964,341 USD | Barclays | 12/07/2022 | — | (1,479,751) |
707,625,000 SEK | 67,703,319 USD | Barclays | 12/07/2022 | 293,910 | — |
786,658,000 SEK | 70,086,736 USD | Barclays | 12/07/2022 | — | (4,851,470) |
71,395,249 USD | 106,760,000 AUD | Barclays | 12/07/2022 | 1,085,538 | — |
67,340,929 USD | 9,320,025,000 JPY | Barclays | 12/07/2022 | 201,329 | — |
68,992,745 USD | 121,301,000 NZD | Barclays | 12/07/2022 | 7,451,348 | — |
135,842,966 USD | 1,494,283,000 SEK | Barclays | 12/07/2022 | 6,504,645 | — |
90,996,000 CAD | 66,602,745 USD | Citi | 12/07/2022 | — | (1,051,439) |
71,600,000 EUR | 70,745,798 USD | Citi | 12/07/2022 | — | (3,796,366) |
665,000 GBP | 801,571 USD | Citi | 12/07/2022 | — | (89) |
66,380,706 USD | 90,996,000 CAD | Citi | 12/07/2022 | 1,273,477 | — |
7,426,421 USD | 7,327,000 EUR | Citi | 12/07/2022 | 201,657 | — |
751,015 USD | 719,000 EUR | Citi | 12/07/2022 | — | (2,470) |
65,479,362 USD | 55,748,000 GBP | Citi | 12/07/2022 | 1,725,038 | — |
4,590,000 AUD | 3,127,666 USD | Citi | 12/21/2022 | 9,354 | — |
110,991,999 AUD | 71,943,973 USD | Citi | 12/21/2022 | — | (3,460,735) |
23,936,000 BRL | 4,604,410 USD | Citi | 12/21/2022 | 8,845 | — |
117,974,666 BRL | 22,141,664 USD | Citi | 12/21/2022 | — | (508,752) |
64,851,000 CAD | 49,014,488 USD | Citi | 12/21/2022 | 785,338 | — |
25,628,000 CAD | 18,844,964 USD | Citi | 12/21/2022 | — | (214,367) |
108,497,000 CHF | 111,748,687 USD | Citi | 12/21/2022 | — | (3,235,044) |
1,300,000,000 CLP | 1,459,897 USD | Citi | 12/21/2022 | 4,645 | — |
6,417,628,428 CLP | 6,818,728 USD | Citi | 12/21/2022 | — | (365,326) |
119,041,000 CNH | 17,211,567 USD | Citi | 12/21/2022 | 290,563 | — |
185,233,000 CNH | 25,687,896 USD | Citi | 12/21/2022 | — | (641,926) |
9,675,820,000 COP | 2,034,119 USD | Citi | 12/21/2022 | 36,295 | — |
54,985,334,000 COP | 11,056,503 USD | Citi | 12/21/2022 | — | (296,649) |
477,852,000 CZK | 19,002,366 USD | Citi | 12/21/2022 | — | (1,405,889) |
139,000 EUR | 144,973 USD | Citi | 12/21/2022 | 70 | — |
175,282,500 EUR | 175,984,706 USD | Citi | 12/21/2022 | — | (6,741,750) |
14 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
3,175,999 GBP | 3,835,163 USD | Citi | 12/21/2022 | 4,233 | — |
66,579,000 GBP | 75,572,391 USD | Citi | 12/21/2022 | — | (4,736,042) |
5,634,309,250 HUF | 13,009,320 USD | Citi | 12/21/2022 | — | (1,235,160) |
77,419,805,249 IDR | 4,920,303 USD | Citi | 12/21/2022 | — | (16,061) |
14,742,000 ILS | 4,411,966 USD | Citi | 12/21/2022 | 87,063 | — |
11,659,000 ILS | 3,391,562 USD | Citi | 12/21/2022 | — | (28,872) |
730,000,000 INR | 9,092,234 USD | Citi | 12/21/2022 | 127,383 | — |
503,944,284 INR | 6,148,891 USD | Citi | 12/21/2022 | — | (39,856) |
3,838,474,750 JPY | 28,259,622 USD | Citi | 12/21/2022 | 384,679 | — |
9,408,217,250 JPY | 64,633,626 USD | Citi | 12/21/2022 | — | (3,688,697) |
45,701,313,500 KRW | 33,521,772 USD | Citi | 12/21/2022 | — | (1,379,681) |
818,579,500 MXN | 40,607,220 USD | Citi | 12/21/2022 | — | (1,673,287) |
41,768,000 NOK | 4,256,731 USD | Citi | 12/21/2022 | 12,143 | — |
675,659,571 NOK | 66,058,865 USD | Citi | 12/21/2022 | — | (2,603,656) |
136,810,000 NZD | 81,119,032 USD | Citi | 12/21/2022 | — | (5,118,650) |
530,000,000 PHP | 8,939,050 USD | Citi | 12/21/2022 | — | (446,731) |
154,451,000 PLN | 31,725,537 USD | Citi | 12/21/2022 | — | (2,518,593) |
744,134,000 SEK | 68,236,859 USD | Citi | 12/21/2022 | — | (2,734,130) |
19,031,000 SGD | 13,596,167 USD | Citi | 12/21/2022 | — | (390,609) |
425,869,000 TWD | 14,091,113 USD | Citi | 12/21/2022 | 187,970 | — |
40,000,000 TWD | 1,245,341 USD | Citi | 12/21/2022 | — | (60,520) |
38,364,029 USD | 58,917,750 AUD | Citi | 12/21/2022 | 1,662,963 | — |
54,920,230 USD | 79,971,250 AUD | Citi | 12/21/2022 | — | (590,109) |
26,780,429 USD | 142,471,749 BRL | Citi | 12/21/2022 | 573,277 | — |
3,955,507 USD | 20,382,583 BRL | Citi | 12/21/2022 | — | (42,175) |
8,605,973 USD | 11,725,000 CAD | Citi | 12/21/2022 | 113,813 | — |
60,052,087 USD | 78,754,000 CAD | Citi | 12/21/2022 | — | (1,483,391) |
81,862,332 USD | 78,974,142 CHF | Citi | 12/21/2022 | 1,833,452 | — |
11,973,832 USD | 11,274,714 CHF | Citi | 12/21/2022 | — | (25,035) |
10,085,405 USD | 9,380,018,000 CLP | Citi | 12/21/2022 | 414,821 | — |
28,732,983 USD | 206,414,000 CNH | Citi | 12/21/2022 | 607,598 | — |
11,226,309 USD | 77,901,000 CNH | Citi | 12/21/2022 | — | (153,123) |
6,240,949 USD | 30,699,999,999 COP | Citi | 12/21/2022 | 97,864 | — |
6,902,339 USD | 31,353,821,000 COP | Citi | 12/21/2022 | — | (428,528) |
15,627,561 USD | 384,915,428 CZK | Citi | 12/21/2022 | 811,530 | — |
184,276,235 USD | 185,095,500 EUR | Citi | 12/21/2022 | 8,679,962 | — |
81,473,662 USD | 71,343,000 GBP | Citi | 12/21/2022 | 4,581,168 | — |
14,793,820 USD | 6,287,730,000 HUF | Citi | 12/21/2022 | 1,102,618 | — |
101,562 USD | 40,000,000 HUF | Citi | 12/21/2022 | — | (435) |
892,550 USD | 14,000,000,000 IDR | Citi | 12/21/2022 | 104 | — |
5,787,017 USD | 89,226,407,000 IDR | Citi | 12/21/2022 | — | (97,852) |
6,344,933 USD | 21,955,000 ILS | Citi | 12/21/2022 | 96,068 | — |
1,341,398 USD | 4,446,000 ILS | Citi | 12/21/2022 | — | (37,062) |
3,720,219 USD | 310,000,000 INR | Citi | 12/21/2022 | 86,772 | — |
16,843,241 USD | 1,355,870,000 INR | Citi | 12/21/2022 | — | (192,319) |
73,666,132 USD | 10,472,262,000 JPY | Citi | 12/21/2022 | 2,383,268 | — |
4,291,315 USD | 583,582,500 JPY | Citi | 12/21/2022 | — | (53,348) |
30,739,916 USD | 42,142,920,000 KRW | Citi | 12/21/2022 | 1,444,042 | — |
44,650,447 USD | 905,336,000 MXN | Citi | 12/21/2022 | 2,111,127 | — |
57,966,010 USD | 595,054,001 NOK | Citi | 12/21/2022 | 2,505,135 | — |
29,920,979 USD | 291,252,999 NOK | Citi | 12/21/2022 | — | (322,989) |
76,452,432 USD | 131,012,500 NZD | Citi | 12/21/2022 | 6,130,817 | — |
7,795,059 USD | 447,036,000 PHP | Citi | 12/21/2022 | 121,511 | — |
34,579,249 USD | 167,456,000 PLN | Citi | 12/21/2022 | 2,548,287 | — |
62,331,950 USD | 671,134,000 SEK | Citi | 12/21/2022 | 1,676,742 | — |
6,999,509 USD | 73,000,000 SEK | Citi | 12/21/2022 | — | (37,212) |
13,467,889 USD | 19,031,000 SGD | Citi | 12/21/2022 | 518,887 | — |
12,367,069 USD | 389,434,500 TWD | Citi | 12/21/2022 | 346,614 | — |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 15 |
November 30, 2022 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
11,420,403 USD | 202,613,500 ZAR | Citi | 12/21/2022 | 284,774 | — |
5,884,415 USD | 100,826,500 ZAR | Citi | 12/21/2022 | — | (59,571) |
103,075,000 ZAR | 6,022,139 USD | Citi | 12/21/2022 | 67,397 | — |
163,487,000 ZAR | 9,151,861 USD | Citi | 12/21/2022 | — | (292,940) |
48,766,223 USD | 45,892,000 CHF | Citi | 12/22/2022 | — | (123,261) |
1,747,000 AUD | 1,166,004 USD | Citi | 03/15/2023 | — | (25,005) |
5,347,000 BRL | 982,136 USD | Citi | 03/15/2023 | — | (29,091) |
2,026,000 CAD | 1,512,144 USD | Citi | 03/15/2023 | 3,524 | — |
9,018,000 CAD | 6,689,265 USD | Citi | 03/15/2023 | — | (25,809) |
6,082,714 CHF | 6,514,746 USD | Citi | 03/15/2023 | 5,487 | — |
20,072,142 CHF | 21,293,349 USD | Citi | 03/15/2023 | — | (186,334) |
1,500,000,000 CLP | 1,601,846 USD | Citi | 03/15/2023 | — | (55,195) |
42,492,000 CNH | 5,950,689 USD | Citi | 03/15/2023 | — | (128,794) |
3,800,000,000 COP | 776,444 USD | Citi | 03/15/2023 | 4,554 | — |
7,599,999,999 COP | 1,521,439 USD | Citi | 03/15/2023 | — | (22,341) |
123,915,428 CZK | 5,214,005 USD | Citi | 03/15/2023 | — | (54,344) |
5,216,500 EUR | 5,416,491 USD | Citi | 03/15/2023 | — | (54,338) |
51,000,000,000 IDR | 3,233,735 USD | Citi | 03/15/2023 | — | (16,597) |
18,449,000 ILS | 5,398,314 USD | Citi | 03/15/2023 | — | (45,150) |
2,190,847,500 JPY | 15,890,503 USD | Citi | 03/15/2023 | — | (198,047) |
6,229,733,000 KRW | 4,682,960 USD | Citi | 03/15/2023 | — | (108,321) |
61,000,000 NOK | 6,034,557 USD | Citi | 03/15/2023 | — | (182,752) |
5,797,500 NZD | 3,609,417 USD | Citi | 03/15/2023 | — | (48,689) |
211,484,000 PHP | 3,692,946 USD | Citi | 03/15/2023 | — | (44,810) |
360,134,000 SEK | 34,194,467 USD | Citi | 03/15/2023 | — | (332,235) |
1,906,000 SGD | 1,386,712 USD | Citi | 03/15/2023 | — | (15,849) |
76,434,500 TWD | 2,506,004 USD | Citi | 03/15/2023 | — | (36,479) |
22,521,916 USD | 33,525,999 AUD | Citi | 03/15/2023 | 334,285 | — |
4,021,030 USD | 21,970,666 BRL | Citi | 03/15/2023 | 134,070 | — |
8,491,279 USD | 11,335,000 CAD | Citi | 03/15/2023 | — | (50,898) |
1,738,412 USD | 1,633,000 CHF | Citi | 03/15/2023 | 9,101 | — |
2,477,336 USD | 2,316,519,428 CLP | Citi | 03/15/2023 | 81,709 | — |
476,995 USD | 2,385,334,000 COP | Citi | 03/15/2023 | 7,536 | — |
610,405 USD | 2,992,667,000 COP | Citi | 03/15/2023 | — | (2,507) |
293,123 USD | 7,000,000 CZK | Citi | 03/15/2023 | 4,487 | — |
20,091,639 USD | 19,319,500 EUR | Citi | 03/15/2023 | 169,777 | — |
7,322,323 USD | 6,129,000 GBP | Citi | 03/15/2023 | 86,276 | — |
3,845,015 USD | 3,175,999 GBP | Citi | 03/15/2023 | — | (5,939) |
4,906,952 USD | 77,419,805,249 IDR | Citi | 03/15/2023 | 27,167 | — |
4,784,361 USD | 393,944,284 INR | Citi | 03/15/2023 | 27,148 | — |
4,384,312 USD | 600,000,000 JPY | Citi | 03/15/2023 | 21,805 | — |
3,132,109 USD | 4,171,339,500 KRW | Citi | 03/15/2023 | 76,064 | — |
5,700,765 USD | 112,756,500 MXN | Citi | 03/15/2023 | 37,053 | — |
2,668,225 USD | 52,000,000 MXN | Citi | 03/15/2023 | — | (22,111) |
13,664,360 USD | 136,659,571 NOK | Citi | 03/15/2023 | 264,407 | — |
521,360 USD | 30,000,000 PHP | Citi | 03/15/2023 | 8,858 | — |
3,235,438 USD | 14,898,000 PLN | Citi | 03/15/2023 | 33,385 | — |
2,738,566 USD | 29,000,000 SEK | Citi | 03/15/2023 | 41,717 | — |
2,946,584 USD | 4,051,000 SGD | Citi | 03/15/2023 | 34,410 | — |
32,568 USD | 1,000,000 TWD | Citi | 03/15/2023 | 695 | — |
2,629,675 USD | 46,189,000 ZAR | Citi | 03/15/2023 | 20,626 | — |
6,065,686 USD | 104,189,000 ZAR | Citi | 03/15/2023 | — | (87,375) |
10,750,000 ZAR | 628,332 USD | Citi | 03/15/2023 | 11,502 | — |
12,750,000 ZAR | 726,298 USD | Citi | 03/15/2023 | — | (5,290) |
744,798 USD | 301,140,250 HUF | Citi | 03/16/2023 | 294 | — |
24,902 USD | 10,000,000 HUF | Citi | 03/16/2023 | — | (160) |
71,270,000 CHF | 71,509,327 USD | Goldman Sachs International | 12/07/2022 | — | (3,865,001) |
691,797,000 SEK | 66,339,698 USD | Goldman Sachs International | 12/07/2022 | 438,091 | — |
16 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
3,718,417 USD | 5,002,000 CAD | Goldman Sachs International | 12/07/2022 | 497 | — |
63,437,207 USD | 84,309,000 CAD | Goldman Sachs International | 12/07/2022 | — | (754,710) |
3,837,903 USD | 3,813,000 CHF | Goldman Sachs International | 12/07/2022 | 194,682 | — |
5,097,922 USD | 4,818,000 CHF | Goldman Sachs International | 12/07/2022 | — | (2,461) |
8,450,000 AUD | 5,499,253 USD | Morgan Stanley | 12/21/2022 | — | (241,429) |
2,985,000 BRL | 577,481 USD | Morgan Stanley | 12/21/2022 | 4,379 | — |
32,235,000 BRL | 5,843,842 USD | Morgan Stanley | 12/21/2022 | — | (345,081) |
3,100,000 CAD | 2,364,084 USD | Morgan Stanley | 12/21/2022 | 58,640 | — |
58,650,000 CAD | 42,855,441 USD | Morgan Stanley | 12/21/2022 | — | (762,076) |
64,600,000 CHF | 66,524,640 USD | Morgan Stanley | 12/21/2022 | — | (1,937,613) |
33,200,000 EUR | 33,188,916 USD | Morgan Stanley | 12/21/2022 | — | (1,421,033) |
25,150,000 GBP | 28,775,700 USD | Morgan Stanley | 12/21/2022 | — | (1,560,548) |
1,122,595,000 INR | 13,695,998 USD | Morgan Stanley | 12/21/2022 | — | (90,162) |
390,000,000 JPY | 2,647,859 USD | Morgan Stanley | 12/21/2022 | — | (184,315) |
32,506,575,000 KRW | 23,616,313 USD | Morgan Stanley | 12/21/2022 | — | (1,208,504) |
174,020,000 MXN | 8,858,145 USD | Morgan Stanley | 12/21/2022 | — | (130,174) |
122,000,000 NOK | 11,710,023 USD | Morgan Stanley | 12/21/2022 | — | (687,977) |
54,600,000 NZD | 32,995,271 USD | Morgan Stanley | 12/21/2022 | — | (1,421,638) |
102,510,000 PLN | 20,755,028 USD | Morgan Stanley | 12/21/2022 | — | (1,972,995) |
244,000,000 SEK | 22,739,412 USD | Morgan Stanley | 12/21/2022 | — | (531,829) |
148,340,000 TRY | 7,522,171 USD | Morgan Stanley | 12/21/2022 | — | (360,659) |
22,540,598 USD | 33,400,000 AUD | Morgan Stanley | 12/21/2022 | 150,382 | — |
12,840,482 USD | 68,590,000 BRL | Morgan Stanley | 12/21/2022 | 328,380 | — |
7,201,524 USD | 9,900,000 CAD | Morgan Stanley | 12/21/2022 | 161,024 | — |
25,849,493 USD | 33,950,000 CAD | Morgan Stanley | 12/21/2022 | — | (601,160) |
28,292,872 USD | 27,750,000 CHF | Morgan Stanley | 12/21/2022 | 1,116,223 | — |
12,539,871 USD | 12,600,000 EUR | Morgan Stanley | 12/21/2022 | 595,230 | — |
2,138,531 USD | 2,050,000 EUR | Morgan Stanley | 12/21/2022 | — | (1,471) |
416,626 USD | 350,000 GBP | Morgan Stanley | 12/21/2022 | 5,548 | — |
7,363,351 USD | 607,285,000 INR | Morgan Stanley | 12/21/2022 | 94,484 | — |
6,415,552 USD | 515,310,000 INR | Morgan Stanley | 12/21/2022 | — | (87,227) |
38,599,369 USD | 5,565,000,000 JPY | Morgan Stanley | 12/21/2022 | 1,813,572 | — |
5,166,877 USD | 7,367,590,000 KRW | Morgan Stanley | 12/21/2022 | 459,648 | — |
20,783,355 USD | 417,650,000 MXN | Morgan Stanley | 12/21/2022 | 788,714 | — |
38,947,452 USD | 392,250,000 NOK | Morgan Stanley | 12/21/2022 | 914,151 | — |
35,713,146 USD | 62,050,000 NZD | Morgan Stanley | 12/21/2022 | 3,399,844 | — |
9,869,894 USD | 45,765,000 PLN | Morgan Stanley | 12/21/2022 | 276,901 | — |
24,638,612 USD | 270,500,000 SEK | Morgan Stanley | 12/21/2022 | 1,160,038 | — |
861,409 USD | 9,000,000 SEK | Morgan Stanley | 12/21/2022 | — | (3,043) |
1,594,665 USD | 31,945,000 TRY | Morgan Stanley | 12/21/2022 | 102,902 | — |
20,969,974 USD | 370,675,000 ZAR | Morgan Stanley | 12/21/2022 | 444,278 | — |
18,679,784 USD | 323,065,000 ZAR | Morgan Stanley | 12/21/2022 | — | (16,008) |
370,675,000 ZAR | 20,261,426 USD | Morgan Stanley | 12/21/2022 | — | (1,152,826) |
1,349,385,000 NOK | 134,393,836 USD | UBS | 12/07/2022 | — | (2,656,641) |
196,101,186 USD | 2,008,685,000 NOK | UBS | 12/07/2022 | 7,911,187 | — |
Total | 83,340,866 | (88,382,360) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian 10-Year Bond | 253 | 12/2022 | AUD | 30,526,871 | 638,148 | — |
Australian 10-Year Bond | 287 | 12/2022 | AUD | 34,629,297 | 365,072 | — |
Bist 30 Index | 3,203 | 12/2022 | TRY | 175,844,700 | 1,546,257 | — |
CAC40 Index | 228 | 12/2022 | EUR | 15,359,220 | 243,222 | — |
Cotton | 22 | 03/2023 | USD | 930,710 | — | (28,832) |
Euro STOXX 50 Index | 304 | 12/2022 | EUR | 12,053,600 | 313,535 | — |
Euro-Bund | 432 | 12/2022 | EUR | 60,860,160 | 144,431 | — |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 17 |
November 30, 2022 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bund | 274 | 12/2022 | EUR | 38,601,120 | — | (838,446) |
Euro-Bund | 51 | 03/2023 | EUR | 7,151,730 | 153 | — |
Euro-OAT | 112 | 12/2022 | EUR | 15,293,600 | 610,245 | — |
Euro-OAT | 272 | 12/2022 | EUR | 37,141,600 | — | (283,122) |
FTSE 100 Index | 192 | 12/2022 | GBP | 14,590,080 | 623,135 | — |
FTSE Taiwan Index | 38 | 12/2022 | USD | 1,976,760 | 17,933 | — |
FTSE/JSE Top 40 Index | 183 | 12/2022 | ZAR | 126,006,480 | 580,309 | — |
FTSE/JSE Top 40 Index | 16 | 12/2022 | ZAR | 11,016,960 | 10,706 | — |
FTSE/MIB Index | 185 | 12/2022 | EUR | 22,785,525 | 2,861,464 | — |
FTSE/MIB Index | 57 | 12/2022 | EUR | 7,020,405 | 624,687 | — |
Gold 100 oz. | 6 | 02/2023 | USD | 1,055,940 | 2,866 | — |
IBEX 35 Index | 43 | 12/2022 | EUR | 3,592,478 | 82,411 | — |
Japanese 10-Year Government Bond | 26 | 12/2022 | JPY | 3,866,720,000 | 90,425 | — |
Japanese 10-Year Government Bond | 21 | 12/2022 | JPY | 3,123,120,000 | — | (24,896) |
Japanese 10-Year Government Bond | 117 | 12/2022 | JPY | 17,400,240,000 | — | (61,915) |
KLCI Index | 23 | 12/2022 | MYR | 1,709,475 | — | (221) |
Lean Hogs | 106 | 12/2022 | USD | 3,514,960 | — | (62,203) |
Long Gilt | 361 | 03/2023 | GBP | 37,901,390 | 97,347 | — |
NY Harbor ULSD Heat Oil | 17 | 12/2022 | USD | 2,401,539 | 16,252 | — |
NY Harbor ULSD Heat Oil | 1 | 12/2022 | USD | 141,267 | — | (7,184) |
RBOB Gasoline | 64 | 12/2022 | USD | 6,410,074 | 20,728 | — |
RBOB Gasoline | 2 | 12/2022 | USD | 200,315 | — | (12,201) |
S&P/TSX 60 Index | 121 | 12/2022 | CAD | 30,015,260 | 1,673,680 | — |
SGX CNX Nifty Index | 96 | 12/2022 | USD | 3,631,968 | 108,479 | — |
SGX CNX Nifty Index | 24 | 12/2022 | USD | 907,992 | 24,987 | — |
Soybean | 52 | 01/2023 | USD | 3,820,700 | 21,628 | — |
Soybean Oil | 115 | 01/2023 | USD | 4,959,720 | 79,447 | — |
Soybean Oil | 6 | 01/2023 | USD | 258,768 | — | (4,930) |
SPI 200 Index | 759 | 12/2022 | AUD | 138,688,275 | 6,637,850 | — |
SPI 200 Index | 120 | 12/2022 | AUD | 21,927,000 | 378,934 | — |
Thai SET50 Index | 642 | 12/2022 | THB | 127,732,320 | 159,871 | — |
TOPIX Index | 274 | 12/2022 | JPY | 5,452,600,000 | 1,659,934 | — |
TOPIX Index | 64 | 12/2022 | JPY | 1,273,600,000 | 118,982 | — |
U.S. Treasury 10-Year Note | 209 | 03/2023 | USD | 23,721,500 | 191,733 | — |
U.S. Treasury Ultra Bond | 89 | 03/2023 | USD | 12,129,031 | — | (101,958) |
WTI Crude | 54 | 12/2022 | USD | 4,349,700 | 73,300 | — |
WTI Crude | 3 | 12/2022 | USD | 241,650 | — | (18,465) |
Zinc | 106 | 12/2022 | USD | 8,078,525 | 225,561 | — |
Total | 20,243,712 | (1,444,373) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Amsterdam Index | (118) | 12/2022 | EUR | (17,101,740) | — | (260,005) |
Australian 3-Year Bond | (227) | 12/2022 | AUD | (24,517,923) | — | (87,478) |
Brent Crude | (12) | 12/2022 | USD | (1,043,640) | 2,630 | — |
Canadian Government 10-Year Bond | (129) | 03/2023 | CAD | (16,220,460) | — | (76,791) |
Canadian Government 10-Year Bond | (1,634) | 03/2023 | CAD | (205,459,160) | — | (366,263) |
Coffee | (104) | 03/2023 | USD | (6,626,100) | — | (286,994) |
Copper | (8) | 12/2022 | USD | (1,647,950) | — | (60,196) |
Copper | (8) | 03/2023 | USD | (1,648,050) | — | (33,221) |
Copper | (43) | 03/2023 | USD | (4,018,350) | — | (102,716) |
Corn | (110) | 03/2023 | USD | (3,668,500) | 19,606 | — |
Corn | (94) | 03/2023 | USD | (3,134,900) | 5,790 | — |
DAX Index | (10) | 12/2022 | EUR | (3,604,500) | — | (43,703) |
DAX Index | (72) | 12/2022 | EUR | (25,952,400) | — | (2,998,001) |
DJIA Index E-mini | (9) | 12/2022 | USD | (1,556,955) | — | (125,215) |
18 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro STOXX 50 Index | (40) | 12/2022 | EUR | (1,586,000) | — | (120,854) |
Euro STOXX 50 Index | (56) | 12/2022 | EUR | (2,220,400) | — | (282,367) |
Euro-Bobl | (39) | 12/2022 | EUR | (4,681,170) | — | (15,245) |
Euro-Bobl | (2) | 03/2023 | EUR | (237,820) | 291 | — |
Euro-BTP | (21) | 12/2022 | EUR | (2,505,300) | — | (20,677) |
Euro-Bund | (244) | 12/2022 | EUR | (34,374,720) | 339,940 | — |
Euro-Buxl 30-Year | (6) | 12/2022 | EUR | (949,800) | — | (49,569) |
Euro-OAT | (18) | 12/2022 | EUR | (2,457,900) | — | (68,341) |
Euro-Schatz | (211) | 12/2022 | EUR | (22,530,580) | — | (12,840) |
FTSE 100 Index | (150) | 12/2022 | GBP | (11,398,500) | — | (688,941) |
FTSE 100 Index | (335) | 12/2022 | GBP | (25,456,650) | — | (1,957,710) |
FTSE China A50 Index | (100) | 12/2022 | USD | (1,269,500) | — | (55,282) |
FTSE Taiwan Index | (201) | 12/2022 | USD | (10,456,020) | — | (34,282) |
Gold 100 oz. | (8) | 02/2023 | USD | (1,407,920) | 1,012 | — |
IBEX 35 Index | (76) | 12/2022 | EUR | (6,349,496) | — | (174,062) |
KOSPI 200 Index | (150) | 12/2022 | KRW | (11,986,875,000) | — | (446,799) |
Lead | (1) | 12/2022 | USD | (54,663) | — | (1,834) |
Live Cattle | (134) | 02/2023 | USD | (8,344,180) | 30,995 | — |
Long Gilt | (187) | 03/2023 | GBP | (19,633,130) | 137,727 | — |
Long Gilt | (93) | 03/2023 | GBP | (9,764,070) | — | (48,981) |
Mexican Bolsa IPC Index | (1) | 12/2022 | MXN | (516,500) | 163 | — |
MSCI EAFE Index | (1) | 12/2022 | USD | (98,990) | — | (6,582) |
MSCI Emerging Markets Index | (234) | 12/2022 | USD | (11,495,250) | — | (1,149,088) |
MSCI Singapore Index | (213) | 12/2022 | SGD | (6,325,035) | — | (22,285) |
NASDAQ 100 Index E-mini | (15) | 12/2022 | USD | (3,612,675) | — | (268,252) |
Natural Gas | (62) | 12/2022 | USD | (4,296,600) | — | (110,744) |
Natural Gas | (39) | 12/2022 | USD | (2,702,700) | — | (182,495) |
Nickel | (5) | 03/2023 | USD | (810,960) | — | (22,725) |
Nikkei 225 Index | (3) | 12/2022 | JPY | (84,120,000) | — | (23,093) |
OMXS30 Index | (713) | 12/2022 | SEK | (149,854,775) | 337 | — |
OMXS30 Index | (16) | 12/2022 | SEK | (3,362,800) | — | (790) |
Primary Aluminum | (20) | 12/2022 | USD | (1,227,500) | — | (52,151) |
Primary Aluminum | (19) | 12/2022 | USD | (1,166,125) | — | (120,831) |
Primary Aluminum | (18) | 03/2023 | USD | (1,116,000) | — | (42,001) |
Russell 2000 Index E-mini | (32) | 12/2022 | USD | (3,020,000) | — | (299,844) |
S&P 500 Index E-mini | (202) | 12/2022 | USD | (41,220,625) | — | (2,796,417) |
S&P 500 Index E-mini | (440) | 12/2022 | USD | (89,787,500) | — | (4,857,390) |
S&P Mid 400 Index E-mini | (5) | 12/2022 | USD | (1,289,900) | — | (78,406) |
S&P/TSX 60 Index | (39) | 12/2022 | CAD | (9,674,340) | — | (196,004) |
S&P/TSX 60 Index | (31) | 12/2022 | CAD | (7,689,860) | — | (459,831) |
Silver | (5) | 03/2023 | USD | (544,525) | — | (10,406) |
Silver | (42) | 03/2023 | USD | (4,574,010) | — | (123,511) |
Soybean | (27) | 01/2023 | USD | (1,983,825) | — | (90,778) |
Soybean Meal | (30) | 01/2023 | USD | (1,253,400) | — | (40,474) |
Sugar #11 | (257) | 02/2023 | USD | (5,650,299) | — | (485,558) |
TOPIX Index | (89) | 12/2022 | JPY | (1,771,100,000) | — | (803,999) |
U.S. Long Bond | (30) | 03/2023 | USD | (3,810,000) | — | (31,874) |
U.S. Treasury 10-Year Note | (1,010) | 03/2023 | USD | (114,635,000) | — | (747,955) |
U.S. Treasury 2-Year Note | (62) | 03/2023 | USD | (12,732,281) | — | (31,706) |
U.S. Treasury 5-Year Note | (826) | 03/2023 | USD | (89,679,079) | — | (534,391) |
U.S. Treasury Ultra Bond | (20) | 03/2023 | USD | (2,725,625) | — | (38,016) |
U.S. Treasury Ultra Bond | (110) | 03/2023 | USD | (14,990,938) | — | (252,977) |
Wheat | (185) | 03/2023 | USD | (7,358,375) | 203,704 | — |
Wheat | (77) | 03/2023 | USD | (3,062,675) | 167,453 | — |
WIG 20 Index | (912) | 12/2022 | PLN | (31,737,600) | — | (656,027) |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 19 |
November 30, 2022 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Zinc | (12) | 12/2022 | USD | (914,550) | — | (21,017) |
Zinc | (20) | 03/2023 | USD | (1,518,250) | — | (36,470) |
Total | 909,648 | (23,012,455) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 7,450,000 | 7,450,000 | 2.25 | 04/27/2023 | 178,800 | 20,856 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 14,160,000 | 14,160,000 | 2.50 | 05/12/2023 | 423,384 | 83,728 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 14,800,000 | 14,800,000 | 2.75 | 06/26/2023 | 480,630 | 189,316 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 5,600,000 | 5,600,000 | 2.75 | 07/11/2023 | 196,000 | 76,896 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 25,000,000 | 25,000,000 | 2.00 | 08/03/2023 | 421,250 | 104,173 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 20,000,000 | 20,000,000 | 3.50 | 10/27/2023 | 710,000 | 1,001,526 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 15,000,000 | 15,000,000 | 3.50 | 10/27/2023 | 570,000 | 751,144 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 12,660,000 | 12,660,000 | 3.30 | 11/14/2023 | 405,120 | 525,595 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 25,000,000 | 25,000,000 | 3.00 | 11/30/2023 | 768,750 | 768,750 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 25,000,000 | 25,000,000 | 2.25 | 04/27/2023 | 596,250 | 69,985 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 14,160,000 | 14,160,000 | 2.50 | 05/12/2023 | 436,836 | 83,728 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 30,000,000 | 30,000,000 | 3.65 | 11/10/2023 | 1,155,000 | 1,768,269 |
Total | 6,342,020 | 5,443,966 |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (28,000,000) | (28,000,000) | 3.60 | 01/05/2023 | (448,000) | (178,604) |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | (12,420,000) | (12,420,000) | 3.75 | 12/29/2022 | (186,300) | (37,297) |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | (15,000,000) | (15,000,000) | 3.90 | 01/27/2023 | (281,250) | (59,235) |
Total | (915,550) | (275,136) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
