UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21852
Columbia Funds Series Trust II
(Exact name of registrant as specified in charter)
225 Franklin Street
Boston, Massachusetts 02110
(Address of principal executive offices) (Zip code)
Christopher O. Petersen, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, Massachusetts 02110
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
(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, 2019
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.
SemiAnnual Report
November 30, 2019
Multi-Manager Value Strategies Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Multi-Manager Value Strategies Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Multi-Manager Value Strategies Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with growth of capital and income.
Portfolio management
Columbia Management Investment Advisers, LLC
Scott Davis
Michael Barclay, CFA
Peter Santoro, CFA
Diamond Hill Capital Management, Inc.
Charles Bath, CFA
Austin Hawley, CFA
Christopher Welch, CFA
Dimensional Fund Advisors LP
Jed Fogdall
Lukas Smart, CFA
Joel Schneider
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2020 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class A | 04/20/12 | 14.21 | 12.43 | 8.70 | 11.39 |
| Institutional Class* | 01/03/17 | 14.43 | 12.76 | 8.83 | 11.48 |
| Russell 1000 Value Index | | 13.56 | 11.33 | 7.83 | 11.93 |
All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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. |
The Russell 1000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at November 30, 2019) |
| JPMorgan Chase & Co. | 2.8 |
| Chevron Corp. | 2.5 |
| Comcast Corp., Class A | 2.4 |
| Citigroup, Inc. | 2.3 |
| Pfizer, Inc. | 2.1 |
| Walt Disney Co. (The) | 2.1 |
| Microsoft Corp. | 2.0 |
| Intel Corp. | 1.9 |
| Berkshire Hathaway, Inc., Class B | 1.9 |
| Medtronic PLC | 1.9 |
Percentages indicated are based upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at November 30, 2019) |
| Common Stocks | 99.3 |
| Convertible Preferred Stocks | 0.1 |
| Money Market Funds | 0.6 |
| Rights | 0.0(a) |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at November 30, 2019) |
| Communication Services | 10.2 |
| Consumer Discretionary | 8.7 |
| Consumer Staples | 7.7 |
| Energy | 7.2 |
| Financials | 24.6 |
| Health Care | 13.7 |
| Industrials | 10.5 |
| Information Technology | 11.6 |
| Materials | 3.3 |
| Real Estate | 0.6 |
| Utilities | 1.9 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,142.10 | 1,019.94 | 5.27 | 4.97 | 0.99 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,144.30 | 1,021.18 | 3.95 | 3.72 | 0.74 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap program documents for information about the fees charged.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 99.0% |
| Issuer | Shares | Value ($) |
| Communication Services 10.1% |
| Diversified Telecommunication Services 2.1% |
| AT&T, Inc. | 1,362,089 | 50,914,887 |
| CenturyLink, Inc. | 252,483 | 3,658,478 |
| Verizon Communications, Inc. | 152,600 | 9,192,624 |
| Total | | 63,765,989 |
| Entertainment 2.1% |
| Activision Blizzard, Inc. | 4,932 | 270,422 |
| Liberty Media Group LLC, Class C(a) | 7,115 | 320,815 |
| Madison Square Garden Co. (The), Class A(a) | 1,307 | 368,287 |
| Viacom, Inc., Class B | 63,718 | 1,533,692 |
| Walt Disney Co. (The) | 424,612 | 64,362,687 |
| Total | | 66,855,903 |
| Interactive Media & Services 2.0% |
| Alphabet, Inc., Class A(a) | 29,831 | 38,902,309 |
| Facebook, Inc., Class A(a) | 122,192 | 24,638,795 |
| Total | | 63,541,104 |
| Media 3.8% |
| Altice U.S.A., Inc., Class A(a) | 23,464 | 600,209 |
| CBS Corp., Class B Non Voting | 5,484 | 221,444 |
| Charter Communications, Inc., Class A(a) | 79,694 | 37,456,977 |
| Comcast Corp., Class A | 1,663,990 | 73,465,159 |
| Discovery, Inc., Class A(a) | 36,565 | 1,204,451 |
| Discovery, Inc., Class C(a) | 54,114 | 1,651,559 |
| DISH Network Corp., Class A(a) | 20,860 | 712,786 |
| Fox Corp., Class A | 15,399 | 550,668 |
| Fox Corp., Class B | 11,016 | 385,340 |
| Interpublic Group of Companies, Inc. (The) | 19,187 | 429,789 |
| Liberty Broadband Corp., Class A(a) | 2,117 | 250,462 |
| Liberty Broadband Corp., Class C(a) | 11,441 | 1,367,085 |
| Liberty SiriusXM Group, Class A(a) | 5,812 | 283,045 |
| Liberty SiriusXM Group, Class C(a) | 11,414 | 553,693 |
| News Corp., Class A | 33,474 | 431,145 |
| News Corp., Class B | 22,496 | 296,272 |
| Total | | 119,860,084 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Wireless Telecommunication Services 0.1% |
| Sprint Corp.(a) | 98,038 | 580,385 |
| T-Mobile U.S.A., Inc.(a) | 38,003 | 2,985,136 |
| Total | | 3,565,521 |
| Total Communication Services | 317,588,601 |
| Consumer Discretionary 8.6% |
| Auto Components 0.9% |
| Autoliv, Inc. | 13,035 | 1,065,220 |
| BorgWarner, Inc. | 628,403 | 26,424,346 |
| Gentex Corp. | 48,054 | 1,364,734 |
| Goodyear Tire & Rubber Co. (The) | 1 | 16 |
| Lear Corp. | 12,768 | 1,536,118 |
| Veoneer, Inc.(a) | 1,815 | 29,385 |
| Total | | 30,419,819 |
| Automobiles 1.2% |
| Ford Motor Co. | 532,826 | 4,827,404 |
| General Motors Co. | 889,422 | 32,019,192 |
| Harley-Davidson, Inc. | 15,987 | 581,607 |
| Total | | 37,428,203 |
| Distributors 0.1% |
| LKQ Corp.(a) | 65,647 | 2,316,026 |
| Hotels, Restaurants & Leisure 0.7% |
| Aramark | 35,150 | 1,533,946 |
| Carnival Corp. | 46,170 | 2,081,344 |
| Hyatt Hotels Corp., Class A | 5,864 | 473,811 |
| McDonald’s Corp. | 40,000 | 7,779,200 |
| MGM Resorts International | 82,729 | 2,643,191 |
| Norwegian Cruise Line Holdings Ltd.(a) | 51,305 | 2,752,000 |
| Royal Caribbean Cruises Ltd. | 40,981 | 4,918,540 |
| Total | | 22,182,032 |
| Household Durables 1.4% |
| D.R. Horton, Inc. | 102,152 | 5,654,113 |
| Garmin Ltd. | 18,369 | 1,794,468 |
| Lennar Corp., Class A | 33,813 | 2,016,946 |
| Lennar Corp., Class B | 1,977 | 93,255 |
| Mohawk Industries, Inc.(a) | 20,238 | 2,820,570 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Newell Brands, Inc. | 20,427 | 392,607 |
| NVR, Inc.(a) | 6,900 | 26,164,041 |
| PulteGroup, Inc. | 79,352 | 3,146,307 |
| Toll Brothers, Inc. | 13,054 | 524,379 |
| Whirlpool Corp. | 15,784 | 2,258,690 |
| Total | | 44,865,376 |
| Internet & Direct Marketing Retail 0.6% |
| Booking Holdings, Inc.(a) | 9,506 | 18,099,709 |
| Qurate Retail, Inc.(a) | 43,628 | 412,721 |
| Total | | 18,512,430 |
| Multiline Retail 0.6% |
| Dollar Tree, Inc.(a) | 11,908 | 1,089,106 |
| Kohl’s Corp. | 56,283 | 2,645,864 |
| Macy’s, Inc. | 7,558 | 115,788 |
| Target Corp. | 118,446 | 14,806,934 |
| Total | | 18,657,692 |
| Specialty Retail 2.6% |
| Advance Auto Parts, Inc. | 9,345 | 1,467,912 |
| CarMax, Inc.(a) | 9,737 | 947,021 |
| Gap, Inc. (The) | 35,318 | 586,632 |
| Home Depot, Inc. (The) | 88,000 | 19,404,880 |
| O’Reilly Automotive, Inc.(a) | 36,861 | 16,302,883 |
| Tiffany & Co. | 797 | 106,639 |
| TJX Companies, Inc. (The) | 688,578 | 42,092,773 |
| Total | | 80,908,740 |
| Textiles, Apparel & Luxury Goods 0.5% |
| Capri Holdings Ltd.(a) | 4,275 | 158,773 |
| Hanesbrands, Inc. | 907,897 | 13,682,008 |
| PVH Corp. | 15,238 | 1,477,476 |
| Ralph Lauren Corp. | 11,787 | 1,265,217 |
| Skechers U.S.A., Inc., Class A(a) | 1,000 | 40,220 |
| Tapestry, Inc. | 18,622 | 500,746 |
| Total | | 17,124,440 |
| Total Consumer Discretionary | 272,414,758 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Consumer Staples 7.7% |
| Beverages 1.4% |
| Constellation Brands, Inc., Class A | 7,410 | 1,378,705 |
| Molson Coors Brewing Co., Class B | 22,925 | 1,157,254 |
| PepsiCo, Inc. | 298,292 | 40,517,002 |
| Total | | 43,052,961 |
| Food & Staples Retailing 1.2% |
| Kroger Co. (The) | 88,723 | 2,425,687 |
| U.S. Foods Holding Corp.(a) | 55,634 | 2,212,564 |
| Walgreens Boots Alliance, Inc. | 112,124 | 6,682,590 |
| Walmart, Inc. | 214,560 | 25,551,951 |
| Total | | 36,872,792 |
| Food Products 1.4% |
| Archer-Daniels-Midland Co. | 317,619 | 13,635,384 |
| Bunge Ltd. | 20,487 | 1,093,596 |
| ConAgra Foods, Inc. | 17,396 | 502,223 |
| Hershey Co. (The) | 35,500 | 5,259,680 |
| Ingredion, Inc. | 9,157 | 761,588 |
| JM Smucker Co. (The) | 29,913 | 3,143,557 |
| Kraft Heinz Co. (The) | 31,395 | 957,547 |
| Mondelez International, Inc., Class A | 239,313 | 12,573,505 |
| Post Holdings, Inc.(a) | 14,012 | 1,479,667 |
| Tyson Foods, Inc., Class A | 33,992 | 3,055,541 |
| Total | | 42,462,288 |
| Household Products 2.3% |
| Kimberly-Clark Corp. | 217,246 | 29,619,320 |
| Procter & Gamble Co. (The) | 362,891 | 44,294,475 |
| Spectrum Brands Holdings, Inc. | 670 | 41,888 |
| Total | | 73,955,683 |
| Personal Products 0.0% |
| Coty, Inc., Class A | 25,567 | 295,043 |
| Tobacco 1.4% |
| Philip Morris International, Inc. | 544,498 | 45,155,219 |
| Total Consumer Staples | 241,793,986 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Energy 7.2% |
| Energy Equipment & Services 0.2% |
| Baker Hughes Co. | 29,053 | 651,368 |
| Halliburton Co. | 5,988 | 125,688 |
| National Oilwell Varco, Inc. | 42,273 | 953,256 |
| Schlumberger Ltd. | 62,783 | 2,272,745 |
| TechnipFMC PLC | 48,738 | 918,224 |
| Total | | 4,921,281 |
| Oil, Gas & Consumable Fuels 7.0% |
| Apache Corp. | 81,761 | 1,821,635 |
| Chevron Corp. | 678,821 | 79,510,304 |
| Cimarex Energy Co. | 244,651 | 11,246,606 |
| Concho Resources, Inc. | 25,995 | 1,886,197 |
| ConocoPhillips Co. | 359,099 | 21,524,394 |
| Devon Energy Corp. | 345,630 | 7,565,841 |
| Diamondback Energy, Inc. | 18,047 | 1,395,755 |
| EOG Resources, Inc. | 6,613 | 468,862 |
| Exxon Mobil Corp. | 631,460 | 43,021,370 |
| Hess Corp. | 34,734 | 2,156,634 |
| HollyFrontier Corp. | 47,152 | 2,430,686 |
| Kinder Morgan, Inc. | 166,230 | 3,259,770 |
| Marathon Oil Corp. | 194,588 | 2,266,950 |
| Marathon Petroleum Corp. | 111,632 | 6,769,365 |
| Murphy Oil Corp. | 2,493 | 57,364 |
| Noble Energy, Inc. | 106,531 | 2,211,584 |
| Occidental Petroleum Corp. | 106,665 | 4,114,069 |
| Parsley Energy, Inc., Class A | 10,404 | 155,852 |
| Phillips 66 | 44,696 | 5,127,525 |
| Pioneer Natural Resources Co. | 13,687 | 1,749,746 |
| Suncor Energy, Inc. | 180,000 | 5,652,000 |
| Targa Resources Corp. | 28,379 | 1,036,685 |
| Valero Energy Corp. | 157,009 | 14,992,789 |
| Williams Companies, Inc. (The) | 14,685 | 333,643 |
| Total | | 220,755,626 |
| Total Energy | 225,676,907 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Financials 24.3% |
| Banks 10.8% |
| Bank of America Corp. | 1,431,892 | 47,710,642 |
| BB&T Corp. | 257,673 | 14,099,867 |
| CIT Group, Inc. | 1,264 | 57,537 |
| Citigroup, Inc. | 962,282 | 72,286,624 |
| Citizens Financial Group, Inc. | 31,353 | 1,205,836 |
| Comerica, Inc. | 11,293 | 795,140 |
| East West Bancorp, Inc. | 4,007 | 183,601 |
| Fifth Third Bancorp | 149,775 | 4,521,707 |
| First Republic Bank | 168,111 | 18,475,399 |
| Huntington Bancshares, Inc. | 194,853 | 2,901,361 |
| JPMorgan Chase & Co. | 662,332 | 87,268,864 |
| KeyCorp | 118,987 | 2,307,158 |
| M&T Bank Corp. | 30,476 | 5,020,616 |
| PacWest Bancorp | 1,197 | 44,576 |
| People’s United Financial, Inc. | 22,913 | 378,065 |
| PNC Financial Services Group, Inc. (The) | 119,106 | 18,248,230 |
| Prosperity Bancshares, Inc. | 809 | 56,832 |
| Regions Financial Corp. | 187,155 | 3,114,259 |
| SunTrust Banks, Inc. | 43,293 | 3,066,876 |
| Synovus Financial Corp. | 3,517 | 133,963 |
| U.S. Bancorp | 220,000 | 13,206,600 |
| Wells Fargo & Co. | 822,715 | 44,805,059 |
| Zions Bancorp | 35,661 | 1,775,205 |
| Total | | 341,664,017 |
| Capital Markets 4.0% |
| Bank of New York Mellon Corp. (The) | 123,883 | 6,066,550 |
| BlackRock, Inc. | 15,000 | 7,423,650 |
| Charles Schwab Corp. (The) | 433,404 | 21,453,498 |
| CME Group, Inc. | 53,000 | 10,744,690 |
| Franklin Resources, Inc. | 41 | 1,127 |
| Goldman Sachs Group, Inc. (The) | 47,077 | 10,420,494 |
| Invesco Ltd. | 49,332 | 866,270 |
| Janus Henderson Group PLC | 4,217 | 107,112 |
| KKR & Co., Inc., Class A | 825,073 | 24,331,403 |
| Morgan Stanley | 619,333 | 30,644,597 |
| Northern Trust Corp. | 46,864 | 5,025,695 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| State Street Corp. | 14,481 | 1,087,523 |
| T. Rowe Price Group, Inc. | 60,000 | 7,413,600 |
| Total | | 125,586,209 |
| Consumer Finance 1.1% |
| Ally Financial, Inc. | 101,818 | 3,241,886 |
| Capital One Financial Corp. | 71,694 | 7,170,117 |
| Discover Financial Services | 257,479 | 21,852,243 |
| Santander Consumer U.S.A. Holdings, Inc. | 37,213 | 876,366 |
| Synchrony Financial | 39,031 | 1,460,150 |
| Total | | 34,600,762 |
| Diversified Financial Services 1.9% |
| Berkshire Hathaway, Inc., Class B(a) | 272,704 | 60,076,691 |
| Jefferies Financial Group, Inc. | 26,738 | 558,824 |
| Voya Financial, Inc. | 10,144 | 591,193 |
| Total | | 61,226,708 |
| Insurance 6.5% |
| Aflac, Inc. | 71,347 | 3,912,669 |
| Alleghany Corp.(a) | 1,324 | 1,032,773 |
| Allstate Corp. (The) | 140,620 | 15,658,037 |
| American Financial Group, Inc. | 11,627 | 1,275,598 |
| American International Group, Inc. | 632,895 | 33,328,251 |
| Arch Capital Group Ltd.(a) | 34,061 | 1,429,540 |
| Assurant, Inc. | 7,430 | 987,224 |
| Athene Holding Ltd., Class A(a) | 10,089 | 454,207 |
| Axis Capital Holdings Ltd. | 4,548 | 269,151 |
| Chubb Ltd. | 126,729 | 19,196,909 |
| CNA Financial Corp. | 3,492 | 156,162 |
| Everest Re Group Ltd. | 4,525 | 1,227,452 |
| Hartford Financial Services Group, Inc. (The) | 403,321 | 24,949,437 |
| Lincoln National Corp. | 27,230 | 1,607,931 |
| Loews Corp. | 253,963 | 12,926,717 |
| Marsh & McLennan Companies, Inc. | 265,545 | 28,697,448 |
| MetLife, Inc. | 734,585 | 36,663,137 |
| Old Republic International Corp. | 30,132 | 679,778 |
| Principal Financial Group, Inc. | 144,334 | 7,952,803 |
| Prudential Financial, Inc. | 25,383 | 2,376,356 |
| Reinsurance Group of America, Inc. | 8,100 | 1,340,226 |
| RenaissanceRe Holdings Ltd. | 4,218 | 794,376 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Travelers Companies, Inc. (The) | 39,287 | 5,371,319 |
| Unum Group | 29,932 | 920,110 |
| WR Berkley Corp. | 14,175 | 963,900 |
| Total | | 204,171,511 |
| Thrifts & Mortgage Finance 0.0% |
| New York Community Bancorp, Inc. | 35,013 | 417,355 |
| Total Financials | 767,666,562 |
| Health Care 13.6% |
| Biotechnology 0.5% |
| Alexion Pharmaceuticals, Inc.(a) | 2,429 | 276,760 |
| Biogen, Inc.(a) | 3,669 | 1,100,003 |
| Gilead Sciences, Inc. | 216,989 | 14,590,341 |
| United Therapeutics Corp.(a) | 824 | 76,022 |
| Total | | 16,043,126 |
| Health Care Equipment & Supplies 4.3% |
| Abbott Laboratories | 655,130 | 55,980,858 |
| Baxter International, Inc. | 80,000 | 6,557,600 |
| Becton Dickinson and Co. | 4,814 | 1,244,419 |
| Danaher Corp. | 57,115 | 8,337,648 |
| Dentsply Sirona, Inc. | 13,803 | 780,422 |
| Medtronic PLC | 530,581 | 59,101,417 |
| STERIS PLC | 8,419 | 1,272,448 |
| Zimmer Biomet Holdings, Inc. | 11,251 | 1,634,545 |
| Total | | 134,909,357 |
| Health Care Providers & Services 2.9% |
| Anthem, Inc. | 43,806 | 12,645,040 |
| Cardinal Health, Inc. | 43,256 | 2,380,378 |
| Centene Corp.(a) | 52,743 | 3,189,369 |
| Cigna Corp. | 50,626 | 10,121,150 |
| CVS Health Corp. | 192,652 | 14,500,916 |
| DaVita, Inc.(a) | 39,208 | 2,813,958 |
| Henry Schein, Inc.(a) | 6,128 | 422,219 |
| Humana, Inc. | 69,312 | 23,651,334 |
| Laboratory Corp. of America Holdings(a) | 25,934 | 4,468,169 |
| McKesson Corp. | 21,294 | 3,079,964 |
| Quest Diagnostics, Inc. | 33,050 | 3,521,477 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 9 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| UnitedHealth Group, Inc. | 26,500 | 7,416,555 |
| Universal Health Services, Inc., Class B | 18,410 | 2,568,011 |
| Total | | 90,778,540 |
| Life Sciences Tools & Services 1.1% |
| Bio-Rad Laboratories, Inc., Class A(a) | 1,423 | 525,628 |
| IQVIA Holdings, Inc.(a) | 13,392 | 1,954,964 |
| Syneos Health, Inc.(a) | 202 | 11,092 |
| Thermo Fisher Scientific, Inc. | 107,939 | 33,887,449 |
| Total | | 36,379,133 |
| Pharmaceuticals 4.8% |
| Allergan PLC | 17,109 | 3,164,138 |
| Bristol-Myers Squibb Co. | 232,000 | 13,210,080 |
| Elanco Animal Health, Inc.(a) | 4,327 | 119,901 |
| Eli Lilly & Co. | 86,800 | 10,185,980 |
| Jazz Pharmaceuticals PLC(a) | 7,690 | 1,162,113 |
| Johnson & Johnson | 208,000 | 28,597,920 |
| Merck & Co., Inc. | 308,000 | 26,851,440 |
| Mylan NV(a) | 115,493 | 2,168,959 |
| Perrigo Co. PLC | 15,360 | 786,893 |
| Pfizer, Inc. | 1,698,445 | 65,424,101 |
| Total | | 151,671,525 |
| Total Health Care | 429,781,681 |
| Industrials 10.4% |
| Aerospace & Defense 2.7% |
| Arconic, Inc. | 71,767 | 2,221,906 |
| General Dynamics Corp. | 31,443 | 5,714,451 |
| L3 Harris Technologies, Inc. | 11,472 | 2,306,904 |
| Lockheed Martin Corp. | 58,385 | 22,830,287 |
| Northrop Grumman Corp. | 9,744 | 3,427,647 |
| Textron, Inc. | 61,754 | 2,855,505 |
| United Technologies Corp. | 314,157 | 46,602,049 |
| Total | | 85,958,749 |
| Air Freight & Logistics 0.5% |
| FedEx Corp. | 34,108 | 5,458,986 |
| United Parcel Service, Inc., Class B | 68,000 | 8,141,640 |
| XPO Logistics, Inc.(a) | 22,812 | 1,886,324 |
| Total | | 15,486,950 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Airlines 1.0% |
| Alaska Air Group, Inc. | 24,938 | 1,720,971 |
| Delta Air Lines, Inc. | 100,418 | 5,754,956 |
| JetBlue Airways Corp.(a) | 75,188 | 1,448,873 |
| Southwest Airlines Co. | 50,330 | 2,901,021 |
| United Airlines Holdings, Inc.(a) | 226,993 | 21,064,950 |