3-Month NZD LIBOR | Fixed rate of 4.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 12/11/2024 | NZD | 2,700,000 | 36,640 | — | — | 36,640 | — |
Fixed rate of 4.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 12/11/2024 | NZD | 40,500,000 | (410,782) | — | — | — | (410,782) |
3-Month AUD BBSW | Fixed rate of 3.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 12/12/2024 | AUD | 45,800,000 | (74,212) | — | — | — | (74,212) |
20 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
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 SEK STIBOR | Fixed rate of 2.500% | Receives Quarterly, Pays Annually | JPMorgan | 12/18/2024 | SEK | 37,100,000 | 92 | — | — | 92 | — |
3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 12/18/2024 | SEK | 400,000 | (35) | — | — | — | (35) |
Fixed rate of 3.500% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 12/18/2024 | NOK | 500,000 | (127) | — | — | — | (127) |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 12/19/2024 | CAD | 111,500,000 | 1,454,284 | — | — | 1,454,284 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 3.250% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 12/19/2024 | CAD | 16,200,000 | 152,837 | — | — | 152,837 | — |
Fixed rate of 0.750% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 12/21/2024 | EUR | 7,700,000 | 3,452 | — | — | 3,452 | — |
Fixed rate of 1.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 12/21/2024 | EUR | 1,800,000 | (936) | — | — | — | (936) |
Fixed rate of 0.750% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 12/21/2024 | EUR | 4,500,000 | (11,435) | — | — | — | (11,435) |
3-Month NZD LIBOR | Fixed rate of 4.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 03/12/2025 | NZD | 6,100,000 | 62,384 | — | — | 62,384 | — |
Fixed rate of 5.500% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 03/12/2025 | NZD | 28,600,000 | 37,842 | — | — | 37,842 | — |
Fixed rate of 5.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 03/12/2025 | NZD | 73,200,000 | (84,422) | — | — | — | (84,422) |
Fixed rate of 4.500% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 03/12/2025 | NZD | 24,600,000 | (192,594) | — | — | — | (192,594) |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 4.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 03/13/2025 | CAD | 67,600,000 | 151,276 | — | — | 151,276 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 3.250% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 03/13/2025 | CAD | 15,600,000 | 47,029 | — | — | 47,029 | — |
3-Month AUD BBSW | Fixed rate of 3.500% | Receives Quarterly, Pays Quarterly | JPMorgan | 03/13/2025 | AUD | 5,500,000 | (1,547) | — | — | — | (1,547) |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 4.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 03/13/2025 | CAD | 58,200,000 | (203,421) | — | — | — | (203,421) |
3-Month AUD BBSW | Fixed rate of 4.500% | Receives Quarterly, Pays Quarterly | JPMorgan | 03/13/2025 | AUD | 48,900,000 | (247,399) | — | — | — | (247,399) |
3-Month AUD BBSW | Fixed rate of 4.000% | Receives Quarterly, Pays Quarterly | JPMorgan | 03/13/2025 | AUD | 104,400,000 | (395,366) | — | — | — | (395,366) |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 03/15/2025 | GBP | 86,900,000 | 285,694 | — | — | 285,694 | — |
SOFR | Fixed rate of 2.750% | Receives Annually, Pays Annually | JPMorgan | 03/15/2025 | USD | 15,100,000 | 213,525 | — | — | 213,525 | — |
Fixed rate of 4.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 03/15/2025 | USD | 7,300,000 | 21,516 | — | — | 21,516 | — |
SONIA | Fixed rate of 2.500% | Receives Annually, Pays Annually | JPMorgan | 03/15/2025 | GBP | 11,000,000 | 19,403 | — | — | 19,403 | — |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 03/15/2025 | GBP | 11,200,000 | (5,683) | — | — | — | (5,683) |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 21 |
November 30, 2022 (Unaudited)
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 ($) | Unrealized depreciation ($) |
SOFR | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 03/15/2025 | USD | 20,500,000 | (61,002) | — | — | — | (61,002) |
SONIA | Fixed rate of 2.500% | Receives Annually, Pays Annually | JPMorgan | 03/15/2025 | GBP | 6,400,000 | (70,404) | — | — | — | (70,404) |
6-Month EURIBOR | Fixed rate of 1.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 03/15/2025 | EUR | 111,400,000 | (122,095) | — | — | — | (122,095) |
Fixed rate of 3.000% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 03/15/2025 | EUR | 40,500,000 | (305,098) | — | — | — | (305,098) |
6-Month NOK NIBOR | Fixed rate of 3.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 03/19/2025 | NOK | 332,600,000 | 91,841 | — | — | 91,841 | — |
6-Month NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 03/19/2025 | NOK | 541,000,000 | 26,993 | — | — | 26,993 | — |
3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 03/19/2025 | SEK | 32,800,000 | (2,007) | — | — | — | (2,007) |
Fixed rate of 3.500% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 03/19/2025 | SEK | 200,900,000 | (32,978) | — | — | — | (32,978) |
6-Month NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 03/19/2025 | NOK | 594,900,000 | (130,011) | — | — | — | (130,011) |
Fixed rate of 5.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 06/11/2025 | NZD | 12,400,000 | 37,271 | — | — | 37,271 | — |
Fixed rate of 5.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 06/11/2025 | NZD | 1,000,000 | (311) | — | — | — | (311) |
3-Month AUD BBSW | Fixed rate of 4.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/12/2025 | AUD | 60,100,000 | (100,291) | — | — | — | (100,291) |
6-Month NOK NIBOR | Fixed rate of 3.500% | Receives Annually, Pays SemiAnnually | JPMorgan | 06/18/2025 | NOK | 3,000,000 | (286) | — | — | — | (286) |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 3.750% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 06/19/2025 | CAD | 200,000 | 294 | — | — | 294 | — |
6-Month EURIBOR | Fixed rate of 2.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/21/2025 | EUR | 38,300,000 | 42,754 | — | — | 42,754 | — |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 06/21/2025 | GBP | 4,600,000 | 3,409 | — | — | 3,409 | — |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 06/21/2025 | GBP | 6,500,000 | (4,714) | — | — | — | (4,714) |
SOFR | Fixed rate of 3.250% | Receives Annually, Pays Annually | JPMorgan | 06/21/2025 | USD | 40,000,000 | (115,630) | — | — | — | (115,630) |
Fixed rate of 4.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 03/15/2028 | USD | 8,100,000 | 58,536 | — | — | 58,536 | — |
Fixed rate of 3.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 06/21/2028 | USD | 3,500,000 | 26,654 | — | — | 26,654 | — |
Fixed rate of 4.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 12/09/2032 | AUD | 10,800,000 | (132,451) | — | — | — | (132,451) |
3-Month NZD LIBOR | Fixed rate of 4.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 12/15/2032 | NZD | 12,000,000 | 334,542 | — | — | 334,542 | — |
Fixed rate of 2.500% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 12/15/2032 | SEK | 200,000 | 512 | — | — | 512 | — |
Fixed rate of 3.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 12/15/2032 | SEK | 100,000 | 293 | — | — | 293 | — |
Fixed rate of 3.250% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays Quarterly | JPMorgan | 12/19/2032 | CAD | 2,900,000 | (44,533) | — | — | — | (44,533) |
22 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
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 2.500% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 12/19/2032 | CAD | 30,000,000 | (601,984) | — | — | — | (601,984) |
Fixed rate of 5.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 03/10/2033 | AUD | 10,800,000 | 261,156 | — | — | 261,156 | — |
Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 03/10/2033 | AUD | 5,200,000 | 93,862 | — | — | 93,862 | — |
Fixed rate of 4.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 03/10/2033 | AUD | 7,600,000 | 66,742 | — | — | 66,742 | — |
Fixed rate of 3.500% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays Quarterly | JPMorgan | 03/13/2033 | CAD | 3,000,000 | 30,814 | — | — | 30,814 | — |
Fixed rate of 2.000% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 03/15/2033 | EUR | 18,400,000 | 620,017 | — | — | 620,017 | — |
Fixed rate of 3.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 03/15/2033 | USD | 2,400,000 | 26,557 | — | — | 26,557 | — |
Fixed rate of 3.750% | SOFR | Receives Annually, Pays Annually | JPMorgan | 03/15/2033 | USD | 100,000 | 1,164 | — | — | 1,164 | — |
6-Month EURIBOR | Fixed rate of 3.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 03/15/2033 | EUR | 6,100,000 | (92,744) | — | — | — | (92,744) |
SONIA | Fixed rate of 3.000% | Receives Annually, Pays Annually | JPMorgan | 03/15/2033 | GBP | 18,200,000 | (571,942) | — | — | — | (571,942) |
Fixed rate of 4.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 03/16/2033 | NOK | 133,000,000 | 522,299 | — | — | 522,299 | — |
3-Month NZD LIBOR | Fixed rate of 4.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 03/16/2033 | NZD | 4,700,000 | 49,647 | — | — | 49,647 | — |
Fixed rate of 3.500% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 03/16/2033 | NOK | 43,400,000 | 48,944 | — | — | 48,944 | — |
Fixed rate of 2.500% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 03/16/2033 | SEK | 300,000 | 768 | — | — | 768 | — |
3-Month NZD LIBOR | Fixed rate of 4.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 03/16/2033 | NZD | 4,000,000 | (3,459) | — | — | — | (3,459) |
3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 03/16/2033 | SEK | 131,700,000 | (272,462) | — | — | — | (272,462) |
Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/09/2033 | AUD | 2,400,000 | 10,911 | — | — | 10,911 | — |
3-Month NZD LIBOR | Fixed rate of 4.500% | Receives SemiAnnually, Pays Quarterly | JPMorgan | 06/15/2033 | NZD | 2,900,000 | (25,095) | — | — | — | (25,095) |
Fixed rate of 3.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 06/21/2033 | USD | 9,000,000 | 43,581 | — | — | 43,581 | — |
SONIA | Fixed rate of 3.250% | Receives Annually, Pays Annually | JPMorgan | 06/21/2033 | GBP | 1,300,000 | 6,773 | — | — | 6,773 | — |
SONIA | Fixed rate of 3.250% | Receives Annually, Pays Annually | JPMorgan | 06/21/2033 | GBP | 1,300,000 | (8,868) | — | — | — | (8,868) |
6-Month EURIBOR | Fixed rate of 2.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/21/2033 | EUR | 8,300,000 | (88,313) | — | — | — | (88,313) |
SOFR | Fixed rate of 3.250% | Receives Annually, Pays Annually | JPMorgan | 03/15/2053 | USD | 2,100,000 | (38,026) | — | — | — | (38,026) |
SOFR | Fixed rate of 2.750% | Receives Annually, Pays Annually | JPMorgan | 06/21/2053 | USD | 600,000 | (2,928) | — | — | — | (2,928) |
3-Month NZD LIBOR | Fixed rate of 4.488% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 10/05/2032 | NZD | 16,000,000 | (110,729) | — | — | — | (110,729) |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 23 |
November 30, 2022 (Unaudited)
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 SEK STIBOR | Fixed rate of 3.098% | Receives Quarterly, Pays Annually | Morgan Stanley | 10/05/2032 | SEK | 176,000,000 | (608,946) | — | — | — | (608,946) |
3-Month NZD LIBOR | Fixed rate of 4.648% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 11/03/2032 | NZD | 77,987,000 | (1,139,089) | — | — | — | (1,139,089) |
Total | (1,422,047) | — | — | 4,892,308 | (6,314,355) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 39 | Morgan Stanley | 12/20/2027 | 5.000 | Quarterly | USD | 11,250,000 | (721,254) | — | — | — | (721,254) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | 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 | 8.821 | USD | 5,000,000 | (883,594) | 2,500 | — | (950,937) | 69,843 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.821 | USD | 1,200,000 | (212,063) | 600 | — | (275,562) | 64,099 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.821 | USD | 2,500,000 | (441,797) | 1,250 | — | (489,955) | 49,408 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.821 | USD | 3,500,000 | (618,516) | 1,750 | — | (649,247) | 32,481 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.821 | USD | 750,000 | (132,539) | 375 | — | (121,146) | — | (11,018) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.821 | USD | 2,000,000 | (353,438) | 1,000 | — | (312,182) | — | (40,256) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.821 | USD | 5,000,000 | (883,594) | 2,500 | — | (567,294) | — | (313,800) |
Markit CMBX North America Index, Series 12 BBB- | Morgan Stanley | 08/17/2061 | 3.000 | Monthly | 7.200 | USD | 3,000,000 | (528,750) | 1,500 | — | (427,838) | — | (99,412) |
Total | (4,054,291) | 11,475 | — | (3,794,161) | 215,831 | (464,486) |
* | 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. |
24 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
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 Italy Net Return EUR Index | ESTR minus 0.002% | Monthly | JPMorgan | 12/21/2022 | EUR | 3,753,081 | 40,425 | (1,906) | — | — | 38,519 | — |
Total return on MSCI Italy Net Return EUR Index | ESTR minus 0.002% | Monthly | JPMorgan | 12/21/2022 | EUR | 1,483,302 | 15,977 | (760) | — | — | 15,217 | — |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.005% | Monthly | JPMorgan | 12/21/2022 | BRL | 3,469,026 | 16,377 | (2,618) | — | — | 13,759 | — |
Total return on MSCI South Africa Net Return ZAR Index | 1-Month ZAR JIBAR plus 0.010% | Monthly | JPMorgan | 12/21/2022 | ZAR | 4,137,548 | 7,949 | (368) | — | — | 7,581 | — |
Total return on MSCI South Africa Net Return ZAR Index | 1-Month ZAR JIBAR plus 0.010% | Monthly | JPMorgan | 12/21/2022 | ZAR | 3,932,601 | 986 | — | — | — | 986 | — |
28-Day MXN TIIE-Banxico minus 0.004% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 12/21/2022 | MXN | 1,402,657 | (326) | 279 | — | — | — | (47) |
28-Day MXN TIIE-Banxico minus 0.004% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 12/21/2022 | MXN | 2,850,092 | (662) | 566 | — | — | — | (96) |
28-Day MXN TIIE-Banxico minus 0.004% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 12/21/2022 | MXN | 2,997,740 | (697) | 596 | — | — | — | (101) |
28-Day MXN TIIE-Banxico minus 0.004% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 12/21/2022 | MXN | 3,003,791 | (699) | 597 | — | — | — | (102) |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 12/21/2022 | SGD | 376,261 | (277) | — | — | — | — | (277) |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 12/21/2022 | SGD | 293,558 | (883) | 179 | — | — | — | (704) |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 12/21/2022 | SGD | 184,336 | (921) | 174 | — | — | — | (747) |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 12/21/2022 | SGD | 243,974 | (1,219) | 214 | — | — | — | (1,005) |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 12/21/2022 | SGD | 433,732 | (2,167) | 416 | — | — | — | (1,751) |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 12/21/2022 | SGD | 257,811 | (3,084) | 139 | — | — | — | (2,945) |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 25 |
November 30, 2022 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
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 ($) |
ESTR minus 0.003% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 12/21/2022 | EUR | 288,214 | (4,318) | 135 | — | — | — | (4,183) |
ESTR minus 0.006% | Total return on MSCI Spain Net Return EUR Index | Monthly | JPMorgan | 12/21/2022 | EUR | 1,820,683 | (66,851) | 630 | — | — | — | (66,221) |
Total | (390) | (1,727) | — | — | 76,062 | (78,179) |
Total return swap contracts on futures | ||||||||
Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
DTOP Index Dec 22 | Goldman Sachs International | 12/2022 | ZAR | 392,910 | — | — | 249 | — |
TAIEX Index Dec 22 | Goldman Sachs International | 12/2022 | TWD | 32,564,400 | — | — | 42,038 | — |
WIG 20 Index Dec 22 | Goldman Sachs International | 12/2022 | PLN | (2,122,800) | — | — | — | (73,947) |
Ibovespa Index Dec 22 | Morgan Stanley | 12/2022 | BRL | 81,633,172 | — | — | 299,204 | — |
KOSPI 200 Index Dec 22 | Morgan Stanley | 12/2022 | KRW | (18,859,350,000) | — | — | — | (1,061,762) |
Swiss Market Index Dec 22 | Morgan Stanley | 12/2022 | CHF | 111,620 | — | — | 2,343 | — |
Swiss Market Index Dec 22 | Morgan Stanley | 12/2022 | CHF | (10,380,660) | — | — | — | (331,882) |
Total | — | — | 343,834 | (1,467,591) |
* | 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 ZAR JIBAR | Johannesburg Interbank Average Rate | 7.017% |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 10.294% |
3-Month AUD BBSW | Bank Bill Swap Rate | 3.089% |
3-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 4.477% |
3-Month NZD LIBOR | London Interbank Offered Rate | 4.410% |
3-Month SEK STIBOR | Stockholm Interbank Offered Rate | 2.456% |
6-Month AUD BBSW | Bank Bill Swap Rate | 3.485% |
6-Month EURIBOR | Euro Interbank Offered Rate | 2.414% |
6-Month NOK NIBOR | Norwegian Interbank Offered Rate | 3.540% |
ESTR | Euro Short Term Rate | 1.391% |
Overnight BRL CDI | Interbank Certificate of Deposit | 0.051% |
SOFR | Secured Overnight Financing Rate | 3.820% |
SONIA | Sterling Overnight Index Average | 2.927% |
SORA | Singapore Overnight Rate Average | 3.912% |
26 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
(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 November 30, 2022, the total value of these securities amounted to $169,516,326, which represents 22.14% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of November 30, 2022. |
(c) | 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 November 30, 2022 and is not reflective of the cash flow payments. |
(d) | Valuation based on significant unobservable inputs. |
(e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2022, the total value of these securities amounted to $6,696,865, which represents 0.87% of total net assets. |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of November 30, 2022. |
(g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(h) | Represents a security purchased on a when-issued basis. |
(i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(j) | The rate shown is the seven-day current annualized yield at November 30, 2022. |
(k) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended November 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 3.989% | ||||||||
325,728,447 | 464,231,555 | (474,400,796) | 49,617 | 315,608,823 | (48,009) | 4,157,767 | 315,735,117 |
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 |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 27 |
November 30, 2022 (Unaudited)
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thailand Baht |
TRY | Turkish Lira |
TWD | New Taiwan 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 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 26,409,467 | 5,008,835 | 31,418,302 |
Commercial Mortgage-Backed Securities - Agency | — | 566,523 | — | 566,523 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 32,738,219 | — | 32,738,219 |
Residential Mortgage-Backed Securities - Agency | — | 222,165,424 | — | 222,165,424 |
Residential Mortgage-Backed Securities - Non-Agency | — | 96,127,327 | 8,630,923 | 104,758,250 |
28 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Treasury Bills | — | 153,645,720 | — | 153,645,720 |
Options Purchased Calls | — | 5,443,966 | — | 5,443,966 |
Money Market Funds | 315,608,823 | — | — | 315,608,823 |
Total Investments in Securities | 315,608,823 | 537,096,646 | 13,639,758 | 866,345,227 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 83,340,866 | — | 83,340,866 |
Futures Contracts | 21,153,360 | — | — | 21,153,360 |
Swap Contracts | — | 5,528,035 | — | 5,528,035 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (88,382,360) | — | (88,382,360) |
Futures Contracts | (24,456,828) | — | — | (24,456,828) |
Options Contracts Written | — | (275,136) | — | (275,136) |
Swap Contracts | — | (9,045,865) | — | (9,045,865) |
Total | 312,305,355 | 528,262,186 | 13,639,758 | 854,207,299 |
Balance as of 05/31/2022 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 11/30/2022 ($) | |
Asset-Backed Securities — Non-Agency | 11,283,627 | (7,382,929) | 95,175 | 3,843,891 | — | (2,830,929) | — | — | 5,008,835 |
Residential Mortgage-Backed Securities — Non-Agency | 12,074,645 | (1,449) | — | (189,778) | — | (3,252,495) | — | — | 8,630,923 |
Total | 23,358,272 | (7,384,378) | 95,175 | 3,654,113 | — | (6,038,424) | — | — | 13,639,758 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 29 |
November 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $567,344,845) | $545,292,438 |
Affiliated issuers (cost $315,600,197) | 315,608,823 |
Options purchased (cost $6,342,020) | 5,443,966 |
Cash | 1,612 |
Foreign currency (cost $5,223,271) | 5,271,395 |
Cash collateral held at broker for: | |
Swap contracts | 4,581,000 |
Other(a) | 8,450,000 |
Margin deposits on: | |
Futures contracts | 48,055,562 |
Swap contracts | 7,482,727 |
Unrealized appreciation on forward foreign currency exchange contracts | 83,340,866 |
Unrealized appreciation on swap contracts | 635,727 |
Receivable for: | |
Investments sold | 184,171 |
Investments sold on a delayed delivery basis | 21,289,870 |
Capital shares sold | 1,152,297 |
Dividends | 1,024,075 |
Interest | 1,664,339 |
Interfund lending | 14,200,000 |
Variation margin for futures contracts | 6,276,897 |
Variation margin for swap contracts | 967,212 |
Expense reimbursement due from Investment Manager | 2,646 |
Prepaid expenses | 8,901 |
Trustees’ deferred compensation plan | 55,657 |
Other assets | 2,720 |
Total assets | 1,070,992,901 |
Liabilities | |
Option contracts written, at value (premiums received $915,550) | 275,136 |
Unrealized depreciation on forward foreign currency exchange contracts | 88,382,360 |
Unrealized depreciation on swap contracts | 2,010,256 |
Upfront receipts on swap contracts | 3,794,161 |
Payable for: | |
Investments purchased | 4,849,764 |
Investments purchased on a delayed delivery basis | 192,523,119 |
Capital shares purchased | 1,490,562 |
Variation margin for futures contracts | 10,201,208 |
Variation margin for swap contracts | 1,710,678 |
Interest on forward sale commitments | 21,667 |
Management services fees | 20,162 |
Distribution and/or service fees | 448 |
Transfer agent fees | 70,060 |
Compensation of board members | 17,348 |
Compensation of chief compliance officer | 76 |
Other expenses | 85,886 |
Trustees’ deferred compensation plan | 55,657 |
Total liabilities | 305,508,548 |
Net assets applicable to outstanding capital stock | $765,484,353 |
Represented by | |
Paid in capital | 905,334,586 |
Total distributable earnings (loss) | (139,850,233) |
Total - representing net assets applicable to outstanding capital stock | $765,484,353 |
30 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Class A | |
Net assets | $4,831,514 |
Shares outstanding | 171,723 |
Net asset value per share | $28.14 |
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) | $29.86 |
Advisor Class | |
Net assets | $1,493,041 |
Shares outstanding | 52,323 |
Net asset value per share | $28.54 |
Class C | |
Net assets | $15,018,230 |
Shares outstanding | 555,757 |
Net asset value per share | $27.02 |
Institutional Class | |
Net assets | $743,565,121 |
Shares outstanding | 26,114,039 |
Net asset value per share | $28.47 |
Institutional 2 Class | |
Net assets | $562,326 |
Shares outstanding | 19,649 |
Net asset value per share | $28.62 |
Institutional 3 Class | |
Net assets | $7,182 |
Shares outstanding | 250 |
Net asset value per share | $28.73 |
Class R | |
Net assets | $6,939 |
Shares outstanding | 250 |
Net asset value per share(b) | $27.75 |
(a) | Includes collateral related to forward foreign currency contracts and swap contracts. |
(b) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 31 |
Six Months Ended November 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $333,247 |
Dividends — affiliated issuers | 4,157,767 |
Interest | 10,569,635 |
Interfund lending | 56 |
Total income | 15,060,705 |
Expenses: | |
Management services fees | 3,898,687 |
Distribution and/or service fees | |
Class A | 3,619 |
Class C | 71,901 |
Class R | 17 |
Transfer agent fees | |
Class A | 1,805 |
Advisor Class | 349 |
Class C | 8,949 |
Institutional Class | 494,762 |
Institutional 2 Class | 216 |
Institutional 3 Class | 1 |
Class R | 3 |
Compensation of board members | 12,808 |
Custodian fees | 65,117 |
Printing and postage fees | 41,333 |
Registration fees | 65,174 |
Audit fees | 25,270 |
Legal fees | 11,267 |
Interest on collateral | 120,348 |
Compensation of chief compliance officer | 76 |
Other | 15,965 |
Total expenses | 4,837,667 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (491,244) |
Expense reduction | (20) |
Total net expenses | 4,346,403 |
Net investment income | 10,714,302 |
32 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
Six Months Ended November 30, 2022 (Unaudited)
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (6,642,469) |
Investments — affiliated issuers | (48,009) |
Foreign currency translations | (1,844,926) |
Forward foreign currency exchange contracts | 17,319,658 |
Futures contracts | 14,715,532 |
Options purchased | (467,345) |
Options contracts written | (3,752,064) |
Swap contracts | 3,833,229 |
Net realized gain | 23,113,606 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (10,322,933) |
Investments — affiliated issuers | 49,617 |
Foreign currency translations | 587,251 |
Forward sale commitments | 726,562 |
Forward foreign currency exchange contracts | (12,798,903) |
Futures contracts | (9,117,710) |
Options purchased | (559,424) |
Options contracts written | 3,785,876 |
Swap contracts | (1,341,587) |
Net change in unrealized appreciation (depreciation) | (28,991,251) |
Net realized and unrealized loss | (5,877,645) |
Net increase in net assets resulting from operations | $4,836,657 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 33 |
Six Months Ended November 30, 2022 (Unaudited) | Year Ended May 31, 2022 | |
Operations | ||
Net investment income | $10,714,302 | $10,042,916 |
Net realized gain (loss) | 23,113,606 | (18,255,016) |
Net change in unrealized appreciation (depreciation) | (28,991,251) | (19,304,538) |
Net increase (decrease) in net assets resulting from operations | 4,836,657 | (27,516,638) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | — | (36,833) |
Advisor Class | — | (7,417) |
Class C | — | (1,331) |
Institutional Class | — | (19,479,617) |
Institutional 2 Class | — | (16,578) |
Institutional 3 Class | — | (176) |
Class R | — | (132) |
Total distributions to shareholders | — | (19,542,084) |
Increase (decrease) in net assets from capital stock activity | (45,971,287) | 44,080,394 |
Total decrease in net assets | (41,134,630) | (2,978,328) |
Net assets at beginning of period | 806,618,983 | 809,597,311 |
Net assets at end of period | $765,484,353 | $806,618,983 |
34 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
Six Months Ended | Year Ended | |||
November 30, 2022 (Unaudited) | May 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 114,653 | 3,237,850 | 32,274 | 917,058 |
Distributions reinvested | — | — | 1,319 | 36,684 |
Redemptions | (19,294) | (543,508) | (15,870) | (452,919) |
Net increase | 95,359 | 2,694,342 | 17,723 | 500,823 |
Advisor Class | ||||
Subscriptions | 43,230 | 1,238,000 | 21,107 | 632,532 |
Distributions reinvested | — | — | 257 | 7,231 |
Redemptions | (2,116) | (60,704) | (17,689) | (523,259) |
Net increase | 41,114 | 1,177,296 | 3,675 | 116,504 |
Class C | ||||
Subscriptions | 119,499 | 3,235,939 | 480,979 | 13,056,328 |
Distributions reinvested | — | — | 46 | 1,237 |
Redemptions | (40,506) | (1,098,995) | (8,252) | (224,277) |
Net increase | 78,993 | 2,136,944 | 472,773 | 12,833,288 |
Institutional Class | ||||
Subscriptions | 2,768,037 | 78,842,117 | 7,526,146 | 219,144,305 |
Distributions reinvested | — | — | 693,364 | 19,476,610 |
Redemptions | (4,590,690) | (130,715,009) | (7,193,911) | (207,819,869) |
Net increase (decrease) | (1,822,653) | (51,872,892) | 1,025,599 | 30,801,046 |
Institutional 2 Class | ||||
Subscriptions | — | — | 4,876 | 144,203 |
Distributions reinvested | — | — | 581 | 16,407 |
Redemptions | (3,726) | (106,977) | (11,164) | (331,877) |
Net decrease | (3,726) | (106,977) | (5,707) | (171,267) |
Total net increase (decrease) | (1,610,913) | (45,971,287) | 1,514,063 | 44,080,394 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 35 |
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) | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.00 | 0.36 | (0.22) | 0.14 | — | — |
Year Ended 5/31/2022 | $29.65 | 0.47 | (1.52) | (1.05) | (0.60) | (0.60) |
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) |
Advisor Class(c) | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.35 | 0.41 | (0.22) | 0.19 | — | — |
Year Ended 5/31/2022 | $30.03 | 0.20 | (1.21) | (1.01) | (0.67) | (0.67) |
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) |
Class C(c) | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $26.99 | 0.23 | (0.20) | 0.03 | — | — |
Year Ended 5/31/2022 | $28.59 | 6.57 | (7.80) | (1.23) | (0.37) | (0.37) |
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) |
Institutional Class(c) | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.30 | 0.38 | (0.21) | 0.17 | — | — |
Year Ended 5/31/2022 | $29.97 | 0.34 | (1.34) | (1.00) | (0.67) | (0.67) |
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) |
Institutional 2 Class(c) | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.44 | 0.38 | (0.20) | 0.18 | — | — |
Year Ended 5/31/2022 | $30.12 | 0.33 | (1.33) | (1.00) | (0.68) | (0.68) |
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) |
36 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
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) | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.14 | 0.50% | 1.43%(d),(e) | 1.30%(d),(e),(f) | 2.54%(d) | 290% | $4,832 |
Year Ended 5/31/2022 | $28.00 | (3.54%) | 1.42%(e) | 1.30%(e),(f) | 1.62% | 352% | $2,138 |
Year Ended 5/31/2021 | $29.65 | 6.50% | 1.40%(e),(g) | 1.27%(e),(g) | 0.66% | 555% | $1,739 |
Year Ended 5/31/2020 | $27.84 | (6.58%) | 1.42%(e),(g) | 1.25%(e),(g) | 0.94% | 789% | $2,125 |
Year Ended 5/31/2019 | $29.79 | (13.97%) | 1.45%(e) | 1.24%(e) | 0.98% | 0% | $3,103 |
Year Ended 5/31/2018 | $34.63 | (5.49%) | 1.49%(e) | 1.28%(e) | 0.06% | 0% | $4,343 |
Advisor Class(c) | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.54 | 0.67% | 1.20%(d),(e) | 1.06%(d),(e),(f) | 2.92%(d) | 290% | $1,493 |
Year Ended 5/31/2022 | $28.35 | (3.34%) | 1.16%(e) | 1.05%(e),(f) | 0.66% | 352% | $318 |
Year Ended 5/31/2021 | $30.03 | 6.79% | 1.16%(e),(g) | 1.02%(e),(g) | 0.97% | 555% | $226 |
Year Ended 5/31/2020 | $28.12 | (6.27%) | 1.17%(e),(g) | 0.99%(e),(g) | 1.15% | 789% | $133 |
Year Ended 5/31/2019 | $30.01 | (13.79%) | 1.20%(e) | 1.01%(e) | 1.07% | 0% | $216 |
Year Ended 5/31/2018 | $34.78 | (5.27%) | 1.24%(e) | 1.03%(e) | 0.41% | 0% | $4,433 |
Class C(c) | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $27.02 | 0.11% | 2.17%(d),(e) | 2.05%(d),(e),(f) | 1.68%(d) | 290% | $15,018 |
Year Ended 5/31/2022 | $26.99 | (4.29%) | 2.17%(e) | 2.06%(e),(f) | 24.79% | 352% | $12,869 |
Year Ended 5/31/2021 | $28.59 | 5.73% | 2.15%(e),(g) | 2.02%(e),(g) | (0.14%) | 555% | $114 |
Year Ended 5/31/2020 | $27.05 | (7.27%) | 2.17%(e),(g) | 1.99%(e),(g) | 0.21% | 789% | $220 |
Year Ended 5/31/2019 | $29.16 | (14.64%) | 2.20%(e) | 1.99%(e) | 0.22% | 0% | $493 |
Year Ended 5/31/2018 | $34.15 | (6.15%) | 2.24%(e) | 2.03%(e) | (0.68%) | 0% | $838 |
Institutional Class(c) | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.47 | 0.60% | 1.17%(d),(e) | 1.05%(d),(e),(f) | 2.65%(d) | 290% | $743,565 |
Year Ended 5/31/2022 | $28.30 | (3.32%) | 1.17%(e) | 1.05%(e),(f) | 1.15% | 352% | $790,615 |
Year Ended 5/31/2021 | $29.97 | 6.73% | 1.16%(e),(g) | 1.02%(e),(g) | 0.95% | 555% | $806,627 |
Year Ended 5/31/2020 | $28.07 | (6.28%) | 1.17%(e),(g) | 1.00%(e),(g) | 1.17% | 789% | $614,500 |
Year Ended 5/31/2019 | $29.96 | (13.71%) | 1.20%(e) | 0.99%(e) | 1.23% | 0% | $587,203 |
Year Ended 5/31/2018 | $34.73 | (5.35%) | 1.24%(e) | 1.03%(e) | 0.34% | 0% | $706,826 |
Institutional 2 Class(c) | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.62 | 0.63% | 1.12%(d),(e) | 1.01%(d),(e) | 2.68%(d) | 290% | $562 |
Year Ended 5/31/2022 | $28.44 | (3.29%) | 1.12%(e) | 1.01%(e) | 1.11% | 352% | $665 |
Year Ended 5/31/2021 | $30.12 | 6.81% | 1.11%(e),(g) | 0.98%(e),(g) | 1.14% | 555% | $876 |
Year Ended 5/31/2020 | $28.19 | (6.25%) | 1.10%(e),(g) | 0.92%(e),(g) | 1.28% | 789% | $124 |
Year Ended 5/31/2019 | $30.07 | (13.66%) | 1.11%(e) | 0.90%(e) | 1.32% | 0% | $667 |
Year Ended 5/31/2018 | $34.84 | (5.08%) | 1.11%(e) | 0.90%(e) | 0.48% | 0% | $825 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 37 |
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) | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.54 | 0.40 | (0.21) | 0.19 | — | — |
Year Ended 5/31/2022 | $30.22 | 0.39 | (1.37) | (0.98) | (0.70) | (0.70) |
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) |
Class R(c) | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $27.65 | 0.30 | (0.20) | 0.10 | — | — |
Year Ended 5/31/2022 | $29.30 | 0.21 | (1.33) | (1.12) | (0.53) | (0.53) |
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) |
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) | Annualized. |
(e) | 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 | 11/30/2022 | 5/31/2022 | 5/31/2021 | 5/31/2020 | 5/31/2019 | 5/31/2018 |
Class A | 0.03% | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
Advisor Class | 0.04% | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
Class C | 0.03% | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
Institutional Class | 0.03% | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
Institutional 2 Class | 0.03% | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
Institutional 3 Class | 0.03% | 0.04% | less than 0.01% | 0.01% | 0.02% | 0.01% |
Class R | 0.03% | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
(f) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(g) | Ratios include line of credit interest expense which is less than 0.01%. |
38 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
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) | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.73 | 0.67% | 1.07%(d),(e) | 0.96%(d),(e) | 2.75%(d) | 290% | $7 |
Year Ended 5/31/2022 | $28.54 | (3.21%) | 1.07%(e) | 0.96%(e) | 1.32% | 352% | $7 |
Year Ended 5/31/2021 | $30.22 | 6.86% | 1.03%(e),(g) | 0.90%(e),(g) | 0.79% | 555% | $8 |
Year Ended 5/31/2020 | $28.27 | (6.11%) | 1.05%(e),(g) | 0.88%(e),(g) | 1.30% | 789% | $14,960 |
Year Ended 5/31/2019 | $30.14 | (13.65%) | 1.06%(e) | 0.84%(e) | 1.38% | 0% | $17,670 |
Year Ended 5/31/2018 | $34.89 | (5.16%) | 1.05%(e) | 0.84%(e) | 0.50% | 0% | $20,459 |
Class R(c) | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $27.75 | 0.36% | 1.65%(d),(e) | 1.55%(d),(e),(f) | 2.16%(d) | 290% | $7 |
Year Ended 5/31/2022 | $27.65 | (3.83%) | 1.66%(e) | 1.55%(e),(f) | 0.74% | 352% | $7 |
Year Ended 5/31/2021 | $29.30 | 6.31% | 1.63%(e),(g) | 1.51%(e),(g) | 0.45% | 555% | $7 |
Year Ended 5/31/2020 | $27.57 | (6.77%) | 1.63%(e),(g) | 1.47%(e),(g) | 0.71% | 789% | $7 |
Year Ended 5/31/2019 | $29.56 | (14.17%) | 1.69%(e) | 1.48%(e) | 0.75% | 0% | $7 |
Year Ended 5/31/2018 | $34.44 | (5.80%) | 1.74%(e) | 1.53%(e) | (0.19%) | 0% | $9 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 39 |
November 30, 2022 (Unaudited)
CMSAF1 Offshore Fund, Ltd. | CMSAF2 Offshore Fund, Ltd. | CMSAF3 Offshore Fund, Ltd. | |
% of consolidated fund net assets | 0.00% | 5.54% | 3.85% |
Net assets | $10,292 | $42,393,458 | $29,479,180 |
Net investment income (loss) | (4,952) | 351,440 | 163,472 |
Net realized gain (loss) | (13) | (182,921) | 4,779,415 |
Net change in unrealized appreciation (depreciation) | 8 | (1,124,221) | (2,448,250) |
40 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 41 |
November 30, 2022 (Unaudited)
42 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 43 |
November 30, 2022 (Unaudited)
44 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 45 |
November 30, 2022 (Unaudited)
46 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 215,831* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 17,666,876* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 419,896* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 83,340,866 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 2,615,512* |
Interest rate risk | Investments, at value — Options purchased | 5,443,966 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 4,892,308* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 870,972* |
Total | 115,466,227 |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,185,740* |
Credit risk | Upfront receipts on swap contracts | 3,794,161 |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 18,805,450* |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,545,770* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 88,382,360 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 3,693,441* |
Interest rate risk | Options contracts written, at value | 275,136 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 6,314,355* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,957,937* |
Total | 125,954,350 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 47 |
November 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | 4,658,423 | — | — | — | 4,658,423 |
Credit risk | — | — | — | — | (289,303) | (289,303) |
Equity risk | — | 8,629,728 | — | — | (756,039) | 7,873,689 |
Foreign exchange risk | 17,319,658 | — | — | — | — | 17,319,658 |
Interest rate risk | — | 1,427,381 | (3,752,064) | (467,345) | 4,878,571 | 2,086,543 |
Total | 17,319,658 | 14,715,532 | (3,752,064) | (467,345) | 3,833,229 | 31,649,010 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | (3,615,985) | — | — | — | (3,615,985) |
Credit risk | — | — | — | — | (1,603,785) | (1,603,785) |
Equity risk | — | (7,222,737) | — | — | (1,699,315) | (8,922,052) |
Foreign exchange risk | (12,798,903) | — | — | — | — | (12,798,903) |
Interest rate risk | — | 1,721,012 | 3,785,876 | (559,424) | 1,961,513 | 6,908,977 |
Total | (12,798,903) | (9,117,710) | 3,785,876 | (559,424) | (1,341,587) | (20,031,748) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 814,125,943 |
Futures contracts — short | 1,045,176,996 |
Credit default swap contracts — buy protection | 25,425,000 |
Credit default swap contracts — sell protection | 24,950,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 4,127,504 |
Options contracts — written | (389,568) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 66,730,257 | (65,181,310) |
Interest rate swap contracts | 12,163,864 | (13,926,315) |
Total return swap contracts | 467,875 | (1,366,709) |
* | Based on the ending quarterly outstanding amounts for the six months ended November 30, 2022. |
48 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 49 |
November 30, 2022 (Unaudited)
50 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
Barclays ($) | Citi ($)(a) | Citi ($)(a) | Goldman Sachs International ($)(a) | Goldman Sachs International ($)(a) | JPMorgan ($)(a) | JPMorgan ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | |||||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | 944,752 | - | - | - | 22,460 | - | 967,212 |
Forward foreign currency exchange contracts | 15,536,770 | 44,185,129 | 3,200,172 | - | 633,270 | - | - | - | 11,874,338 | - | - | 7,911,187 | 83,340,866 |
Options purchased calls | - | - | 3,521,984 | - | - | - | - | - | - | 1,921,982 | - | - | 5,443,966 |
OTC credit default swap contracts (c) | - | - | - | - | - | - | - | - | - | 215,831 | - | - | 215,831 |
OTC total return swap contracts (c) | - | - | - | - | - | 76,062 | - | - | - | - | - | - | 76,062 |
OTC total return swap contracts on futures (c) | - | - | - | 42,287 | - | - | - | 2,343 | 299,204 | - | - | - | 343,834 |
Total assets | 15,536,770 | 44,185,129 | 6,722,156 | 42,287 | 633,270 | 76,062 | 944,752 | 2,343 | 12,173,542 | 2,137,813 | 22,460 | 7,911,187 | 90,387,771 |
Liabilities | |||||||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | - | - | - | 102,929 | - | - | 102,929 |
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | 1,461,515 | - | - | - | 146,234 | - | 1,607,749 |
Forward foreign currency exchange contracts | 12,270,622 | 49,141,532 | 4,973,625 | - | 4,622,172 | - | - | - | 14,717,768 | - | - | 2,656,641 | 88,382,360 |
Options contracts written | - | - | 178,604 | - | - | - | - | - | - | 96,532 | - | - | 275,136 |
OTC credit default swap contracts (c) | - | - | - | - | - | - | - | - | - | 4,258,647 | - | - | 4,258,647 |
OTC total return swap contracts (c) | - | - | - | - | - | 78,179 | - | - | - | - | - | - | 78,179 |
OTC total return swap contracts on futures (c) | - | - | - | 73,947 | - | - | - | - | 1,393,644 | - | - | - | 1,467,591 |
Total liabilities | 12,270,622 | 49,141,532 | 5,152,229 | 73,947 | 4,622,172 | 78,179 | 1,461,515 | - | 16,111,412 | 4,458,108 | 146,234 | 2,656,641 | 96,172,591 |
Total financial and derivative net assets | 3,266,148 | (4,956,403) | 1,569,927 | (31,660) | (3,988,902) | (2,117) | (516,763) | 2,343 | (3,937,870) | (2,320,295) | (123,774) | 5,254,546 | (5,784,820) |
Total collateral received (pledged) (d) | - | (4,956,403) | - | (31,660) | - | (2,117) | - | - | (3,937,870) | (2,241,000) | - | - | (11,169,050) |
Net amount (e) | 3,266,148 | - | 1,569,927 | - | (3,988,902) | - | (516,763) | 2,343 | - | (79,295) | (123,774) | 5,254,546 | 5,384,230 |
(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 in 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. |
November 30, 2022 (Unaudited)
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 51 |
November 30, 2022 (Unaudited)
52 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 53 |
November 30, 2022 (Unaudited)
Effective rate (%) | |
Class A | 0.12 |
Advisor Class | 0.13 |
Class C | 0.12 |
Institutional Class | 0.12 |
Institutional 2 Class | 0.07 |
Institutional 3 Class | 0.02 |
Class R | 0.11 |
54 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 2,400 |
Class C | — | 1.00(b) | 5,527 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
October 1, 2022 through September 30, 2023 | Prior to October 1, 2022 | |
Class A | 1.27% | 1.27% |
Advisor Class | 1.02 | 1.02 |
Class C | 2.02 | 2.02 |
Institutional Class | 1.02 | 1.02 |
Institutional 2 Class | 0.97 | 0.98 |
Institutional 3 Class | 0.92 | 0.93 |
Class R | 1.52 | 1.52 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
884,577,000 | 122,871,000 | (157,035,000) | (34,164,000) |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 55 |
November 30, 2022 (Unaudited)
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(39,650,304) | (14,656,761) | (54,307,065) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 7,450,000 | 3.61 | 2 |
56 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 57 |
November 30, 2022 (Unaudited)
58 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 59 |
November 30, 2022 (Unaudited)
60 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Advisory Agreements; |
• | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 61 |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
62 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 | 63 |
64 | Columbia Multi Strategy Alternatives Fund | Semiannual Report 2022 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
November 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended November 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/25/02 | 3.69 | 4.21 | 10.42 | 12.33 |
Including sales charges | -2.29 | -1.79 | 9.11 | 11.67 | ||
Advisor Class | 11/08/12 | 3.82 | 4.46 | 10.70 | 12.62 | |
Class C | Excluding sales charges | 11/25/02 | 3.32 | 3.42 | 9.59 | 11.49 |
Including sales charges | 2.32 | 2.42 | 9.59 | 11.49 | ||
Institutional Class | 03/04/98 | 3.82 | 4.48 | 10.70 | 12.61 | |
Institutional 2 Class | 11/08/12 | 3.82 | 4.50 | 10.77 | 12.72 | |
Institutional 3 Class | 11/08/12 | 3.87 | 4.57 | 10.83 | 12.78 | |
Class R | 03/28/08 | 3.55 | 3.94 | 10.15 | 12.05 | |
Class V | Excluding sales charges | 03/04/98 | 3.69 | 4.21 | 10.42 | 12.32 |
Including sales charges | -2.28 | -1.79 | 9.12 | 11.66 | ||
Russell 1000 Index | -0.48 | -10.66 | 10.69 | 13.17 |
Columbia Dividend Income Fund | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at November 30, 2022) | |
Common Stocks | 97.5 |
Money Market Funds | 2.5 |
Total | 100.0 |
Equity sector breakdown (%) (at November 30, 2022) | |
Communication Services | 3.3 |
Consumer Discretionary | 5.3 |
Consumer Staples | 8.3 |
Energy | 8.7 |
Financials | 16.1 |
Health Care | 17.2 |
Industrials | 14.8 |
Information Technology | 17.1 |
Materials | 2.8 |
Real Estate | 1.0 |
Utilities | 5.4 |
Total | 100.0 |
4 | Columbia Dividend Income Fund | Semiannual Report 2022 |
(Unaudited)
June 1, 2022 — November 30, 2022 | |||||||
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 | 1,036.90 | 1,020.56 | 4.60 | 4.56 | 0.90 |
Advisor Class | 1,000.00 | 1,000.00 | 1,038.20 | 1,021.81 | 3.32 | 3.29 | 0.65 |
Class C | 1,000.00 | 1,000.00 | 1,033.20 | 1,016.80 | 8.41 | 8.34 | 1.65 |
Institutional Class | 1,000.00 | 1,000.00 | 1,038.20 | 1,021.81 | 3.32 | 3.29 | 0.65 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,038.20 | 1,022.06 | 3.07 | 3.04 | 0.60 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,038.70 | 1,022.31 | 2.81 | 2.79 | 0.55 |
Class R | 1,000.00 | 1,000.00 | 1,035.50 | 1,019.30 | 5.87 | 5.82 | 1.15 |
Class V | 1,000.00 | 1,000.00 | 1,036.90 | 1,020.56 | 4.60 | 4.56 | 0.90 |
Columbia Dividend Income Fund | Semiannual Report 2022 | 5 |
November 30, 2022 (Unaudited)
Common Stocks 97.4% | ||
Issuer | Shares | Value ($) |
Communication Services 3.2% | ||
Diversified Telecommunication Services 0.8% | ||
Verizon Communications, Inc. | 7,774,725 | 303,058,781 |
Entertainment 0.5% | ||
Electronic Arts, Inc. | 1,424,567 | 186,304,872 |
Media 1.9% | ||
Comcast Corp., Class A | 20,504,300 | 751,277,552 |
Total Communication Services | 1,240,641,205 | |
Consumer Discretionary 5.1% | ||
Hotels, Restaurants & Leisure 1.5% | ||
McDonald’s Corp. | 2,116,084 | 577,246,554 |
Multiline Retail 1.0% | ||
Target Corp. | 2,324,363 | 388,331,327 |
Specialty Retail 2.2% | ||
Home Depot, Inc. (The) | 2,704,682 | 876,289,921 |
Textiles, Apparel & Luxury Goods 0.4% | ||
NIKE, Inc., Class B | 1,337,419 | 146,701,490 |
Total Consumer Discretionary | 1,988,569,292 | |
Consumer Staples 8.1% | ||
Beverages 2.9% | ||
Coca-Cola Co. (The) | 8,672,703 | 551,670,638 |
PepsiCo, Inc. | 2,927,693 | 543,116,328 |
Total | 1,094,786,966 | |
Food & Staples Retailing 0.7% | ||
Walmart, Inc. | 1,817,642 | 277,044,994 |
Food Products 1.1% | ||
Mondelez International, Inc., Class A | 6,351,240 | 429,407,336 |
Household Products 2.2% | ||
Procter & Gamble Co. (The) | 5,702,805 | 850,630,394 |
Tobacco 1.2% | ||
Philip Morris International, Inc. | 4,715,986 | 470,042,325 |
Total Consumer Staples | 3,121,912,015 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 8.5% | ||
Oil, Gas & Consumable Fuels 8.5% | ||
Chevron Corp. | 5,479,647 | 1,004,474,092 |
ConocoPhillips Co. | 2,906,095 | 358,931,793 |
EOG Resources, Inc. | 4,363,744 | 619,346,186 |
Exxon Mobil Corp. | 7,990,887 | 889,705,359 |
Valero Energy Corp. | 3,062,350 | 409,191,207 |
Total | 3,281,648,637 | |
Total Energy | 3,281,648,637 | |
Financials 15.7% | ||
Banks 8.7% | ||
Bank of America Corp. | 23,244,860 | 879,817,951 |
JPMorgan Chase & Co. | 7,978,735 | 1,102,501,602 |
PNC Financial Services Group, Inc. (The) | 3,018,843 | 507,950,523 |
U.S. Bancorp | 10,507,501 | 476,935,471 |
Wells Fargo & Co. | 8,236,056 | 394,918,885 |
Total | 3,362,124,432 | |
Capital Markets 3.7% | ||
BlackRock, Inc. | 576,265 | 412,605,740 |
CME Group, Inc. | 2,285,297 | 403,354,920 |
Morgan Stanley | 3,137,288 | 291,987,394 |
Northern Trust Corp. | 3,561,896 | 331,648,137 |
Total | 1,439,596,191 | |
Insurance 3.3% | ||
Chubb Ltd. | 2,622,054 | 575,776,838 |
Marsh & McLennan Companies, Inc. | 3,897,962 | 675,049,059 |
Total | 1,250,825,897 | |
Total Financials | 6,052,546,520 | |
Health Care 16.7% | ||
Biotechnology 2.3% | ||
AbbVie, Inc. | 5,404,287 | 871,062,979 |
Health Care Equipment & Supplies 3.1% | ||
Abbott Laboratories | 3,438,743 | 369,939,972 |
Becton Dickinson and Co. | 1,885,617 | 470,159,742 |