| Total | | 32,890,771 |
| Building Products 0.2% |
| Fortune Brands Home & Security, Inc. | 16,981 | 1,074,218 |
| Johnson Controls International PLC | 76,080 | 3,258,506 |
| Owens Corning | 29,428 | 1,973,442 |
| Total | | 6,306,166 |
| Commercial Services & Supplies 0.5% |
| Republic Services, Inc. | 60,889 | 5,397,810 |
| Waste Management, Inc. | 88,250 | 9,964,307 |
| Total | | 15,362,117 |
| Construction & Engineering 0.1% |
| AECOM(a) | 18,481 | 800,782 |
| Arcosa, Inc. | 8,336 | 326,855 |
| Fluor Corp. | 1 | 17 |
| Jacobs Engineering Group, Inc. | 14,085 | 1,297,088 |
| Quanta Services, Inc. | 16,374 | 681,813 |
| Total | | 3,106,555 |
| Electrical Equipment 0.2% |
| Acuity Brands, Inc. | 575 | 75,199 |
| Eaton Corp. PLC | 61,072 | 5,649,160 |
| nVent Electric PLC | 3,199 | 79,047 |
| Sensata Technologies Holding(a) | 22,078 | 1,136,796 |
| Total | | 6,940,202 |
| Industrial Conglomerates 1.6% |
| 3M Co. | 52,000 | 8,828,040 |
| Carlisle Companies, Inc. | 12,141 | 1,893,753 |
| General Electric Co. | 353,518 | 3,984,148 |
| Honeywell International, Inc. | 191,490 | 34,190,540 |
| Total | | 48,896,481 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Machinery 2.3% |
| AGCO Corp. | 14,889 | 1,163,278 |
| Cummins, Inc. | 44,482 | 8,133,978 |
| Deere & Co. | 32,000 | 5,377,600 |
| Dover Corp. | 16,134 | 1,798,618 |
| Fortive Corp. | 2,020 | 145,783 |
| Ingersoll-Rand PLC | 109,812 | 14,397,451 |
| Oshkosh Corp. | 13,550 | 1,225,733 |
| PACCAR, Inc. | 26,257 | 2,136,532 |
| Parker-Hannifin Corp. | 146,215 | 29,066,080 |
| Pentair PLC | 34,765 | 1,541,828 |
| Snap-On, Inc. | 11,321 | 1,816,568 |
| Stanley Black & Decker, Inc. | 29,200 | 4,606,008 |
| Wabtec Corp. | 7,308 | 574,190 |
| Total | | 71,983,647 |
| Professional Services 0.1% |
| ManpowerGroup, Inc. | 13,396 | 1,241,006 |
| Nielsen Holdings PLC | 53,588 | 1,047,645 |
| Total | | 2,288,651 |
| Road & Rail 1.2% |
| AMERCO | 3,003 | 1,087,747 |
| Genesee & Wyoming, Inc., Class A(a) | 6,113 | 681,294 |
| Kansas City Southern | 22,859 | 3,484,169 |
| Knight-Swift Transportation Holdings, Inc. | 7,279 | 269,250 |
| Norfolk Southern Corp. | 40,728 | 7,880,868 |
| Union Pacific Corp. | 130,400 | 22,949,096 |
| Total | | 36,352,424 |
| Trading Companies & Distributors 0.0% |
| United Rentals, Inc.(a) | 8,625 | 1,320,056 |
| Total Industrials | 326,892,769 |
| Information Technology 11.4% |
| Communications Equipment 0.8% |
| Cisco Systems, Inc. | 554,000 | 25,101,740 |
| Juniper Networks, Inc. | 45,526 | 1,140,882 |
| Total | | 26,242,622 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Electronic Equipment, Instruments & Components 0.3% |
| Arrow Electronics, Inc.(a) | 16,992 | 1,353,243 |
| Avnet, Inc. | 1,118 | 45,447 |
| Corning, Inc. | 128,779 | 3,739,742 |
| Dolby Laboratories, Inc., Class A | 1,310 | 90,233 |
| Flex Ltd.(a) | 121,415 | 1,441,196 |
| IPG Photonics Corp.(a) | 800 | 113,672 |
| Jabil, Inc. | 729 | 28,314 |
| SYNNEX Corp. | 1,746 | 214,426 |
| TE Connectivity Ltd. | 33,515 | 3,107,176 |
| Total | | 10,133,449 |
| IT Services 2.3% |
| Accenture PLC, Class A | 53,000 | 10,661,480 |
| Akamai Technologies, Inc.(a) | 1,528 | 133,119 |
| Amdocs Ltd. | 25,689 | 1,780,248 |
| Automatic Data Processing, Inc. | 54,415 | 9,292,994 |
| Cognizant Technology Solutions Corp., Class A | 8,101 | 519,355 |
| DXC Technology Co. | 46,665 | 1,742,004 |
| Fidelity National Information Services, Inc. | 191,837 | 26,502,282 |
| Fiserv, Inc.(a) | 12,903 | 1,499,845 |
| Global Payments, Inc. | 5,768 | 1,044,585 |
| International Business Machines Corp. | 130,000 | 17,478,500 |
| Leidos Holdings, Inc. | 23,948 | 2,175,436 |
| Total | | 72,829,848 |
| Semiconductors & Semiconductor Equipment 4.9% |
| Analog Devices, Inc. | 18,863 | 2,130,576 |
| Broadcom, Inc. | 43,075 | 13,620,746 |
| Cypress Semiconductor Corp. | 53,945 | 1,265,010 |
| Intel Corp. | 1,046,775 | 60,765,289 |
| KLA Corp. | 72,800 | 11,929,008 |
| Lam Research Corp. | 55,149 | 14,715,408 |
| Marvell Technology Group Ltd. | 45,962 | 1,212,018 |
| Micron Technology, Inc.(a) | 176,009 | 8,362,187 |
| ON Semiconductor Corp.(a) | 71,059 | 1,525,637 |
| Qorvo, Inc.(a) | 18,915 | 1,971,132 |
| Skyworks Solutions, Inc. | 22,647 | 2,226,200 |
| Texas Instruments, Inc. | 290,711 | 34,946,369 |
| Total | | 154,669,580 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 11 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Software 2.0% |
| Microsoft Corp. | 402,107 | 60,870,957 |
| SS&C Technologies Holdings, Inc. | 7,842 | 470,912 |
| Symantec Corp. | 2,663 | 66,309 |
| Total | | 61,408,178 |
| Technology Hardware, Storage & Peripherals 1.1% |
| Apple, Inc. | 93,500 | 24,987,875 |
| Dell Technologies, Inc.(a) | 1,780 | 86,312 |
| Hewlett Packard Enterprise Co. | 273,051 | 4,322,397 |
| HP, Inc. | 42,384 | 851,071 |
| Western Digital Corp. | 47,897 | 2,410,656 |
| Xerox Holdings Corp. | 54,283 | 2,113,237 |
| Total | | 34,771,548 |
| Total Information Technology | 360,055,225 |
| Materials 3.2% |
| Chemicals 2.2% |
| Air Products & Chemicals, Inc. | 12,868 | 3,041,095 |
| Albemarle Corp. | 16,644 | 1,088,185 |
| Ashland Global Holdings, Inc. | 5,317 | 381,229 |
| Axalta Coating Systems Ltd.(a) | 330,787 | 9,417,506 |
| Celanese Corp., Class A | 1,497 | 187,978 |
| CF Industries Holdings, Inc. | 46,702 | 2,158,099 |
| Corteva, Inc. | 34,957 | 909,581 |
| Dow, Inc. | 154,389 | 8,239,741 |
| DuPont de Nemours, Inc. | 35,583 | 2,306,134 |
| Eastman Chemical Co. | 147,791 | 11,582,381 |
| Huntsman Corp. | 19,923 | 450,658 |
| Linde PLC | 118,939 | 24,526,411 |
| LyondellBasell Industries NV, Class A | 20,084 | 1,858,573 |
| Mosaic Co. (The) | 41,470 | 790,004 |
| Valvoline, Inc. | 35,216 | 797,642 |
| Westlake Chemical Corp. | 12,892 | 885,423 |
| Total | | 68,620,640 |
| Construction Materials 0.1% |
| Martin Marietta Materials, Inc. | 9,038 | 2,425,799 |
| Vulcan Materials Co. | 15,417 | 2,187,210 |
| Total | | 4,613,009 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Containers & Packaging 0.4% |
| Amcor PLC | 1,100 | 11,286 |
| Ball Corp. | 16,336 | 1,079,156 |
| International Paper Co. | 71,501 | 3,313,356 |
| Packaging Corp. of America | 29,426 | 3,292,769 |
| Sonoco Products Co. | 88,433 | 5,352,850 |
| WestRock Co. | 40,131 | 1,618,483 |
| Total | | 14,667,900 |
| Metals & Mining 0.5% |
| Freeport-McMoRan, Inc. | 240,615 | 2,738,199 |
| Newmont Goldcorp Corp. | 75,822 | 2,911,565 |
| Nucor Corp. | 85,057 | 4,793,812 |
| Reliance Steel & Aluminum Co. | 16,453 | 1,941,125 |
| Royal Gold, Inc. | 3,882 | 455,242 |
| Steel Dynamics, Inc. | 59,208 | 1,997,086 |
| Total | | 14,837,029 |
| Total Materials | 102,738,578 |
| Real Estate 0.6% |
| Equity Real Estate Investment Trusts (REITS) 0.5% |
| Crown Castle International Corp. | 32,000 | 4,277,120 |
| Digital Realty Trust, Inc. | 84,000 | 10,159,800 |
| Total | | 14,436,920 |
| Real Estate Management & Development 0.1% |
| CBRE Group, Inc., Class A(a) | 33,687 | 1,920,833 |
| Howard Hughes Corporation(a) | 1,499 | 165,504 |
| Jones Lang LaSalle, Inc. | 10,951 | 1,821,480 |
| Total | | 3,907,817 |
| Total Real Estate | 18,344,737 |
| Utilities 1.9% |
| Electric Utilities 1.0% |
| American Electric Power Co., Inc. | 87,000 | 7,947,450 |
| Eversource Energy | 88,000 | 7,272,320 |
| NextEra Energy, Inc. | 32,500 | 7,599,150 |
| Xcel Energy, Inc. | 115,126 | 7,079,098 |
| Total | | 29,898,018 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Independent Power and Renewable Electricity Producers 0.1% |
| NRG Energy, Inc. | 40,158 | 1,595,477 |
| Vistra Energy Corp | 36,785 | 975,906 |
| Total | | 2,571,383 |
| Multi-Utilities 0.8% |
| Ameren Corp. | 92,800 | 6,897,824 |
| CMS Energy Corp. | 98,000 | 6,007,400 |
| Dominion Energy, Inc. | 58,500 | 4,861,935 |
| MDU Resources Group, Inc. | 11,170 | 324,377 |
| WEC Energy Group, Inc. | 92,500 | 8,200,125 |
| Total | | 26,291,661 |
| Total Utilities | 58,761,062 |
Total Common Stocks
(Cost $2,532,691,418) | 3,121,714,866 |
| Convertible Preferred Stocks 0.1% |
| Issuer | | Shares | Value ($) |
| Information Technology 0.1% |
| Semiconductors & Semiconductor Equipment 0.1% |
| Broadcom, Inc. | 8.000% | 3,000 | 3,492,660 |
| Total Information Technology | 3,492,660 |
Total Convertible Preferred Stocks
(Cost $3,000,000) | 3,492,660 |
| Rights 0.0% |
| Issuer | Shares | Value ($) |
| Communication Services 0.0% |
| Media 0.0% |
| DISH Network Corp.(a) | 1,129 | 768 |
| Total Communication Services | 768 |
Total Rights
(Cost $—) | 768 |
|
| Money Market Funds 0.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(b),(c) | 17,888,754 | 17,888,754 |
Total Money Market Funds
(Cost $17,888,106) | 17,888,754 |
Total Investments in Securities
(Cost: $2,553,579,524) | 3,143,097,048 |
| Other Assets & Liabilities, Net | | 9,063,974 |
| Net Assets | 3,152,161,022 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Columbia Short-Term Cash Fund, 1.745% |
| | 68,513,047 | 122,791,278 | (173,415,571) | 17,888,754 | 5,054 | 648 | 649,765 | 17,888,754 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 13 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 317,588,601 | — | — | 317,588,601 |
| Consumer Discretionary | 272,414,758 | — | — | 272,414,758 |
| Consumer Staples | 241,793,986 | — | — | 241,793,986 |
| Energy | 225,676,907 | — | — | 225,676,907 |
| Financials | 767,666,562 | — | — | 767,666,562 |
| Health Care | 429,781,681 | — | — | 429,781,681 |
| Industrials | 326,892,769 | — | — | 326,892,769 |
| Information Technology | 360,055,225 | — | — | 360,055,225 |
| Materials | 102,738,578 | — | — | 102,738,578 |
| Real Estate | 18,344,737 | — | — | 18,344,737 |
| Utilities | 58,761,062 | — | — | 58,761,062 |
| Total Common Stocks | 3,121,714,866 | — | — | 3,121,714,866 |
| Convertible Preferred Stocks | | | | |
| Information Technology | — | 3,492,660 | — | 3,492,660 |
| Total Convertible Preferred Stocks | — | 3,492,660 | — | 3,492,660 |
| Rights | | | | |
| Communication Services | 768 | — | — | 768 |
| Total Rights | 768 | — | — | 768 |
| Money Market Funds | 17,888,754 | — | — | 17,888,754 |
| Total Investments in Securities | 3,139,604,388 | 3,492,660 | — | 3,143,097,048 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,535,691,418) | $3,125,208,294 |
| Affiliated issuers (cost $17,888,106) | 17,888,754 |
| Receivable for: | |
| Investments sold | 5,088,531 |
| Capital shares sold | 3,002,941 |
| Dividends | 7,657,716 |
| Foreign tax reclaims | 121,276 |
| Expense reimbursement due from Investment Manager | 2,331 |
| Prepaid expenses | 9,075 |
| Other assets | 11,126 |
| Total assets | 3,158,990,044 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 3,373,550 |
| Capital shares purchased | 2,837,554 |
| Management services fees | 106,907 |
| Distribution and/or service fees | 94 |
| Transfer agent fees | 293,275 |
| Compensation of board members | 87,849 |
| Compensation of chief compliance officer | 319 |
| Other expenses | 129,474 |
| Total liabilities | 6,829,022 |
| Net assets applicable to outstanding capital stock | $3,152,161,022 |
| Represented by | |
| Paid in capital | 2,468,326,640 |
| Total distributable earnings (loss) | 683,834,382 |
| Total - representing net assets applicable to outstanding capital stock | $3,152,161,022 |
| Class A | |
| Net assets | $6,819,300 |
| Shares outstanding | 463,141 |
| Net asset value per share | $14.72 |
| Institutional Class | |
| Net assets | $3,145,341,722 |
| Shares outstanding | 215,861,460 |
| Net asset value per share | $14.57 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 15 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $37,888,645 |
| Dividends — affiliated issuers | 649,765 |
| Foreign taxes withheld | (17,474) |
| Total income | 38,520,936 |
| Expenses: | |
| Management services fees | 9,468,245 |
| Distribution and/or service fees | |
| Class A | 8,384 |
| Transfer agent fees | |
| Class A | 4,083 |
| Institutional Class | 1,859,984 |
| Compensation of board members | 26,911 |
| Custodian fees | 19,458 |
| Printing and postage fees | 121,912 |
| Registration fees | 43,131 |
| Audit fees | 12,623 |
| Legal fees | 20,158 |
| Compensation of chief compliance officer | 319 |
| Other | 23,635 |
| Total expenses | 11,608,843 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (243,748) |
| Total net expenses | 11,365,095 |
| Net investment income | 27,155,841 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 45,304,122 |
| Investments — affiliated issuers | 5,054 |
| Foreign currency translations | (334) |
| Futures contracts | 167,412 |
| Net realized gain | 45,476,254 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 337,635,729 |
| Investments — affiliated issuers | 648 |
| Foreign currency translations | 240 |
| Net change in unrealized appreciation (depreciation) | 337,636,617 |
| Net realized and unrealized gain | 383,112,871 |
| Net increase in net assets resulting from operations | $410,268,712 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income | $27,155,841 | $46,780,126 |
| Net realized gain | 45,476,254 | 165,888,000 |
| Net change in unrealized appreciation (depreciation) | 337,636,617 | (159,785,897) |
| Net increase in net assets resulting from operations | 410,268,712 | 52,882,229 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | (42,745) | (522,174) |
| Institutional Class | (23,193,313) | (208,462,548) |
| Total distributions to shareholders | (23,236,058) | (208,984,722) |
| Decrease in net assets from capital stock activity | (90,808,680) | (134,162,125) |
| Total increase (decrease) in net assets | 296,223,974 | (290,264,618) |
| Net assets at beginning of period | 2,855,937,048 | 3,146,201,666 |
| Net assets at end of period | $3,152,161,022 | $2,855,937,048 |
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 84 | 1,243 | 179 | 2,247 |
| Distributions reinvested | 3,086 | 42,722 | 41,003 | 521,923 |
| Redemptions | (41,789) | (582,106) | (164,751) | (2,250,949) |
| Net decrease | (38,619) | (538,141) | (123,569) | (1,726,779) |
| Institutional Class | | | | |
| Subscriptions | 16,929,819 | 233,575,609 | 42,936,948 | 579,674,205 |
| Distributions reinvested | 1,693,208 | 23,193,313 | 16,523,821 | 208,462,344 |
| Redemptions | (24,831,449) | (347,039,461) | (67,431,842) | (920,571,895) |
| Net decrease | (6,208,422) | (90,270,539) | (7,971,073) | (132,435,346) |
| Total net decrease | (6,247,041) | (90,808,680) | (8,094,642) | (134,162,125) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 17 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | Net asset value,
beginning of
period | Net
investment
income | 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 11/30/2019 (Unaudited) | $12.97 | 0.11 | 1.73 | 1.84 | (0.09) | — | (0.09) |
| Year Ended 5/31/2019 | $13.77 | 0.18 | (0.01)(d) | 0.17 | (0.17) | (0.80) | (0.97) |
| Year Ended 5/31/2018 | $13.09 | 0.16 | 1.16 | 1.32 | (0.16) | (0.48) | (0.64) |
| Year Ended 5/31/2017 | $11.70 | 0.17 | 1.91 | 2.08 | (0.20) | (0.49) | (0.69) |
| Year Ended 5/31/2016 | $12.38 | 0.28 | (0.38) | (0.10) | (0.27) | (0.31) | (0.58) |
| Year Ended 5/31/2015 | $12.53 | 0.27 | 0.47 | 0.74 | (0.27) | (0.62) | (0.89) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $12.83 | 0.12 | 1.72 | 1.84 | (0.10) | — | (0.10) |
| Year Ended 5/31/2019 | $13.64 | 0.21 | (0.02)(d) | 0.19 | (0.20) | (0.80) | (1.00) |
| Year Ended 5/31/2018 | $12.97 | 0.20 | 1.15 | 1.35 | (0.20) | (0.48) | (0.68) |
| Year Ended 5/31/2017(f) | $12.34 | 0.07 | 0.60 | 0.67 | (0.04) | — | (0.04) |
| 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) | 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. |
| (e) | Ratios include line of credit interest expense which is less than 0.01%. |
| (f) | Institutional Class shares commenced operations on January 3, 2017. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $14.72 | 14.21% | 1.01%(c) | 0.99%(c) | 1.53%(c) | 8% | $6,819 |
| Year Ended 5/31/2019 | $12.97 | 1.43% | 1.02% | 1.02% | 1.32% | 20% | $6,505 |
| Year Ended 5/31/2018 | $13.77 | 10.12% | 1.03%(e) | 1.03%(e) | 1.18% | 21% | $8,612 |
| Year Ended 5/31/2017 | $13.09 | 18.19% | 1.06% | 1.06% | 1.40% | 97% | $12,818 |
| Year Ended 5/31/2016 | $11.70 | (0.61%) | 1.15% | 1.13% | 2.43% | 67% | $1,943,911 |
| Year Ended 5/31/2015 | $12.38 | 6.16% | 1.13% | 1.11% | 2.18% | 55% | $1,927,318 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $14.57 | 14.43% | 0.76%(c) | 0.74%(c) | 1.78%(c) | 8% | $3,145,342 |
| Year Ended 5/31/2019 | $12.83 | 1.62% | 0.77% | 0.77% | 1.59% | 20% | $2,849,432 |
| Year Ended 5/31/2018 | $13.64 | 10.41% | 0.78%(e) | 0.78%(e) | 1.46% | 21% | $3,137,590 |
| Year Ended 5/31/2017(f) | $12.97 | 5.39% | 0.82%(c) | 0.82%(c) | 1.43%(c) | 97% | $2,471,575 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 19 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Multi-Manager Value Strategies Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The Trust may issue an unlimited number of shares (without par value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of the share classes listed in the Statement of Assets and Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge. Institutional 3 Class shares commenced operations on December 18, 2019. Effective at start of business on January 27, 2020, Class A shares will merge, in a tax-free transaction, into Institutional Class shares and Class A shares will no longer be offered for sale.