Medtronic PLC | 4,617,170 | 364,941,117 |
Total | 1,205,040,831 |
6 | Columbia Dividend Income Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 4.0% | ||
Cigna Corp. | 956,662 | 314,636,565 |
Elevance Health, Inc. | 851,870 | 453,978,561 |
UnitedHealth Group, Inc. | 1,445,346 | 791,702,725 |
Total | 1,560,317,851 | |
Pharmaceuticals 7.3% | ||
Bristol-Myers Squibb Co. | 4,045,369 | 324,762,223 |
Eli Lilly & Co. | 944,631 | 350,533,671 |
Johnson & Johnson | 6,940,079 | 1,235,334,062 |
Merck & Co., Inc. | 8,450,721 | 930,593,397 |
Total | 2,841,223,353 | |
Total Health Care | 6,477,645,014 | |
Industrials 14.4% | ||
Aerospace & Defense 3.0% | ||
Lockheed Martin Corp. | 922,645 | 447,658,127 |
Northrop Grumman Corp. | 1,376,096 | 733,858,236 |
Total | 1,181,516,363 | |
Air Freight & Logistics 1.8% | ||
United Parcel Service, Inc., Class B | 3,682,134 | 698,611,284 |
Building Products 1.0% | ||
Trane Technologies PLC | 2,112,337 | 376,883,168 |
Commercial Services & Supplies 1.2% | ||
Waste Management, Inc. | 2,707,545 | 454,109,447 |
Electrical Equipment 0.9% | ||
Eaton Corp. PLC | 2,162,433 | 353,449,674 |
Industrial Conglomerates 1.8% | ||
Honeywell International, Inc. | 3,166,815 | 695,274,233 |
Machinery 2.6% | ||
Cummins, Inc. | 1,201,809 | 301,846,348 |
Deere & Co. | 788,567 | 347,758,047 |
Parker-Hannifin Corp. | 1,203,926 | 359,901,639 |
Total | 1,009,506,034 | |
Professional Services 0.4% | ||
Booz Allen Hamilton Holding Corp. | 1,468,995 | 156,301,068 |
Road & Rail 1.7% | ||
Union Pacific Corp. | 3,033,254 | 659,520,417 |
Total Industrials | 5,585,171,688 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 16.7% | ||
Communications Equipment 2.1% | ||
Cisco Systems, Inc. | 15,974,590 | 794,256,615 |
IT Services 3.6% | ||
Accenture PLC, Class A | 1,553,779 | 467,578,714 |
Automatic Data Processing, Inc. | 1,648,121 | 435,334,681 |
International Business Machines Corp. | 3,420,402 | 509,297,858 |
Total | 1,412,211,253 | |
Semiconductors & Semiconductor Equipment 8.6% | ||
Analog Devices, Inc. | 3,008,512 | 517,193,298 |
Broadcom, Inc. | 1,353,083 | 745,589,326 |
KLA Corp. | 1,473,128 | 579,160,273 |
Lam Research Corp. | 950,995 | 449,231,018 |
Microchip Technology, Inc. | 5,696,802 | 451,129,750 |
Texas Instruments, Inc. | 3,253,605 | 587,145,558 |
Total | 3,329,449,223 | |
Software 2.4% | ||
Microsoft Corp. | 3,585,714 | 914,859,070 |
Total Information Technology | 6,450,776,161 | |
Materials 2.7% | ||
Chemicals 1.8% | ||
Linde PLC | 1,213,333 | 408,262,288 |
PPG Industries, Inc. | 2,079,701 | 281,217,169 |
Total | 689,479,457 | |
Containers & Packaging 0.9% | ||
Avery Dennison Corp. | 1,231,555 | 238,096,528 |
Packaging Corp. of America | 873,324 | 118,675,999 |
Total | 356,772,527 | |
Total Materials | 1,046,251,984 | |
Real Estate 1.0% | ||
Equity Real Estate Investment Trusts (REITS) 1.0% | ||
AvalonBay Communities, Inc. | 1,053,729 | 184,297,202 |
Crown Castle, Inc. | 1,418,730 | 200,650,984 |
Total | 384,948,186 | |
Total Real Estate | 384,948,186 |
Columbia Dividend Income Fund | Semiannual Report 2022 | 7 |
November 30, 2022 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 5.3% | ||
Electric Utilities 3.2% | ||
American Electric Power Co., Inc. | 2,589,439 | 250,657,695 |
Entergy Corp. | 1,901,671 | 221,107,287 |
Eversource Energy | 2,236,194 | 185,291,035 |
NextEra Energy, Inc. | 4,337,772 | 367,409,289 |
Xcel Energy, Inc. | 3,316,674 | 232,896,848 |
Total | 1,257,362,154 | |
Multi-Utilities 2.1% | ||
Ameren Corp. | 2,528,804 | 225,872,773 |
CMS Energy Corp. | 2,778,646 | 169,691,911 |
DTE Energy Co. | 1,226,812 | 142,322,460 |
WEC Energy Group, Inc. | 2,594,725 | 257,241,037 |
Total | 795,128,181 | |
Total Utilities | 2,052,490,335 | |
Total Common Stocks (Cost $24,703,463,566) | 37,682,601,037 | |
Money Market Funds 2.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 3.989%(a),(b) | 958,797,740 | 958,414,221 |
Total Money Market Funds (Cost $958,706,388) | 958,414,221 | |
Total Investments in Securities (Cost: $25,662,169,954) | 38,641,015,258 | |
Other Assets & Liabilities, Net | 43,491,766 | |
Net Assets | 38,684,507,024 |
(a) | The rate shown is the seven-day current annualized yield at November 30, 2022. |
(b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended November 30, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 3.989% | ||||||||
862,509,688 | 1,129,159,756 | (1,033,255,390) | 167 | 958,414,221 | (826) | 11,111,233 | 958,797,740 |
■ | 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). |
8 | Columbia Dividend Income Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 1,240,641,205 | — | — | 1,240,641,205 |
Consumer Discretionary | 1,988,569,292 | — | — | 1,988,569,292 |
Consumer Staples | 3,121,912,015 | — | — | 3,121,912,015 |
Energy | 3,281,648,637 | — | — | 3,281,648,637 |
Financials | 6,052,546,520 | — | — | 6,052,546,520 |
Health Care | 6,477,645,014 | — | — | 6,477,645,014 |
Industrials | 5,585,171,688 | — | — | 5,585,171,688 |
Information Technology | 6,450,776,161 | — | — | 6,450,776,161 |
Materials | 1,046,251,984 | — | — | 1,046,251,984 |
Real Estate | 384,948,186 | — | — | 384,948,186 |
Utilities | 2,052,490,335 | — | — | 2,052,490,335 |
Total Common Stocks | 37,682,601,037 | — | — | 37,682,601,037 |
Money Market Funds | 958,414,221 | — | — | 958,414,221 |
Total Investments in Securities | 38,641,015,258 | — | — | 38,641,015,258 |
Columbia Dividend Income Fund | Semiannual Report 2022 | 9 |
November 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $24,703,463,566) | $37,682,601,037 |
Affiliated issuers (cost $958,706,388) | 958,414,221 |
Receivable for: | |
Capital shares sold | 25,435,791 |
Dividends | 88,510,693 |
Prepaid expenses | 271,676 |
Trustees’ deferred compensation plan | 731,404 |
Other assets | 152,793 |
Total assets | 38,756,117,615 |
Liabilities | |
Payable for: | |
Investments purchased | 19,577,594 |
Capital shares purchased | 46,974,794 |
Management services fees | 548,298 |
Distribution and/or service fees | 70,090 |
Transfer agent fees | 3,084,135 |
Compensation of board members | 304,972 |
Compensation of chief compliance officer | 3,317 |
Other expenses | 315,987 |
Trustees’ deferred compensation plan | 731,404 |
Total liabilities | 71,610,591 |
Net assets applicable to outstanding capital stock | $38,684,507,024 |
Represented by | |
Paid in capital | 24,655,724,984 |
Total distributable earnings (loss) | 14,028,782,040 |
Total - representing net assets applicable to outstanding capital stock | $38,684,507,024 |
10 | Columbia Dividend Income Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Class A | |
Net assets | $4,436,503,134 |
Shares outstanding | 144,933,545 |
Net asset value per share | $30.61 |
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) | $32.48 |
Advisor Class | |
Net assets | $3,454,663,558 |
Shares outstanding | 110,663,219 |
Net asset value per share | $31.22 |
Class C | |
Net assets | $1,370,706,634 |
Shares outstanding | 46,387,283 |
Net asset value per share | $29.55 |
Institutional Class | |
Net assets | $18,197,100,825 |
Shares outstanding | 593,742,955 |
Net asset value per share | $30.65 |
Institutional 2 Class | |
Net assets | $3,097,888,179 |
Shares outstanding | 99,340,461 |
Net asset value per share | $31.18 |
Institutional 3 Class | |
Net assets | $7,813,374,516 |
Shares outstanding | 250,133,473 |
Net asset value per share | $31.24 |
Class R | |
Net assets | $224,799,297 |
Shares outstanding | 7,339,464 |
Net asset value per share | $30.63 |
Class V | |
Net assets | $89,470,881 |
Shares outstanding | 2,921,393 |
Net asset value per share | $30.63 |
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) | $32.50 |
Columbia Dividend Income Fund | Semiannual Report 2022 | 11 |
Six Months Ended November 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $479,635,337 |
Dividends — affiliated issuers | 11,111,233 |
Interfund lending | 12,236 |
Total income | 490,758,806 |
Expenses: | |
Management services fees | 95,107,537 |
Distribution and/or service fees | |
Class A | 5,215,315 |
Class C | 6,409,205 |
Class R | 537,195 |
Class V | 106,222 |
Transfer agent fees | |
Class A | 2,408,106 |
Advisor Class | 1,844,064 |
Class C | 739,827 |
Institutional Class | 9,743,560 |
Institutional 2 Class | 802,398 |
Institutional 3 Class | 255,024 |
Class R | 124,006 |
Class V | 49,040 |
Compensation of board members | 258,124 |
Custodian fees | 77,594 |
Printing and postage fees | 642,227 |
Registration fees | 346,826 |
Audit fees | 15,060 |
Legal fees | 237,101 |
Compensation of chief compliance officer | 3,316 |
Other | 235,003 |
Total expenses | 125,156,750 |
Expense reduction | (1,860) |
Total net expenses | 125,154,890 |
Net investment income | 365,603,916 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 558,907,606 |
Investments — affiliated issuers | (826) |
Net realized gain | 558,906,780 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 460,872,987 |
Investments — affiliated issuers | 167 |
Net change in unrealized appreciation (depreciation) | 460,873,154 |
Net realized and unrealized gain | 1,019,779,934 |
Net increase in net assets resulting from operations | $1,385,383,850 |
12 | Columbia Dividend Income Fund | Semiannual Report 2022 |
Six Months Ended November 30, 2022 (Unaudited) | Year Ended May 31, 2022 | |
Operations | ||
Net investment income | $365,603,916 | $604,521,277 |
Net realized gain | 558,906,780 | 452,076,428 |
Net change in unrealized appreciation (depreciation) | 460,873,154 | 405,905,851 |
Net increase in net assets resulting from operations | 1,385,383,850 | 1,462,503,556 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (33,836,450) | (124,980,544) |
Advisor Class | (29,328,299) | (101,221,238) |
Class C | (5,587,645) | (29,165,217) |
Institutional Class | (157,822,763) | (540,399,033) |
Institutional 2 Class | (26,849,170) | (99,465,229) |
Institutional 3 Class | (70,787,654) | (231,722,717) |
Class R | (1,458,287) | (6,024,068) |
Class V | (689,296) | (2,666,349) |
Total distributions to shareholders | (326,359,564) | (1,135,644,395) |
Increase (decrease) in net assets from capital stock activity | (124,564,507) | 2,311,117,128 |
Total increase in net assets | 934,459,779 | 2,637,976,289 |
Net assets at beginning of period | 37,750,047,245 | 35,112,070,956 |
Net assets at end of period | $38,684,507,024 | $37,750,047,245 |
Columbia Dividend Income Fund | Semiannual Report 2022 | 13 |
Six Months Ended | Year Ended | |||
November 30, 2022 (Unaudited) | May 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 11,363,203 | 321,649,100 | 29,845,816 | 900,339,496 |
Distributions reinvested | 1,046,469 | 28,622,354 | 3,486,547 | 105,441,363 |
Redemptions | (15,031,027) | (422,453,599) | (29,779,035) | (899,331,555) |
Net increase (decrease) | (2,621,355) | (72,182,145) | 3,553,328 | 106,449,304 |
Advisor Class | ||||
Subscriptions | 12,124,294 | 352,168,762 | 38,790,900 | 1,192,233,253 |
Distributions reinvested | 1,045,500 | 29,144,828 | 3,265,878 | 100,532,706 |
Redemptions | (12,490,238) | (361,460,584) | (36,553,500) | (1,127,088,618) |
Net increase | 679,556 | 19,853,006 | 5,503,278 | 165,677,341 |
Class C | ||||
Subscriptions | 3,015,112 | 82,874,188 | 9,101,820 | 265,699,953 |
Distributions reinvested | 181,679 | 4,804,138 | 854,445 | 25,139,789 |
Redemptions | (3,794,953) | (103,395,719) | (8,146,924) | (237,516,776) |
Net increase (decrease) | (598,162) | (15,717,393) | 1,809,341 | 53,322,966 |
Institutional Class | ||||
Subscriptions | 60,397,713 | 1,710,175,318 | 152,870,803 | 4,612,757,750 |
Distributions reinvested | 5,069,230 | 138,751,443 | 15,623,440 | 472,403,308 |
Redemptions | (65,735,626) | (1,860,043,984) | (128,602,883) | (3,888,570,214) |
Net increase (decrease) | (268,683) | (11,117,223) | 39,891,360 | 1,196,590,844 |
Institutional 2 Class | ||||
Subscriptions | 13,694,131 | 393,560,322 | 28,189,723 | 863,966,863 |
Distributions reinvested | 945,250 | 26,317,038 | 3,177,985 | 97,637,694 |
Redemptions | (13,308,645) | (380,114,859) | (36,383,818) | (1,124,641,415) |
Net increase (decrease) | 1,330,736 | 39,762,501 | (5,016,110) | (163,036,858) |
Institutional 3 Class | ||||
Subscriptions | 22,765,507 | 655,450,310 | 72,446,071 | 2,228,533,037 |
Distributions reinvested | 1,702,306 | 47,470,819 | 4,950,475 | 152,421,625 |
Redemptions | (26,800,820) | (774,417,113) | (46,594,347) | (1,434,309,179) |
Net increase (decrease) | (2,333,007) | (71,495,984) | 30,802,199 | 946,645,483 |
Class R | ||||
Subscriptions | 382,331 | 10,892,644 | 1,619,319 | 48,845,688 |
Distributions reinvested | 53,163 | 1,455,457 | 198,217 | 6,012,034 |
Redemptions | (785,122) | (22,301,410) | (1,499,767) | (45,215,627) |
Net increase (decrease) | (349,628) | (9,953,309) | 317,769 | 9,642,095 |
Class V | ||||
Subscriptions | 5,396 | 151,101 | 22,295 | 670,913 |
Distributions reinvested | 20,441 | 559,279 | 71,346 | 2,158,582 |
Redemptions | (154,152) | (4,424,340) | (231,428) | (7,003,542) |
Net decrease | (128,315) | (3,713,960) | (137,787) | (4,174,047) |
Total net increase (decrease) | (4,288,858) | (124,564,507) | 76,723,378 | 2,311,117,128 |
14 | Columbia Dividend Income Fund | Semiannual Report 2022 |
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 | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $29.77 | 0.26 | 0.81 | 1.07 | (0.23) | — | (0.23) |
Year Ended 5/31/2022 | $29.50 | 0.42 | 0.71 | 1.13 | (0.41) | (0.45) | (0.86) |
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) |
Advisor Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $30.36 | 0.30 | 0.83 | 1.13 | (0.27) | — | (0.27) |
Year Ended 5/31/2022 | $30.06 | 0.51 | 0.72 | 1.23 | (0.48) | (0.45) | (0.93) |
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) |
Class C | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $28.73 | 0.15 | 0.79 | 0.94 | (0.12) | — | (0.12) |
Year Ended 5/31/2022 | $28.49 | 0.19 | 0.68 | 0.87 | (0.18) | (0.45) | (0.63) |
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) |
Institutional Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $29.81 | 0.30 | 0.81 | 1.11 | (0.27) | — | (0.27) |
Year Ended 5/31/2022 | $29.53 | 0.50 | 0.71 | 1.21 | (0.48) | (0.45) | (0.93) |
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) |
Institutional 2 Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $30.33 | 0.31 | 0.82 | 1.13 | (0.28) | — | (0.28) |
Year Ended 5/31/2022 | $30.03 | 0.52 | 0.73 | 1.25 | (0.50) | (0.45) | (0.95) |
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) |
16 | Columbia Dividend Income Fund | Semiannual Report 2022 |
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 | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $30.61 | 3.69% | 0.90%(c) | 0.90%(c),(d) | 1.83%(c) | 9% | $4,436,503 |
Year Ended 5/31/2022 | $29.77 | 3.80% | 0.90% | 0.90%(d) | 1.38% | 16% | $4,392,792 |
Year Ended 5/31/2021 | $29.50 | 35.42% | 0.92% | 0.92%(d) | 1.49% | 11% | $4,247,346 |
Year Ended 5/31/2020 | $22.13 | 6.26% | 0.94% | 0.94%(d) | 1.80% | 14% | $2,689,884 |
Year Ended 5/31/2019 | $21.45 | 6.10% | 0.96% | 0.96%(d) | 1.77% | 13% | $2,094,539 |
Year Ended 5/31/2018 | $21.63 | 10.35% | 0.97% | 0.97%(d) | 1.66% | 15% | $1,834,772 |
Advisor Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $31.22 | 3.82% | 0.65%(c) | 0.65%(c),(d) | 2.08%(c) | 9% | $3,454,664 |
Year Ended 5/31/2022 | $30.36 | 4.08% | 0.65% | 0.65%(d) | 1.63% | 16% | $3,338,904 |
Year Ended 5/31/2021 | $30.06 | 35.76% | 0.67% | 0.67%(d) | 1.74% | 11% | $3,140,636 |
Year Ended 5/31/2020 | $22.54 | 6.53% | 0.69% | 0.69%(d) | 2.07% | 14% | $1,640,078 |
Year Ended 5/31/2019 | $21.84 | 6.35% | 0.71% | 0.71%(d) | 2.04% | 13% | $815,017 |
Year Ended 5/31/2018 | $22.00 | 10.60% | 0.72% | 0.72%(d) | 1.93% | 15% | $564,834 |
Class C | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $29.55 | 3.32% | 1.65%(c) | 1.65%(c),(d) | 1.08%(c) | 9% | $1,370,707 |
Year Ended 5/31/2022 | $28.73 | 3.01% | 1.65% | 1.65%(d) | 0.63% | 16% | $1,350,125 |
Year Ended 5/31/2021 | $28.49 | 34.43% | 1.67% | 1.67%(d) | 0.75% | 11% | $1,286,989 |
Year Ended 5/31/2020 | $21.38 | 5.44% | 1.69% | 1.69%(d) | 1.05% | 14% | $1,037,413 |
Year Ended 5/31/2019 | $20.73 | 5.29% | 1.71% | 1.71%(d) | 1.02% | 13% | $856,621 |
Year Ended 5/31/2018 | $20.95 | 9.53% | 1.72% | 1.72%(d) | 0.91% | 15% | $809,269 |
Institutional Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $30.65 | 3.82% | 0.65%(c) | 0.65%(c),(d) | 2.08%(c) | 9% | $18,197,101 |
Year Ended 5/31/2022 | $29.81 | 4.09% | 0.65% | 0.65%(d) | 1.63% | 16% | $17,707,133 |
Year Ended 5/31/2021 | $29.53 | 35.76% | 0.67% | 0.67%(d) | 1.74% | 11% | $16,364,361 |
Year Ended 5/31/2020 | $22.15 | 6.50% | 0.69% | 0.69%(d) | 2.06% | 14% | $9,604,530 |
Year Ended 5/31/2019 | $21.48 | 6.36% | 0.71% | 0.71%(d) | 2.02% | 13% | $5,966,124 |
Year Ended 5/31/2018 | $21.66 | 10.67% | 0.72% | 0.72%(d) | 1.89% | 15% | $4,781,049 |
Institutional 2 Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $31.18 | 3.82% | 0.60%(c) | 0.60%(c) | 2.14%(c) | 9% | $3,097,888 |
Year Ended 5/31/2022 | $30.33 | 4.16% | 0.59% | 0.59% | 1.69% | 16% | $2,972,324 |
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 |
Columbia Dividend Income Fund | Semiannual Report 2022 | 17 |
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 | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $30.38 | 0.32 | 0.82 | 1.14 | (0.28) | — | (0.28) |
Year Ended 5/31/2022 | $30.08 | 0.54 | 0.73 | 1.27 | (0.52) | (0.45) | (0.97) |
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) |
Class R | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $29.79 | 0.22 | 0.81 | 1.03 | (0.19) | — | (0.19) |
Year Ended 5/31/2022 | $29.51 | 0.35 | 0.71 | 1.06 | (0.33) | (0.45) | (0.78) |
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) |
Class V | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $29.79 | 0.26 | 0.81 | 1.07 | (0.23) | — | (0.23) |
Year Ended 5/31/2022 | $29.51 | 0.42 | 0.72 | 1.14 | (0.41) | (0.45) | (0.86) |
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) |
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) | Annualized. |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
18 | Columbia Dividend Income Fund | Semiannual Report 2022 |
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 | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $31.24 | 3.87% | 0.55%(c) | 0.55%(c) | 2.18%(c) | 9% | $7,813,375 |
Year Ended 5/31/2022 | $30.38 | 4.20% | 0.55% | 0.55% | 1.74% | 16% | $7,668,907 |
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 |
Class R | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $30.63 | 3.55% | 1.15%(c) | 1.15%(c),(d) | 1.58%(c) | 9% | $224,799 |
Year Ended 5/31/2022 | $29.79 | 3.56% | 1.15% | 1.15%(d) | 1.13% | 16% | $229,025 |
Year Ended 5/31/2021 | $29.51 | 35.08% | 1.17% | 1.17%(d) | 1.24% | 11% | $217,516 |
Year Ended 5/31/2020 | $22.14 | 5.97% | 1.19% | 1.19%(d) | 1.54% | 14% | $137,720 |
Year Ended 5/31/2019 | $21.46 | 5.83% | 1.21% | 1.21%(d) | 1.52% | 13% | $113,166 |
Year Ended 5/31/2018 | $21.64 | 10.07% | 1.22% | 1.22%(d) | 1.41% | 15% | $104,036 |
Class V | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $30.63 | 3.69% | 0.90%(c) | 0.90%(c),(d) | 1.82%(c) | 9% | $89,471 |
Year Ended 5/31/2022 | $29.79 | 3.83% | 0.90% | 0.90%(d) | 1.38% | 16% | $90,837 |
Year Ended 5/31/2021 | $29.51 | 35.40% | 0.92% | 0.92%(d) | 1.50% | 11% | $94,062 |
Year Ended 5/31/2020 | $22.14 | 6.26% | 0.94% | 0.94%(d) | 1.78% | 14% | $74,269 |
Year Ended 5/31/2019 | $21.46 | 6.10% | 0.96% | 0.96%(d) | 1.76% | 13% | $76,067 |
Year Ended 5/31/2018 | $21.64 | 10.35% | 0.97% | 0.97%(d) | 1.66% | 15% | $81,875 |
Columbia Dividend Income Fund | Semiannual Report 2022 | 19 |
November 30, 2022 (Unaudited)
20 | Columbia Dividend Income Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Dividend Income Fund | Semiannual Report 2022 | 21 |
November 30, 2022 (Unaudited)
22 | Columbia Dividend Income Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Effective rate (%) | |
Class A | 0.12 |
Advisor Class | 0.12 |
Class C | 0.12 |
Institutional Class | 0.12 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.12 |
Class V | 0.12 |
Columbia Dividend Income Fund | Semiannual Report 2022 | 23 |
November 30, 2022 (Unaudited)
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 2,024,478 |
Class C | — | 1.00(b) | 55,176 |
Class V | 5.75 | 0.50 - 1.00(a) | 204 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
Fee rate(s) contractual through September 30, 2023 | |
Class A | 1.10% |
Advisor Class | 0.85 |
Class C | 1.85 |
Institutional Class | 0.85 |
Institutional 2 Class | 0.79 |
Institutional 3 Class | 0.74 |
Class R | 1.35 |
Class V | 1.10 |
24 | Columbia Dividend Income Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
25,662,170,000 | 13,299,904,000 | (321,059,000) | 12,978,845,000 |
Columbia Dividend Income Fund | Semiannual Report 2022 | 25 |
November 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 5,441,176 | 2.48 | 34 |
26 | Columbia Dividend Income Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Dividend Income Fund | Semiannual Report 2022 | 27 |
November 30, 2022 (Unaudited)
28 | Columbia Dividend Income Fund | Semiannual Report 2022 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia Dividend Income Fund | Semiannual Report 2022 | 29 |
(Unaudited)
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
30 | Columbia Dividend Income Fund | Semiannual Report 2022 |
(Unaudited)
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates from their relationships with the Fund
Columbia Dividend Income Fund | Semiannual Report 2022 | 31 |
(Unaudited)
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
32 | Columbia Dividend Income Fund | Semiannual Report 2022 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
November 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended November 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 07/31/00 | -6.73 | -16.52 | 0.50 | 2.17 |
Including sales charges | -9.52 | -19.00 | -0.11 | 1.86 | ||
Advisor Class* | 03/19/13 | -6.72 | -16.33 | 0.70 | 2.39 | |
Class C | Excluding sales charges | 07/15/02 | -7.01 | -17.02 | -0.13 | 1.53 |
Including sales charges | -7.92 | -17.82 | -0.13 | 1.53 | ||
Institutional Class | 03/05/84 | -6.73 | -16.35 | 0.70 | 2.38 | |
Institutional 2 Class | 11/08/12 | -6.73 | -16.35 | 0.73 | 2.45 | |
Institutional 3 Class* | 03/01/17 | -6.68 | -16.33 | 0.78 | 2.43 | |
Blended Benchmark | -3.88 | -11.92 | 2.64 | 3.21 | ||
Bloomberg High Yield Municipal Bond Index | -4.50 | -12.73 | 2.93 | 3.51 |
* | 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 | Semiannual Report 2022 | 3 |
(Unaudited)
Quality breakdown (%) (at November 30, 2022) | |
AAA rating | 3.4 |
AA rating | 2.6 |
A rating | 9.1 |
BBB rating | 16.6 |
BB rating | 11.7 |
B rating | 2.5 |
CCC rating | 0.3 |
Not rated | 53.8 |
Total | 100.0 |
Top Ten States/Territories (%) (at November 30, 2022) | |
Illinois | 10.2 |
Colorado | 9.5 |
Florida | 8.4 |
Texas | 8.1 |
Puerto Rico | 6.6 |
New York | 5.3 |
California | 4.7 |
Wisconsin | 4.6 |
Ohio | 3.8 |
Pennsylvania | 3.5 |
4 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
(Unaudited)
June 1, 2022 — November 30, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 932.70 | 1,020.86 | 4.07 | 4.26 | 0.84 |
Advisor Class | 1,000.00 | 1,000.00 | 932.80 | 1,021.86 | 3.10 | 3.24 | 0.64 |
Class C | 1,000.00 | 1,000.00 | 929.90 | 1,017.85 | 6.97 | 7.28 | 1.44 |
Institutional Class | 1,000.00 | 1,000.00 | 932.70 | 1,021.86 | 3.10 | 3.24 | 0.64 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 932.70 | 1,022.01 | 2.96 | 3.09 | 0.61 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 933.20 | 1,022.26 | 2.71 | 2.84 | 0.56 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 5 |
November 30, 2022 (Unaudited)
Municipal Bonds 97.8% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Alabama 0.5% | ||||
Sumter County Industrial Development Authority(a) | ||||
Revenue Bonds | ||||
Green Bonds - Enviva, Inc. | ||||
Series 2022 (Mandatory Put 07/15/32) | ||||
07/15/2052 | 6.000% | 3,000,000 | 2,792,246 | |
Alaska 0.1% | ||||
Northern Tobacco Securitization Corp.(b) | ||||
Refunding Revenue Bonds | ||||
Series 2021B-2 | ||||
06/01/2066 | 0.000% | 5,000,000 | 566,441 | |
Arizona 2.6% | ||||
Arizona Industrial Development Authority(c) | ||||
Revenue Bonds | ||||
Legacy Cares, Inc. Project | ||||
Series 2020 | ||||
07/01/2050 | 7.750% | 3,000,000 | 2,100,000 | |
Series 2021A | ||||
07/01/2051 | 6.000% | 500,000 | 350,000 | |
Pinecrest Academy of Northern Nevada Project | ||||
Series 2022 | ||||
07/15/2029 | 4.500% | 2,500,000 | 2,404,267 | |
Industrial Development Authority of the County of Pima (The)(c) | ||||
Refunding Revenue Bonds | ||||
American Leadership Academy | ||||
Series 2022 | ||||
06/15/2057 | 4.000% | 4,000,000 | 2,752,863 | |
Revenue Bonds | ||||
La Posada at Pusch Ridge Project | ||||
Series 2022 | ||||
11/15/2057 | 7.000% | 1,000,000 | 1,025,868 | |
La Paz County Industrial Development Authority | ||||
Revenue Bonds | ||||
Charter School Solutions - Harmony Public Schools Project | ||||
Series 2016 | ||||
02/15/2046 | 5.000% | 1,500,000 | 1,500,418 | |
Series 2018 | ||||
02/15/2048 | 5.000% | 230,000 | 227,190 | |
Maricopa County Industrial Development Authority(a),(c) | ||||
Revenue Bonds | ||||
Commercial Metals Co. | ||||
Series 2022 | ||||
10/15/2047 | 4.000% | 5,000,000 | 3,984,095 | |
Total | 14,344,701 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
California 4.6% | ||||
California County Tobacco Securitization Agency | ||||
Refunding Revenue Bonds | ||||
Subordinated Series 2020B-1 | ||||
06/01/2049 | 5.000% | 390,000 | 389,771 | |
California Municipal Finance Authority(a),(c),(d) | ||||
Revenue Bonds | ||||
UTS Renewable Energy-Waste Water Facilities | ||||
Series 2011 | ||||
12/01/2032 | 0.000% | 1,835,000 | 36,700 | |
California Statewide Communities Development Authority | ||||
Refunding Revenue Bonds | ||||
899 Charleston Project | ||||
Series 2014A | ||||
11/01/2044 | 5.250% | 1,500,000 | 1,263,981 | |
Revenue Bonds | ||||
Loma Linda University Medical Center | ||||
Series 2014 | ||||
12/01/2054 | 5.500% | 1,000,000 | 1,005,329 | |
California Statewide Communities Development Authority(c) | ||||
Revenue Bonds | ||||
Loma Linda University Medical Center | ||||
Series 2018 | ||||
12/01/2058 | 5.500% | 1,000,000 | 1,007,747 | |
City of Long Beach Marina System | ||||
Revenue Bonds | ||||
Series 2015 | ||||
05/15/2045 | 5.000% | 500,000 | 505,737 | |
CMFA Special Finance Agency(c) | ||||
Revenue Bonds | ||||
Junior Bonds - Latitude33 | ||||
Series 2021A | ||||
12/01/2045 | 4.000% | 2,000,000 | 1,498,593 | |
Junior Bonds - Solana at Grand | ||||
Series 2021A-2 | ||||
08/01/2045 | 4.000% | 5,000,000 | 3,830,912 | |
CSCDA Community Improvement Authority(c) | ||||
Revenue Bonds | ||||
Social Bonds - Mezzanine Lien - Westgate Phase 1-Pasadena | ||||
Series 2021 | ||||
06/01/2057 | 4.000% | 2,000,000 | 1,329,327 | |
Social Bonds - Millennium South Bay-Hawthorne | ||||
Series 2021 | ||||
07/01/2058 | 4.000% | 3,000,000 | 1,973,427 | |
Golden State Tobacco Securitization Corp.(b) | ||||
Refunding Revenue Bonds | ||||
Subordinated Series 2021B-2 | ||||
06/01/2066 | 0.000% | 40,000,000 | 4,288,280 |
6 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Hastings Campus Housing Finance Authority | ||||
Revenue Bonds | ||||
Green Bonds | ||||
Series 2020A | ||||
07/01/2061 | 5.000% | 1,000,000 | 819,795 | |
Hastings Campus Housing Finance Authority(b),(c) | ||||
Revenue Bonds | ||||
Green Bonds | ||||
Subordinated Series 2020A | ||||
07/01/2061 | 0.000% | 3,000,000 | 1,026,902 | |
M-S-R Energy Authority | ||||
Revenue Bonds | ||||
Series 2009B | ||||
11/01/2039 | 6.500% | 5,000,000 | 6,059,974 | |
Total | 25,036,475 | |||
Colorado 9.3% | ||||
Aerotropolis Regional Transportation Authority | ||||
Revenue Bonds | ||||
Series 2021 | ||||
12/01/2052 | 4.375% | 4,000,000 | 2,950,880 | |
Aurora Crossroads Metropolitan District No. 2 | ||||
Limited General Obligation Bonds | ||||
Senior Series 2020A | ||||
12/01/2050 | 5.000% | 1,000,000 | 861,172 | |
City & County of Denver Airport System(a) | ||||
Revenue Bonds | ||||
Series 2022A | ||||
11/15/2047 | 5.000% | 900,000 | 927,869 | |
11/15/2053 | 5.500% | 600,000 | 639,488 | |
Colorado Bridge Enterprise(a) | ||||
Revenue Bonds | ||||
Central 70 Project | ||||
Series 2017 | ||||
06/30/2051 | 4.000% | 6,000,000 | 5,427,404 | |
Colorado Educational & Cultural Facilities Authority(c) | ||||
Refunding Revenue Bonds | ||||
New Summit Charter Academy Project | ||||
Series 2021 | ||||
07/01/2051 | 4.000% | 715,000 | 529,994 | |
07/01/2061 | 4.000% | 1,225,000 | 861,115 | |
Colorado Health Facilities Authority | ||||
Improvement Refunding Revenue Bonds | ||||
Christian Living Neighborhoods | ||||
Series 2021 | ||||
01/01/2042 | 4.000% | 1,000,000 | 744,855 | |
Refunding Revenue Bonds | ||||
CommonSpirit Health | ||||
Series 2019A | ||||
08/01/2049 | 4.000% | 3,250,000 | 2,710,982 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Intermountain Healthcare | ||||
Series 2022 | ||||
05/15/2052 | 5.000% | 1,000,000 | 1,064,637 | |
Revenue Bonds | ||||
Aberdeen Ridge | ||||
Series 2021A | ||||
05/15/2058 | 5.000% | 3,250,000 | 2,473,420 | |
NJH-SJH Center for Outpatient Health Project | ||||
Series 2019 | ||||
01/01/2045 | 3.000% | 5,000,000 | 3,854,274 | |
Eagle Brook Meadows Metropolitan District No. 3 | ||||
Limited General Obligation Bonds | ||||
Series 2021 | ||||
12/01/2051 | 5.000% | 1,500,000 | 1,251,886 | |
Fiddlers Business Improvement District(c) | ||||
Unlimited General Obligation Refunding Bonds | ||||
Series 2022 | ||||
12/01/2047 | 5.550% | 3,000,000 | 2,998,509 | |
Fitzsimons Village Metropolitan District No. 3 | ||||
Limited General Obligation Refunding Bonds | ||||
Series 2021A-1 | ||||
12/01/2055 | 4.250% | 2,000,000 | 1,383,457 | |
Jefferson Center Metropolitan District No. 1 | ||||
Refunding Revenue Bonds | ||||
Subordinated Series 2020B | ||||
12/15/2050 | 5.750% | 4,000,000 | 3,761,187 | |
Lanterns Metropolitan District No. 2 | ||||
Limited General Obligation Bonds | ||||
Series 2021A | ||||
12/01/2050 | 4.500% | 2,830,000 | 1,986,784 | |
Peak Metropolitan District No. 1(c) | ||||
Limited General Obligation Bonds | ||||
Series 2021A | ||||
12/01/2051 | 5.000% | 1,150,000 | 978,933 | |
Rampart Range Metropolitan District No. 5 | ||||
Revenue Bonds | ||||
Series 2021 | ||||
12/01/2051 | 4.000% | 2,500,000 | 1,680,722 | |
RRC Metropolitan District No. 2 | ||||
Limited General Obligation Bonds | ||||
Series 2021 | ||||
12/01/2051 | 5.250% | 2,500,000 | 2,041,460 | |
Sagebrush Farm Metropolitan District No. 1 | ||||
Limited General Obligation Bonds | ||||
Series 2022A | ||||
12/01/2052 | 6.750% | 2,000,000 | 1,936,904 | |
Senac South Metropolitan District No. 1 | ||||
Limited General Obligation Bonds | ||||
Series 2021A | ||||
12/01/2051 | 5.250% | 3,000,000 | 2,503,455 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 7 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Sky Ranch Community Authority Board | ||||
Limited General Obligation Bonds | ||||
Series 2022A | ||||
12/01/2052 | 5.750% | 1,250,000 | 1,140,684 | |
Sterling Ranch Community Authority Board | ||||
Refunding Revenue Bonds | ||||
Series 2022A | ||||
12/01/2053 | 6.750% | 2,000,000 | 2,007,334 | |
Waterfront at Foster Lake Metropolitan District No. 2 | ||||
Revenue Bonds | ||||
Series 2022 | ||||
12/01/2028 | 4.625% | 2,000,000 | 1,810,344 | |
Windler Public Improvement Authority | ||||
Revenue Bonds | ||||
Series 2021A-1 | ||||
12/01/2051 | 4.125% | 4,000,000 | 2,600,200 | |
Total | 51,127,949 | |||
Connecticut 0.5% | ||||
Connecticut State Health & Educational Facility Authority(c) | ||||
Revenue Bonds | ||||
Church Home of Hartford, Inc. Project | ||||
Series 2016 | ||||
09/01/2053 | 5.000% | 1,750,000 | 1,541,009 | |
Stamford Housing Authority(c),(e) | ||||
Revenue Bonds | ||||
The Dogwoods Project | ||||
BAN Series 2022 | ||||
12/01/2027 | 11.000% | 1,000,000 | 1,001,385 | |
Total | 2,542,394 | |||
District of Columbia 0.5% | ||||
District of Columbia | ||||
Revenue Bonds | ||||
KIPP DC Project | ||||
Series 2019 | ||||
07/01/2049 | 4.000% | 680,000 | 583,219 | |
Metropolitan Washington Airports Authority Dulles Toll Road | ||||
Refunding Revenue Bonds | ||||
Dulles Metrorail | ||||
Subordinated Series 2019 | ||||
10/01/2049 | 4.000% | 2,275,000 | 1,977,037 | |
Total | 2,560,256 | |||
Florida 8.2% | ||||
Capital Trust Agency, Inc.(c) | ||||
04/27/2021 | ||||
07/01/2056 | 5.000% | 4,000,000 | 3,545,042 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Revenue Bonds | ||||
WFCS Portfolio Projects | ||||
Series 2021A | ||||
01/01/2031 | 3.300% | 250,000 | 222,024 | |
01/01/2056 | 5.000% | 1,000,000 | 771,664 | |
Capital Trust Agency, Inc.(c),(d) | ||||
Revenue Bonds | ||||
1st Mortgage - Tapestry Walden Senior Housing Project | ||||
Series 2017 | ||||
07/01/2052 | 0.000% | 3,400,000 | 782,000 | |
1st Mortgage Tallahassee Tapestry Senior Housing Project | ||||
Series 2015 | ||||
12/01/2050 | 0.000% | 3,550,000 | 1,029,500 | |
Capital Trust Agency, Inc.(b),(c) | ||||
Subordinated | ||||
07/01/2061 | 0.000% | 30,000,000 | 1,433,397 | |
City of Atlantic Beach | ||||
Revenue Bonds | ||||
Fleet Landing Project | ||||
Series 2018A | ||||
11/15/2053 | 5.000% | 1,500,000 | 1,436,264 | |
City of Pompano Beach | ||||
Revenue Bonds | ||||
John Knox Village Project | ||||
Series 2021A | ||||
09/01/2056 | 4.000% | 1,835,000 | 1,369,718 | |
City of Tampa(b) | ||||
Revenue Bonds | ||||
Series 2020A | ||||
09/01/2053 | 0.000% | 1,800,000 | 405,629 | |
County of Miami-Dade(b) | ||||
Revenue Bonds | ||||
Capital Appreciation | ||||
Subordinated Series 2009B | ||||
10/01/2041 | 0.000% | 10,000,000 | 4,024,383 | |
County of Osceola Transportation(b) | ||||
Refunding Revenue Bonds | ||||
Osceola Parkway Toll Facility | ||||
Series 2019A-2 | ||||
10/01/2049 | 0.000% | 1,700,000 | 358,885 | |
Series 2020A-2 | ||||
10/01/2046 | 0.000% | 3,175,000 | 804,149 | |
10/01/2048 | 0.000% | 2,000,000 | 448,464 | |
Florida Development Finance Corp. | ||||
Prerefunded 06/15/23 Revenue Bonds | ||||
Renaissance Charter School | ||||
Series 2013A | ||||
06/15/2044 | 8.500% | 3,000,000 | 3,088,607 |
8 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Florida Development Finance Corp.(c) | ||||
Refunding Revenue Bonds | ||||
Glenridge on Palmer Ranch Project (The) | ||||
Series 2021 | ||||
06/01/2051 | 5.000% | 2,000,000 | 1,615,218 | |
Mayflower Retirement Community Project (The) | ||||
Series 2021 | ||||
06/01/2055 | 4.000% | 1,500,000 | 1,016,157 | |
Renaissance Charter School | ||||
Series 2020 | ||||
09/15/2050 | 5.000% | 2,200,000 | 1,888,235 | |
Revenue Bonds | ||||
Cornerstone Charter Academy Project | ||||
Series 2022 | ||||
10/01/2052 | 5.125% | 1,000,000 | 896,239 | |
10/01/2056 | 5.250% | 1,900,000 | 1,696,983 | |
Discovery High School Project | ||||
Series 2020 | ||||
06/01/2055 | 5.000% | 2,000,000 | 1,707,926 | |
Renaissance Charter School | ||||
Series 2015 | ||||
06/15/2046 | 6.125% | 4,900,000 | 4,907,234 | |
Lee County Industrial Development Authority | ||||
Revenue Bonds | ||||
Cypress Cove at HealthPark Florida, Inc. Project | ||||
Series 2022 | ||||
10/01/2057 | 5.250% | 3,000,000 | 2,579,755 | |
Palm Beach County Health Facilities Authority | ||||
Refunding Revenue Bonds | ||||
Toby & Leon Cooperman Sinai Residences of Boca Raton | ||||
Series 2022 | ||||
06/01/2056 | 4.250% | 4,000,000 | 2,953,460 | |
Polk County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Carpenter’s Home Estates, Inc. | ||||
Series 2019 | ||||
01/01/2055 | 5.000% | 2,615,000 | 2,271,019 | |
Seminole County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Legacy Pointe at UCF Project | ||||
Series 2019 | ||||
11/15/2054 | 5.750% | 2,525,000 | 2,115,699 | |
Seminole County Industrial Development Authority(c) | ||||
Revenue Bonds | ||||
Galileo Schools for Gifted Learning Project | ||||
Series 2021 | ||||
06/15/2051 | 4.000% | 830,000 | 615,385 | |
06/15/2056 | 4.000% | 1,410,000 | 1,007,829 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Westridge Community Development District | ||||
Special Assessment Bonds | ||||
Series 2005 | ||||
05/01/2037 | 5.800% | 285,000 | 285,026 | |
Total | 45,275,891 | |||
Georgia 2.2% | ||||
Floyd County Development Authority | ||||
Revenue Bonds | ||||
Spires Berry College Project | ||||
Series 2018 | ||||
12/01/2048 | 6.250% | 1,500,000 | 1,408,665 | |
Georgia State Road & Tollway Authority(c),(f) | ||||
Prerefunded 06/01/24 Revenue Bonds | ||||
I-75 S Expressway | ||||
Series 2014S | ||||
06/01/2049 | 0.000% | 4,600,000 | 4,633,191 | |
Oconee County Industrial Development Authority | ||||
Revenue Bonds | ||||
Presbyterian Village Athens Project | ||||
Series 2018 | ||||
12/01/2053 | 6.375% | 3,000,000 | 2,421,284 | |
Savannah Economic Development Authority | ||||
Prerefunded 01/01/24 Revenue Bonds | ||||
Marshes Skidaway Island Project | ||||
Series 2013 | ||||
01/01/2049 | 7.250% | 3,500,000 | 3,666,418 | |
Total | 12,129,558 | |||
Idaho 0.9% | ||||
Idaho Health Facilities Authority | ||||
Revenue Bonds | ||||
Terraces of Boise Project | ||||
Series 2014 | ||||
10/01/2056 | 4.550% | 4,000,000 | 2,830,391 | |
Spring Valley Community Infrastructure District No. 1(c) | ||||
Special Assessment Bonds | ||||
Series 2021 | ||||
09/01/2051 | 3.750% | 3,000,000 | 2,159,586 | |
Total | 4,989,977 | |||
Illinois 10.0% | ||||
Chicago Board of Education(c) | ||||
Unlimited General Obligation Bonds | ||||
Dedicated | ||||
Series 2017A | ||||
12/01/2046 | 7.000% | 3,000,000 | 3,260,854 | |
Chicago Board of Education | ||||
Unlimited General Obligation Bonds | ||||
Dedicated | ||||
Series 2017H | ||||
12/01/2036 | 5.000% | 1,665,000 | 1,637,094 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 9 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Project | ||||
Series 2015C | ||||
12/01/2039 | 5.250% | 2,000,000 | 2,004,498 | |
Series 2012A | ||||
12/01/2042 | 5.000% | 1,000,000 | 953,385 | |
Series 2016B | ||||
12/01/2046 | 6.500% | 1,500,000 | 1,585,533 | |
Series 2018D | ||||
12/01/2046 | 5.000% | 5,000,000 | 4,745,614 | |
Series 2022A | ||||
12/01/2047 | 4.000% | 6,000,000 | 4,885,158 | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2018A (AGM) | ||||
12/01/2035 | 5.000% | 500,000 | 511,777 | |
Chicago O’Hare International Airport(a) | ||||
Revenue Bonds | ||||
TriPs Obligated Group | ||||
Series 2018 | ||||
07/01/2048 | 5.000% | 800,000 | 800,121 | |
City of Chicago | ||||
Unlimited General Obligation Bonds | ||||
Series 2017A | ||||
01/01/2038 | 6.000% | 3,235,000 | 3,361,359 | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2007F | ||||
01/01/2042 | 5.500% | 1,000,000 | 1,006,781 | |
Du Page County Special Service Area No. 31 | ||||
Special Tax Bonds | ||||
Monarch Landing Project | ||||
Series 2006 | ||||
03/01/2036 | 5.625% | 648,000 | 627,919 | |
Metropolitan Pier & Exposition Authority | ||||
Refunding Revenue Bonds | ||||
McCormick Place Expansion Project | ||||
Series 2020 | ||||
06/15/2050 | 4.000% | 1,200,000 | 1,025,440 | |
Revenue Bonds | ||||
McCormick Place Expansion Project | ||||
Series 2017 | ||||
06/15/2057 | 5.000% | 1,250,000 | 1,241,831 | |
Metropolitan Pier & Exposition Authority(b) | ||||
Refunding Revenue Bonds | ||||
McCormick Place Expansion Project | ||||
Series 2022 | ||||
12/15/2037 | 0.000% | 2,700,000 | 1,307,225 | |
06/15/2038 | 0.000% | 3,000,000 | 1,405,516 | |
State of Illinois | ||||
Unlimited General Obligation Bonds | ||||
Series 2016 | ||||
01/01/2041 | 5.000% | 3,830,000 | 3,851,539 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2017A | ||||
12/01/2035 | 5.000% | 1,345,000 | 1,377,101 | |
12/01/2038 | 5.000% | 3,000,000 | 3,051,992 | |
Series 2018A | ||||
05/01/2032 | 5.000% | 2,500,000 | 2,603,600 | |
05/01/2040 | 5.000% | 1,000,000 | 1,012,356 | |
05/01/2041 | 5.000% | 3,910,000 | 3,946,728 | |
05/01/2043 | 5.000% | 3,000,000 | 3,019,639 | |
Series 2020 | ||||
05/01/2039 | 5.500% | 570,000 | 601,314 | |
05/01/2045 | 5.750% | 750,000 | 790,335 | |
Series 2022A | ||||
03/01/2047 | 5.500% | 2,700,000 | 2,813,884 | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2018B | ||||
10/01/2033 | 5.000% | 1,000,000 | 1,039,902 | |
Village of Lincolnshire | ||||
Special Tax Bonds | ||||
Sedgebrook Project | ||||
Series 2004 | ||||
03/01/2034 | 6.250% | 557,000 | 514,622 | |
Total | 54,983,117 | |||
Iowa 3.0% | ||||
Iowa Finance Authority(f) | ||||
Prerefunded 11/15/24 Revenue Bonds | ||||
Deerfield Retirement Community | ||||
Series 2014 | ||||
11/15/2046 | 5.400% | 1,931,669 | 2,012,564 | |
Iowa Finance Authority | ||||
Refunding Revenue Bonds | ||||
Iowa Fertilizer Co. Project | ||||
Series 2022 | ||||
12/01/2050 | 5.000% | 2,700,000 | 2,548,703 | |
Lifespace Communities, Inc. | ||||
Series 2021 | ||||
05/15/2053 | 4.000% | 4,000,000 | 2,665,256 | |
Revenue Bonds | ||||
Lifespace Communities, Inc. | ||||
Series 2018A | ||||
05/15/2043 | 5.000% | 1,740,000 | 1,514,315 | |
PHS Council Bluffs, Inc. Project | ||||
Series 2018 | ||||
08/01/2055 | 5.250% | 3,200,000 | 2,474,255 | |
Iowa Tobacco Settlement Authority(b) | ||||
Refunding Revenue Bonds | ||||
Series 2021B-2 | ||||
06/01/2065 | 0.000% | 50,000,000 | 5,459,065 | |
Total | 16,674,158 |
10 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Kansas 1.0% | ||||
City of Overland Park | ||||
Revenue Bonds | ||||
Prairiefire-Lionsgate Project | ||||
Series 2012 | ||||
12/15/2032 | 6.000% | 6,000,000 | 2,618,487 | |
Wyandotte County-Kansas City Unified Government | ||||
Revenue Bonds | ||||
Legends Village West Project | ||||
Series 2006 | ||||
10/01/2028 | 4.875% | 3,000,000 | 2,782,753 | |
Total | 5,401,240 | |||
Kentucky 0.7% | ||||
City of Henderson(a),(c) | ||||
Revenue Bonds | ||||
Pratt Paper LLC Project | ||||
Series 2022 | ||||
01/01/2052 | 4.700% | 3,000,000 | 2,645,691 | |
Kentucky Economic Development Finance Authority | ||||
Refunding Revenue Bonds | ||||
Owensboro Health | ||||
Series 2017A | ||||
06/01/2045 | 5.000% | 1,000,000 | 1,003,606 | |
Total | 3,649,297 | |||
Louisiana 1.4% | ||||
Louisiana Public Facilities Authority | ||||
Prerefunded 05/15/26 Revenue Bonds | ||||
Ochsner Clinic Foundation Project | ||||
Series 2016 | ||||
05/15/2034 | 5.000% | 25,000 | 26,724 | |
Louisiana Public Facilities Authority(a) | ||||
Revenue Bonds | ||||
Impala Warehousing LLC Project | ||||
Series 2013 | ||||
07/01/2036 | 6.500% | 3,420,000 | 3,446,277 | |
Parish of St. James(c) | ||||
Revenue Bonds | ||||
NuStar Logistics LP Project | ||||
Series 2020-2 | ||||
07/01/2040 | 6.350% | 3,750,000 | 4,007,736 | |
Total | 7,480,737 | |||
Maine 0.4% | ||||
Finance Authority of Maine(a),(c) | ||||
Revenue Bonds | ||||
Green Bonds Go Lab Madison LLC Project | ||||
Series 2021 | ||||
12/01/2051 | 8.000% | 3,000,000 | 2,058,157 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Maryland 0.8% | ||||
Maryland Economic Development Corp.(a) | ||||
Revenue Bonds | ||||
Green Bonds - Purple Line Light Rail Project | ||||
Series 2022 | ||||
06/30/2055 | 5.250% | 2,000,000 | 2,064,422 | |
Maryland Economic Development Corp. | ||||
Tax Allocation Bonds | ||||
Port Covington Project | ||||
Series 2020 | ||||
09/01/2050 | 4.000% | 2,700,000 | 2,130,082 | |
Total | 4,194,504 | |||
Massachusetts 1.0% | ||||
Massachusetts Development Finance Agency(c) | ||||
Refunding Revenue Bonds | ||||
NewBridge on the Charles, Inc. | ||||
Series 2017 | ||||
10/01/2057 | 5.000% | 2,000,000 | 2,024,669 | |
Revenue Bonds | ||||
Linden Ponds, Inc. Facility | ||||
Series 2018 | ||||
11/15/2046 | 5.125% | 2,000,000 | 2,037,620 | |
Massachusetts Educational Financing Authority(a) | ||||
Refunding Revenue Bonds | ||||
Issue K | ||||
Subordinated Series 2017B | ||||
07/01/2046 | 4.250% | 1,500,000 | 1,396,677 | |
Total | 5,458,966 | |||
Michigan 0.6% | ||||
Michigan Finance Authority(b) | ||||
Refunding Revenue Bonds | ||||
Senior Series 2020B-2 Class 2 | ||||
06/01/2065 | 0.000% | 37,500,000 | 3,168,559 | |
Minnesota 0.7% | ||||
City of Crookston | ||||
Revenue Bonds | ||||
Riverview Health Project | ||||
Series 2019 | ||||
05/01/2044 | 5.000% | 500,000 | 452,466 | |
05/01/2051 | 5.000% | 1,500,000 | 1,315,813 | |
St. Cloud Housing & Redevelopment Authority(d) | ||||
Revenue Bonds | ||||
Sanctuary St. Cloud Project | ||||
Series 2016A | ||||
08/01/2036 | 0.000% | 2,245,000 | 1,908,250 | |
Total | 3,676,529 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 11 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Missouri 1.0% | ||||
Kansas City Industrial Development Authority(c) | ||||
Revenue Bonds | ||||
Platte Purchase Project | ||||
Series 2019A | ||||
07/01/2040 | 5.000% | 1,800,000 | 1,527,832 | |
Kirkwood Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Aberdeen Heights Project | ||||
Series 2017 | ||||
05/15/2050 | 5.250% | 1,500,000 | 1,233,326 | |
St. Louis County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
St. Andrews Residence for Seniors | ||||
Series 2015 | ||||
12/01/2045 | 5.125% | 3,000,000 | 2,820,670 | |
Total | 5,581,828 | |||
Montana 0.2% | ||||
City of Kalispell | ||||
Refunding Revenue Bonds | ||||
Immanuel Lutheran Corp. Project | ||||
Series 2017 | ||||
05/15/2047 | 5.250% | 1,500,000 | 1,232,359 | |
Nevada 1.0% | ||||
City of Reno(b),(c) | ||||
Refunding Revenue Bonds | ||||
Retrac-Reno Transportation Rail Access Corridor Project | ||||
Series 2018 | ||||
07/01/2058 | 0.000% | 16,000,000 | 1,880,115 | |
State of Nevada Department of Business & Industry(c) | ||||
Revenue Bonds | ||||
Somerset Academy | ||||
Series 2015A | ||||
12/15/2045 | 5.125% | 2,515,000 | 2,373,802 | |
Series 2018A | ||||
12/15/2048 | 5.000% | 1,500,000 | 1,375,487 | |
Total | 5,629,404 | |||
New Hampshire 0.7% | ||||
New Hampshire Business Finance Authority(c) | ||||
Revenue Bonds | ||||
The Vista Project | ||||
Series 2019A | ||||
07/01/2054 | 5.750% | 3,750,000 | 3,444,648 | |
New Hampshire Health and Education Facilities Authority Act(d) | ||||
Revenue Bonds | ||||
Hillside Village | ||||
Series 2017A | ||||
07/01/2052 | 0.000% | 2,086,967 | 459,133 | |
Total | 3,903,781 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
New Jersey 2.3% | ||||
Camden County Improvement Authority (The) | ||||
Revenue Bonds | ||||
Social Bonds - Cooper Norcross Academy | ||||
Series 2022 | ||||
06/15/2062 | 6.000% | 1,000,000 | 1,036,994 | |
City of Newark Mass Transit Access Tax | ||||
Revenue Bonds | ||||
Mulberry Pedestrian Bridge Redevelopment Project | ||||
Series 2022 (AGM) | ||||
11/15/2062 | 6.000% | 1,000,000 | 1,117,081 | |
Middlesex County Improvement Authority(d) | ||||
Revenue Bonds | ||||
Heldrich Center Hotel | ||||
Series 2005C | ||||
01/01/2037 | 0.000% | 1,250,000 | 12 | |
New Jersey Economic Development Authority(a) | ||||
Revenue Bonds | ||||
UMM Energy Partners LLC | ||||
Series 2012A | ||||
06/15/2043 | 5.125% | 2,000,000 | 2,000,155 | |
New Jersey Economic Development Authority | ||||
Unrefunded Revenue Bonds | ||||
Series 2015WW | ||||
06/15/2040 | 5.250% | 350,000 | 357,394 | |
New Jersey Higher Education Student Assistance Authority(a) | ||||
Revenue Bonds | ||||
Subordinated Series 2013-1B | ||||
12/01/2043 | 4.750% | 5,000,000 | 5,000,885 | |
New Jersey Transportation Trust Fund Authority | ||||
Revenue Bonds | ||||
Transportation Program | ||||
Series 2015AA | ||||
06/15/2045 | 5.000% | 1,750,000 | 1,766,143 | |
South Jersey Port Corp.(a) | ||||
Revenue Bonds | ||||
Marine Terminal | ||||
Subordinated Series 2017B | ||||
01/01/2048 | 5.000% | 600,000 | 588,539 | |
Tobacco Settlement Financing Corp. | ||||
Refunding Revenue Bonds | ||||
Subordinated Series 2018B | ||||
06/01/2046 | 5.000% | 1,025,000 | 990,632 | |
Total | 12,857,835 | |||
New York 5.2% | ||||
Build NYC Resource Corp. | ||||
Revenue Bonds | ||||
International Leadership Charter School | ||||
Series 2013 | ||||
07/01/2043 | 6.000% | 4,330,000 | 4,330,472 |
12 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Build NYC Resource Corp.(c) | ||||
Revenue Bonds | ||||
International Leadership Charter School | ||||
Series 2016 | ||||
07/01/2046 | 6.250% | 715,000 | 716,313 | |
Glen Cove Local Economic Assistance Corp.(f) | ||||
Revenue Bonds | ||||
Garvies Point | ||||
Series 2016 CABS | ||||
01/01/2055 | 0.000% | 2,500,000 | 2,068,273 | |
Huntington Local Development Corp. | ||||
Revenue Bonds | ||||
Fountaingate Garden Project | ||||
Series 2021A | ||||
07/01/2056 | 5.250% | 1,500,000 | 1,157,425 | |
Jefferson County Industrial Development Agency(a),(c) | ||||
Revenue Bonds | ||||
ReEnergy Black River LLC P | ||||
Series 2019 | ||||