As described in the Fund’s prospectus, Class A shares are offered to the general public for investment. Institutional Class and Institutional 3 Class shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 20 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 21 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
| 22 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended November 30, 2019:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | 167,412 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended November 30, 2019:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 295,024 |
| * | Based on the ending daily outstanding amounts for the six months ended November 30, 2019. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 23 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid each calendar quarter. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
| 24 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by the Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.72% to 0.52% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.62% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements with Dimensional Fund Advisors LP (DFA) and Diamond Hill Capital Management, Inc. (Diamond Hill), to subadvise a portion of the Fund. The Investment Manager compensates DFA and Diamond Hill to manage the investments of a portion of the Fund’s assets.
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 25 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.12 |
| Institutional Class | 0.12 |
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
The Fund may pay distribution and service fees up to a maximum annual rate of 0.25% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.25% for distribution services and up to 0.25% for shareholder liaison services).
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | July 1, 2019
through
September 30, 2020 | Prior to
July 1, 2019 |
| Class A | 0.99% | 1.13% |
| Institutional Class | 0.74 | 0.88 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 2,551,412,000 | 694,190,000 | (102,504,000) | 591,686,000 |
| 26 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $242,708,028 and $283,955,812, respectively, for the six months ended November 30, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended November 30, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 27 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 9. Significant risks
Financial sector risk
The Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Shareholder concentration risk
At November 30, 2019, affiliated shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 1 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 28 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Approval of Management and SubadvisoryAgreements
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Multi-Manager Value Strategies Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, under the subadvisory agreements (the Subadvisory Agreements) between Columbia Threadneedle and each of Diamond Hill Capital Management, Inc. and Dimensional Fund Advisors LP (collectively, the Subadvisers), the Subadvisers perform portfolio management and related services for the Fund.
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement and the Subadvisory Agreements (together, the Advisory Agreements). Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of each of the Advisory Agreements for additional one-year terms. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of advisory and subadvisory agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
Nature, extent and quality of services provided by Columbia Threadneedle and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle and the Subadvisers, as well as their history, reputation, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers and the enhancements made to the Subadviser investment oversight program. With respect to Columbia Threadneedle, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Advisory Agreements, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 29 |
Approval of Management and Subadvisory
Agreements (continued)
the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle in addition to monitoring each Subadviser), noting that no material changes are proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Funds under the Fund Management Agreements. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
With respect to the Subadvisers, the Board observed that it had previously approved each Subadviser’s code of ethics and compliance program, that the Chief Compliance Officer of the Fund continues to monitor the code and the program, and that no material concerns have been reported. The Board also considered each Subadviser’s organizational strength and resources, portfolio management team depth and capabilities and investment process. The Board also considered each Subadviser’s capability and wherewithal to carry out its responsibilities under the applicable Subadvisory Agreement. In addition, the Board discussed the acceptability of the terms of the Subadvisory Agreements, including the scope of services required to be performed. The Board noted that the terms of the Subadvisory Agreements are generally consistent with the terms of other subadviser agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no material changes were recommended to the Subadvisory Agreements. The Board took into account Columbia Threadneedle’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the subadvisory oversight team and their significant resources added in recent years to help improve performance.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that each Subadviser is in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Advisory Agreements, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the product score of the Fund (taking into account performance relative to peers and benchmarks) and (v) the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Additionally, the Board reviewed the performance of each of the Subadvisers and Columbia Threadneedle’s process for monitoring each Subadviser. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that Columbia Threadneedle’s profitability is not a key factor in their recommendation to select, renew or terminate the Subadviser.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle, its affiliates and the Subadvisers from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under each of the Advisory Agreements. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the
| 30 | Multi-Manager Value Strategies Fund | Semiannual Report 2019 |
Approval of Management and Subadvisory
Agreements (continued)
primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports.
Additionally, the Board reviewed the level of subadvisory fees paid to each Subadviser, noting that the fees are paid by the Investment Manager and do not impact the fees paid by the Fund. The Board also reviewed the fees charged by the Subadvisers to other mutual funds employing similar investment strategies where the Subadvisers serves as investment adviser or subadviser. The Board also reviewed advisory fee rates charged by other comparable mutual funds employing each Subadviser to provide subadvisory services. Based on its reviews, including JDL’s conclusions/analyses, the Board concluded that the Fund’s investment management and subadvisory fees were fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
Multi-Manager Value Strategies Fund | Semiannual Report 2019
| 31 |
Multi-Manager Value Strategies Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia Large Cap Value Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Large Cap Value Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Large Cap Value Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with a high level of current income and, as a secondary objective, steady growth of capital.
Portfolio management
Hugh Mullin, CFA
Portfolio Manager
Managed Fund since 2013
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2020 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class A | Excluding sales charges | 10/15/90 | 13.84 | 12.29 | 7.73 | 10.59 |
| | Including sales charges | | 7.31 | 5.82 | 6.46 | 9.94 |
| Advisor Class | 12/11/06 | 13.98 | 12.66 | 8.01 | 10.75 |
| Class C | Excluding sales charges | 06/26/00 | 13.39 | 11.48 | 6.93 | 9.77 |
| | Including sales charges | | 12.39 | 10.48 | 6.93 | 9.77 |
| Institutional Class* | 09/27/10 | 13.91 | 12.59 | 7.99 | 10.85 |
| Institutional 2 Class | 12/11/06 | 14.01 | 12.73 | 8.08 | 10.99 |
| Institutional 3 Class* | 11/08/12 | 14.01 | 12.76 | 8.13 | 10.90 |
| Class R | 12/11/06 | 13.72 | 12.09 | 7.47 | 10.32 |
| Russell 1000 Value Index | | 13.56 | 11.33 | 7.83 | 11.69 |
Returns for Class A shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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. |
The Russell 1000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at November 30, 2019) |
| JPMorgan Chase & Co. | 4.4 |
| Berkshire Hathaway, Inc., Class B | 4.1 |
| Johnson & Johnson | 3.4 |
| Procter & Gamble Co. (The) | 3.0 |
| AT&T, Inc. | 2.9 |
| Citigroup, Inc. | 2.8 |
| Wells Fargo & Co. | 2.6 |
| Comcast Corp., Class A | 2.6 |
| Chevron Corp. | 2.5 |
| Philip Morris International, Inc. | 2.1 |
Percentages indicated are based upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at November 30, 2019) |
| Common Stocks | 98.5 |
| Convertible Bonds | 0.5 |
| Money Market Funds | 1.0 |
| Rights | 0.0(a) |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at November 30, 2019) |
| Communication Services | 6.2 |
| Consumer Discretionary | 6.2 |
| Consumer Staples | 8.5 |
| Energy | 8.0 |
| Financials | 25.9 |
| Health Care | 13.1 |
| Industrials | 7.8 |
| Information Technology | 9.0 |
| Materials | 5.5 |
| Real Estate | 4.4 |
| Utilities | 5.4 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,138.40 | 1,019.79 | 5.42 | 5.12 | 1.02 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,139.80 | 1,021.03 | 4.10 | 3.87 | 0.77 |
| Class C | 1,000.00 | 1,000.00 | 1,133.90 | 1,016.06 | 9.39 | 8.87 | 1.77 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,139.10 | 1,021.03 | 4.10 | 3.87 | 0.77 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,140.10 | 1,021.33 | 3.78 | 3.57 | 0.71 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,140.10 | 1,021.43 | 3.67 | 3.47 | 0.69 |
| Class R | 1,000.00 | 1,000.00 | 1,137.20 | 1,018.55 | 6.75 | 6.37 | 1.27 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 98.2% |
| Issuer | Shares | Value ($) |
| Communication Services 6.1% |
| Diversified Telecommunication Services 2.8% |
| AT&T, Inc. | 1,518,400 | 56,757,792 |
| Media 3.3% |
| Comcast Corp., Class A | 1,177,700 | 51,995,455 |
| DISH Network Corp., Class A(a) | 385,045 | 13,156,988 |
| Total | | 65,152,443 |
| Total Communication Services | 121,910,235 |
| Consumer Discretionary 6.1% |
| Automobiles 1.0% |
| General Motors Co. | 546,300 | 19,666,800 |
| Hotels, Restaurants & Leisure 1.5% |
| Royal Caribbean Cruises Ltd. | 251,732 | 30,212,875 |
| Household Durables 1.4% |
| Toll Brothers, Inc. | 688,100 | 27,640,977 |
| Specialty Retail 1.4% |
| Home Depot, Inc. (The) | 124,400 | 27,431,444 |
| Textiles, Apparel & Luxury Goods 0.8% |
| Levi Strauss & Co., Class A | 963,500 | 16,167,530 |
| Total Consumer Discretionary | 121,119,626 |
| Consumer Staples 8.3% |
| Food & Staples Retailing 2.0% |
| Walmart, Inc. | 327,300 | 38,978,157 |
| Food Products 1.2% |
| General Mills, Inc. | 463,900 | 24,735,148 |
| Household Products 3.0% |
| Procter & Gamble Co. (The) | 491,459 | 59,987,486 |
| Tobacco 2.1% |
| Philip Morris International, Inc. | 510,480 | 42,334,106 |
| Total Consumer Staples | 166,034,897 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Energy 7.8% |
| Oil, Gas & Consumable Fuels 7.8% |
| BP PLC, ADR | 477,700 | 17,875,534 |
| Chevron Corp. | 420,200 | 49,218,026 |
| Cimarex Energy Co. | 310,700 | 14,282,879 |
| ConocoPhillips Co. | 491,528 | 29,462,188 |
| EOG Resources, Inc. | 292,600 | 20,745,340 |
| Valero Energy Corp. | 261,500 | 24,970,635 |
| Total | | 156,554,602 |
| Total Energy | 156,554,602 |
| Financials 25.4% |
| Banks 13.8% |
| Citigroup, Inc. | 734,300 | 55,160,616 |
| JPMorgan Chase & Co. | 659,300 | 86,869,368 |
| PNC Financial Services Group, Inc. (The) | 221,800 | 33,981,978 |
| Regions Financial Corp. | 1,403,000 | 23,345,920 |
| SunTrust Banks, Inc. | 352,300 | 24,956,932 |
| Wells Fargo & Co. | 958,200 | 52,183,572 |
| Total | | 276,498,386 |
| Capital Markets 3.2% |
| Intercontinental Exchange, Inc. | 290,500 | 27,356,385 |
| Morgan Stanley | 746,296 | 36,926,726 |
| Total | | 64,283,111 |
| Diversified Financial Services 4.1% |
| Berkshire Hathaway, Inc., Class B(a) | 368,600 | 81,202,580 |
| Insurance 4.3% |
| Allstate Corp. (The) | 239,624 | 26,682,132 |
| Chubb Ltd. | 197,600 | 29,932,448 |
| Lincoln National Corp. | 479,900 | 28,338,095 |
| Total | | 84,952,675 |
| Total Financials | 506,936,752 |
| Health Care 12.9% |
| Health Care Equipment & Supplies 3.4% |
| Baxter International, Inc. | 307,600 | 25,213,972 |
| Medtronic PLC | 377,900 | 42,094,281 |
| Total | | 67,308,253 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care Providers & Services 2.7% |
| Cigna Corp. | 134,200 | 26,829,264 |
| Humana, Inc. | 76,800 | 26,206,464 |
| Total | | 53,035,728 |
| Pharmaceuticals 6.8% |
| Bristol-Myers Squibb Co. | 502,800 | 28,629,432 |
| Jazz Pharmaceuticals PLC(a) | 96,700 | 14,613,304 |
| Johnson & Johnson | 487,700 | 67,053,873 |
| Merck & Co., Inc. | 298,100 | 25,988,358 |
| Total | | 136,284,967 |
| Total Health Care | 256,628,948 |
| Industrials 7.7% |
| Aerospace & Defense 1.4% |
| Northrop Grumman Corp. | 77,600 | 27,297,352 |
| Airlines 1.5% |
| Alaska Air Group, Inc. | 441,800 | 30,488,618 |
| Industrial Conglomerates 1.2% |
| 3M Co. | 135,900 | 23,071,743 |
| Machinery 2.1% |
| Gardner Denver Holdings, Inc.(a) | 606,400 | 20,538,768 |
| Ingersoll-Rand PLC | 169,100 | 22,170,701 |
| Total | | 42,709,469 |
| Road & Rail 1.5% |
| Norfolk Southern Corp. | 157,800 | 30,534,300 |
| Total Industrials | 154,101,482 |
| Information Technology 8.9% |
| Communications Equipment 1.2% |
| Cisco Systems, Inc. | 512,200 | 23,207,782 |
| IT Services 1.0% |
| MasterCard, Inc., Class A | 69,900 | 20,426,877 |
| Semiconductors & Semiconductor Equipment 3.5% |
| Broadcom, Inc. | 71,700 | 22,672,257 |
| Lam Research Corp. | 108,400 | 28,924,372 |
| ON Semiconductor Corp.(a) | 843,800 | 18,116,386 |
| Total | | 69,713,015 |
| Software 1.1% |
| Microsoft Corp. | 146,300 | 22,146,894 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Technology Hardware, Storage & Peripherals 2.1% |
| Apple, Inc. | 67,300 | 17,985,925 |
| Western Digital Corp. | 464,500 | 23,378,285 |
| Total | | 41,364,210 |
| Total Information Technology | 176,858,778 |
| Materials 5.4% |
| Chemicals 3.6% |
| Albemarle Corp. | 286,500 | 18,731,370 |
| DuPont de Nemours, Inc. | 393,700 | 25,515,697 |
| Eastman Chemical Co. | 345,156 | 27,049,876 |
| Total | | 71,296,943 |
| Metals & Mining 1.8% |
| Freeport-McMoRan, Inc. | 1,694,246 | 19,280,519 |
| Steel Dynamics, Inc. | 499,600 | 16,851,508 |
| Total | | 36,132,027 |
| Total Materials | 107,428,970 |
| Real Estate 4.3% |
| Equity Real Estate Investment Trusts (REITS) 4.3% |
| Alexandria Real Estate Equities, Inc. | 195,000 | 31,691,400 |
| American Tower Corp. | 141,300 | 30,242,439 |
| Duke Realty Corp. | 691,515 | 24,327,498 |
| Total | | 86,261,337 |
| Total Real Estate | 86,261,337 |
| Utilities 5.3% |
| Electric Utilities 3.7% |
| American Electric Power Co., Inc. | 413,700 | 37,791,495 |
| Xcel Energy, Inc. | 577,600 | 35,516,624 |
| Total | | 73,308,119 |
| Multi-Utilities 1.6% |
| Ameren Corp. | 443,886 | 32,994,046 |
| Total Utilities | 106,302,165 |
Total Common Stocks
(Cost $1,389,003,139) | 1,960,137,792 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Convertible Bonds 0.5% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cable and Satellite 0.5% |
| DISH Network Corp. |
| 08/15/2026 | 3.375% | | 9,732,000 | 9,178,493 |
Total Convertible Bonds
(Cost $9,732,000) | 9,178,493 |
| Rights 0.0% |
| Issuer | Shares | Value ($) |
| Communication Services 0.0% |
| Media 0.0% |
| DISH Network Corp.(a) | 28,923 | 19,668 |
| Total Communication Services | 19,668 |
Total Rights
(Cost $—) | 19,668 |
|
| Money Market Funds 1.0% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(b),(c) | 20,244,018 | 20,244,018 |
Total Money Market Funds
(Cost $20,242,238) | 20,244,018 |
Total Investments in Securities
(Cost: $1,418,977,377) | 1,989,579,971 |
| Other Assets & Liabilities, Net | | 5,722,685 |
| Net Assets | 1,995,302,656 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Columbia Short-Term Cash Fund, 1.745% |