01/01/2024 | 5.250% | 1,620,000 | 745,200 | |
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Green Bonds | ||||
Series 2020C-1 | ||||
11/15/2055 | 5.250% | 4,000,000 | 4,035,119 | |
Nassau County Tobacco Settlement Corp.(b) | ||||
Asset-Backed Revenue Bonds | ||||
Capital Appreciation | ||||
Third Series 2006D | ||||
06/01/2060 | 0.000% | 25,000,000 | 1,298,072 | |
New York State Thruway Authority | ||||
Refunding Revenue Bonds | ||||
Personal Income Tax - Bidding Group | ||||
Series 2022A | ||||
03/15/2050 | 4.000% | 3,000,000 | 2,781,178 | |
New York Transportation Development Corp.(a) | ||||
Refunding Revenue Bonds | ||||
John F. Kennedy International Airport Project | ||||
Series 2020 | ||||
08/01/2036 | 5.375% | 1,250,000 | 1,263,588 | |
Revenue Bonds | ||||
Delta Air Lines, Inc. LaGuardia | ||||
Series 2020 | ||||
10/01/2040 | 5.000% | 5,500,000 | 5,480,342 | |
10/01/2045 | 4.375% | 2,500,000 | 2,275,863 | |
Westchester County Local Development Corp.(c) | ||||
Revenue Bonds | ||||
Purchase Senior Learning Community | ||||
Series 2021 | ||||
07/01/2056 | 5.000% | 3,000,000 | 2,315,410 | |
Total | 28,467,255 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
North Carolina 1.2% | ||||
Durham Housing Authority | ||||
Prerefunded 01/31/23 Revenue Bonds | ||||
Magnolia Pointe Apartments | ||||
Series 2005 | ||||
02/01/2038 | 5.650% | 2,810,147 | 2,823,311 | |
North Carolina Medical Care Commission | ||||
Refunding Revenue Bonds | ||||
Sharon Towers | ||||
Series 2019 | ||||
07/01/2049 | 5.000% | 1,000,000 | 914,917 | |
Revenue Bonds | ||||
Lutheran Services for the Aging | ||||
Series 2021 | ||||
03/01/2051 | 4.000% | 1,500,000 | 1,057,874 | |
North Carolina Turnpike Authority(b) | ||||
Revenue Bonds | ||||
Triangle Expressway System Appropriation | ||||
Series 2019 | ||||
01/01/2049 | 0.000% | 2,500,000 | 731,071 | |
North Carolina Turnpike Authority | ||||
Revenue Bonds | ||||
Triangle Expressway System Senior Lien Turnpike | ||||
Series 2019 | ||||
01/01/2055 | 4.000% | 1,400,000 | 1,166,573 | |
Total | 6,693,746 | |||
Ohio 3.7% | ||||
Buckeye Tobacco Settlement Financing Authority | ||||
Refunding Senior Revenue Bonds | ||||
Series 2020B-2 | ||||
06/01/2055 | 5.000% | 16,370,000 | 14,998,631 | |
County of Marion | ||||
Refunding Revenue Bonds | ||||
United Church Homes, Inc. | ||||
Series 2019 | ||||
12/01/2049 | 5.125% | 1,875,000 | 1,643,473 | |
Hickory Chase Community Authority(c) | ||||
Refunding Revenue Bonds | ||||
Hickory Chase Project | ||||
Series 2019 | ||||
12/01/2040 | 5.000% | 1,395,000 | 1,244,698 | |
Lake County Port & Economic Development Authority(c),(d) | ||||
Revenue Bonds | ||||
1st Mortgage - Tapestry Wickliffe LLC | ||||
Series 2017 | ||||
12/01/2052 | 0.000% | 5,600,000 | 1,400,000 | |
Ohio Air Quality Development Authority(a) | ||||
Revenue Bonds | ||||
Ohio Valley Electric Crop. | ||||
Series 2019 (Mandatory Put 10/01/29) | ||||
06/01/2041 | 2.600% | 500,000 | 445,210 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 13 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Ohio Air Quality Development Authority(a),(c) | ||||
Revenue Bonds | ||||
Pratt Paper LLC Project | ||||
Series 2017 | ||||
01/15/2048 | 4.500% | 500,000 | 440,367 | |
Total | 20,172,379 | |||
Oregon 0.8% | ||||
Clackamas County Hospital Facility Authority | ||||
Revenue Bonds | ||||
Mary’s Woods at Marylhurst, Inc. | ||||
Series 2018 | ||||
05/15/2052 | 5.000% | 1,000,000 | 823,377 | |
Hospital Facilities Authority of Multnomah County | ||||
Refunding Revenue Bonds | ||||
Mirabella at South Waterfront | ||||
Series 2014A | ||||
10/01/2049 | 5.500% | 3,115,000 | 3,037,983 | |
State of Oregon Housing & Community Services Department | ||||
Revenue Bonds | ||||
Single Family Mortgage Program | ||||
Series 2018C | ||||
07/01/2043 | 3.950% | 775,000 | 725,659 | |
Total | 4,587,019 | |||
Pennsylvania 3.4% | ||||
Allentown Neighborhood Improvement Zone Development Authority(c) | ||||
Revenue Bonds | ||||
City Center Project | ||||
Subordinated Series 2022 | ||||
05/01/2042 | 5.250% | 3,000,000 | 2,777,196 | |
Commonwealth Financing Authority | ||||
Revenue Bonds | ||||
Tobacco Master Settlement Payment | ||||
Series 2018 (AGM) | ||||
06/01/2039 | 4.000% | 1,365,000 | 1,368,176 | |
Commonwealth of Pennsylvania | ||||
Refunding Certificate of Participation | ||||
Series 2018A | ||||
07/01/2046 | 4.000% | 2,500,000 | 2,391,211 | |
Dauphin County Industrial Development Authority(a) | ||||
Revenue Bonds | ||||
Dauphin Consolidated Water Supply | ||||
Series 1992A | ||||
06/01/2024 | 6.900% | 3,200,000 | 3,379,561 | |
Franklin County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Menno-Haven, Inc. Project | ||||
Series 2018 | ||||
12/01/2053 | 5.000% | 1,900,000 | 1,519,787 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Montgomery County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Meadowood Senior Living Project | ||||
Series 2018 | ||||
12/01/2048 | 5.000% | 1,000,000 | 975,839 | |
Northampton County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Morningstar Senior Living, Inc. Project | ||||
Series 2019 | ||||
11/01/2049 | 5.000% | 1,600,000 | 1,381,853 | |
Pennsylvania Economic Development Financing Authority(c),(d) | ||||
Refunding Revenue Bonds | ||||
Tapestry Moon Senior Housing Project | ||||
Series 2018 | ||||
12/01/2053 | 0.000% | 2,750,000 | 1,045,000 | |
Philadelphia Authority for Industrial Development | ||||
Revenue Bonds | ||||
1st Philadelphia Preparatory Charter School | ||||
Series 2014 | ||||
06/15/2033 | 7.000% | 1,870,000 | 1,953,876 | |
Scranton School District | ||||
Limited General Obligation Refunding Bonds | ||||
Series 2017D (NPFGC) | ||||
06/01/2037 | 4.250% | 1,750,000 | 1,762,125 | |
Total | 18,554,624 | |||
Puerto Rico 6.5% | ||||
Commonwealth of Puerto Rico(b),(g) | ||||
Revenue Notes | ||||
Series 2022 | ||||
11/01/2051 | 0.000% | 3,001,691 | 1,339,505 | |
Subordinated Series 2022 | ||||
11/01/2043 | 0.000% | 2,384,607 | 1,084,996 | |
Unlimited General Obligation Bonds | ||||
Series 2021A | ||||
07/01/2024 | 0.000% | 168,169 | 154,467 | |
Commonwealth of Puerto Rico(g) | ||||
Unlimited General Obligation Bonds | ||||
Series 2021-A1 | ||||
07/01/2031 | 5.750% | 1,631,118 | 1,672,078 | |
07/01/2033 | 4.000% | 503,640 | 437,746 | |
07/01/2035 | 4.000% | 452,705 | 384,975 | |
07/01/2037 | 4.000% | 388,540 | 323,709 | |
07/01/2041 | 4.000% | 528,266 | 423,028 | |
07/01/2046 | 4.000% | 1,719,389 | 1,322,468 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority(g) | ||||
Refunding Revenue Bonds | ||||
Senior Lien | ||||
Series 2020A | ||||
07/01/2047 | 5.000% | 3,000,000 | 2,868,473 |
14 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Puerto Rico Electric Power Authority(d),(g) | ||||
Revenue Bonds | ||||
Series 2007TT | ||||
07/01/2037 | 0.000% | 2,000,000 | 1,475,000 | |
Series 2010XX | ||||
07/01/2040 | 0.000% | 8,500,000 | 6,290,000 | |
Puerto Rico Highway & Transportation Authority(d),(g) | ||||
Revenue Bonds | ||||
Series 2005K | ||||
07/01/2030 | 0.000% | 1,000,000 | 200,000 | |
Series 2007M | ||||
07/01/2037 | 0.000% | 3,055,000 | 611,000 | |
Unrefunded Revenue Bonds | ||||
Series 2003G | ||||
07/01/2042 | 0.000% | 1,000,000 | 200,000 | |
Puerto Rico Sales Tax Financing Corp.(b),(g) | ||||
Revenue Bonds | ||||
Series 2018A-1 | ||||
07/01/2046 | 0.000% | 44,000,000 | 11,034,104 | |
Puerto Rico Sales Tax Financing Corp.(g) | ||||
Revenue Bonds | ||||
Series 2019A1 | ||||
07/01/2058 | 5.000% | 6,000,000 | 5,677,864 | |
Total | 35,499,413 | |||
South Carolina 2.1% | ||||
South Carolina Jobs-Economic Development Authority | ||||
Prerefunded 11/01/24 Revenue Bonds | ||||
York Preparatory Academy Project | ||||
Series 2014A | ||||
11/01/2045 | 7.250% | 4,000,000 | 4,334,389 | |
Revenue Bonds | ||||
Lutheran Homes of South Carolina, Inc. Obligation Group | ||||
Series 2013 | ||||
05/01/2043 | 5.000% | 750,000 | 628,238 | |
05/01/2048 | 5.125% | 1,500,000 | 1,235,412 | |
South Carolina Public Service Authority | ||||
Revenue Bonds | ||||
Series 2022A | ||||
12/01/2052 | 4.000% | 6,000,000 | 5,139,362 | |
Total | 11,337,401 | |||
Tennessee 0.6% | ||||
Shelby County Health Educational & Housing Facilities Board | ||||
Revenue Bonds | ||||
Farms at Bailey Station Project (The) | ||||
Series 2019 | ||||
10/01/2059 | 5.750% | 3,750,000 | 3,211,019 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Texas 7.9% | ||||
Angelina & Neches River Authority(a),(c) | ||||
Revenue Bonds | ||||
Jefferson Enterprise Energy LLC Project | ||||
Series 2021 | ||||
12/01/2045 | 7.500% | 3,000,000 | 2,286,457 | |
Arlington Higher Education Finance Corp. | ||||
Refunding Revenue Bonds | ||||
Legacy Traditional Schools | ||||
Series 2021 | ||||
02/15/2056 | 4.500% | 2,330,000 | 1,667,082 | |
Revenue Bonds | ||||
Brooks Academies of Texas | ||||
Series 2021 | ||||
01/15/2051 | 5.000% | 2,625,000 | 2,137,066 | |
Brazoria County Industrial Development Corp.(a),(c),(f) | ||||
Revenue Bonds | ||||
Aleon Renewable Metals LLC Project | ||||
Series 2022 | ||||
06/01/2042 | 10.000% | 2,000,000 | 1,953,148 | |
City of Houston Airport System(a) | ||||
Refunding Revenue Bonds | ||||
United Airlines, Inc. Airport Improvement Projects | ||||
Series 2020 | ||||
07/15/2027 | 5.000% | 2,350,000 | 2,381,767 | |
Revenue Bonds | ||||
United Airlines, Inc. Terminal Improvement Projects | ||||
Series 2021 | ||||
07/15/2041 | 4.000% | 2,850,000 | 2,386,322 | |
Clifton Higher Education Finance Corp. | ||||
Revenue Bonds | ||||
International Leadership of Texas | ||||
Series 2015 | ||||
08/15/2045 | 5.750% | 3,500,000 | 3,521,371 | |
Humble Independent School District | ||||
Unlimited General Obligation Bonds | ||||
Series 2022 | ||||
02/15/2052 | 4.000% | 1,200,000 | 1,174,515 | |
New Hope Cultural Education Facilities Finance Corp.(d) | ||||
Revenue Bonds | ||||
Bridgemoor Plano Project | ||||
Series 2018 | ||||
12/01/2053 | 0.000% | 3,500,000 | 3,150,000 | |
Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project | ||||
Series 2016 | ||||
07/01/2046 | 0.000% | 1,630,000 | 896,500 | |
Series 2016A-1 | ||||
07/01/2046 | 0.000% | 950,000 | 665,000 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 15 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
New Hope Cultural Education Facilities Finance Corp.(c) | ||||
Revenue Bonds | ||||
Cumberland Academy Project | ||||
Series 2020A | ||||
08/15/2050 | 5.000% | 1,000,000 | 892,803 | |
New Hope Cultural Education Facilities Finance Corp. | ||||
Revenue Bonds | ||||
NCCD-College Station Properties LLC | ||||
Series 2015 | ||||
07/01/2035 | 5.000% | 1,000,000 | 850,000 | |
Series 2015A | ||||
07/01/2047 | 5.000% | 1,000,000 | 850,000 | |
Westminster Project | ||||
Series 2021 | ||||
11/01/2055 | 4.000% | 500,000 | 369,022 | |
Port Beaumont Navigation District(a),(c) | ||||
Refunding Revenue Bonds | ||||
Jefferson Gulf Coast Energy Project | ||||
Series 2020A | ||||
01/01/2050 | 4.000% | 2,000,000 | 1,467,725 | |
Revenue Bonds | ||||
Jefferson Gulf Coast Energy Project | ||||
Series 2021 | ||||
01/01/2050 | 3.000% | 1,750,000 | 1,051,441 | |
Pottsboro Higher Education Finance Corp. | ||||
Revenue Bonds | ||||
Series 2016A | ||||
08/15/2046 | 5.000% | 1,000,000 | 901,120 | |
Red River Health Facilities Development Corp. | ||||
Prerefunded 11/15/24 Revenue Bonds | ||||
MRC Crossings Project | ||||
Series 2014A | ||||
11/15/2049 | 8.000% | 2,000,000 | 2,192,845 | |
Sanger Industrial Development Corp.(a),(c),(d) | ||||
Revenue Bonds | ||||
Texas Pellets Project | ||||
Series 2012B | ||||
07/01/2038 | 0.000% | 4,950,000 | 1,237,500 | |
Tarrant County Cultural Education Facilities Finance Corp.(d) | ||||
Revenue Bonds | ||||
CC Young Memorial Home | ||||
Series 2009A | ||||
02/15/2038 | 0.000% | 3,000,000 | 1,950,000 | |
Texas Private Activity Bond Surface Transportation Corp.(a) | ||||
Revenue Bonds | ||||
Segment 3C Project | ||||
Series 2019 | ||||
06/30/2058 | 5.000% | 4,300,000 | 4,250,453 | |
Senior Lien - Blueridge Transportation Group LLC | ||||
Series 2016 | ||||
12/31/2040 | 5.000% | 1,250,000 | 1,267,019 | |
12/31/2055 | 5.000% | 3,515,000 | 3,524,247 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Texas Transportation Commission | ||||
Revenue Bonds | ||||
State Highway 249 System Toll | ||||
Series 2019 | ||||
08/01/2057 | 5.000% | 500,000 | 501,663 | |
Total | 43,525,066 | |||
Utah 2.5% | ||||
Black Desert Public Infrastructure District(c) | ||||
Limited General Obligation Bonds | ||||
Senior Bonds | ||||
Series 2021A | ||||
03/01/2051 | 4.000% | 3,000,000 | 2,257,457 | |
Downtown East Streetcar Sewer Public Infrastructure District(c) | ||||
Limited General Obligation Bonds | ||||
Series 2022A | ||||
03/01/2053 | 6.000% | 2,000,000 | 1,981,381 | |
Mida Golf and Equestrian Center Public Infrastructure District(c) | ||||
Limited General Obligation Bonds | ||||
Series 2021 | ||||
06/01/2057 | 4.625% | 3,000,000 | 2,213,752 | |
Red Bridge Public Infrastructure District No. 1(c) | ||||
Limited General Obligation Bonds | ||||
Series 2021-1A | ||||
02/01/2041 | 4.125% | 500,000 | 392,895 | |
02/01/2051 | 4.375% | 1,100,000 | 829,404 | |
Subordinated Series 2021B | ||||
08/15/2051 | 7.375% | 600,000 | 482,102 | |
UIPA Crossroads Public Infrastructure District(c) | ||||
Tax Allocation Bonds | ||||
Series 2021 | ||||
06/01/2052 | 4.375% | 4,000,000 | 3,262,003 | |
Utah Charter School Finance Authority(c) | ||||
Revenue Bonds | ||||
Ascent Academies Charter Schools | ||||
Series 2022 | ||||
06/15/2057 | 5.000% | 3,000,000 | 2,366,649 | |
Total | 13,785,643 | |||
Virginia 2.4% | ||||
City of Chesapeake Expressway Toll Road(f) | ||||
Refunding Revenue Bonds | ||||
Transportation System | ||||
Series 2012 | ||||
07/15/2040 | 0.000% | 7,530,000 | 7,582,639 | |
Hanover County Economic Development Authority | ||||
Refunding Revenue Bonds | ||||
Covenant Woods | ||||
Series 2018 | ||||
07/01/2051 | 5.000% | 1,200,000 | 1,101,086 |
16 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Tobacco Settlement Financing Corp. | ||||
Revenue Bonds | ||||
Senior Series 2007B-1 | ||||
06/01/2047 | 5.000% | 5,000,000 | 4,659,413 | |
Total | 13,343,138 | |||
Washington 2.8% | ||||
King County Housing Authority | ||||
Refunding Revenue Bonds | ||||
Series 2018 | ||||
05/01/2038 | 3.750% | 3,295,000 | 3,077,953 | |
King County Public Hospital District No. 4 | ||||
Revenue Bonds | ||||
Series 2015A | ||||
12/01/2035 | 6.000% | 1,250,000 | 1,278,576 | |
12/01/2045 | 6.250% | 2,500,000 | 2,562,268 | |
Tacoma Consolidated Local Improvement Districts | ||||
Special Assessment Bonds | ||||
No. 65 | ||||
Series 2013 | ||||
04/01/2043 | 5.750% | 1,220,000 | 1,147,390 | |
Washington State Convention Center Public Facilities District | ||||
Revenue Bonds | ||||
Junior Lodging Tax Green Notes | ||||
Series 2021 | ||||
07/01/2031 | 4.000% | 3,000,000 | 2,705,404 | |
Washington State Housing Finance Commission(c) | ||||
Prerefunded 07/01/25 Revenue Bonds | ||||
Heron’s Key | ||||
Series 2015A | ||||
07/01/2050 | 7.000% | 3,000,000 | 3,274,420 | |
Revenue Bonds | ||||
Transforming Age Projects | ||||
Series 2019A | ||||
01/01/2055 | 5.000% | 1,800,000 | 1,396,391 | |
Total | 15,442,402 | |||
Wisconsin 4.5% | ||||
Public Finance Authority | ||||
Refunding Revenue Bonds | ||||
Friends Homes | ||||
Series 2019 | ||||
09/01/2054 | 5.000% | 2,665,000 | 2,339,618 | |
WakeMed Hospital | ||||
Series 2019A | ||||
10/01/2049 | 4.000% | 4,310,000 | 3,795,049 | |
Public Finance Authority(c) | ||||
Refunding Revenue Bonds | ||||
Mary’s Woods at Marylhurst, Inc. | ||||
Series 2017 | ||||
05/15/2052 | 5.250% | 2,300,000 | 1,956,623 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Revenue Bonds | ||||
Wonderful Foundations Charter School Portfolio Projects | ||||
Series 2020 | ||||
01/01/2055 | 5.000% | 2,500,000 | 1,936,755 | |
Public Finance Authority(a) | ||||
Revenue Bonds | ||||
Sky Harbour Capital LLC Aviation Facilities Project | ||||
Series 2021 | ||||
07/01/2054 | 4.250% | 5,000,000 | 3,604,614 | |
Wisconsin Center District(b) | ||||
Revenue Bonds | ||||
Junior Dedicated | ||||
Series 2020D (AGM) | ||||
12/15/2060 | 0.000% | 18,000,000 | 2,765,808 | |
Wisconsin Health & Educational Facilities Authority | ||||
Refunding Revenue Bonds | ||||
Cedar Crest, Inc. Project | ||||
Series 2022 | ||||
04/01/2057 | 5.125% | 3,000,000 | 2,341,642 | |
St. Camillus Health System, Inc. | ||||
Series 2019 | ||||
11/01/2054 | 5.000% | 3,000,000 | 2,438,372 | |
Revenue Bonds | ||||
Covenant Communities, Inc. Project | ||||
Series 2018B | ||||
07/01/2053 | 5.000% | 900,000 | 652,277 | |
PHW Muskego, Inc. Project | ||||
Series 2021 | ||||
10/01/2061 | 4.000% | 4,000,000 | 2,773,866 | |
Total | 24,604,624 | |||
Total Municipal Bonds (Cost $636,040,263) | 536,540,088 |
Money Market Funds 0.7% | ||
Shares | Value ($) | |
Dreyfus Tax Exempt Cash Management Fund, Institutional Shares, 1.776%(h) | 106,038 | 106,038 |
JPMorgan Institutional Tax Free Money Market Fund, Institutional Shares, 1.656%(h) | 3,492,880 | 3,492,880 |
Total Money Market Funds (Cost $3,598,918) | 3,598,918 | |
Total Investments in Securities (Cost $639,639,181) | 540,139,006 | |
Other Assets & Liabilities, Net | 8,353,586 | |
Net Assets | $548,492,592 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 17 |
November 30, 2022 (Unaudited)
(a) | Income from this security may be subject to alternative minimum tax. |
(b) | Zero coupon bond. |
(c) | 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 November 30, 2022, the total value of these securities amounted to $129,718,957, which represents 23.65% of total net assets. |
(d) | Represents a security in default. |
(e) | Represents a security purchased on a when-issued basis. |
(f) | 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 November 30, 2022. |
(g) | 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 November 30, 2022, the total value of these securities amounted to $35,499,413, which represents 6.47% of total net assets. |
(h) | The rate shown is the seven-day current annualized yield at November 30, 2022. |
AGM | Assured Guaranty Municipal Corporation |
BAN | Bond Anticipation Note |
NPFGC | National Public Finance Guarantee Corporation |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
18 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2022:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Municipal Bonds | — | 536,540,088 | — | 536,540,088 |
Money Market Funds | 3,598,918 | — | — | 3,598,918 |
Total Investments in Securities | 3,598,918 | 536,540,088 | — | 540,139,006 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 19 |
November 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $639,639,181) | $540,139,006 |
Cash | 19,243 |
Receivable for: | |
Investments sold | 573,855 |
Capital shares sold | 4,032,164 |
Interest | 9,686,188 |
Expense reimbursement due from Investment Manager | 695 |
Prepaid expenses | 8,272 |
Trustees’ deferred compensation plan | 136,877 |
Other assets | 8,831 |
Total assets | 554,605,131 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 1,000,000 |
Capital shares purchased | 2,467,951 |
Distributions to shareholders | 2,421,795 |
Management services fees | 8,093 |
Distribution and/or service fees | 1,357 |
Transfer agent fees | 22,490 |
Compensation of board members | 16,707 |
Compensation of chief compliance officer | 58 |
Other expenses | 37,211 |
Trustees’ deferred compensation plan | 136,877 |
Total liabilities | 6,112,539 |
Net assets applicable to outstanding capital stock | $548,492,592 |
Represented by | |
Paid in capital | 660,294,805 |
Total distributable earnings (loss) | (111,802,213) |
Total - representing net assets applicable to outstanding capital stock | $548,492,592 |
20 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Class A | |
Net assets | $147,153,747 |
Shares outstanding | 16,588,146 |
Net asset value per share | $8.87 |
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) | $9.14 |
Advisor Class | |
Net assets | $7,158,233 |
Shares outstanding | 805,964 |
Net asset value per share | $8.88 |
Class C | |
Net assets | $25,200,413 |
Shares outstanding | 2,840,901 |
Net asset value per share | $8.87 |
Institutional Class | |
Net assets | $217,743,108 |
Shares outstanding | 24,544,806 |
Net asset value per share | $8.87 |
Institutional 2 Class | |
Net assets | $13,476,259 |
Shares outstanding | 1,520,201 |
Net asset value per share | $8.86 |
Institutional 3 Class | |
Net assets | $137,760,832 |
Shares outstanding | 15,489,511 |
Net asset value per share | $8.89 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 21 |
Six Months Ended November 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $19,202 |
Interest | 15,143,448 |
Total income | 15,162,650 |
Expenses: | |
Management services fees | 1,618,926 |
Distribution and/or service fees | |
Class A | 157,848 |
Class C | 111,841 |
Transfer agent fees | |
Class A | 63,859 |
Advisor Class | 2,656 |
Class C | 11,324 |
Institutional Class | 129,203 |
Institutional 2 Class | 4,365 |
Institutional 3 Class | 2,658 |
Compensation of board members | 11,604 |
Custodian fees | 6,917 |
Printing and postage fees | 13,974 |
Registration fees | 58,357 |
Audit fees | 20,165 |
Legal fees | 10,038 |
Interest on interfund lending | 2,796 |
Compensation of chief compliance officer | 58 |
Other | 9,582 |
Total expenses | 2,236,171 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (86,265) |
Expense reduction | (380) |
Total net expenses | 2,149,526 |
Net investment income | 13,013,124 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (7,509,876) |
Futures contracts | 1,147,748 |
Net realized loss | (6,362,128) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (52,232,280) |
Futures contracts | (109,862) |
Net change in unrealized appreciation (depreciation) | (52,342,142) |
Net realized and unrealized loss | (58,704,270) |
Net decrease in net assets resulting from operations | $(45,691,146) |
22 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
Six Months Ended November 30, 2022 (Unaudited) | Year Ended May 31, 2022 | |
Operations | ||
Net investment income | $13,013,124 | $26,631,909 |
Net realized gain (loss) | (6,362,128) | 2,829,869 |
Net change in unrealized appreciation (depreciation) | (52,342,142) | (95,286,627) |
Net decrease in net assets resulting from operations | (45,691,146) | (65,824,849) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (3,397,884) | (6,545,320) |
Advisor Class | (149,091) | (419,048) |
Class C | (517,328) | (1,074,895) |
Institutional Class | (6,838,193) | (18,387,335) |
Institutional 2 Class | (347,171) | (1,078,421) |
Institutional 3 Class | (2,010,851) | (116,993) |
Total distributions to shareholders | (13,260,518) | (27,622,012) |
Decrease in net assets from capital stock activity | (55,397,907) | (5,620,316) |
Total decrease in net assets | (114,349,571) | (99,067,177) |
Net assets at beginning of period | 662,842,163 | 761,909,340 |
Net assets at end of period | $548,492,592 | $662,842,163 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 23 |
Six Months Ended | Year Ended | |||
November 30, 2022 (Unaudited) | May 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 3,258,365 | 29,757,296 | 6,216,597 | 65,029,652 |
Distributions reinvested | 331,052 | 2,980,285 | 530,683 | 5,630,466 |
Redemptions | (4,549,834) | (40,947,968) | (5,688,814) | (58,747,218) |
Net increase (decrease) | (960,417) | (8,210,387) | 1,058,466 | 11,912,900 |
Advisor Class | ||||
Subscriptions | 306,831 | 2,763,370 | 898,273 | 9,787,737 |
Distributions reinvested | 16,556 | 149,091 | 38,944 | 419,016 |
Redemptions | (166,391) | (1,466,036) | (1,413,842) | (15,196,417) |
Net increase (decrease) | 156,996 | 1,446,425 | (476,625) | (4,989,664) |
Class C | ||||
Subscriptions | 261,427 | 2,397,032 | 579,322 | 6,155,222 |
Distributions reinvested | 54,380 | 489,951 | 97,650 | 1,036,790 |
Redemptions | (696,415) | (6,298,031) | (961,237) | (10,125,881) |
Net decrease | (380,608) | (3,411,048) | (284,265) | (2,933,869) |
Institutional Class | ||||
Subscriptions | 7,339,989 | 67,871,083 | 11,383,196 | 119,964,905 |
Distributions reinvested | 504,716 | 4,549,457 | 880,460 | 9,357,049 |
Redemptions | (28,069,906) | (262,190,670) | (12,574,266) | (131,029,954) |
Net decrease | (20,225,201) | (189,770,130) | (310,610) | (1,708,000) |