| | 21,310,856 | 113,753,030 | (114,819,868) | 20,244,018 | (340) | 1,780 | 301,936 | 20,244,018 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. 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). |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
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.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) |
| Investments in Securities | | | | | |
| Common Stocks | | | | | |
| Communication Services | 121,910,235 | — | — | — | 121,910,235 |
| Consumer Discretionary | 121,119,626 | — | — | — | 121,119,626 |
| Consumer Staples | 166,034,897 | — | — | — | 166,034,897 |
| Energy | 156,554,602 | — | — | — | 156,554,602 |
| Financials | 506,936,752 | — | — | — | 506,936,752 |
| Health Care | 256,628,948 | — | — | — | 256,628,948 |
| Industrials | 154,101,482 | — | — | — | 154,101,482 |
| Information Technology | 176,858,778 | — | — | — | 176,858,778 |
| Materials | 107,428,970 | — | — | — | 107,428,970 |
| Real Estate | 86,261,337 | — | — | — | 86,261,337 |
| Utilities | 106,302,165 | — | — | — | 106,302,165 |
| Total Common Stocks | 1,960,137,792 | — | — | — | 1,960,137,792 |
| Convertible Bonds | — | 9,178,493 | — | — | 9,178,493 |
| Rights | | | | | |
| Communication Services | 19,668 | — | — | — | 19,668 |
| Money Market Funds | 20,244,018 | — | — | — | 20,244,018 |
| Total Investments in Securities | 1,980,401,478 | 9,178,493 | — | — | 1,989,579,971 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 9 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,398,735,139) | $1,969,335,953 |
| Affiliated issuers (cost $20,242,238) | 20,244,018 |
| Receivable for: | |
| Capital shares sold | 3,696,445 |
| Dividends | 3,443,763 |
| Interest | 95,799 |
| Prepaid expenses | 6,545 |
| Total assets | 1,996,822,523 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 918,943 |
| Management services fees | 70,747 |
| Distribution and/or service fees | 25,265 |
| Transfer agent fees | 168,309 |
| Compensation of board members | 241,322 |
| Compensation of chief compliance officer | 217 |
| Other expenses | 95,064 |
| Total liabilities | 1,519,867 |
| Net assets applicable to outstanding capital stock | $1,995,302,656 |
| Represented by | |
| Paid in capital | 1,331,195,553 |
| Total distributable earnings (loss) | 664,107,103 |
| Total - representing net assets applicable to outstanding capital stock | $1,995,302,656 |
| Class A | |
| Net assets | $1,738,219,896 |
| Shares outstanding | 121,520,768 |
| Net asset value per share | $14.30 |
| 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) | $15.17 |
| Advisor Class | |
| Net assets | $36,110,110 |
| Shares outstanding | 2,525,241 |
| Net asset value per share | $14.30 |
| Class C | |
| Net assets | $23,347,759 |
| Shares outstanding | 1,638,388 |
| Net asset value per share | $14.25 |
| Institutional Class | |
| Net assets | $169,183,051 |
| Shares outstanding | 11,843,451 |
| Net asset value per share | $14.28 |
| Institutional 2 Class | |
| Net assets | $20,986,884 |
| Shares outstanding | 1,466,593 |
| Net asset value per share | $14.31 |
| Institutional 3 Class | |
| Net assets | $4,107,819 |
| Shares outstanding | 283,752 |
| Net asset value per share | $14.48 |
| Class R | |
| Net assets | $3,347,137 |
| Shares outstanding | 235,728 |
| Net asset value per share | $14.20 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $24,541,815 |
| Dividends — affiliated issuers | 301,936 |
| Interest | 163,315 |
| Total income | 25,007,066 |
| Expenses: | |
| Management services fees | 6,303,425 |
| Distribution and/or service fees | |
| Class A | 2,123,951 |
| Class C | 117,596 |
| Class R | 8,567 |
| Transfer agent fees | |
| Class A | 812,085 |
| Advisor Class | 16,737 |
| Class C | 11,241 |
| Institutional Class | 79,571 |
| Institutional 2 Class | 3,600 |
| Institutional 3 Class | 316 |
| Class R | 1,638 |
| Compensation of board members | 24,307 |
| Custodian fees | 7,419 |
| Printing and postage fees | 70,263 |
| Registration fees | 68,241 |
| Audit fees | 12,623 |
| Legal fees | 14,495 |
| Compensation of chief compliance officer | 217 |
| Other | 23,378 |
| Total expenses | 9,699,670 |
| Expense reduction | (100) |
| Total net expenses | 9,699,570 |
| Net investment income | 15,307,496 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 54,854,501 |
| Investments — affiliated issuers | (340) |
| Net realized gain | 54,854,161 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 181,417,520 |
| Investments — affiliated issuers | 1,780 |
| Net change in unrealized appreciation (depreciation) | 181,419,300 |
| Net realized and unrealized gain | 236,273,461 |
| Net increase in net assets resulting from operations | $251,580,957 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income | $15,307,496 | $30,728,282 |
| Net realized gain | 54,854,161 | 94,235,230 |
| Net change in unrealized appreciation (depreciation) | 181,419,300 | (107,727,908) |
| Net increase in net assets resulting from operations | 251,580,957 | 17,235,604 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | (13,312,704) | (177,014,873) |
| Advisor Class | (316,024) | (3,988,155) |
| Class C | (99,687) | (2,618,821) |
| Institutional Class | (1,515,050) | (18,120,879) |
| Institutional 2 Class | (165,216) | (1,848,583) |
| Institutional 3 Class | (29,888) | (317,596) |
| Class R | (23,122) | (392,719) |
| Class T | — | (262) |
| Total distributions to shareholders | (15,461,691) | (204,301,888) |
| Decrease in net assets from capital stock activity | (102,573,281) | (127,369,635) |
| Total increase (decrease) in net assets | 133,545,985 | (314,435,919) |
| Net assets at beginning of period | 1,861,756,671 | 2,176,192,590 |
| Net assets at end of period | $1,995,302,656 | $1,861,756,671 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 1,566,425 | 21,481,736 | 4,254,622 | 58,832,902 |
| Distributions reinvested | 980,188 | 13,229,433 | 14,202,314 | 175,961,680 |
| Redemptions | (9,108,593) | (124,228,939) | (21,190,976) | (286,158,135) |
| Net decrease | (6,561,980) | (89,517,770) | (2,734,040) | (51,363,553) |
| Advisor Class | | | | |
| Subscriptions | 196,363 | 2,696,976 | 351,137 | 4,811,765 |
| Distributions reinvested | 23,429 | 315,939 | 321,475 | 3,987,564 |
| Redemptions | (372,599) | (5,020,673) | (993,676) | (13,287,254) |
| Net decrease | (152,807) | (2,007,758) | (321,064) | (4,487,925) |
| Class C | | | | |
| Subscriptions | 83,328 | 1,130,843 | 172,137 | 2,290,456 |
| Distributions reinvested | 7,155 | 96,231 | 206,013 | 2,532,732 |
| Redemptions | (326,273) | (4,415,715) | (2,609,263) | (36,476,485) |
| Net decrease | (235,790) | (3,188,641) | (2,231,113) | (31,653,297) |
| Institutional Class | | | | |
| Subscriptions | 1,194,446 | 16,277,429 | 2,496,651 | 33,737,204 |
| Distributions reinvested | 112,101 | 1,510,790 | 1,456,853 | 18,062,501 |
| Redemptions | (2,070,937) | (28,264,704) | (5,133,107) | (69,431,257) |
| Net decrease | (764,390) | (10,476,485) | (1,179,603) | (17,631,552) |
| Institutional 2 Class | | | | |
| Subscriptions | 306,451 | 4,212,532 | 240,229 | 3,247,070 |
| Distributions reinvested | 12,144 | 163,923 | 147,958 | 1,848,583 |
| Redemptions | (152,313) | (2,067,831) | (1,881,261) | (26,509,591) |
| Net increase (decrease) | 166,282 | 2,308,624 | (1,493,074) | (21,413,938) |
| Institutional 3 Class | | | | |
| Subscriptions | 87,273 | 1,208,697 | 102,339 | 1,426,579 |
| Distributions reinvested | 2,184 | 29,864 | 25,233 | 317,242 |
| Redemptions | (19,997) | (276,007) | (144,499) | (1,988,864) |
| Net increase (decrease) | 69,460 | 962,554 | (16,927) | (245,043) |
| Class R | | | | |
| Subscriptions | 21,651 | 290,646 | 49,122 | 681,830 |
| Distributions reinvested | 1,692 | 22,689 | 30,369 | 373,123 |
| Redemptions | (71,919) | (967,140) | (118,560) | (1,626,980) |
| Net decrease | (48,576) | (653,805) | (39,069) | (572,027) |
| Class T | | | | |
| Redemptions | — | — | (191) | (2,300) |
| Net decrease | — | — | (191) | (2,300) |
| Total net decrease | (7,527,801) | (102,573,281) | (8,015,081) | (127,369,635) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | Net asset value,
beginning of
period | Net
investment
income | 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 11/30/2019 (Unaudited) | $12.66 | 0.11 | 1.64 | 1.75 | (0.11) | — | (0.11) |
| Year Ended 5/31/2019 | $14.04 | 0.20 | (0.16) | 0.04 | (0.19) | (1.23) | (1.42) |
| Year Ended 5/31/2018 | $13.92 | 0.17 | 0.94 | 1.11 | (0.16) | (0.83) | (0.99) |
| Year Ended 5/31/2017 | $12.35 | 0.18 | 1.79 | 1.97 | (0.17) | (0.23) | (0.40) |
| Year Ended 5/31/2016 | $14.26 | 0.17 | (0.44) | (0.27) | (0.25) | (1.39) | (1.64) |
| Year Ended 5/31/2015 | $14.25 | 0.23 | 1.05 | 1.28 | (0.17) | (1.10) | (1.27) |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $12.66 | 0.12 | 1.64 | 1.76 | (0.12) | — | (0.12) |
| Year Ended 5/31/2019 | $14.03 | 0.24 | (0.15) | 0.09 | (0.23) | (1.23) | (1.46) |
| Year Ended 5/31/2018 | $13.91 | 0.21 | 0.94 | 1.15 | (0.20) | (0.83) | (1.03) |
| Year Ended 5/31/2017 | $12.35 | 0.21 | 1.79 | 2.00 | (0.21) | (0.23) | (0.44) |
| Year Ended 5/31/2016 | $14.26 | 0.20 | (0.43) | (0.23) | (0.29) | (1.39) | (1.68) |
| Year Ended 5/31/2015 | $14.24 | 0.26 | 1.06 | 1.32 | (0.20) | (1.10) | (1.30) |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $12.62 | 0.05 | 1.64 | 1.69 | (0.06) | — | (0.06) |
| Year Ended 5/31/2019 | $13.99 | 0.10 | (0.15) | (0.05) | (0.09) | (1.23) | (1.32) |
| Year Ended 5/31/2018 | $13.88 | 0.06 | 0.93 | 0.99 | (0.05) | (0.83) | (0.88) |
| Year Ended 5/31/2017 | $12.32 | 0.08 | 1.79 | 1.87 | (0.08) | (0.23) | (0.31) |
| Year Ended 5/31/2016 | $14.22 | 0.07 | (0.43) | (0.36) | (0.15) | (1.39) | (1.54) |
| Year Ended 5/31/2015 | $14.21 | 0.12 | 1.05 | 1.17 | (0.06) | (1.10) | (1.16) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $12.65 | 0.12 | 1.63 | 1.75 | (0.12) | — | (0.12) |
| Year Ended 5/31/2019 | $14.02 | 0.24 | (0.15) | 0.09 | (0.23) | (1.23) | (1.46) |
| Year Ended 5/31/2018 | $13.90 | 0.20 | 0.95 | 1.15 | (0.20) | (0.83) | (1.03) |
| Year Ended 5/31/2017 | $12.34 | 0.20 | 1.80 | 2.00 | (0.21) | (0.23) | (0.44) |
| Year Ended 5/31/2016 | $14.25 | 0.20 | (0.43) | (0.23) | (0.29) | (1.39) | (1.68) |
| Year Ended 5/31/2015 | $14.24 | 0.27 | 1.04 | 1.31 | (0.20) | (1.10) | (1.30) |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $12.67 | 0.13 | 1.64 | 1.77 | (0.13) | — | (0.13) |
| Year Ended 5/31/2019 | $14.04 | 0.25 | (0.15) | 0.10 | (0.24) | (1.23) | (1.47) |
| Year Ended 5/31/2018 | $13.93 | 0.21 | 0.93 | 1.14 | (0.20) | (0.83) | (1.03) |
| Year Ended 5/31/2017 | $12.36 | 0.22 | 1.80 | 2.02 | (0.22) | (0.23) | (0.45) |
| Year Ended 5/31/2016 | $14.27 | 0.21 | (0.43) | (0.22) | (0.30) | (1.39) | (1.69) |
| Year Ended 5/31/2015 | $14.26 | 0.29 | 1.04 | 1.33 | (0.22) | (1.10) | (1.32) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $14.30 | 13.84% | 1.02%(c) | 1.02%(c),(d) | 1.56%(c) | 8% | $1,738,220 |
| Year Ended 5/31/2019 | $12.66 | 0.62% | 1.02% | 1.02%(d) | 1.49% | 23% | $1,621,964 |
| Year Ended 5/31/2018 | $14.04 | 7.82% | 1.01% | 1.01%(d) | 1.17% | 21% | $1,836,324 |
| Year Ended 5/31/2017 | $13.92 | 16.17% | 1.03% | 1.03%(d) | 1.40% | 31% | $1,986,051 |
| Year Ended 5/31/2016 | $12.35 | (1.34%) | 1.04% | 1.04%(d) | 1.31% | 43% | $2,159,152 |
| Year Ended 5/31/2015 | $14.26 | 9.34% | 1.05% | 1.05%(d) | 1.61% | 48% | $2,434,631 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $14.30 | 13.98% | 0.77%(c) | 0.77%(c),(d) | 1.81%(c) | 8% | $36,110 |
| Year Ended 5/31/2019 | $12.66 | 0.95% | 0.77% | 0.77%(d) | 1.74% | 23% | $33,903 |
| Year Ended 5/31/2018 | $14.03 | 8.10% | 0.77% | 0.77%(d) | 1.50% | 21% | $42,087 |
| Year Ended 5/31/2017 | $13.91 | 16.37% | 0.78% | 0.78%(d) | 1.63% | 31% | $9,409 |
| Year Ended 5/31/2016 | $12.35 | (1.07%) | 0.79% | 0.79%(d) | 1.56% | 43% | $7,052 |
| Year Ended 5/31/2015 | $14.26 | 9.69% | 0.80% | 0.80%(d) | 1.81% | 48% | $10,520 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $14.25 | 13.39% | 1.77%(c) | 1.77%(c),(d) | 0.80%(c) | 8% | $23,348 |
| Year Ended 5/31/2019 | $12.62 | (0.06%) | 1.76% | 1.76%(d) | 0.74% | 23% | $23,646 |
| Year Ended 5/31/2018 | $13.99 | 6.96% | 1.76% | 1.76%(d) | 0.41% | 21% | $57,445 |
| Year Ended 5/31/2017 | $13.88 | 15.28% | 1.78% | 1.78%(d) | 0.64% | 31% | $66,229 |
| Year Ended 5/31/2016 | $12.32 | (2.02%) | 1.79% | 1.79%(d) | 0.56% | 43% | $64,809 |
| Year Ended 5/31/2015 | $14.22 | 8.55% | 1.80% | 1.80%(d) | 0.87% | 48% | $72,010 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $14.28 | 13.91% | 0.77%(c) | 0.77%(c),(d) | 1.81%(c) | 8% | $169,183 |
| Year Ended 5/31/2019 | $12.65 | 0.96% | 0.77% | 0.77%(d) | 1.74% | 23% | $159,448 |
| Year Ended 5/31/2018 | $14.02 | 8.10% | 0.76% | 0.76%(d) | 1.42% | 21% | $193,314 |
| Year Ended 5/31/2017 | $13.90 | 16.38% | 0.79% | 0.79%(d) | 1.52% | 31% | $210,649 |
| Year Ended 5/31/2016 | $12.34 | (1.08%) | 0.79% | 0.79%(d) | 1.57% | 43% | $17,788 |
| Year Ended 5/31/2015 | $14.25 | 9.62% | 0.80% | 0.80%(d) | 1.90% | 48% | $20,150 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $14.31 | 14.01% | 0.71%(c) | 0.71%(c) | 1.85%(c) | 8% | $20,987 |
| Year Ended 5/31/2019 | $12.67 | 1.02% | 0.70% | 0.70% | 1.82% | 23% | $16,474 |
| Year Ended 5/31/2018 | $14.04 | 8.08% | 0.71% | 0.71% | 1.47% | 21% | $39,230 |
| Year Ended 5/31/2017 | $13.93 | 16.53% | 0.71% | 0.71% | 1.70% | 31% | $38,168 |
| Year Ended 5/31/2016 | $12.36 | (0.98%) | 0.71% | 0.71% | 1.64% | 43% | $31,899 |
| Year Ended 5/31/2015 | $14.27 | 9.73% | 0.70% | 0.70% | 2.00% | 48% | $29,830 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 15 |
Financial Highlights (continued)
| | Net asset value,
beginning of
period | Net
investment
income | 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 11/30/2019 (Unaudited) | $12.82 | 0.13 | 1.66 | 1.79 | (0.13) | — | (0.13) |
| Year Ended 5/31/2019 | $14.19 | 0.25 | (0.15) | 0.10 | (0.24) | (1.23) | (1.47) |
| Year Ended 5/31/2018 | $14.06 | 0.23 | 0.94 | 1.17 | (0.21) | (0.83) | (1.04) |
| Year Ended 5/31/2017 | $12.47 | 0.24 | 1.80 | 2.04 | (0.22) | (0.23) | (0.45) |
| Year Ended 5/31/2016 | $14.38 | 0.22 | (0.44) | (0.22) | (0.30) | (1.39) | (1.69) |
| Year Ended 5/31/2015 | $14.36 | 0.21 | 1.14 | 1.35 | (0.23) | (1.10) | (1.33) |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $12.57 | 0.09 | 1.63 | 1.72 | (0.09) | — | (0.09) |
| Year Ended 5/31/2019 | $13.95 | 0.17 | (0.16) | 0.01 | (0.16) | (1.23) | (1.39) |
| Year Ended 5/31/2018 | $13.83 | 0.13 | 0.94 | 1.07 | (0.12) | (0.83) | (0.95) |
| Year Ended 5/31/2017 | $12.28 | 0.15 | 1.77 | 1.92 | (0.14) | (0.23) | (0.37) |
| Year Ended 5/31/2016 | $14.18 | 0.14 | (0.43) | (0.29) | (0.22) | (1.39) | (1.61) |
| Year Ended 5/31/2015 | $14.18 | 0.19 | 1.04 | 1.23 | (0.13) | (1.10) | (1.23) |
| 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%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $14.48 | 14.01% | 0.69%(c) | 0.69%(c) | 1.87%(c) | 8% | $4,108 |
| Year Ended 5/31/2019 | $12.82 | 1.03% | 0.69% | 0.69% | 1.82% | 23% | $2,746 |
| Year Ended 5/31/2018 | $14.19 | 8.18% | 0.69% | 0.68% | 1.56% | 21% | $3,281 |
| Year Ended 5/31/2017 | $14.06 | 16.60% | 0.67% | 0.67% | 1.87% | 31% | $747 |
| Year Ended 5/31/2016 | $12.47 | (0.93%) | 0.66% | 0.66% | 1.68% | 43% | $403 |
| Year Ended 5/31/2015 | $14.38 | 9.79% | 0.64% | 0.64% | 1.42% | 48% | $362 |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $14.20 | 13.72% | 1.27%(c) | 1.27%(c),(d) | 1.30%(c) | 8% | $3,347 |
| Year Ended 5/31/2019 | $12.57 | 0.37% | 1.27% | 1.27%(d) | 1.24% | 23% | $3,574 |
| Year Ended 5/31/2018 | $13.95 | 7.61% | 1.26% | 1.26%(d) | 0.91% | 21% | $4,510 |
| Year Ended 5/31/2017 | $13.83 | 15.82% | 1.28% | 1.28%(d) | 1.15% | 31% | $5,689 |
| Year Ended 5/31/2016 | $12.28 | (1.52%) | 1.29% | 1.29%(d) | 1.07% | 43% | $5,688 |
| Year Ended 5/31/2015 | $14.18 | 9.04% | 1.30% | 1.30%(d) | 1.36% | 48% | $7,687 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 17 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia Large Cap Value Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple
| 18 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as realized gains.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 19 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid each calendar quarter. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
| 20 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.72% to 0.52% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.65% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 21 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.10 |
| Advisor Class | 0.10 |
| Class C | 0.10 |
| Institutional Class | 0.10 |
| Institutional 2 Class | 0.04 |
| Institutional 3 Class | 0.02 |
| Class R | 0.10 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended November 30, 2019, these minimum account balance fees reduced total expenses of the Fund by $100.