Institutional 2 Class | ||||
Subscriptions | 626,122 | 5,767,471 | 2,156,284 | 23,347,547 |
Distributions reinvested | 38,600 | 347,025 | 100,582 | 1,077,861 |
Redemptions | (749,636) | (6,716,897) | (3,171,988) | (33,446,833) |
Net decrease | (84,914) | (602,401) | (915,122) | (9,021,425) |
Institutional 3 Class | ||||
Subscriptions | 18,007,669 | 171,020,732 | 215,594 | 2,197,273 |
Distributions reinvested | 8,806 | 79,437 | 10,868 | 115,100 |
Redemptions | (2,893,392) | (25,950,535) | (116,383) | (1,192,631) |
Net increase | 15,123,083 | 145,149,634 | 110,079 | 1,119,742 |
Total net decrease | (6,371,061) | (55,397,907) | (818,077) | (5,620,316) |
24 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
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 | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.72 | 0.19 | (0.84) | (0.65) | (0.20) | (0.20) |
Year Ended 5/31/2022 | $11.04 | 0.37 | (1.31) | (0.94) | (0.38) | (0.38) |
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) |
Advisor Class | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.74 | 0.20 | (0.85) | (0.65) | (0.21) | (0.21) |
Year Ended 5/31/2022 | $11.05 | 0.38 | (1.29) | (0.91) | (0.40) | (0.40) |
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) |
Class C | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.72 | 0.17 | (0.85) | (0.68) | (0.17) | (0.17) |
Year Ended 5/31/2022 | $11.04 | 0.30 | (1.30) | (1.00) | (0.32) | (0.32) |
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) |
Institutional Class | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.73 | 0.20 | (0.85) | (0.65) | (0.21) | (0.21) |
Year Ended 5/31/2022 | $11.05 | 0.39 | (1.31) | (0.92) | (0.40) | (0.40) |
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) |
Institutional 2 Class | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.72 | 0.20 | (0.85) | (0.65) | (0.21) | (0.21) |
Year Ended 5/31/2022 | $11.04 | 0.39 | (1.30) | (0.91) | (0.41) | (0.41) |
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) |
26 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
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 | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $8.87 | (6.73%) | 0.86%(c),(d) | 0.84%(c),(d),(e) | 4.22%(c) | 6% | $147,154 |
Year Ended 5/31/2022 | $9.72 | (8.75%) | 0.86%(d) | 0.85%(d),(e) | 3.39% | 30% | $170,634 |
Year Ended 5/31/2021 | $11.04 | 14.64% | 0.87%(f) | 0.85%(e),(f) | 3.41% | 22% | $182,125 |
Year Ended 5/31/2020 | $9.96 | (3.41%) | 0.88%(d),(f) | 0.87%(d),(e),(f) | 3.98% | 46% | $164,388 |
Year Ended 5/31/2019 | $10.74 | 6.42% | 0.88% | 0.85%(e) | 4.16% | 35% | $172,655 |
Year Ended 5/31/2018 | $10.56 | 3.68% | 0.88% | 0.85%(e) | 4.04% | 16% | $132,807 |
Advisor Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $8.88 | (6.72%) | 0.67%(c),(d) | 0.64%(c),(d),(e) | 4.43%(c) | 6% | $7,158 |
Year Ended 5/31/2022 | $9.74 | (8.47%) | 0.66%(d) | 0.65%(d),(e) | 3.46% | 30% | $6,318 |
Year Ended 5/31/2021 | $11.05 | 14.86% | 0.68%(f) | 0.65%(e),(f) | 3.61% | 22% | $12,442 |
Year Ended 5/31/2020 | $9.97 | (3.30%) | 0.68%(d),(f) | 0.67%(d),(e),(f) | 4.17% | 46% | $5,549 |
Year Ended 5/31/2019 | $10.76 | 6.73% | 0.68% | 0.65%(e) | 4.35% | 35% | $5,318 |
Year Ended 5/31/2018 | $10.57 | 3.89% | 0.68% | 0.65%(e) | 4.24% | 16% | $4,752 |
Class C | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $8.87 | (7.01%) | 1.46%(c),(d) | 1.44%(c),(d),(e) | 3.61%(c) | 6% | $25,200 |
Year Ended 5/31/2022 | $9.72 | (9.30%) | 1.52%(d) | 1.45%(d),(e) | 2.77% | 30% | $31,324 |
Year Ended 5/31/2021 | $11.04 | 13.94% | 1.62%(f) | 1.47%(e),(f),(g) | 2.80% | 22% | $38,720 |
Year Ended 5/31/2020 | $9.96 | (4.04%) | 1.63%(d),(f) | 1.52%(d),(e),(f),(g) | 3.34% | 46% | $42,578 |
Year Ended 5/31/2019 | $10.74 | 5.73% | 1.63% | 1.50%(e),(g) | 3.50% | 35% | $51,214 |
Year Ended 5/31/2018 | $10.56 | 3.01% | 1.63% | 1.50%(e),(g) | 3.39% | 16% | $49,519 |
Institutional Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $8.87 | (6.73%) | 0.66%(c),(d) | 0.64%(c),(d),(e) | 4.35%(c) | 6% | $217,743 |
Year Ended 5/31/2022 | $9.73 | (8.56%) | 0.66%(d) | 0.65%(d),(e) | 3.58% | 30% | $435,400 |
Year Ended 5/31/2021 | $11.05 | 14.97% | 0.67%(f) | 0.66%(e),(f) | 3.61% | 22% | $497,969 |
Year Ended 5/31/2020 | $9.96 | (3.31%) | 0.68%(d),(f) | 0.67%(d),(e),(f) | 4.19% | 46% | $481,793 |
Year Ended 5/31/2019 | $10.75 | 6.73% | 0.68% | 0.65%(e) | 4.35% | 35% | $548,850 |
Year Ended 5/31/2018 | $10.56 | 3.88% | 0.68% | 0.65%(e) | 4.24% | 16% | $562,972 |
Institutional 2 Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $8.86 | (6.73%) | 0.64%(c),(d) | 0.61%(c),(d) | 4.44%(c) | 6% | $13,476 |
Year Ended 5/31/2022 | $9.72 | (8.54%) | 0.63%(d) | 0.61%(d) | 3.54% | 30% | $15,596 |
Year Ended 5/31/2021 | $11.04 | 15.03% | 0.64%(f) | 0.62%(f) | 3.64% | 22% | $27,815 |
Year Ended 5/31/2020 | $9.95 | (3.28%) | 0.64%(d),(f) | 0.63%(d),(f) | 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 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 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 | |
Institutional 3 Class | ||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.75 | 0.21 | (0.86) | (0.65) | (0.21) | (0.21) |
Year Ended 5/31/2022 | $11.07 | 0.40 | (1.31) | (0.91) | (0.41) | (0.41) |
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) |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(f) | 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. |
(g) | Ratios include the impact of voluntary waivers paid by the Investment Manager. For the periods indicated below, if the Investment Manager had not paid these voluntary waivers, the Fund’s net expense ratio would increase by: |
5/31/2021 | 5/31/2020 | 5/31/2019 | 5/31/2018 | |
Class C | 0.03% | 0.10% | 0.10% | 0.10% |
28 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
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 | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $8.89 | (6.68%) | 0.60%(c),(d) | 0.56%(c),(d) | 4.70%(c) | 6% | $137,761 |
Year Ended 5/31/2022 | $9.75 | (8.46%) | 0.58%(d) | 0.57%(d) | 3.69% | 30% | $3,572 |
Year Ended 5/31/2021 | $11.07 | 15.05% | 0.59%(f) | 0.57%(f) | 3.69% | 22% | $2,838 |
Year Ended 5/31/2020 | $9.98 | (3.21%) | 0.59%(d),(f) | 0.58%(d),(f) | 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% | $1,533 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 29 |
November 30, 2022 (Unaudited)
30 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 31 |
November 30, 2022 (Unaudited)
32 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 1,147,748 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (109,862) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — short | 14,140,484 |
* | Based on the ending daily outstanding amounts for the six months ended November 30, 2022. |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 33 |
November 30, 2022 (Unaudited)
34 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Effective rate (%) | |
Class A | 0.08 |
Advisor Class | 0.08 |
Class C | 0.08 |
Institutional Class | 0.08 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 35 |
November 30, 2022 (Unaudited)
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 3.00 | 0.75(a) | 42,603 |
Class C | — | 1.00(b) | 1,200 |
(a) | This charge is imposed on certain investments of $500,000 or more if redeemed within 12 months after purchase. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
October 1, 2022 through September 30, 2023 | Prior to October 1, 2022 | |
Class A | 0.83% | 0.85% |
Advisor Class | 0.63 | 0.65 |
Class C | 1.43 | 1.45 |
Institutional Class | 0.63 | 0.65 |
Institutional 2 Class | 0.60 | 0.62 |
Institutional 3 Class | 0.55 | 0.57 |
36 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
639,639,000 | 8,608,000 | (108,108,000) | (99,500,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(2,409,939) | (4,983,517) | (7,393,456) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 1,521,053 | 3.43 | 19 |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 37 |
November 30, 2022 (Unaudited)
38 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 39 |
November 30, 2022 (Unaudited)
40 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 41 |
(Unaudited)
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
42 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
(Unaudited)
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates from their relationships with the Fund
Columbia High Yield Municipal Fund | Semiannual Report 2022 | 43 |
(Unaudited)
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
44 | Columbia High Yield Municipal Fund | Semiannual Report 2022 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
November 30, 2022 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended November 30, 2022) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 06/19/12 | -4.33 | -10.75 | 3.81 | 3.66 |
Including sales charges | -9.82 | -15.86 | 2.58 | 3.05 | ||
Advisor Class* | 10/01/14 | -4.22 | -10.54 | 4.06 | 3.87 | |
Class C | Excluding sales charges | 06/19/12 | -4.58 | -11.37 | 3.03 | 2.88 |
Including sales charges | -5.53 | -12.11 | 3.03 | 2.88 | ||
Institutional Class | 06/19/12 | -4.23 | -10.55 | 4.06 | 3.91 | |
Institutional 2 Class | 06/19/12 | -4.21 | -10.52 | 4.05 | 3.95 | |
Institutional 3 Class* | 10/01/14 | -4.21 | -10.55 | 4.10 | 3.93 | |
Class R | 06/19/12 | -4.39 | -10.96 | 3.55 | 3.41 | |
Modified Blended Benchmark | -3.91 | -13.54 | 3.38 | 5.09 | ||
New Blended Benchmark | -1.32 | -9.08 | 5.21 | 6.97 | ||
FTSE Three-Month U.S. Treasury Bill Index | 1.05 | 1.16 | 1.20 | 0.71 |
* | 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 | Semiannual Report 2022 | 3 |
(Unaudited)
Portfolio breakdown (%) (at November 30, 2022) | |
Alternative Strategies Funds | 2.0 |
Common Stocks | 1.9 |
Foreign Government Obligations | 18.4 |
Inflation-Indexed Bonds | 11.7 |
Money Market Funds(a) | 39.6 |
Multi-Asset/Tactical Strategies Funds | 0.2 |
Residential Mortgage-Backed Securities - Agency | 7.6 |
U.S. Treasury Obligations | 18.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its principal investment strategies. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
Market exposure by asset class categories (%)(a) (at November 30, 2022) | |
Equity Assets | 12.4 |
Inflation-Hedging Assets | 14.4 |
Spread Assets | 16.1 |
Interest Rate Assets | 61.1 |
4 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
(Unaudited)
June 1, 2022 — November 30, 2022 | |||||||
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 | 956.70 | 1,019.90 | 5.05 | 5.22 | 1.03 |
Advisor Class | 1,000.00 | 1,000.00 | 957.80 | 1,021.16 | 3.83 | 3.95 | 0.78 |
Class C | 1,000.00 | 1,000.00 | 954.20 | 1,016.14 | 8.72 | 9.00 | 1.78 |
Institutional Class | 1,000.00 | 1,000.00 | 957.70 | 1,021.16 | 3.83 | 3.95 | 0.78 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 957.90 | 1,021.16 | 3.83 | 3.95 | 0.78 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 957.90 | 1,021.31 | 3.68 | 3.80 | 0.75 |
Class R | 1,000.00 | 1,000.00 | 956.10 | 1,018.65 | 6.28 | 6.48 | 1.28 |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 5 |
November 30, 2022 (Unaudited)
Alternative Strategies Funds 2.1% | ||
Shares | Value ($) | |
Columbia Commodity Strategy Fund, Institutional 3 Class(a) | 3,850,084 | 80,312,767 |
Total Alternative Strategies Funds (Cost $72,792,806) | 80,312,767 | |
Common Stocks 2.0% | ||
Issuer | Shares | Value ($) |
Consumer Discretionary 0.0% | ||
Hotels, Restaurants & Leisure 0.0% | ||
Marriott International, Inc., Class A | 8,331 | 1,377,531 |
Total Consumer Discretionary | 1,377,531 | |
Real Estate 2.0% | ||
Equity Real Estate Investment Trusts (REITS) 2.0% | ||
Alexandria Real Estate Equities, Inc. | 23,168 | 3,605,172 |
American Homes 4 Rent, Class A | 73,075 | 2,416,590 |
American Tower Corp. | 11,616 | 2,570,040 |
AvalonBay Communities, Inc. | 20,265 | 3,544,348 |
Brixmor Property Group, Inc. | 116,132 | 2,691,940 |
Camden Property Trust | 14,386 | 1,731,067 |
Centerspace | 22,177 | 1,430,417 |
Equinix, Inc. | 6,415 | 4,430,520 |
Equity LifeStyle Properties, Inc. | 55,737 | 3,702,052 |
Extra Space Storage, Inc. | 17,273 | 2,775,598 |
Federal Realty Investment Trust | 22,866 | 2,540,413 |
First Industrial Realty Trust, Inc. | 48,992 | 2,476,546 |
Gaming and Leisure Properties, Inc. | 53,499 | 2,814,582 |
Healthpeak Properties, Inc. | 44,938 | 1,180,072 |
Host Hotels & Resorts, Inc. | 143,308 | 2,714,254 |
Invitation Homes, Inc. | 102,975 | 3,360,074 |
Lamar Advertising Co., Class A | 14,964 | 1,498,495 |
Life Storage, Inc. | 33,007 | 3,547,922 |
Prologis, Inc. | 96,013 | 11,309,371 |
Realty Income Corp. | 43,224 | 2,726,138 |
SBA Communications Corp. | 2,977 | 891,016 |
Simon Property Group, Inc. | 31,199 | 3,726,409 |
SITE Centers Corp. | 64,221 | 872,763 |
Sun Communities, Inc. | 16,358 | 2,402,990 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tanger Factory Outlet Centers, Inc. | 88,522 | 1,721,753 |
Welltower, Inc. | 59,925 | 4,256,473 |
Total | 76,937,015 | |
Total Real Estate | 76,937,015 | |
Total Common Stocks (Cost $85,315,365) | 78,314,546 |
Foreign Government Obligations(b),(c) 19.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Austria 2.3% | ||||
Republic of Austria Government Bond(d) | ||||
10/20/2026 | 0.750% | EUR | 50,021,000 | 49,443,702 |
05/23/2034 | 2.400% | EUR | 13,773,000 | 14,123,983 |
Republic of Austria Government Bond(d),(e) | ||||
02/20/2030 | 0.000% | EUR | 26,752,000 | 23,441,076 |
Total | 87,008,761 | |||
Belgium 1.7% | ||||
Kingdom of Belgium Government Bond(d) | ||||
06/22/2031 | 1.000% | EUR | 27,296,000 | 25,497,200 |
04/22/2033 | 1.250% | EUR | 16,075,000 | 14,902,939 |
03/28/2035 | 5.000% | EUR | 20,098,000 | 26,016,031 |
Total | 66,416,170 | |||
China 1.1% | ||||
China Development Bank | ||||
07/18/2032 | 2.960% | CNY | 110,000,000 | 15,289,633 |
China Government Bond | ||||
11/21/2029 | 3.130% | CNY | 38,350,000 | 5,481,360 |
05/21/2030 | 2.680% | CNY | 52,200,000 | 7,198,804 |
05/15/2032 | 2.760% | CNY | 110,000,000 | 15,188,959 |
Total | 43,158,756 | |||
France 2.0% | ||||
French Republic Government Bond OAT(d),(e) | ||||
11/25/2030 | 0.000% | EUR | 41,936,000 | 36,501,424 |
11/25/2031 | 0.000% | EUR | 9,799,000 | 8,310,650 |
French Republic Government Bond OAT(d) | ||||
05/25/2036 | 1.250% | EUR | 25,317,000 | 22,289,419 |
05/25/2045 | 3.250% | EUR | 9,583,464 | 10,974,641 |
Total | 78,076,134 |
6 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Italy 1.9% | ||||
Italy Buoni Poliennali Del Tesoro(d) | ||||
05/01/2031 | 6.000% | EUR | 39,808,000 | 48,715,802 |
02/01/2037 | 4.000% | EUR | 24,378,000 | 25,669,371 |
Total | 74,385,173 | |||
Japan 4.7% | ||||
Japan Government 10-Year Bond | ||||
06/20/2031 | 0.100% | JPY | 4,438,000,000 | 31,621,617 |
Japan Government 20-Year Bond | ||||
06/20/2041 | 0.400% | JPY | 3,894,000,000 | 25,003,556 |
09/20/2041 | 0.500% | JPY | 2,072,200,000 | 13,517,722 |
03/20/2042 | 0.800% | JPY | 3,417,450,000 | 23,453,704 |
Japan Government 30-Year Bond | ||||
06/20/2050 | 0.600% | JPY | 2,118,000,000 | 12,378,070 |
06/20/2051 | 0.700% | JPY | 2,267,000,000 | 13,446,801 |
09/20/2051 | 0.700% | JPY | 1,454,400,000 | 8,610,623 |
12/20/2051 | 0.700% | JPY | 1,796,000,000 | 10,599,523 |
03/20/2052 | 1.000% | JPY | 2,450,650,000 | 15,684,623 |
Japan Government Twenty-Year Bond | ||||
06/20/2042 | 0.900% | JPY | 3,847,000,000 | 26,863,796 |
Total | 181,180,035 | |||
Netherlands 2.2% | ||||
Netherlands Government Bond(d) | ||||
07/15/2026 | 0.500% | EUR | 46,228,000 | 45,541,352 |
07/15/2032 | 0.500% | EUR | 17,575,000 | 15,608,159 |
Netherlands Government Bond(d),(e) | ||||
07/15/2031 | 0.000% | EUR | 27,200,000 | 23,627,640 |
Total | 84,777,151 | |||
Spain 2.9% | ||||
Spain Government Bond(e) | ||||
01/31/2028 | 0.000% | EUR | 27,072,000 | 24,710,429 |
Spain Government Bond(d) | ||||
04/30/2030 | 0.500% | EUR | 35,595,000 | 31,696,746 |
10/31/2030 | 1.250% | EUR | 9,979,000 | 9,309,979 |
07/30/2035 | 1.850% | EUR | 18,340,000 | 16,681,049 |
07/30/2041 | 4.700% | EUR | 7,234,000 | 9,149,704 |
Spain Government Bond | ||||
07/30/2032 | 5.750% | EUR | 16,377,000 | 21,321,591 |
Total | 112,869,498 |
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Kingdom 0.4% | ||||
United Kingdom Gilt(d) | ||||
10/22/2028 | 1.625% | GBP | 10,885,000 | 12,018,112 |
01/22/2045 | 3.500% | GBP | 3,257,133 | 3,901,508 |
Total | 15,919,620 | |||
Total Foreign Government Obligations (Cost $951,763,435) | 743,791,298 | |||
Inflation-Indexed Bonds(b) 12.3% | ||||
Australia 0.4% | ||||
Australia Government Bond(d) | ||||
11/21/2027 | 0.750% | AUD | 4,541,914 | 3,090,202 |
08/21/2035 | 2.000% | AUD | 3,658,030 | 2,676,993 |
08/21/2040 | 1.250% | AUD | 2,243,192 | 1,477,093 |
Australia Government Index-Linked Bond(d) | ||||
09/20/2025 | 3.000% | AUD | 10,770,177 | 7,930,088 |
Total | 15,174,376 | |||
Canada 0.1% | ||||
Canadian Government Real Return Bond | ||||
12/01/2031 | 4.000% | CAD | 2,122,170 | 1,969,801 |
12/01/2036 | 3.000% | CAD | 1,441,136 | 1,313,616 |
12/01/2041 | 2.000% | CAD | 1,158,786 | 976,237 |
Total | 4,259,654 | |||
France 1.7% | ||||
France Government Bond OAT(d) | ||||
07/25/2030 | 0.700% | EUR | 23,282,486 | 26,017,880 |
07/25/2032 | 3.150% | EUR | 14,254,451 | 19,594,475 |
French Republic Government Bond OAT(d) | ||||
07/25/2024 | 0.250% | EUR | 8,704,320 | 9,339,576 |
07/25/2040 | 1.800% | EUR | 8,345,758 | 11,105,471 |
Total | 66,057,402 | |||
Germany 0.4% | ||||
Bundesrepublik Deutschland Bundesobligation Inflation-Linked Bond(d) | ||||
04/15/2030 | 0.500% | EUR | 14,115,953 | 15,722,308 |
Italy 1.6% | ||||
Italy Buoni Poliennali Del Tesoro(d) | ||||
09/15/2026 | 3.100% | EUR | 18,796,181 | 21,481,992 |
05/15/2028 | 1.300% | EUR | 15,073,255 | 15,856,688 |
09/15/2035 | 2.350% | EUR | 10,721,726 | 12,139,996 |
09/15/2041 | 2.550% | EUR | 8,125,145 | 9,717,963 |
Total | 59,196,639 | |||
Japan 0.3% | ||||
Japanese Government CPI-Linked Bond | ||||
03/10/2029 | 0.100% | JPY | 1,681,249,470 | 12,832,778 |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 7 |
November 30, 2022 (Unaudited)
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Spain 0.5% | ||||
Spain Government Inflation-Linked Bond(d) | ||||
11/30/2030 | 1.000% | EUR | 6,866,650 | 7,508,819 |
11/30/2033 | 0.700% | EUR | 11,037,674 | 11,593,031 |
Total | 19,101,850 | |||
United Kingdom 3.0% | ||||
United Kingdom Gilt Inflation-Linked Bond(d) | ||||
03/22/2029 | 0.125% | GBP | 14,443,051 | 18,191,210 |
03/22/2034 | 0.750% | GBP | 14,135,779 | 19,222,801 |
11/22/2037 | 1.125% | GBP | 11,573,928 | 16,692,107 |
03/22/2044 | 0.125% | GBP | 10,320,924 | 12,542,203 |
11/22/2047 | 0.750% | GBP | 8,699,756 | 12,029,507 |
03/22/2052 | 0.250% | GBP | 12,195,106 | 15,376,126 |
11/22/2056 | 0.125% | GBP | 8,266,052 | 10,213,332 |
11/22/2065 | 0.125% | GBP | 4,217,738 | 5,401,724 |
03/22/2068 | 0.125% | GBP | 3,599,893 | 4,679,107 |
Total | 114,348,117 | |||
United States 4.3% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
07/15/2027 | 0.375% | 26,232,627 | 25,065,236 | |
01/15/2028 | 0.500% | 24,555,335 | 23,424,035 | |
07/15/2028 | 0.750% | 14,055,427 | 13,584,583 | |
01/15/2029 | 0.875% | 24,824,751 | 23,991,092 | |
07/15/2029 | 0.250% | 22,177,578 | 20,605,589 | |
07/15/2030 | 0.125% | 18,434,259 | 16,807,267 | |
04/15/2032 | 3.375% | 13,357,214 | 15,642,774 | |
02/15/2042 | 0.750% | 8,700,889 | 7,458,711 | |
02/15/2043 | 0.625% | 8,880,583 | 7,330,506 | |
02/15/2045 | 0.750% | 7,982,303 | 6,659,097 | |
02/15/2048 | 1.000% | 7,582,806 | 6,610,411 | |
Total | 167,179,301 | |||
Total Inflation-Indexed Bonds (Cost $583,151,058) | 473,872,425 |
Multi-Asset/Tactical Strategies Funds 0.2% | ||
Shares | Value ($) | |
Columbia Solutions Aggressive Portfolio(a) | 129,439 | 1,109,290 |
Columbia Solutions Conservative Portfolio(a) | 670,954 | 6,159,358 |
Total Multi-Asset/Tactical Strategies Funds (Cost $8,574,734) | 7,268,648 |
Residential Mortgage-Backed Securities - Agency 8.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association TBA(f) | ||||
12/20/2052 | 3.000% | 36,350,000 | 32,826,771 | |
12/20/2052 | 3.500% | 43,550,000 | 40,426,648 | |
12/20/2052 | 4.000% | 26,220,000 | 25,026,785 | |
Uniform Mortgage-Backed Security TBA(f) | ||||
12/15/2037 | 2.500% | 17,248,328 | 15,935,764 | |
12/15/2037- 12/13/2052 | 3.000% | 80,100,000 | 71,894,279 | |
12/13/2052 | 3.500% | 45,200,000 | 41,372,125 | |
12/13/2052 | 4.000% | 41,440,000 | 39,185,081 | |
12/13/2052 | 4.500% | 43,000,000 | 41,851,094 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $299,378,652) | 308,518,547 | |||
U.S. Treasury Obligations 19.6% | ||||
U.S. Treasury | ||||
10/31/2026 | 1.125% | 43,400,000 | 38,978,625 | |
06/30/2028 | 1.250% | 33,248,000 | 28,982,905 | |
09/30/2028 | 1.250% | 198,285,000 | 171,934,783 | |
10/31/2028 | 1.375% | 74,000,000 | 64,524,532 | |
11/30/2028 | 1.500% | 140,310,000 | 123,067,217 | |
04/30/2029 | 2.875% | 97,447,000 | 92,384,324 | |
05/15/2029 | 2.375% | 28,507,000 | 26,237,576 | |
08/15/2029 | 1.625% | 28,483,500 | 25,020,975 | |
08/15/2030 | 0.625% | 26,810,000 | 21,422,866 | |
02/15/2031 | 1.125% | 24,922,000 | 20,654,107 | |
08/15/2031 | 1.250% | 146,295,000 | 120,510,506 | |
11/15/2031 | 1.375% | 26,522,000 | 21,951,099 | |
Total U.S. Treasury Obligations (Cost $865,246,109) | 755,669,515 |
Money Market Funds 41.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 3.989%(a),(g) | 1,603,547,930 | 1,602,906,510 |
Total Money Market Funds (Cost $1,602,857,761) | 1,602,906,510 | |
Total Investments in Securities (Cost: $4,469,079,920) | 4,050,654,256 | |
Other Assets & Liabilities, Net | (189,818,462) | |
Net Assets | 3,860,835,794 |
8 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
19,052,000 CHF | 20,245,230 USD | Citi | 12/22/2022 | 51,172 | — |
68,622,000 CNY | 9,718,041 USD | Citi | 12/22/2022 | — | (3,873) |
654,413,296 EUR | 681,371,075 USD | Citi | 12/22/2022 | — | (898,414) |
23,526,000 HKD | 3,007,478 USD | Citi | 12/22/2022 | — | (3,625) |
4,447,000 SEK | 424,724 USD | Citi | 12/22/2022 | 560 | — |
2,063,628 USD | 1,942,000 CHF | Citi | 12/22/2022 | — | (5,216) |
6,164,945 USD | 5,921,000 EUR | Citi | 12/22/2022 | 8,092 | — |
128,039 USD | 2,489,000 MXN | Citi | 12/22/2022 | 497 | — |
52,529 USD | 550,000 SEK | Citi | 12/22/2022 | — | (69) |
10,396,000 NOK | 1,039,828 USD | Goldman Sachs International | 12/22/2022 | — | (16,687) |
4,589,000 EUR | 4,778,964 USD | HSBC | 12/22/2022 | — | (5,374) |
27,418,851,000 JPY | 197,414,859 USD | HSBC | 12/22/2022 | — | (1,729,737) |
204,000 NZD | 125,429 USD | HSBC | 12/22/2022 | — | (3,163) |
233,000 SGD | 170,032 USD | HSBC | 12/22/2022 | — | (1,211) |
4,308,315 USD | 598,379,720 JPY | HSBC | 12/22/2022 | 37,749 | — |
13,870,000 ZAR | 801,711 USD | HSBC | 12/22/2022 | 508 | — |
250,029,000 CNY | 35,377,290 USD | Standard Chartered | 12/22/2022 | — | (45,174) |
24,387,000 AUD | 16,445,349 USD | UBS | 12/22/2022 | — | (123,260) |
7,512,000 CAD | 5,635,743 USD | UBS | 12/22/2022 | 49,020 | — |
107,864,265 GBP | 128,582,294 USD | UBS | 12/22/2022 | — | (1,530,414) |
1,538,864 USD | 2,282,000 AUD | UBS | 12/22/2022 | 11,534 | — |
20,457,802 USD | 27,272,000 CAD | UBS | 12/22/2022 | — | (175,440) |
534,353 USD | 3,816,000 DKK | UBS | 12/22/2022 | 607 | — |
4,117,576 USD | 3,464,000 GBP | UBS | 12/22/2022 | 60,920 | — |
Total | 220,659 | (4,541,657) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian 10-Year Bond | 278 | 12/2022 | AUD | 33,543,360 | 261,510 | — |
Euro-Bobl | 90 | 12/2022 | EUR | 10,802,700 | — | (245,510) |
Euro-BTP | 562 | 12/2022 | EUR | 67,046,600 | 916,276 | — |
Euro-Bund | 257 | 12/2022 | EUR | 36,206,160 | — | (1,131,750) |
Euro-Buxl 30-Year | 43 | 12/2022 | EUR | 6,806,900 | 541,422 | — |
Euro-OAT | 525 | 12/2022 | EUR | 71,688,750 | — | (1,018,047) |
Japanese 10-Year Government Bond | 68 | 12/2022 | JPY | 10,112,960,000 | — | (24,517) |
Long Gilt | 700 | 03/2023 | GBP | 73,493,000 | 188,762 | — |
MSCI Emerging Markets Index | 2,088 | 12/2022 | USD | 102,573,000 | 7,660,869 | — |
Russell 2000 Index E-mini | 618 | 12/2022 | USD | 58,323,750 | 345,626 | — |
S&P 500 Index E-mini | 1,196 | 12/2022 | USD | 244,058,750 | 805,867 | — |
S&P/TSX 60 Index | 70 | 12/2022 | CAD | 17,364,200 | 492,377 | — |
U.S. Treasury 10-Year Note | 901 | 03/2023 | USD | 102,263,500 | 804,876 | — |
U.S. Treasury Ultra 10-Year Note | 3,418 | 03/2023 | USD | 408,985,063 | 4,077,886 | — |
Total | 16,095,471 | (2,419,824) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Government 10-Year Bond | (401) | 03/2023 | CAD | (50,421,740) | — | (244,699) |
MSCI EAFE Index | (239) | 12/2022 | USD | (23,658,610) | — | (2,644,355) |
Total | — | (2,889,054) |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 9 |
November 30, 2022 (Unaudited)
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX Emerging Markets Index, Series 38 | Morgan Stanley | 12/20/2027 | 1.000 | Quarterly | 2.283 | USD | 83,672,000 | 2,266,695 | — | — | 2,266,695 | — |
Markit CDX North America High Yield Index, Series 39 | Morgan Stanley | 12/20/2027 | 5.000 | Quarterly | 4.548 | USD | 152,156,000 | 10,921,503 | — | — | 10,921,503 | — |
Markit CDX North America Investment Grade Index, Series 39 | Morgan Stanley | 12/20/2027 | 1.000 | Quarterly | 0.764 | USD | 75,618,000 | 847,269 | — | — | 847,269 | — |
Total | 14,035,467 | — | — | 14,035,467 | — |
* | 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. |
10 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
(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 period ended November 30, 2022 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 | |||||||||
164,977,710 | 19,688,513 | (78,592,816) | (25,760,640) | 80,312,767 | — | 6,446,544 | — | 3,850,084 | |
Columbia Short-Term Cash Fund, 3.989% | |||||||||
1,466,080,213 | 1,577,161,235 | (1,440,527,127) | 192,189 | 1,602,906,510 | — | (173,580) | 18,711,331 | 1,603,547,930 | |
Columbia Solutions Aggressive Portfolio | |||||||||
1,162,360 | — | — | (53,070) | 1,109,290 | — | — | — | 129,439 | |
Columbia Solutions Conservative Portfolio | |||||||||
6,313,677 | — | — | (154,319) | 6,159,358 | — | — | — | 670,954 | |
Total | 1,638,533,960 | (25,775,840) | 1,690,487,925 | — | 6,272,964 | 18,711,331 |
(b) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(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 November 30, 2022, the total value of these securities amounted to $763,021,179, which represents 19.76% of total net assets. |
(e) | Zero coupon bond. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | The rate shown is the seven-day current annualized yield at November 30, 2022. |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
CHF | Swiss Franc |
CNY | China Yuan Renminbi |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
ZAR | South African Rand |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 11 |
November 30, 2022 (Unaudited)
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | 80,312,767 | — | — | — | 80,312,767 |
Common Stocks | |||||
Consumer Discretionary | 1,377,531 | — | — | — | 1,377,531 |
Real Estate | 76,937,015 | — | — | — | 76,937,015 |
Total Common Stocks | 78,314,546 | — | — | — | 78,314,546 |
Foreign Government Obligations | — | 743,791,298 | — | — | 743,791,298 |
Inflation-Indexed Bonds | — | 473,872,425 | — | — | 473,872,425 |
Multi-Asset/Tactical Strategies Funds | — | — | — | 7,268,648 | 7,268,648 |
Residential Mortgage-Backed Securities - Agency | — | 308,518,547 | — | — | 308,518,547 |
U.S. Treasury Obligations | — | 755,669,515 | — | — | 755,669,515 |
Money Market Funds | 1,602,906,510 | — | — | — | 1,602,906,510 |
Total Investments in Securities | 1,761,533,823 | 2,281,851,785 | — | 7,268,648 | 4,050,654,256 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 220,659 | — | — | 220,659 |
Futures Contracts | 16,095,471 | — | — | — | 16,095,471 |
Swap Contracts | — | 14,035,467 | — | — | 14,035,467 |
12 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (4,541,657) | — | — | (4,541,657) |
Futures Contracts | (5,308,878) | — | — | — | (5,308,878) |
Total | 1,772,320,416 | 2,291,566,254 | — | 7,268,648 | 4,071,155,318 |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 13 |
November 30, 2022 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,784,854,619) | $2,360,166,331 |
Affiliated issuers (cost $1,684,225,301) | 1,690,487,925 |
Foreign currency (cost $6,684,056) | 6,703,350 |
Margin deposits on: | |
Futures contracts | 52,447,040 |
Swap contracts | 27,897,274 |
Unrealized appreciation on forward foreign currency exchange contracts | 220,659 |
Receivable for: | |
Investments sold | 4,794,529 |
Capital shares sold | 4,840,296 |
Dividends | 5,082,221 |
Interest | 6,677,344 |
Foreign tax reclaims | 391,591 |
Variation margin for futures contracts | 13,799,513 |
Variation margin for swap contracts | 1,840,253 |
Prepaid expenses | 37,690 |
Trustees’ deferred compensation plan | 117,817 |
Other assets | 49,159 |
Total assets | 4,175,552,992 |
Liabilities | |
Due to custodian | 377,216 |
Unrealized depreciation on forward foreign currency exchange contracts | 4,541,657 |
Payable for: | |
Investments purchased on a delayed delivery basis | 299,842,761 |
Capital shares purchased | 7,418,314 |
Variation margin for futures contracts | 2,033,381 |
Management services fees | 74,670 |
Distribution and/or service fees | 3,296 |
Transfer agent fees | 150,252 |
Compensation of board members | 45,630 |
Compensation of chief compliance officer | 371 |
Other expenses | 111,833 |
Trustees’ deferred compensation plan | 117,817 |
Total liabilities | 314,717,198 |
Net assets applicable to outstanding capital stock | $3,860,835,794 |
Represented by | |
Paid in capital | 4,438,549,857 |
Total distributable earnings (loss) | (577,714,063) |
Total - representing net assets applicable to outstanding capital stock | $3,860,835,794 |
14 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Class A | |
Net assets | $168,345,485 |
Shares outstanding | 18,160,739 |
Net asset value per share | $9.27 |
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) | $9.84 |
Advisor Class | |
Net assets | $72,493,289 |
Shares outstanding | 7,792,880 |
Net asset value per share | $9.30 |
Class C | |
Net assets | $78,464,329 |
Shares outstanding | 8,961,912 |
Net asset value per share | $8.76 |
Institutional Class | |
Net assets | $3,464,859,654 |
Shares outstanding | 372,790,952 |
Net asset value per share | $9.29 |
Institutional 2 Class | |
Net assets | $56,757,153 |
Shares outstanding | 6,085,522 |
Net asset value per share | $9.33 |
Institutional 3 Class | |
Net assets | $19,074,602 |
Shares outstanding | 2,043,778 |
Net asset value per share | $9.33 |
Class R | |
Net assets | $841,282 |
Shares outstanding | 92,071 |
Net asset value per share | $9.14 |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 15 |
Six Months Ended November 30, 2022 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,223,736 |
Dividends — affiliated issuers | 18,711,331 |
Interest | 29,344,128 |
Interfund lending | 10,045 |
Foreign taxes withheld | (25,202) |
Total income | 49,264,038 |
Expenses: | |
Management services fees | 13,877,399 |
Distribution and/or service fees | |
Class A | 221,414 |
Class C | 424,036 |
Class R | 2,140 |
Transfer agent fees | |
Class A | 46,670 |
Advisor Class | 20,551 |
Class C | 22,339 |
Institutional Class | 932,544 |
Institutional 2 Class | 18,180 |
Institutional 3 Class | 1,896 |
Class R | 226 |
Compensation of board members | 34,841 |
Custodian fees | 92,220 |
Printing and postage fees | 63,118 |
Registration fees | 134,418 |
Audit fees | 25,270 |
Legal fees | 31,865 |
Interest on collateral | 87,301 |
Compensation of chief compliance officer | 371 |
Other | 28,741 |
Total expenses | 16,065,540 |
Expense reduction | (40) |
Total net expenses | 16,065,500 |
Net investment income | 33,198,538 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (58,323,594) |
Investments — affiliated issuers | 6,272,964 |
Foreign currency translations | (1,257,418) |
Forward foreign currency exchange contracts | 80,859,962 |
Futures contracts | (114,261,404) |
Swap contracts | (9,754,077) |
Net realized loss | (96,463,567) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (151,091,771) |
Investments — affiliated issuers | (25,775,840) |
Foreign currency translations | 201,162 |
Forward foreign currency exchange contracts | (5,966,053) |
Futures contracts | 50,505,338 |
Swap contracts | 18,472,284 |
Net change in unrealized appreciation (depreciation) | (113,654,880) |
Net realized and unrealized loss | (210,118,447) |
Net decrease in net assets resulting from operations | $(176,919,909) |
16 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
Six Months Ended November 30, 2022 (Unaudited) | Year Ended May 31, 2022 | |
Operations | ||
Net investment income | $33,198,538 | $134,600,213 |
Net realized gain (loss) | (96,463,567) | 301,875,906 |
Net change in unrealized appreciation (depreciation) | (113,654,880) | (586,554,467) |
Net decrease in net assets resulting from operations | (176,919,909) | (150,078,348) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | — | (32,135,555) |
Advisor Class | — | (15,402,896) |
Class C | — | (19,874,747) |
Institutional Class | — | (688,785,814) |
Institutional 2 Class | — | (10,298,112) |
Institutional 3 Class | — | (3,879,770) |
Class R | — | (143,242) |
Total distributions to shareholders | — | (770,520,136) |
Increase (decrease) in net assets from capital stock activity | (106,023,369) | 796,520,568 |
Total decrease in net assets | (282,943,278) | (124,077,916) |
Net assets at beginning of period | 4,143,779,072 | 4,267,856,988 |
Net assets at end of period | $3,860,835,794 | $4,143,779,072 |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 17 |
Six Months Ended | Year Ended | |||
November 30, 2022 (Unaudited) | May 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 1,455,790 | 13,561,441 | 5,594,187 | 60,975,090 |
Distributions reinvested | — | — | 2,892,709 | 30,402,371 |
Redemptions | (2,402,132) | (22,034,941) | (3,845,595) | (41,535,809) |
Net increase (decrease) | (946,342) | (8,473,500) | 4,641,301 | 49,841,652 |
Advisor Class | ||||
Subscriptions | 769,416 | 7,260,690 | 4,316,404 | 50,176,542 |
Distributions reinvested | — | — | 1,464,052 | 15,401,823 |
Redemptions | (1,891,658) | (17,548,818) | (1,956,212) | (21,388,286) |
Net increase (decrease) | (1,122,242) | (10,288,128) | 3,824,244 | 44,190,079 |
Class C | ||||
Subscriptions | 270,213 | 2,364,056 | 1,315,151 | 14,422,781 |
Distributions reinvested | — | — | 1,938,855 | 19,369,165 |
Redemptions | (1,550,067) | (13,593,942) | (2,798,883) | (28,824,303) |
Net increase (decrease) | (1,279,854) | (11,229,886) | 455,123 | 4,967,643 |
Institutional Class | ||||
Subscriptions | 34,767,004 | 322,935,991 | 81,121,176 | 911,145,226 |
Distributions reinvested | — | — | 63,639,272 | 668,848,747 |
Redemptions | (42,720,096) | (395,349,078) | (80,310,337) | (897,830,976) |
Net increase (decrease) | (7,953,092) | (72,413,087) | 64,450,111 | 682,162,997 |
Institutional 2 Class | ||||
Subscriptions | 1,202,086 | 11,307,759 | 4,439,815 | 49,138,569 |
Distributions reinvested | — | — | 976,124 | 10,298,112 |
Redemptions | (1,662,564) | (15,200,019) | (4,172,968) | (47,429,487) |
Net increase (decrease) | (460,478) | (3,892,260) | 1,242,971 | 12,007,194 |
Institutional 3 Class | ||||
Subscriptions | 75,014 | 693,903 | 142,545 | 1,630,519 |
Distributions reinvested | — | — | 367,700 | 3,879,234 |
Redemptions | (41,378) | (392,633) | (258,132) | (2,731,456) |
Net increase | 33,636 | 301,270 | 252,113 | 2,778,297 |
Class R | ||||
Subscriptions | 2,049 | 19,206 | 50,566 | 577,024 |
Distributions reinvested | — | — | 13,745 | 142,672 |
Redemptions | (5,209) | (46,984) | (13,213) | (146,990) |
Net increase (decrease) | (3,160) | (27,778) | 51,098 | 572,706 |
Total net increase (decrease) | (11,731,532) | (106,023,369) | 74,916,961 | 796,520,568 |
18 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 19 |
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 | Distributions from net realized gains | Total distributions to shareholders | |
Class A | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.69 | 0.07 | (0.49) | (0.42) | — | — | — |
Year Ended 5/31/2022 | $12.10 | 0.32 | (0.59) | (0.27) | (0.42) | (1.72) | (2.14) |
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) |
Advisor Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.71 | 0.08 | (0.49) | (0.41) | — | — | — |
Year Ended 5/31/2022 | $12.12 | 0.38 | (0.62) | (0.24) | (0.44) | (1.73) | (2.17) |
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)(f) | (0.78) | (0.78) |
Class C | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.18 | 0.03 | (0.45) | (0.42) | — | — | — |
Year Ended 5/31/2022 | $11.57 | 0.23 | (0.57) | (0.34) | (0.37) | (1.68) | (2.05) |
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(f) | 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) |
Institutional Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.70 | 0.08 | (0.49) | (0.41) | — | — | — |
Year Ended 5/31/2022 | $12.11 | 0.35 | (0.59) | (0.24) | (0.44) | (1.73) | (2.17) |
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)(f) | (0.78) | (0.78) |
Institutional 2 Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.74 | 0.08 | (0.49) | (0.41) | — | — | — |
Year Ended 5/31/2022 | $12.15 | 0.32 | (0.56) | (0.24) | (0.44) | (1.73) | (2.17) |
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)(f) | (0.78) | (0.78) |
20 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
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 | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.27 | (4.33%) | 1.03%(c),(d) | 1.03%(c),(d),(e) | 1.46%(c) | 71% | $168,345 |
Year Ended 5/31/2022 | $9.69 | (3.62%) | 1.00%(d) | 1.00%(d) | 2.82% | 260% | $185,112 |
Year Ended 5/31/2021 | $12.10 | 19.17% | 1.00%(d) | 1.00%(d) | (0.06%) | 227% | $175,015 |
Year Ended 5/31/2020 | $10.25 | 5.41% | 1.01%(d) | 1.01%(d),(e) | 0.74% | 314% | $141,074 |
Year Ended 5/31/2019 | $10.44 | 2.33% | 1.00% | 1.00%(e) | 1.87% | 203% | $120,147 |
Year Ended 5/31/2018 | $10.81 | 7.07% | 0.99% | 0.99%(e) | 0.33% | 210% | $132,920 |
Advisor Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.30 | (4.22%) | 0.78%(c),(d) | 0.78%(c),(d),(e) | 1.71%(c) | 71% | $72,493 |
Year Ended 5/31/2022 | $9.71 | (3.36%) | 0.75%(d) | 0.75%(d) | 3.39% | 260% | $86,570 |
Year Ended 5/31/2021 | $12.12 | 19.38% | 0.75%(d) | 0.75%(d) | 0.20% | 227% | $61,716 |
Year Ended 5/31/2020 | $10.37 | 5.71% | 0.76%(d) | 0.76%(d),(e) | 0.98% | 314% | $41,312 |
Year Ended 5/31/2019 | $10.55 | 2.58% | 0.75% | 0.75%(e) | 2.14% | 203% | $30,420 |
Year Ended 5/31/2018 | $10.92 | 7.26% | 0.74% | 0.74%(e) | 0.59% | 210% | $19,764 |
Class C | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $8.76 | (4.58%) | 1.78%(c),(d) | 1.78%(c),(d),(e) | 0.71%(c) | 71% | $78,464 |
Year Ended 5/31/2022 | $9.18 | (4.39%) | 1.75%(d) | 1.75%(d) | 2.11% | 260% | $94,069 |
Year Ended 5/31/2021 | $11.57 | 18.14% | 1.75%(d) | 1.75%(d) | (0.80%) | 227% | $113,245 |
Year Ended 5/31/2020 | $9.85 | 4.73% | 1.76%(d) | 1.76%(d),(e) | 0.00% | 314% | $95,090 |
Year Ended 5/31/2019 | $10.05 | 1.56% | 1.75% | 1.75%(e) | 1.10% | 203% | $94,648 |
Year Ended 5/31/2018 | $10.42 | 6.19% | 1.74% | 1.74%(e) | (0.43%) | 210% | $109,335 |
Institutional Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.29 | (4.23%) | 0.78%(c),(d) | 0.78%(c),(d),(e) | 1.71%(c) | 71% | $3,464,860 |
Year Ended 5/31/2022 | $9.70 | (3.37%) | 0.75%(d) | 0.75%(d) | 3.08% | 260% | $3,693,809 |
Year Ended 5/31/2021 | $12.11 | 19.40% | 0.75%(d) | 0.75%(d) | 0.19% | 227% | $3,831,565 |
Year Ended 5/31/2020 | $10.36 | 5.62% | 0.76%(d) | 0.76%(d),(e) | 1.00% | 314% | $2,845,593 |
Year Ended 5/31/2019 | $10.55 | 2.67% | 0.75% | 0.75%(e) | 2.11% | 203% | $2,618,924 |
Year Ended 5/31/2018 | $10.91 | 7.26% | 0.74% | 0.74%(e) | 0.59% | 210% | $2,782,662 |
Institutional 2 Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.33 | (4.21%) | 0.78%(c),(d) | 0.78%(c),(d) | 1.70%(c) | 71% | $56,757 |
Year Ended 5/31/2022 | $9.74 | (3.36%) | 0.76%(d) | 0.76%(d) | 2.78% | 260% | $63,729 |
Year Ended 5/31/2021 | $12.15 | 19.38% | 0.76%(d) | 0.76%(d) | 0.17% | 227% | $64,418 |
Year Ended 5/31/2020 | $10.39 | 5.69% | 0.77%(d) | 0.77%(d) | 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 |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 21 |
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 | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.74 | 0.08 | (0.49) | (0.41) | — | — | — |
Year Ended 5/31/2022 | $12.16 | 0.36 | (0.61) | (0.25) | (0.44) | (1.73) | (2.17) |
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) |
Class R | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.56 | 0.06 | (0.48) | (0.42) | — | — | — |
Year Ended 5/31/2022 | $11.97 | 0.30 | (0.60) | (0.30) | (0.40) | (1.71) | (2.11) |
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) |
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) | Annualized. |
(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 | 11/30/2022 | 5/31/2022 | 5/31/2021 | 5/31/2020 |
Class A | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
Advisor Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
Class C | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
Institutional Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
Institutional 2 Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
Institutional 3 Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
Class R | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% |
(e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(f) | Rounds to zero. |
(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. |
22 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
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 | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.33 | (4.21%) | 0.75%(c),(d) | 0.75%(c),(d) | 1.75%(c) | 71% | $19,075 |
Year Ended 5/31/2022 | $9.74 | (3.40%) | 0.72%(d) | 0.72%(d) | 3.13% | 260% | $19,579 |
Year Ended 5/31/2021 | $12.16 | 19.53% | 0.71%(d) | 0.71%(d) | 0.23% | 227% | $21,369 |
Year Ended 5/31/2020 | $10.41 | 5.73% | 0.72%(d) | 0.72%(d) | 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 |
Class R | |||||||
Six Months Ended 11/30/2022 (Unaudited) | $9.14 | (4.39%) | 1.28%(c),(d) | 1.28%(c),(d),(e) | 1.21%(c) | 71% | $841 |
Year Ended 5/31/2022 | $9.56 | (3.91%) | 1.25%(d) | 1.25%(d) | 2.69% | 260% | $911 |
Year Ended 5/31/2021 | $11.97 | 18.82% | 1.25%(d) | 1.25%(d) | (0.31%) | 227% | $528 |
Year Ended 5/31/2020 | $10.13 | 5.22% | 1.26%(d) | 1.26%(d),(e) | 0.51% | 314% | $363 |
Year Ended 5/31/2019 | $10.32 | 2.07% | 1.25% | 1.25%(e) | 1.54% | 203% | $424 |
Year Ended 5/31/2018 | $10.69 | 6.75% | 1.25% | 1.25%(e) | (0.08%) | 210% | $325 |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 23 |
November 30, 2022 (Unaudited)
24 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 25 |
November 30, 2022 (Unaudited)
26 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 27 |
November 30, 2022 (Unaudited)
28 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 14,035,467* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 9,304,739* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 220,659 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 6,790,732* |
Total | 30,351,597 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,644,355* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 4,541,657 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,664,523* |
Total | 9,850,535 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 29 |
November 30, 2022 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (9,754,077) | (9,754,077) |
Equity risk | — | (36,359,165) | — | (36,359,165) |
Foreign exchange risk | 80,859,962 | — | — | 80,859,962 |
Interest rate risk | — | (77,902,239) | — | (77,902,239) |
Total | 80,859,962 | (114,261,404) | (9,754,077) | (43,155,519) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 18,472,284 | 18,472,284 |
Equity risk | — | 17,036,705 | — | 17,036,705 |
Foreign exchange risk | (5,966,053) | — | — | (5,966,053) |
Interest rate risk | — | 33,468,633 | — | 33,468,633 |
Total | (5,966,053) | 50,505,338 | 18,472,284 | 63,011,569 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 1,277,514,212 |
Futures contracts — short | 35,551,731 |
Credit default swap contracts — sell protection | 322,848,620 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 4,181,721 | (4,748,301) |
* | Based on the ending quarterly outstanding amounts for the six months ended November 30, 2022. |
30 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Citi ($) | Goldman Sachs International ($) | HSBC ($) | Morgan Stanley ($) | Standard Chartered ($) | UBS ($) | Total ($) | |
Assets | |||||||
Centrally cleared credit default swap contracts (a) | — | — | — | 1,840,253 | — | — | 1,840,253 |
Forward foreign currency exchange contracts | 60,321 | — | 38,257 | — | — | 122,081 | 220,659 |
Total assets | 60,321 | — | 38,257 | 1,840,253 | — | 122,081 | 2,060,912 |
Liabilities | |||||||
Forward foreign currency exchange contracts | 911,197 | 16,687 | 1,739,485 | — | 45,174 | 1,829,114 | 4,541,657 |
Total financial and derivative net assets | (850,876) | (16,687) | (1,701,228) | 1,840,253 | (45,174) | (1,707,033) | (2,480,745) |
Total collateral received (pledged) (b) | — | — | — | — | — | — | — |
Net amount (c) | (850,876) | (16,687) | (1,701,228) | 1,840,253 | (45,174) | (1,707,033) | (2,480,745) |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 31 |
November 30, 2022 (Unaudited)
32 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 33 |
November 30, 2022 (Unaudited)
Effective rate (%) | |
Class A | 0.05 |
Advisor Class | 0.05 |
Class C | 0.05 |
Institutional Class | 0.05 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.02 |
Class R | 0.05 |
34 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 62,025 |
Class C | — | 1.00(b) | 6,119 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
October 1, 2022 through September 30, 2023 | Prior to October 1, 2022 | |
Class A | 1.25% | 1.25% |
Advisor Class | 1.00 | 1.00 |
Class C | 2.00 | 2.00 |
Institutional Class | 1.00 | 1.00 |
Institutional 2 Class | 1.01 | 1.01 |
Institutional 3 Class | 0.97 | 0.96 |
Class R | 1.50 | 1.50 |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 35 |
November 30, 2022 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
4,469,080,000 | 49,007,000 | (446,932,000) | (397,925,000) |
Late year ordinary losses ($) | Post-October capital losses ($) |
— | 195,817,778 |
36 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 25,150,000 | 3.41 | 4 |
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 37 |
November 30, 2022 (Unaudited)
38 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 39 |
November 30, 2022 (Unaudited)
40 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
November 30, 2022 (Unaudited)
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 41 |
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Management Agreement; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
42 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
(Unaudited)
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 43 |
(Unaudited)
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates from their relationships with the Fund
44 | Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 |
(Unaudited)
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
Columbia Adaptive Risk Allocation Fund | Semiannual Report 2022 | 45 |
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.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semiannual reports.
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.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR: Not applicable for semiannual reports.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | Columbia Funds Series Trust I |
|
|
By (Signature and Title) | /s/ Daniel J. Beckman |
| Daniel J. Beckman, President and Principal Executive Officer |
|
|
Date | January 20, 2023 |
|
|
|
|
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 |
| Daniel J. Beckman, President and Principal Executive Officer |
|
|
Date | January 20, 2023 |
By (Signature and Title) | /s/ Michael G. Clarke |
| Michael G. Clarke, Chief Financial Officer, |
| Principal Financial Officer and Senior Vice President |
|
|
Date | January 20, 2023 |
By (Signature and Title) | /s/ Joseph Beranek |
| Joseph Beranek, Treasurer, Chief Accounting |
| Officer and Principal Financial Officer |
|
|
Date | January 20, 2023 |