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25%, 1.00% and 0.50% of the Fund’s average daily net assets attributable to Class A, Class C and Class R shares, respectively. For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses. For Class R shares, of the 0.50% fee, up to 0.25% can be reimbursed for shareholder servicing expenses.
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $604,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 5.75 | 0.50 - 1.00(a) | 185,941 |
| Class C | — | 1.00(b) | 292 |
| (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. |
The Fund’s other share classes are not subject to sales charges.
| 22 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 1.07% | 1.13% |
| Advisor Class | 0.82 | 0.88 |
| Class C | 1.82 | 1.88 |
| Institutional Class | 0.82 | 0.88 |
| Institutional 2 Class | 0.76 | 0.82 |
| Institutional 3 Class | 0.74 | 0.80 |
| Class R | 1.32 | 1.38 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 1,418,977,000 | 632,070,000 | (61,467,000) | 570,603,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $144,973,525 and $249,568,935, respectively, for the six months ended November 30, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 23 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended November 30, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Note 9. Significant risks
Financial sector risk
The Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
| 24 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Shareholder concentration risk
At November 30, 2019, affiliated shareholders of record owned 84.8% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Large Cap Value Fund | Semiannual Report 2019
| 25 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Large Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as its history, reputation, expertise, resources and capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
| 26 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds under the Management Agreement. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group, the product score of the Fund (taking into account performance relative to peers and benchmarks) and the net assets of the Fund. The Board observed the Fund’s underperformance for certain recent periods, noting though that the Fund’s longer term record was consistent with expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall
Columbia Large Cap Value Fund | Semiannual Report 2019
| 27 |
Approval of Management Agreement (continued)
reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 28 | Columbia Large Cap Value Fund | Semiannual Report 2019 |
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Columbia Large Cap Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia Seligman Communications and Information Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Seligman Communications and Information Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with capital gain.
Portfolio management
Paul Wick
Lead Portfolio Manager
Managed Fund since 1990
Shekhar Pramanick
Technology Team Member
Managed Fund since 2013
Sanjay Devgan
Technology Team Member
Managed Fund since 2013
Jeetil Patel
Technology Team Member
Managed Fund since 2015
Christopher Boova
Technology Team Member
Managed Fund since 2016
Vimal Patel
Technology Team Member
Managed Fund since 2018
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2020 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class A | Excluding sales charges | 06/23/83 | 25.97 | 33.80 | 18.21 | 15.92 |
| | Including sales charges | | 18.74 | 26.11 | 16.82 | 15.23 |
| Advisor Class | 08/03/09 | 26.12 | 34.13 | 18.51 | 16.08 |
| Class C | Excluding sales charges | 05/27/99 | 25.49 | 32.80 | 17.32 | 15.05 |
| | Including sales charges | | 24.49 | 31.80 | 17.32 | 15.05 |
| Institutional Class* | 09/27/10 | 26.13 | 34.13 | 18.51 | 16.20 |
| Institutional 2 Class | 11/30/01 | 26.15 | 34.19 | 18.60 | 16.32 |
| Institutional 3 Class* | 03/01/17 | 26.18 | 34.27 | 18.44 | 16.03 |
| Class R | 04/30/03 | 25.81 | 33.46 | 17.92 | 15.61 |
| S&P North American Technology Sector Index | | 17.71 | 26.66 | 19.27 | 17.84 |
Returns for Class A shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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. |
The S&P North American Technology Sector Index is an unmanaged modified capitalization-weighted index based on a universe of technology-related stocks.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at November 30, 2019) |
| Lam Research Corp. | 7.8 |
| Broadcom, Inc. | 5.8 |
| Apple, Inc. | 5.2 |
| Synopsys, Inc. | 4.1 |
| Visa, Inc., Class A | 3.9 |
| Alphabet, Inc., Class A | 3.9 |
| Micron Technology, Inc. | 3.6 |
| Teradyne, Inc. | 3.5 |
| Marvell Technology Group Ltd. | 3.5 |
| Alphabet, Inc., Class C | 3.5 |
Percentages indicated are based upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at November 30, 2019) |
| Common Stocks | 97.3 |
| Money Market Funds | 2.6 |
| Preferred Stocks | 0.1 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at November 30, 2019) |
| Communication Services | 11.9 |
| Financials | 0.1 |
| Industrials | 0.5 |
| Information Technology | 87.5 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| Equity sub-industry breakdown (%) (at November 30, 2019) |
| Information Technology | |
| Application Software | 9.7 |
| Communications Equipment | 2.8 |
| Data Processing & Outsourced Services | 10.2 |
| Internet Services & Infrastructure | 0.8 |
| Semiconductor Equipment | 16.5 |
| Semiconductors | 24.2 |
| Systems Software | 12.4 |
| Technology Hardware, Storage & Peripherals | 10.9 |
| Total | 87.5 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,259.70 | 1,018.75 | 6.91 | 6.17 | 1.23 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,261.20 | 1,019.99 | 5.51 | 4.92 | 0.98 |
| Class C | 1,000.00 | 1,000.00 | 1,254.90 | 1,014.97 | 11.16 | 9.97 | 1.99 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,261.30 | 1,019.99 | 5.51 | 4.92 | 0.98 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,261.50 | 1,020.19 | 5.29 | 4.72 | 0.94 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,261.80 | 1,020.44 | 5.01 | 4.47 | 0.89 |
| Class R | 1,000.00 | 1,000.00 | 1,258.10 | 1,017.50 | 8.31 | 7.42 | 1.48 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 96.3% |
| Issuer | Shares | Value ($) |
| Communication Services 11.5% |
| Broadcasting 1.7% |
| Discovery, Inc., Class A(a) | 3,426,500 | 112,868,910 |
| Total Broadcasting | 112,868,910 |
| Cable & Satellite 0.3% |
| Comcast Corp., Class A | 506,300 | 22,353,145 |
| Total Cable & Satellite | 22,353,145 |
| Integrated Telecommunication Services 0.2% |
| Ooma, Inc.(a) | 942,275 | 13,078,777 |
| Total Integrated Telecommunication Services | 13,078,777 |
| Interactive Home Entertainment 1.9% |
| Activision Blizzard, Inc. | 2,075,508 | 113,800,103 |
| Sciplay Corp., Class A(a),(b) | 1,220,700 | 14,379,846 |
| Total Interactive Home Entertainment | 128,179,949 |
| Interactive Media & Services 7.4% |
| Alphabet, Inc., Class A(a) | 192,525 | 251,069,927 |
| Alphabet, Inc., Class C(a) | 172,301 | 224,845,912 |
| Tencent Holdings Ltd., ADR | 403,200 | 16,996,896 |
| Total Interactive Media & Services | 492,912,735 |
| Total Communication Services | 769,393,516 |
| Industrials 0.5% |
| Heavy Electrical Equipment 0.3% |
| Bloom Energy Corp., Class A(a) | 3,312,966 | 21,600,538 |
| Total Heavy Electrical Equipment | 21,600,538 |
| Research & Consulting Services 0.2% |
| Nielsen Holdings PLC | 604,400 | 11,816,020 |
| Total Research & Consulting Services | 11,816,020 |
| Total Industrials | 33,416,558 |
| Information Technology 84.3% |
| Application Software 9.4% |
| Cerence, Inc.(a),(b) | 2,105,769 | 32,765,766 |
| Cerence, Inc., Registered Shares(a) | 462,421 | 7,195,271 |
| Cornerstone OnDemand, Inc.(a) | 620,057 | 38,238,915 |
| Nuance Communications, Inc.(a) | 4,277,053 | 76,687,560 |
| Salesforce.com, Inc.(a) | 634,151 | 103,296,856 |
| Splunk, Inc.(a) | 252,363 | 37,657,607 |
| Synopsys, Inc.(a) | 1,904,733 | 268,643,542 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| TeamViewer AG(a) | 975,773 | 27,877,509 |
| Verint Systems, Inc.(a) | 753,300 | 36,617,913 |
| Total Application Software | 628,980,939 |
| Communications Equipment 2.7% |
| Arista Networks, Inc.(a) | 208,561 | 40,696,508 |
| CommScope Holding Co., Inc.(a) | 1,165,800 | 15,854,880 |
| F5 Networks, Inc.(a) | 278,100 | 40,521,951 |
| Juniper Networks, Inc. | 1,044,500 | 26,175,170 |
| Plantronics, Inc. | 1,355,300 | 34,343,302 |
| Telefonaktiebolaget LM Ericsson, ADR | 2,649,100 | 23,947,864 |
| Total Communications Equipment | 181,539,675 |
| Data Processing & Outsourced Services 9.8% |
| Euronet Worldwide, Inc.(a) | 179,690 | 28,245,471 |
| Fidelity National Information Services, Inc. | 834,000 | 115,217,100 |
| Fiserv, Inc.(a) | 776,200 | 90,225,488 |
| Genpact Ltd. | 1,347,600 | 54,847,320 |
| Global Payments, Inc. | 387,389 | 70,156,148 |
| Pagseguro Digital Ltd., Class A(a) | 1,540,194 | 52,274,184 |
| Visa, Inc., Class A | 1,361,500 | 251,210,365 |
| Total Data Processing & Outsourced Services | 662,176,076 |
| Internet Services & Infrastructure 0.8% |
| GoDaddy, Inc., Class A(a) | 796,237 | 52,854,212 |
| Total Internet Services & Infrastructure | 52,854,212 |
| Semiconductor Equipment 15.9% |
| Advanced Energy Industries, Inc.(a) | 1,164,900 | 74,798,231 |
| Applied Materials, Inc. | 3,772,000 | 218,398,800 |
| Lam Research Corp. | 1,895,405 | 505,750,916 |
| Teradyne, Inc. | 3,666,668 | 229,496,750 |
| Xperi Corp. | 2,001,649 | 39,612,634 |
| Total Semiconductor Equipment | 1,068,057,331 |
| Semiconductors 23.3% |
| Broadcom, Inc. | 1,189,901 | 376,258,595 |
| Infineon Technologies AG | 6,522,600 | 139,007,286 |
| Inphi Corp.(a) | 725,158 | 50,492,752 |
| Intel Corp. | 561,100 | 32,571,855 |
| Marvell Technology Group Ltd.(c) | 8,613,666 | 227,142,373 |
| Micron Technology, Inc.(a) | 4,839,275 | 229,913,955 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| NXP Semiconductors NV | 1,018,000 | 117,660,440 |
| ON Semiconductor Corp.(a) | 8,108,988 | 174,099,972 |
| Qorvo, Inc.(a) | 622,498 | 64,870,517 |
| Rambus, Inc.(a) | 492,200 | 6,423,210 |
| SMART Global Holdings, Inc.(a) | 473,423 | 14,581,428 |
| Synaptics, Inc.(a),(b) | 2,340,353 | 133,774,578 |
| Total Semiconductors | 1,566,796,961 |
| Systems Software 11.9% |
| ForeScout Technologies, Inc.(a) | 611,900 | 21,924,377 |
| Fortinet, Inc.(a) | 1,483,586 | 155,939,724 |
| Microsoft Corp. | 1,422,800 | 215,383,464 |
| Oracle Corp. | 2,042,200 | 114,649,108 |
| Palo Alto Networks, Inc.(a) | 544,700 | 123,766,734 |
| SailPoint Technologies Holding, Inc.(a) | 1,239,190 | 31,016,926 |
| Symantec Corp. | 3,657,700 | 91,076,730 |
| TiVo Corp.(b) | 6,326,700 | 49,411,527 |
| Total Systems Software | 803,168,590 |
| Technology Hardware, Storage & Peripherals 10.5% |
| Apple, Inc. | 1,269,300 | 339,220,425 |
| Dell Technologies, Inc.(a) | 932,700 | 45,226,623 |
| NetApp, Inc. | 2,767,900 | 167,707,061 |
| Western Digital Corp.(c) | 3,044,100 | 153,209,553 |
| Total Technology Hardware, Storage & Peripherals | 705,363,662 |
| Total Information Technology | 5,668,937,446 |
Total Common Stocks
(Cost: $3,784,506,939) | 6,471,747,520 |
| Preferred Stocks 0.1% |
| Issuer | | Shares | Value ($) |
| Financials 0.1% |
| Consumer Finance 0.1% |
| CommonBond, Inc.(d),(e) | 1.000% | 2,159,244 | 7,147,098 |
| Total Financials | 7,147,098 |
Total Preferred Stocks
(Cost: $10,000,000) | 7,147,098 |
| Money Market Funds 2.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(b),(f) | 172,149,254 | 172,149,253 |
Total Money Market Funds
(Cost: $172,132,214) | 172,149,253 |
Total Investments in Securities
(Cost $3,966,639,153) | 6,651,043,871 |
| Other Assets & Liabilities, Net | | 70,043,410 |
| Net Assets | $6,721,087,281 |
At November 30, 2019, securities and/or cash totaling $115,832,238 were pledged as collateral.
Investments in derivatives
| Call option contracts written |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Premium
received ($) | Value ($) |
| Marvell Technology Group Ltd. | Deutsche Bank | USD | (2,404,944) | (912) | 32.00 | 1/17/2020 | (72,727) | (12,312) |
| Marvell Technology Group Ltd. | Deutsche Bank | USD | (3,006,180) | (1,140) | 31.00 | 1/17/2020 | (110,259) | (22,230) |
| Marvell Technology Group Ltd. | Deutsche Bank | USD | (22,831,146) | (8,658) | 35.00 | 1/15/2021 | (882,761) | (1,363,635) |
| Western Digital Corp. | Deutsche Bank | USD | (22,628,368) | (4,496) | 90.00 | 1/15/2021 | (1,669,579) | (307,976) |
| Total | | | | | | | (2,735,326) | (1,706,153) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Put option contracts written |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Premium
received ($) | Value ($) |
| Marvell Technology Group Ltd. | Deutsche Bank | USD | (23,777,829) | (9,017) | 15.00 | 01/17/2020 | (965,921) | (58,611) |
| Marvell Technology Group Ltd. | Deutsche Bank | USD | (47,004,525) | (17,825) | 17.00 | 01/15/2021 | (2,441,282) | (1,381,437) |
| Western Digital Corp. | Deutsche Bank | USD | (22,638,434) | (4,498) | 40.00 | 01/15/2021 | (1,425,263) | (2,035,345) |
| Total | | | | | | | (4,832,466) | (3,475,393) |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Cerence, Inc. ‡ |
| | — | 2,105,769 | — | 2,105,769 | — | (1,063,357) | — | 32,765,766 |
| Columbia Short-Term Cash Fund, 1.745% |
| | 46,382,056 | 873,012,628 | (747,245,430) | 172,149,254 | (1,930) | 17,039 | 913,220 | 172,149,253 |
| Electronics for Imaging, Inc. † |
| | 3,490,185 | — | (3,490,185) | — | 28,778,438 | (27,750,770) | — | — |
| Sciplay Corp., Class A ‡ |
| | 635,133 | 602,700 | (17,133) | 1,220,700 | (74,555) | (1,839,697) | — | 14,379,846 |
| Synaptics, Inc. |
| | 2,899,448 | — | (559,095) | 2,340,353 | (302,529) | 86,411,404 | — | 133,774,578 |
| TiVo Corp. ‡ |
| | 5,677,100 | 649,600 | — | 6,326,700 | — | (55,119,460) | 908,336 | 49,411,527 |
| Total | | | | | 28,399,424 | 655,159 | 1,821,556 | 402,480,970 |
| ‡ | Issuer was not an affiliate at the beginning of period. |
| † | Issuer was not an affiliate at the end of period. |
| (c) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2019, the total value of these securities amounted to $7,147,098, which represents 0.11% of total net assets. |
| (e) | Valuation based on significant unobservable inputs. |
| (f) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
Abbreviation Legend
| ADR | American Depositary Receipt |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 752,396,620 | 16,996,896 | — | 769,393,516 |
| Industrials | 33,416,558 | — | — | 33,416,558 |
| Information Technology | 5,502,052,651 | 166,884,795 | — | 5,668,937,446 |
| Total Common Stocks | 6,287,865,829 | 183,881,691 | — | 6,471,747,520 |
| Preferred Stocks | | | | |
| Financials | — | — | 7,147,098 | 7,147,098 |
| Total Preferred Stocks | — | — | 7,147,098 | 7,147,098 |
| Money Market Funds | 172,149,253 | — | — | 172,149,253 |
| Total Investments in Securities | 6,460,015,082 | 183,881,691 | 7,147,098 | 6,651,043,871 |
| Investments in Derivatives | | | | |
| Liability | | | | |
| Options Contracts Written | (5,181,546) | — | — | (5,181,546) |
| Total | 6,454,833,536 | 183,881,691 | 7,147,098 | 6,645,862,325 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 9 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $3,540,162,493) | $6,248,562,901 |
| Affiliated issuers (cost $426,476,660) | 402,480,970 |
| Cash collateral held at broker for: | |
| Options contracts written | 64,961,610 |
| Receivable for: | |
| Investments sold | 9,949,721 |
| Capital shares sold | 2,849,332 |
| Dividends | 3,892,253 |
| Prepaid expenses | 15,779 |
| Total assets | 6,732,712,566 |
| Liabilities | |
| Option contracts written, at value (premiums received $7,567,792) | 5,181,546 |
| Payable for: | |
| Investments purchased | 1,384,328 |
| Capital shares purchased | 3,611,712 |
| Management services fees | 318,046 |
| Distribution and/or service fees | 84,879 |
| Transfer agent fees | 646,267 |
| Compensation of board members | 220,569 |
| Compensation of chief compliance officer | 636 |
| Other expenses | 177,302 |
| Total liabilities | 11,625,285 |
| Net assets applicable to outstanding capital stock | $6,721,087,281 |
| Represented by | |
| Paid in capital | 3,233,416,581 |
| Total distributable earnings (loss) | 3,487,670,700 |
| Total - representing net assets applicable to outstanding capital stock | $6,721,087,281 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Statement of Assets and Liabilities (continued)
November 30, 2019 (Unaudited)
| Class A | |
| Net assets | $4,569,337,872 |
| Shares outstanding | 53,721,520 |
| Net asset value per share | $85.06 |
| 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) | $90.25 |
| Advisor Class | |
| Net assets | $178,215,781 |
| Shares outstanding | 2,161,156 |
| Net asset value per share | $82.46 |
| Class C | |
| Net assets | $359,431,966 |
| Shares outstanding | 6,512,406 |
| Net asset value per share | $55.19 |
| Institutional Class | |
| Net assets | $1,268,663,017 |
| Shares outstanding | 13,526,797 |
| Net asset value per share | $93.79 |
| Institutional 2 Class | |
| Net assets | $229,792,906 |
| Shares outstanding | 2,437,522 |
| Net asset value per share | $94.27 |
| Institutional 3 Class | |
| Net assets | $42,534,163 |
| Shares outstanding | 454,980 |
| Net asset value per share | $93.49 |
| Class R | |
| Net assets | $73,111,576 |
| Shares outstanding | 911,120 |
| Net asset value per share | $80.24 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 11 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $30,655,650 |
| Dividends — affiliated issuers | 1,821,556 |
| Interfund lending | 1,894 |
| Foreign taxes withheld | (112,679) |
| Total income | 32,366,421 |
| Expenses: | |
| Management services fees | 26,794,613 |
| Distribution and/or service fees | |
| Class A | 5,265,696 |
| Class C | 1,727,674 |
| Class R | 175,668 |
| Transfer agent fees | |
| Class A | 2,175,513 |
| Advisor Class | 84,359 |
| Class C | 178,570 |
| Institutional Class | 598,154 |
| Institutional 2 Class | 59,161 |
| Institutional 3 Class | 1,679 |
| Class R | 36,303 |
| Compensation of board members | 50,535 |
| Custodian fees | 20,080 |
| Printing and postage fees | 115,769 |
| Registration fees | 75,583 |
| Audit fees | 12,715 |
| Legal fees | 36,439 |
| Compensation of chief compliance officer | 636 |
| Other | 61,546 |
| Total expenses | 37,470,693 |
| Expense reduction | (6,192) |
| Total net expenses | 37,464,501 |
| Net investment loss | (5,098,080) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 319,821,228 |
| Investments — affiliated issuers | 28,399,424 |
| Foreign currency translations | 6,312 |
| Options purchased | (1,243,247) |
| Options contracts written | 669,340 |
| Net realized gain | 347,653,057 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 1,071,730,788 |
| Investments — affiliated issuers | 655,159 |
| Options contracts written | 975,755 |
| Net change in unrealized appreciation (depreciation) | 1,073,361,702 |
| Net realized and unrealized gain | 1,421,014,759 |
| Net increase in net assets resulting from operations | $1,415,916,679 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment loss | $(5,098,080) | $(2,297,728) |
| Net realized gain | 347,653,057 | 640,245,578 |
| Net change in unrealized appreciation (depreciation) | 1,073,361,702 | (764,736,071) |
| Net increase (decrease) in net assets resulting from operations | 1,415,916,679 | (126,788,221) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | — | (379,598,242) |
| Advisor Class | — | (14,436,601) |
| Class C | — | (54,851,611) |
| Institutional Class | — | (102,191,939) |
| Institutional 2 Class | — | (15,674,603) |
| Institutional 3 Class | — | (2,437,793) |
| Class R | — | (6,860,369) |
| Class T | — | (1,215) |
| Total distributions to shareholders | — | (576,052,373) |
| Decrease in net assets from capital stock activity | (247,761,169) | (97,762,101) |
| Total increase (decrease) in net assets | 1,168,155,510 | (800,602,695) |
| Net assets at beginning of period | 5,552,931,771 | 6,353,534,466 |
| Net assets at end of period | $6,721,087,281 | $5,552,931,771 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 13 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 1,462,619 | 110,830,683 | 9,186,048 | 687,437,708 |
| Distributions reinvested | — | — | 5,745,352 | 344,778,588 |
| Redemptions | (3,415,595) | (263,850,752) | (8,337,297) | (585,941,907) |
| Net increase (decrease) | (1,952,976) | (153,020,069) | 6,594,103 | 446,274,389 |
| Advisor Class | | | | |
| Subscriptions | 272,788 | 20,479,247 | 657,377 | 44,560,420 |
| Distributions reinvested | — | — | 210,594 | 12,222,892 |
| Redemptions | (302,286) | (22,740,520) | (746,474) | (51,442,731) |
| Net increase (decrease) | (29,498) | (2,261,273) | 121,497 | 5,340,581 |
| Class C | | | | |
| Subscriptions | 266,210 | 13,466,249 | 908,081 | 42,969,141 |
| Distributions reinvested | — | — | 1,280,699 | 50,241,828 |
| Redemptions | (1,598,078) | (77,457,576) | (12,417,758) | (637,183,057) |
| Net decrease | (1,331,868) | (63,991,327) | (10,228,978) | (543,972,088) |
| Institutional Class | | | | |
| Subscriptions | 1,031,970 | 87,527,214 | 3,323,276 | 262,536,809 |
| Distributions reinvested | — | — | 1,291,079 | 85,224,118 |
| Redemptions | (1,358,680) | (114,849,327) | (5,179,484) | (388,359,209) |
| Net decrease | (326,710) | (27,322,113) | (565,129) | (40,598,282) |
| Institutional 2 Class | | | | |
| Subscriptions | 350,532 | 30,337,950 | 778,135 | 61,825,185 |
| Distributions reinvested | — | — | 230,220 | 15,268,176 |
| Redemptions | (300,537) | (25,528,702) | (689,286) | (53,928,767) |
| Net increase | 49,995 | 4,809,248 | 319,069 | 23,164,594 |
| Institutional 3 Class | | | | |
| Subscriptions | 114,350 | 9,879,279 | 214,478 | 16,927,608 |
| Distributions reinvested | — | — | 36,910 | 2,426,111 |
| Redemptions | (92,077) | (8,056,967) | (59,485) | (4,592,578) |
| Net increase | 22,273 | 1,822,312 | 191,903 | 14,761,141 |
| Class R | | | | |
| Subscriptions | 116,489 | 8,459,535 | 221,306 | 14,963,546 |
| Distributions reinvested | — | — | 106,029 | 6,017,120 |
| Redemptions | (222,503) | (16,257,482) | (350,743) | (23,698,174) |
| Net decrease | (106,014) | (7,797,947) | (23,408) | (2,717,508) |
| Class T | | | | |
| Distributions reinvested | — | — | 16 | 948 |
| Redemptions | — | — | (245) | (15,876) |
| Net decrease | — | — | (229) | (14,928) |
| Total net decrease | (3,674,798) | (247,761,169) | (3,591,172) | (97,762,101) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
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Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 15 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
realized
gains | Total
distributions to
shareholders |
| Class A |
| Six Months Ended 11/30/2019 (Unaudited) | $67.52 | (0.07) | 17.61 | 17.54 | — | — |
| Year Ended 5/31/2019 | $76.76 | (0.03) | (2.02) | (2.05) | (7.19) | (7.19) |
| Year Ended 5/31/2018 | $72.96 | (0.29) | 11.98 | 11.69 | (7.89) | (7.89) |
| Year Ended 5/31/2017 | $55.64 | (0.27) | 22.39 | 22.12 | (4.80) | (4.80) |
| Year Ended 5/31/2016 | $62.95 | (0.27) | (1.11) | (1.38) | (5.93) | (5.93) |
| Year Ended 5/31/2015 | $54.27 | (0.33) | 16.09 | 15.76 | (7.08) | (7.08) |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $65.38 | 0.02 | 17.06 | 17.08 | — | — |
| Year Ended 5/31/2019 | $74.50 | 0.14 | (2.00) | (1.86) | (7.26) | (7.26) |
| Year Ended 5/31/2018 | $71.01 | (0.10) | 11.65 | 11.55 | (8.06) | (8.06) |
| Year Ended 5/31/2017 | $54.25 | (0.10) | 21.80 | 21.70 | (4.94) | (4.94) |
| Year Ended 5/31/2016 | $61.52 | (0.13) | (1.07) | (1.20) | (6.07) | (6.07) |
| Year Ended 5/31/2015 | $53.23 | (0.18) | 15.75 | 15.57 | (7.28) | (7.28) |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $43.98 | (0.23) | 11.44 | 11.21 | — | — |
| Year Ended 5/31/2019 | $52.96 | (0.37) | (1.65) | (2.02) | (6.96) | (6.96) |
| Year Ended 5/31/2018 | $52.49 | (0.60) | 8.45 | 7.85 | (7.38) | (7.38) |
| Year Ended 5/31/2017 | $41.15 | (0.54) | 16.28 | 15.74 | (4.40) | (4.40) |
| Year Ended 5/31/2016 | $48.05 | (0.52) | (0.87) | (1.39) | (5.51) | (5.51) |
| Year Ended 5/31/2015 | $42.68 | (0.59) | 12.45 | 11.86 | (6.49) | (6.49) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $74.36 | 0.03 | 19.40 | 19.43 | — | — |
| Year Ended 5/31/2019 | $83.59 | 0.16 | (2.13) | (1.97) | (7.26) | (7.26) |
| Year Ended 5/31/2018 | $78.77 | (0.11) | 12.99 | 12.88 | (8.06) | (8.06) |
| Year Ended 5/31/2017 | $59.72 | (0.13) | 24.12 | 23.99 | (4.94) | (4.94) |
| Year Ended 5/31/2016 | $67.09 | (0.14) | (1.16) | (1.30) | (6.07) | (6.07) |
| Year Ended 5/31/2015 | $57.47 | (0.19) | 17.09 | 16.90 | (7.28) | (7.28) |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $74.73 | 0.04 | 19.50 | 19.54 | — | — |
| Year Ended 5/31/2019 | $83.94 | 0.20 | (2.13) | (1.93) | (7.28) | (7.28) |
| Year Ended 5/31/2018 | $79.07 | (0.07) | 13.04 | 12.97 | (8.10) | (8.10) |
| Year Ended 5/31/2017 | $59.94 | (0.07) | 24.20 | 24.13 | (5.00) | (5.00) |
| Year Ended 5/31/2016 | $67.31 | (0.05) | (1.18) | (1.23) | (6.14) | (6.14) |
| Year Ended 5/31/2015 | $57.65 | (0.11) | 17.15 | 17.04 | (7.38) | (7.38) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $85.06 | 25.97% | 1.23%(c) | 1.23%(c),(d) | (0.19%)(c) | 21% | $4,569,338 |
| Year Ended 5/31/2019 | $67.52 | (1.50%) | 1.25%(e) | 1.24%(d),(e) | (0.05%) | 37% | $3,759,214 |
| Year Ended 5/31/2018 | $76.76 | 16.85% | 1.24% | 1.24%(d) | (0.39%) | 39% | $3,767,260 |
| Year Ended 5/31/2017 | $72.96 | 41.72% | 1.29% | 1.29%(d) | (0.43%) | 54% | $3,465,647 |
| Year Ended 5/31/2016 | $55.64 | (2.15%) | 1.35%(f) | 1.35%(d),(f) | (0.48%) | 48% | $2,668,756 |
| Year Ended 5/31/2015 | $62.95 | 31.04% | 1.35% | 1.35%(d) | (0.57%) | 61% | $2,980,017 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $82.46 | 26.12% | 0.98%(c) | 0.98%(c),(d) | 0.06%(c) | 21% | $178,216 |
| Year Ended 5/31/2019 | $65.38 | (1.26%) | 0.99%(e) | 0.99%(d),(e) | 0.21% | 37% | $143,228 |
| Year Ended 5/31/2018 | $74.50 | 17.15% | 0.99% | 0.99%(d) | (0.14%) | 39% | $154,144 |
| Year Ended 5/31/2017 | $71.01 | 42.07% | 1.03% | 1.03%(d) | (0.17%) | 54% | $82,405 |
| Year Ended 5/31/2016 | $54.25 | (1.91%) | 1.10%(f) | 1.10%(d),(f) | (0.23%) | 48% | $26,328 |
| Year Ended 5/31/2015 | $61.52 | 31.35% | 1.11% | 1.11%(d) | (0.31%) | 61% | $22,487 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $55.19 | 25.49% | 1.99%(c) | 1.99%(c),(d) | (0.93%)(c) | 21% | $359,432 |
| Year Ended 5/31/2019 | $43.98 | (2.23%) | 1.99%(e) | 1.99%(d),(e) | (0.75%) | 37% | $344,977 |
| Year Ended 5/31/2018 | $52.96 | 15.98% | 1.99% | 1.99%(d) | (1.14%) | 39% | $957,190 |
| Year Ended 5/31/2017 | $52.49 | 40.64% | 2.04% | 2.04%(d) | (1.18%) | 54% | $890,068 |
| Year Ended 5/31/2016 | $41.15 | (2.88%) | 2.10%(f) | 2.10%(d),(f) | (1.23%) | 48% | $747,911 |
| Year Ended 5/31/2015 | $48.05 | 30.05% | 2.10% | 2.10%(d) | (1.31%) | 61% | $815,273 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $93.79 | 26.13% | 0.98%(c) | 0.98%(c),(d) | 0.06%(c) | 21% | $1,268,663 |
| Year Ended 5/31/2019 | $74.36 | (1.25%) | 0.99%(e) | 0.99%(d),(e) | 0.21% | 37% | $1,030,165 |
| Year Ended 5/31/2018 | $83.59 | 17.14% | 0.99% | 0.99%(d) | (0.14%) | 39% | $1,205,243 |
| Year Ended 5/31/2017 | $78.77 | 42.05% | 1.04% | 1.04%(d) | (0.19%) | 54% | $882,557 |
| Year Ended 5/31/2016 | $59.72 | (1.89%) | 1.10%(f) | 1.10%(d),(f) | (0.23%) | 48% | $347,029 |
| Year Ended 5/31/2015 | $67.09 | 31.36% | 1.10% | 1.10%(d) | (0.31%) | 61% | $338,516 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $94.27 | 26.15% | 0.94%(c) | 0.94%(c) | 0.11%(c) | 21% | $229,793 |
| Year Ended 5/31/2019 | $74.73 | (1.20%) | 0.95%(e) | 0.95%(e) | 0.25% | 37% | $178,417 |
| Year Ended 5/31/2018 | $83.94 | 17.20% | 0.94% | 0.94% | (0.09%) | 39% | $173,624 |
| Year Ended 5/31/2017 | $79.07 | 42.16% | 0.96% | 0.96% | (0.10%) | 54% | $125,534 |
| Year Ended 5/31/2016 | $59.94 | (1.76%) | 0.98%(f) | 0.98%(f) | (0.09%) | 48% | $115,399 |
| Year Ended 5/31/2015 | $67.31 | 31.54% | 0.97% | 0.97% | (0.17%) | 61% | $35,422 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 17 |
Financial Highlights (continued)
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
realized
gains | Total
distributions to
shareholders |
| Institutional 3 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $74.09 | 0.06 | 19.34 | 19.40 | — | — |
| Year Ended 5/31/2019 | $83.26 | 0.24 | (2.12) | (1.88) | (7.29) | (7.29) |
| Year Ended 5/31/2018 | $78.48 | (0.00)(g) | 12.90 | 12.90 | (8.12) | (8.12) |
| Year Ended 5/31/2017(h) | $71.02 | (0.02) | 7.48 | 7.46 | — | — |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $63.78 | (0.16) | 16.62 | 16.46 | — | — |
| Year Ended 5/31/2019 | $73.05 | (0.20) | (1.96) | (2.16) | (7.11) | (7.11) |
| Year Ended 5/31/2018 | $69.79 | (0.46) | 11.44 | 10.98 | (7.72) | (7.72) |
| Year Ended 5/31/2017 | $53.42 | (0.41) | 21.45 | 21.04 | (4.67) | (4.67) |
| Year Ended 5/31/2016 | $60.68 | (0.40) | (1.07) | (1.47) | (5.79) | (5.79) |
| Year Ended 5/31/2015 | $52.49 | (0.46) | 15.53 | 15.07 | (6.88) | (6.88) |
| 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%. |
| (e) | Ratios include interfund lending expense which is less than 0.01%. |
| (f) | Ratios include line of credit interest expense which is less than 0.01%. |
| (g) | Rounds to zero. |
| (h) | Institutional 3 Class shares commenced operations on March 1, 2017. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $93.49 | 26.18% | 0.89%(c) | 0.89%(c) | 0.15%(c) | 21% | $42,534 |
| Year Ended 5/31/2019 | $74.09 | (1.14%) | 0.90%(e) | 0.90%(e) | 0.31% | 37% | $32,058 |
| Year Ended 5/31/2018 | $83.26 | 17.25% | 0.90% | 0.90% | (0.00%)(g) | 39% | $20,050 |
| Year Ended 5/31/2017(h) | $78.48 | 10.51% | 0.92%(c) | 0.92%(c) | (0.04%)(c) | 54% | $222 |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $80.24 | 25.81% | 1.48%(c) | 1.48%(c),(d) | (0.43%)(c) | 21% | $73,112 |
| Year Ended 5/31/2019 | $63.78 | (1.75%) | 1.49%(e) | 1.49%(d),(e) | (0.29%) | 37% | $64,874 |
| Year Ended 5/31/2018 | $73.05 | 16.57% | 1.49% | 1.49%(d) | (0.64%) | 39% | $76,007 |
| Year Ended 5/31/2017 | $69.79 | 41.36% | 1.54% | 1.54%(d) | (0.68%) | 54% | $71,811 |
| Year Ended 5/31/2016 | $53.42 | (2.39%) | 1.60%(f) | 1.60%(d),(f) | (0.73%) | 48% | $48,905 |
| Year Ended 5/31/2015 | $60.68 | 30.70% | 1.60% | 1.60%(d) | (0.82%) | 61% | $53,583 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 19 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia Seligman Communications and Information Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
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Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Option contracts are valued at the mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using mid-market evaluations from independent third-party vendors.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
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Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and wrote option contracts to decrease the Fund’s exposure to equity market risk and to increase return on investments, to protect gains and to facilitate buying and selling of securities for investments. These instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Cash collateral may be collected or posted by the Fund to secure certain over-the-counter option contract trades. Cash collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund
| 22 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
will realize a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at November 30, 2019:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Options contracts written, at value | 5,181,546 |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended November 30, 2019:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Options
contracts
written
($) | Options
contracts
purchased
($) | Total
($) |
| Equity risk | 669,340 | (1,243,247) | (573,907) |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Options
contracts
written
($) |
| Equity risk | 975,755 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended November 30, 2019:
| Derivative instrument | Average
value ($)* |
| Options contracts — written | (4,570,510) |
| * | Based on the ending quarterly outstanding amounts for the six months ended November 30, 2019. |
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 23 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of November 30, 2019:
| | Deutsche
Bank ($) |
| Liabilities | |
| Options contracts written | 5,181,546 |
| Total financial and derivative net assets | (5,181,546) |
| Total collateral received (pledged) (a) | (5,181,546) |
| Net amount (b) | - |
| (a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (b) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
| 24 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.915% to 0.755% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.868% of the Fund’s average daily net assets.
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| 25 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.10 |
| Advisor Class | 0.10 |
| Class C | 0.10 |
| Institutional Class | 0.10 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
| Class R | 0.10 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended November 30, 2019, these minimum account balance fees reduced total expenses of the Fund by $6,192.
| 26 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25%, 1.00% and 0.50% of the Fund’s average daily net assets attributable to Class A, Class C and Class R shares, respectively. For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses. For Class R shares, of the 0.50% fee, up to 0.25% can be reimbursed for shareholder servicing expenses.
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $15,928,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 5.75 | 0.50 - 1.00(a) | 867,561 |
| Class C | — | 1.00(b) | 10,278 |
| (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. |
The Fund’s other share classes are not subject to sales charges.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 1.33% | 1.49% |
| Advisor Class | 1.08 | 1.24 |
| Class C | 2.08 | 2.24 |
| Institutional Class | 1.08 | 1.24 |
| Institutional 2 Class | 1.04 | 1.19 |
| Institutional 3 Class | 0.99 | 1.14 |
| Class R | 1.58 | 1.74 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 27 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 3,959,071,000 | 2,813,213,000 | (126,422,000) | 2,686,791,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $1,276,905,415 and $1,707,120,533, respectively, for the six months ended November 30, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
| 28 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
The Fund’s activity in the Interfund Program during the six months ended November 30, 2019 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 15,800,000 | 2.16 | 2 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at November 30, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Note 9. Significant risks
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Non-diversification risk
A non-diversified fund is permitted to invest a greater percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At November 30, 2019, one unaffiliated shareholder of record owned 10.1% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 29 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 30 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Seligman Communications and Information Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as its history, reputation, expertise, resources and capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 31 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds under the Management Agreement. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group, the product score of the Fund (taking into account performance relative to peers and benchmarks) and the net assets of the Fund. The Board observed that the Fund’s investment performance was understandable in light of the particular management style involved and the particular market environment.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 32 | Columbia Seligman Communications and Information Fund | Semiannual Report 2019 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Seligman Communications and Information Fund | Semiannual Report 2019
| 33 |
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Seligman Communications and Information Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia Dividend Opportunity Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Dividend Opportunity Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Dividend Opportunity Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with a high level of current income. The Fund’s secondary objective is growth of income and capital.
Portfolio management
David King, CFA
Lead Portfolio Manager
Managed Fund since 2018
Yan Jin
Portfolio Manager
Managed Fund since 2018
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2020 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class A | Excluding sales charges | 08/01/88 | 10.06 | 9.29 | 7.06 | 11.08 |
| | Including sales charges | | 3.70 | 2.98 | 5.79 | 10.43 |
| Advisor Class* | 11/08/12 | 10.22 | 9.59 | 7.33 | 11.27 |
| Class C | Excluding sales charges | 06/26/00 | 9.79 | 8.56 | 6.27 | 10.25 |
| | Including sales charges | | 8.79 | 7.59 | 6.27 | 10.25 |
| Institutional Class* | 09/27/10 | 10.27 | 9.63 | 7.34 | 11.33 |
| Institutional 2 Class | 08/01/08 | 10.26 | 9.66 | 7.42 | 11.49 |
| Institutional 3 Class* | 11/08/12 | 10.23 | 9.68 | 7.46 | 11.38 |
| Class R | 08/01/08 | 10.05 | 9.13 | 6.81 | 10.81 |
| MSCI USA High Dividend Yield Index (Net) | | 13.01 | 8.79 | 9.11 | 12.56 |
| Russell 1000 Value Index | | 13.56 | 11.33 | 7.83 | 11.69 |
Returns for Class A shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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. |
The MSCI USA High Dividend Yield Index (Net) is composed of those securities in the MSCI USA Index that have higher-than-average dividend yield (e.g. 30% higher than that of the MSCI USA Index), a track record of consistent dividend payments and the capacity to sustain future dividend payments. The MSCI USA Index is a free float adjusted market capitalization index that is designed to measure large- and mid-cap U.S. equity market performance.
The Russell 1000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI USA High Dividend Yield Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at November 30, 2019) |
| JPMorgan Chase & Co. | 3.8 |
| Verizon Communications, Inc. | 3.5 |
| Chevron Corp. | 3.5 |
| BP PLC, ADR | 3.5 |
| Johnson & Johnson | 3.2 |
| Philip Morris International, Inc. | 3.2 |
| Cisco Systems, Inc. | 3.0 |
| PepsiCo, Inc. | 2.8 |
| Merck & Co., Inc. | 2.7 |
| AT&T, Inc. | 2.7 |
Percentages indicated are based upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at November 30, 2019) |
| Common Stocks | 90.3 |
| Convertible Bonds | 0.8 |
| Convertible Preferred Stocks | 8.1 |
| Money Market Funds | 0.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at November 30, 2019) |
| Communication Services | 7.4 |
| Consumer Discretionary | 5.3 |
| Consumer Staples | 12.7 |
| Energy | 10.0 |
| Financials | 15.1 |
| Health Care | 14.8 |
| Industrials | 7.1 |
| Information Technology | 13.2 |
| Materials | 2.3 |
| Real Estate | 4.1 |
| Utilities | 8.0 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,100.60 | 1,019.94 | 5.17 | 4.97 | 0.99 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,102.20 | 1,021.18 | 3.87 | 3.72 | 0.74 |
| Class C | 1,000.00 | 1,000.00 | 1,097.90 | 1,016.16 | 9.13 | 8.77 | 1.75 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,102.70 | 1,021.18 | 3.87 | 3.72 | 0.74 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,102.60 | 1,021.38 | 3.66 | 3.52 | 0.70 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,102.30 | 1,021.63 | 3.40 | 3.27 | 0.65 |
| Class R | 1,000.00 | 1,000.00 | 1,100.50 | 1,018.65 | 6.53 | 6.27 | 1.25 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 89.6% |
| Issuer | Shares | Value ($) |
| Communication Services 7.2% |
| Diversified Telecommunication Services 7.2% |
| AT&T, Inc. | 1,975,000 | 73,825,500 |
| BCE, Inc. | 600,000 | 28,842,000 |
| Verizon Communications, Inc. | 1,575,000 | 94,878,000 |
| Total | | 197,545,500 |
| Total Communication Services | 197,545,500 |
| Consumer Discretionary 5.1% |
| Automobiles 0.9% |
| General Motors Co. | 735,000 | 26,460,000 |
| Hotels, Restaurants & Leisure 1.8% |
| Extended Stay America, Inc. | 925,000 | 13,653,000 |
| Las Vegas Sands Corp. | 350,000 | 21,962,500 |
| Six Flags Entertainment Corp. | 310,000 | 13,478,800 |
| Total | | 49,094,300 |
| Household Durables 0.5% |
| Newell Brands, Inc. | 725,000 | 13,934,500 |
| Multiline Retail 0.9% |
| Target Corp. | 190,000 | 23,751,900 |
| Specialty Retail 1.0% |
| Home Depot, Inc. (The) | 125,000 | 27,563,750 |
| Total Consumer Discretionary | 140,804,450 |
| Consumer Staples 12.4% |
| Beverages 4.2% |
| Coca-Cola Co. (The) | 775,000 | 41,385,000 |
| PepsiCo, Inc. | 550,000 | 74,706,500 |
| Total | | 116,091,500 |
| Food Products 2.1% |
| ConAgra Foods, Inc. | 950,000 | 27,426,500 |
| General Mills, Inc. | 550,000 | 29,326,000 |
| Total | | 56,752,500 |
| Household Products 3.0% |
| Kimberly-Clark Corp. | 205,000 | 27,949,700 |
| Procter & Gamble Co. (The) | 440,000 | 53,706,400 |
| Total | | 81,656,100 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Tobacco 3.1% |
| Philip Morris International, Inc. | 1,035,000 | 85,832,550 |
| Total Consumer Staples | 340,332,650 |
| Energy 9.8% |
| Oil, Gas & Consumable Fuels 9.8% |
| BP PLC, ADR | 2,500,000 | 93,550,000 |
| Chevron Corp. | 800,000 | 93,704,000 |
| ConocoPhillips Co. | 125,000 | 7,492,500 |
| Suncor Energy, Inc. | 925,000 | 29,045,000 |
| Valero Energy Corp. | 275,000 | 26,259,750 |
| Williams Companies, Inc. (The) | 825,000 | 18,744,000 |
| Total | | 268,795,250 |
| Total Energy | 268,795,250 |
| Financials 14.8% |
| Banks 11.4% |
| BB&T Corp. | 500,000 | 27,360,000 |
| Citigroup, Inc. | 937,500 | 70,425,000 |
| JPMorgan Chase & Co. | 775,000 | 102,114,000 |
| KeyCorp | 1,075,000 | 20,844,250 |
| PNC Financial Services Group, Inc. (The) | 135,000 | 20,683,350 |
| Wells Fargo & Co. | 1,325,000 | 72,159,500 |
| Total | | 313,586,100 |
| Capital Markets 1.4% |
| Ares Capital Corp. | 800,000 | 14,984,000 |
| Morgan Stanley | 450,000 | 22,266,000 |
| Total | | 37,250,000 |
| Insurance 2.0% |
| MetLife, Inc. | 550,000 | 27,450,500 |
| Principal Financial Group, Inc. | 500,000 | 27,550,000 |
| Total | | 55,000,500 |
| Total Financials | 405,836,600 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care 12.4% |
| Biotechnology 4.1% |
| AbbVie, Inc. | 635,000 | 55,708,550 |
| Amgen, Inc. | 130,000 | 30,513,600 |
| Gilead Sciences, Inc. | 413,000 | 27,770,120 |
| Total | | 113,992,270 |
| Pharmaceuticals 8.3% |
| Bristol-Myers Squibb Co. | 550,000 | 31,317,000 |
| Johnson & Johnson | 625,000 | 85,931,250 |
| Merck & Co., Inc. | 850,000 | 74,102,999 |
| Pfizer, Inc. | 925,000 | 35,631,000 |
| Total | | 226,982,249 |
| Total Health Care | 340,974,519 |
| Industrials 6.4% |
| Aerospace & Defense 1.2% |
| Lockheed Martin Corp. | 80,000 | 31,282,400 |
| Air Freight & Logistics 1.0% |
| United Parcel Service, Inc., Class B | 225,000 | 26,939,250 |
| Airlines 0.7% |
| Delta Air Lines, Inc. | 335,000 | 19,198,850 |
| Electrical Equipment 0.5% |
| Eaton Corp. PLC | 150,000 | 13,875,000 |
| Industrial Conglomerates 0.8% |
| 3M Co. | 125,000 | 21,221,250 |
| Machinery 1.2% |
| Caterpillar, Inc. | 235,000 | 34,011,550 |
| Road & Rail 1.0% |
| Union Pacific Corp. | 160,000 | 28,158,400 |
| Total Industrials | 174,686,700 |
| Information Technology 11.7% |
| Communications Equipment 2.9% |
| Cisco Systems, Inc. | 1,775,000 | 80,425,250 |
| Electronic Equipment, Instruments & Components 0.8% |
| Corning, Inc. | 725,000 | 21,054,000 |
| IT Services 1.9% |
| International Business Machines Corp. | 400,000 | 53,780,000 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Semiconductors & Semiconductor Equipment 4.8% |
| Broadcom, Inc. | 125,000 | 39,526,250 |
| Intel Corp. | 485,000 | 28,154,250 |
| Lam Research Corp. | 20,000 | 5,336,600 |
| Maxim Integrated Products, Inc. | 250,000 | 14,167,500 |
| Texas Instruments, Inc. | 365,000 | 43,876,650 |
| Total | | 131,061,250 |
| Technology Hardware, Storage & Peripherals 1.3% |
| Seagate Technology PLC | 360,000 | 21,484,800 |
| Western Digital Corp. | 275,000 | 13,840,750 |
| Total | | 35,325,550 |
| Total Information Technology | 321,646,050 |
| Materials 2.2% |
| Chemicals 2.0% |
| Dow, Inc. | 515,000 | 27,485,550 |
| Nutrien Ltd. | 560,000 | 26,555,200 |
| Total | | 54,040,750 |
| Metals & Mining 0.2% |
| Steel Dynamics, Inc. | 200,000 | 6,746,000 |
| Total Materials | 60,786,750 |
| Real Estate 3.2% |
| Equity Real Estate Investment Trusts (REITS) 3.2% |
| Alexandria Real Estate Equities, Inc. | 130,000 | 21,127,600 |
| Digital Realty Trust, Inc. | 117,500 | 14,211,625 |
| Duke Realty Corp. | 690,000 | 24,274,200 |
| Equinix, Inc. | 25,000 | 14,171,250 |
| Medical Properties Trust, Inc. | 700,000 | 14,532,000 |
| Total | | 88,316,675 |
| Total Real Estate | 88,316,675 |
| Utilities 4.4% |
| Electric Utilities 2.2% |
| American Electric Power Co., Inc. | 125,000 | 11,418,750 |
| Edison International | 310,000 | 21,421,000 |
| Xcel Energy, Inc. | 440,000 | 27,055,600 |
| Total | | 59,895,350 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Multi-Utilities 2.2% |
| Ameren Corp. | 370,000 | 27,502,100 |
| DTE Energy Co. | 110,000 | 13,743,400 |
| NiSource, Inc. | 775,000 | 20,498,750 |
| Total | | 61,744,250 |
| Total Utilities | 121,639,600 |
Total Common Stocks
(Cost $2,026,341,230) | 2,461,364,744 |
| Convertible Bonds 0.8% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Life Insurance 0.8% |
| AXA SA(a) |
| 05/15/2021 | 7.250% | | 19,500,000 | 22,599,720 |
Total Convertible Bonds
(Cost $19,974,944) | 22,599,720 |
| Convertible Preferred Stocks 8.0% |
| Issuer | | Shares | Value ($) |
| Health Care 2.0% |
| Health Care Equipment & Supplies 2.0% |
| Becton Dickinson and Co. | 6.125% | 450,000 | 27,981,591 |
| Danaher Corp. | 4.750% | 25,000 | 28,556,750 |
| Total | | | 56,538,341 |
| Total Health Care | 56,538,341 |
| Industrials 0.6% |
| Machinery 0.6% |
| Stanley Black & Decker, Inc. | 5.250% | 153,000 | 15,896,700 |
| Total Industrials | 15,896,700 |
| Information Technology 1.2% |
| Semiconductors & Semiconductor Equipment 1.2% |
| Broadcom, Inc. | 8.000% | 27,400 | 31,899,628 |
| Total Information Technology | 31,899,628 |
| Convertible Preferred Stocks (continued) |
| Issuer | | Shares | Value ($) |
| Real Estate 0.8% |
| Equity Real Estate Investment Trusts (REITS) 0.8% |
| Crown Castle International Corp. | 6.875% | 17,000 | 20,531,994 |
| QTS Realty Trust, Inc. | 6.500% | 10,580 | 1,328,677 |
| Total | | | 21,860,671 |
| Total Real Estate | 21,860,671 |
| Utilities 3.4% |
| Electric Utilities 1.6% |
| American Electric Power Co., Inc. | 6.125% | 555,000 | 29,521,671 |
| Southern Co. (The) | 6.750% | 270,000 | 14,223,600 |
| Total | | | 43,745,271 |
| Multi-Utilities 1.3% |
| Dominion Energy, Inc. | 7.250% | 200,000 | 21,156,000 |
| DTE Energy Co. | 6.250% | 289,600 | 14,370,531 |
| Total | | | 35,526,531 |
| Water Utilities 0.5% |
| Aqua America, Inc. | 6.000% | 250,000 | 14,923,075 |
| Total Utilities | 94,194,877 |
Total Convertible Preferred Stocks
(Cost $201,931,618) | 220,390,217 |
| Money Market Funds 0.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(b),(c) | 22,290,586 | 22,290,586 |
Total Money Market Funds
(Cost $22,288,357) | 22,290,586 |
Total Investments in Securities
(Cost: $2,270,536,149) | 2,726,645,267 |
| Other Assets & Liabilities, Net | | 21,200,555 |
| Net Assets | 2,747,845,822 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Notes to Portfolio of Investments
| (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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At November 30, 2019, the total value of these securities amounted to $22,599,720, which represents 0.82% of total net assets. |
| (b) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Columbia Short-Term Cash Fund, 1.745% |
| | 8,889,232 | 446,646,530 | (433,245,176) | 22,290,586 | (3,832) | 2,229 | 378,788 | 22,290,586 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 9 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 197,545,500 | — | — | 197,545,500 |
| Consumer Discretionary | 140,804,450 | — | — | 140,804,450 |
| Consumer Staples | 340,332,650 | — | — | 340,332,650 |
| Energy | 268,795,250 | — | — | 268,795,250 |
| Financials | 405,836,600 | — | — | 405,836,600 |
| Health Care | 340,974,519 | — | — | 340,974,519 |
| Industrials | 174,686,700 | — | — | 174,686,700 |
| Information Technology | 321,646,050 | — | — | 321,646,050 |
| Materials | 60,786,750 | — | — | 60,786,750 |
| Real Estate | 88,316,675 | — | — | 88,316,675 |
| Utilities | 121,639,600 | — | — | 121,639,600 |
| Total Common Stocks | 2,461,364,744 | — | — | 2,461,364,744 |
| Convertible Bonds | — | 22,599,720 | — | 22,599,720 |
| Convertible Preferred Stocks | | | | |
| Health Care | — | 56,538,341 | — | 56,538,341 |
| Industrials | — | 15,896,700 | — | 15,896,700 |
| Information Technology | — | 31,899,628 | — | 31,899,628 |
| Real Estate | — | 21,860,671 | — | 21,860,671 |
| Utilities | — | 94,194,877 | — | 94,194,877 |
| Total Convertible Preferred Stocks | — | 220,390,217 | — | 220,390,217 |
| Money Market Funds | 22,290,586 | — | — | 22,290,586 |
| Total Investments in Securities | 2,483,655,330 | 242,989,937 | — | 2,726,645,267 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,248,247,792) | $2,704,354,681 |
| Affiliated issuers (cost $22,288,357) | 22,290,586 |
| Receivable for: | |
| Investments sold | 27,300,761 |
| Capital shares sold | 675,651 |
| Dividends | 10,254,407 |
| Interest | 58,906 |
| Foreign tax reclaims | 1,843,171 |
| Prepaid expenses | 8,493 |
| Total assets | 2,766,786,656 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 16,324,590 |
| Capital shares purchased | 1,900,782 |
| Management services fees | 94,366 |
| Distribution and/or service fees | 32,905 |
| Transfer agent fees | 258,535 |
| Compensation of board members | 231,846 |
| Compensation of chief compliance officer | 311 |
| Other expenses | 97,499 |
| Total liabilities | 18,940,834 |
| Net assets applicable to outstanding capital stock | $2,747,845,822 |
| Represented by | |
| Paid in capital | 2,015,728,258 |
| Total distributable earnings (loss) | 732,117,564 |
| Total - representing net assets applicable to outstanding capital stock | $2,747,845,822 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 11 |
Statement of Assets and Liabilities (continued)
November 30, 2019 (Unaudited)
| Class A | |
| Net assets | $1,466,178,008 |
| Shares outstanding | 153,465,072 |
| Net asset value per share | $9.55 |
| 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) | $10.13 |
| Advisor Class | |
| Net assets | $87,783,655 |
| Shares outstanding | 9,000,144 |
| Net asset value per share | $9.75 |
| Class C | |
| Net assets | $210,781,019 |
| Shares outstanding | 22,644,111 |
| Net asset value per share | $9.31 |
| Institutional Class | |
| Net assets | $689,073,021 |
| Shares outstanding | 71,743,829 |
| Net asset value per share | $9.60 |
| Institutional 2 Class | |
| Net assets | $127,366,764 |
| Shares outstanding | 13,228,279 |
| Net asset value per share | $9.63 |
| Institutional 3 Class | |
| Net assets | $125,611,780 |
| Shares outstanding | 12,841,876 |
| Net asset value per share | $9.78 |
| Class R | |
| Net assets | $41,051,575 |
| Shares outstanding | 4,300,623 |
| Net asset value per share | $9.55 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $54,729,794 |
| Dividends — affiliated issuers | 378,788 |
| Interest | 519,578 |
| Foreign taxes withheld | (347,337) |
| Total income | 55,280,823 |
| Expenses: | |
| Management services fees | 8,537,349 |
| Distribution and/or service fees | |
| Class A | 1,832,228 |
| Class C | 1,071,823 |
| Class R | 99,418 |
| Transfer agent fees | |
| Class A | 715,872 |
| Advisor Class | 42,363 |
| Class C | 104,696 |
| Institutional Class | 332,934 |
| Institutional 2 Class | 37,040 |
| Institutional 3 Class | 4,917 |
| Class R | 19,420 |
| Compensation of board members | 29,185 |
| Custodian fees | 11,843 |
| Printing and postage fees | 70,938 |
| Registration fees | 70,340 |
| Audit fees | 16,214 |
| Legal fees | 15,688 |
| Compensation of chief compliance officer | 311 |
| Other | 49,641 |
| Total expenses | 13,062,220 |
| Fees waived by transfer agent | |
| Institutional 2 Class | (6,008) |
| Institutional 3 Class | (4,917) |
| Expense reduction | (60) |
| Total net expenses | 13,051,235 |
| Net investment income | 42,229,588 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 72,224,690 |
| Investments — affiliated issuers | (3,832) |
| Foreign currency translations | 12,619 |
| Net realized gain | 72,233,477 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 148,331,405 |
| Investments — affiliated issuers | 2,229 |
| Foreign currency translations | (14,360) |
| Net change in unrealized appreciation (depreciation) | 148,319,274 |
| Net realized and unrealized gain | 220,552,751 |
| Net increase in net assets resulting from operations | $262,782,339 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 13 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income | $42,229,588 | $85,847,976 |
| Net realized gain | 72,233,477 | 301,851,195 |
| Net change in unrealized appreciation (depreciation) | 148,319,274 | (284,766,618) |
| Net increase in net assets resulting from operations | 262,782,339 | 102,932,553 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | (22,370,850) | (169,010,822) |
| Advisor Class | (1,404,498) | (10,936,770) |
| Class C | (2,577,416) | (27,104,430) |
| Institutional Class | (11,136,954) | (80,777,864) |
| Institutional 2 Class | (2,063,721) | (14,053,110) |
| Institutional 3 Class | (2,033,656) | (13,011,735) |
| Class R | (551,413) | (4,388,851) |
| Class T | — | (3,509) |
| Total distributions to shareholders | (42,138,508) | (319,287,091) |
| Decrease in net assets from capital stock activity | (114,393,494) | (333,314,943) |
| Total increase (decrease) in net assets | 106,250,337 | (549,669,481) |
| Net assets at beginning of period | 2,641,595,485 | 3,191,264,966 |
| Net assets at end of period | $2,747,845,822 | $2,641,595,485 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 3,670,681 | 34,018,190 | 9,368,558 | 86,961,440 |
| Distributions reinvested | 2,381,783 | 22,012,559 | 18,931,650 | 166,586,143 |
| Redemptions | (14,278,027) | (132,631,372) | (35,258,539) | (326,591,288) |
| Net decrease | (8,225,563) | (76,600,623) | (6,958,331) | (73,043,705) |
| Advisor Class | | | | |
| Subscriptions | 1,137,717 | 10,804,193 | 2,395,660 | 22,856,582 |
| Distributions reinvested | 147,583 | 1,392,100 | 1,201,049 | 10,797,301 |
| Redemptions | (1,462,056) | (13,888,627) | (6,176,773) | (58,042,475) |
| Net decrease | (176,756) | (1,692,334) | (2,580,064) | (24,388,592) |
| Class C | | | | |
| Subscriptions | 645,986 | 5,857,962 | 1,703,248 | 15,001,353 |
| Distributions reinvested | 270,537 | 2,440,317 | 2,994,713 | 25,663,462 |
| Redemptions | (3,809,006) | (34,385,364) | (12,640,670) | (114,572,382) |
| Net decrease | (2,892,483) | (26,087,085) | (7,942,709) | (73,907,567) |
| Institutional Class | | | | |
| Subscriptions | 8,665,663 | 80,975,590 | 16,518,309 | 152,969,856 |
| Distributions reinvested | 1,106,514 | 10,277,070 | 8,450,182 | 74,815,958 |
| Redemptions | (11,177,837) | (104,290,013) | (36,761,216) | (341,817,113) |
| Net decrease | (1,405,660) | (13,037,353) | (11,792,725) | (114,031,299) |
| Institutional 2 Class | | | | |
| Subscriptions | 1,463,078 | 13,695,783 | 7,303,314 | 67,850,971 |
| Distributions reinvested | 196,614 | 1,829,969 | 1,458,427 | 12,940,758 |
| Redemptions | (1,602,591) | (15,016,740) | (12,270,471) | (116,156,908) |
| Net increase (decrease) | 57,101 | 509,012 | (3,508,730) | (35,365,179) |
| Institutional 3 Class | | | | |
| Subscriptions | 1,975,297 | 18,597,715 | 1,807,211 | 17,254,065 |
| Distributions reinvested | 205,816 | 1,946,283 | 1,445,228 | 13,011,735 |
| Redemptions | (1,868,363) | (17,701,337) | (4,270,778) | (40,422,063) |
| Net increase (decrease) | 312,750 | 2,842,661 | (1,018,339) | (10,156,263) |
| Class R | | | | |
| Subscriptions | 464,504 | 4,275,977 | 594,474 | 5,459,829 |
| Distributions reinvested | 57,042 | 527,013 | 465,206 | 4,089,081 |
| Redemptions | (549,513) | (5,130,762) | (1,277,073) | (11,929,084) |
| Net decrease | (27,967) | (327,772) | (217,393) | (2,380,174) |
| Class T | | | | |
| Distributions reinvested | — | — | 369 | 3,262 |
| Redemptions | — | — | (5,110) | (45,426) |
| Net decrease | — | — | (4,741) | (42,164) |
| Total net decrease | (12,358,578) | (114,393,494) | (34,023,032) | (333,314,943) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 15 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Increase
from
payment
by affiliate | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains | Total
distributions to
shareholders |
| Class A |
| Six Months Ended 11/30/2019 (Unaudited) | $8.81 | 0.14 | 0.74 | — | 0.88 | (0.14) | — | (0.14) |
| Year Ended 5/31/2019 | $9.56 | 0.27 | 0.04 | — | 0.31 | (0.31) | (0.75) | (1.06) |
| Year Ended 5/31/2018 | $9.92 | 0.35 | 0.43 | — | 0.78 | (0.36) | (0.78) | (1.14) |
| Year Ended 5/31/2017 | $9.23 | 0.32 | 0.74 | 0.00(f) | 1.06 | (0.37) | — | (0.37) |
| Year Ended 5/31/2016 | $9.58 | 0.32 | (0.16) | — | 0.16 | (0.32) | (0.19) | (0.51) |
| Year Ended 5/31/2015 | $10.67 | 0.31 | 0.23 | — | 0.54 | (0.29) | (1.34) | (1.63) |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $8.99 | 0.16 | 0.75 | — | 0.91 | (0.15) | — | (0.15) |
| Year Ended 5/31/2019 | $9.73 | 0.30 | 0.04 | — | 0.34 | (0.33) | (0.75) | (1.08) |
| Year Ended 5/31/2018 | $10.08 | 0.38 | 0.43 | — | 0.81 | (0.38) | (0.78) | (1.16) |
| Year Ended 5/31/2017 | $9.38 | 0.35 | 0.74 | 0.00(f) | 1.09 | (0.39) | — | (0.39) |
| Year Ended 5/31/2016 | $9.73 | 0.35 | (0.17) | — | 0.18 | (0.34) | (0.19) | (0.53) |
| Year Ended 5/31/2015 | $10.81 | 0.35 | 0.23 | — | 0.58 | (0.32) | (1.34) | (1.66) |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $8.58 | 0.10 | 0.74 | — | 0.84 | (0.11) | — | (0.11) |
| Year Ended 5/31/2019 | $9.34 | 0.20 | 0.03 | — | 0.23 | (0.24) | (0.75) | (0.99) |
| Year Ended 5/31/2018 | $9.72 | 0.27 | 0.41 | — | 0.68 | (0.28) | (0.78) | (1.06) |
| Year Ended 5/31/2017 | $9.05 | 0.25 | 0.72 | 0.00(f) | 0.97 | (0.30) | — | (0.30) |
| Year Ended 5/31/2016 | $9.40 | 0.25 | (0.16) | — | 0.09 | (0.25) | (0.19) | (0.44) |
| Year Ended 5/31/2015 | $10.50 | 0.23 | 0.22 | — | 0.45 | (0.21) | (1.34) | (1.55) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $8.85 | 0.15 | 0.75 | — | 0.90 | (0.15) | — | (0.15) |
| Year Ended 5/31/2019 | $9.60 | 0.30 | 0.03 | — | 0.33 | (0.33) | (0.75) | (1.08) |
| Year Ended 5/31/2018 | $9.96 | 0.38 | 0.42 | — | 0.80 | (0.38) | (0.78) | (1.16) |
| Year Ended 5/31/2017 | $9.27 | 0.36 | 0.72 | 0.00(f) | 1.08 | (0.39) | — | (0.39) |
| Year Ended 5/31/2016 | $9.62 | 0.34 | (0.16) | — | 0.18 | (0.34) | (0.19) | (0.53) |
| Year Ended 5/31/2015 | $10.71 | 0.34 | 0.23 | — | 0.57 | (0.32) | (1.34) | (1.66) |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $8.88 | 0.16 | 0.74 | — | 0.90 | (0.15) | — | (0.15) |
| Year Ended 5/31/2019 | $9.62 | 0.30 | 0.05 | — | 0.35 | (0.34) | (0.75) | (1.09) |
| Year Ended 5/31/2018 | $9.98 | 0.38 | 0.43 | — | 0.81 | (0.39) | (0.78) | (1.17) |
| Year Ended 5/31/2017 | $9.29 | 0.36 | 0.73 | 0.00(f) | 1.09 | (0.40) | — | (0.40) |
| Year Ended 5/31/2016 | $9.64 | 0.35 | (0.16) | — | 0.19 | (0.35) | (0.19) | (0.54) |
| Year Ended 5/31/2015 | $10.72 | 0.35 | 0.24 | — | 0.59 | (0.33) | (1.34) | (1.67) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $9.55 | 10.06% | 0.99%(c) | 0.99%(c),(d) | 3.06%(c) | 25% | $1,466,178 |
| Year Ended 5/31/2019 | $8.81 | 3.47% | 0.99% | 0.99%(d) | 2.92% | 66% | $1,424,224 |
| Year Ended 5/31/2018 | $9.56 | 7.96% | 0.98%(e) | 0.98%(d),(e) | 3.54% | 65% | $1,612,108 |
| Year Ended 5/31/2017 | $9.92 | 11.71%(g) | 0.99%(e) | 0.99%(d),(e) | 3.40% | 65% | $1,942,546 |
| Year Ended 5/31/2016 | $9.23 | 2.08% | 1.01%(e) | 1.01%(d),(e) | 3.53% | 85% | $2,805,177 |
| Year Ended 5/31/2015 | $9.58 | 5.82% | 1.00% | 1.00%(d) | 3.08% | 78% | $3,754,040 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $9.75 | 10.22% | 0.74%(c) | 0.74%(c),(d) | 3.32%(c) | 25% | $87,784 |
| Year Ended 5/31/2019 | $8.99 | 3.77% | 0.74% | 0.74%(d) | 3.18% | 66% | $82,497 |
| Year Ended 5/31/2018 | $9.73 | 8.20% | 0.73%(e) | 0.73%(d),(e) | 3.76% | 65% | $114,441 |
| Year Ended 5/31/2017 | $10.08 | 11.90%(g) | 0.74%(e) | 0.74%(d),(e) | 3.66% | 65% | $101,179 |
| Year Ended 5/31/2016 | $9.38 | 2.31% | 0.76%(e) | 0.76%(d),(e) | 3.78% | 85% | $106,063 |
| Year Ended 5/31/2015 | $9.73 | 6.11% | 0.75% | 0.75%(d) | 3.39% | 78% | $116,211 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $9.31 | 9.79% | 1.75%(c) | 1.75%(c),(d) | 2.31%(c) | 25% | $210,781 |
| Year Ended 5/31/2019 | $8.58 | 2.64% | 1.74% | 1.74%(d) | 2.18% | 66% | $219,222 |
| Year Ended 5/31/2018 | $9.34 | 7.08% | 1.73%(e) | 1.73%(d),(e) | 2.80% | 65% | $312,766 |
| Year Ended 5/31/2017 | $9.72 | 10.88%(g) | 1.74%(e) | 1.74%(d),(e) | 2.67% | 65% | $392,361 |
| Year Ended 5/31/2016 | $9.05 | 1.33% | 1.76%(e) | 1.76%(d),(e) | 2.79% | 85% | $411,269 |
| Year Ended 5/31/2015 | $9.40 | 5.00% | 1.75% | 1.75%(d) | 2.35% | 78% | $468,629 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $9.60 | 10.27% | 0.74%(c) | 0.74%(c),(d) | 3.31%(c) | 25% | $689,073 |
| Year Ended 5/31/2019 | $8.85 | 3.71% | 0.74% | 0.74%(d) | 3.18% | 66% | $647,702 |
| Year Ended 5/31/2018 | $9.60 | 8.19% | 0.73%(e) | 0.73%(d),(e) | 3.83% | 65% | $815,788 |
| Year Ended 5/31/2017 | $9.96 | 11.93%(g) | 0.75%(e) | 0.75%(d),(e) | 3.72% | 65% | $1,149,455 |
| Year Ended 5/31/2016 | $9.27 | 2.34% | 0.76%(e) | 0.76%(d),(e) | 3.76% | 85% | $602,822 |
| Year Ended 5/31/2015 | $9.62 | 6.07% | 0.75% | 0.75%(d) | 3.33% | 78% | $927,865 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $9.63 | 10.26% | 0.71%(c) | 0.70%(c) | 3.36%(c) | 25% | $127,367 |
| Year Ended 5/31/2019 | $8.88 | 3.87% | 0.70% | 0.69% | 3.22% | 66% | $116,907 |
| Year Ended 5/31/2018 | $9.62 | 8.24% | 0.69%(e) | 0.68%(e) | 3.86% | 65% | $160,493 |
| Year Ended 5/31/2017 | $9.98 | 11.99%(g) | 0.68%(e) | 0.68%(e) | 3.75% | 65% | $238,847 |
| Year Ended 5/31/2016 | $9.29 | 2.44% | 0.67%(e) | 0.67%(e) | 3.89% | 85% | $237,565 |
| Year Ended 5/31/2015 | $9.64 | 6.29% | 0.65% | 0.65% | 3.41% | 78% | $256,079 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 17 |
Financial Highlights (continued)
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Increase
from
payment
by affiliate | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains | Total
distributions to
shareholders |
| Institutional 3 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $9.02 | 0.16 | 0.76 | — | 0.92 | (0.16) | — | (0.16) |
| Year Ended 5/31/2019 | $9.76 | 0.31 | 0.04 | — | 0.35 | (0.34) | (0.75) | (1.09) |
| Year Ended 5/31/2018 | $10.10 | 0.39 | 0.44 | — | 0.83 | (0.39) | (0.78) | (1.17) |
| Year Ended 5/31/2017 | $9.40 | 0.37 | 0.74 | 0.00(f) | 1.11 | (0.41) | — | (0.41) |
| Year Ended 5/31/2016 | $9.74 | 0.36 | (0.15) | — | 0.21 | (0.36) | (0.19) | (0.55) |
| Year Ended 5/31/2015 | $10.83 | 0.36 | 0.22 | — | 0.58 | (0.33) | (1.34) | (1.67) |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $8.80 | 0.13 | 0.75 | — | 0.88 | (0.13) | — | (0.13) |
| Year Ended 5/31/2019 | $9.55 | 0.25 | 0.03 | — | 0.28 | (0.28) | (0.75) | (1.03) |
| Year Ended 5/31/2018 | $9.91 | 0.32 | 0.43 | — | 0.75 | (0.33) | (0.78) | (1.11) |
| Year Ended 5/31/2017 | $9.23 | 0.30 | 0.73 | 0.00(f) | 1.03 | (0.35) | — | (0.35) |
| Year Ended 5/31/2016 | $9.58 | 0.30 | (0.16) | — | 0.14 | (0.30) | (0.19) | (0.49) |
| Year Ended 5/31/2015 | $10.66 | 0.29 | 0.23 | — | 0.52 | (0.26) | (1.34) | (1.60) |
| 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%. |
| (e) | Ratios include line of credit interest expense which is less than 0.01%. |
| (f) | Rounds to zero. |
| (g) | The Fund received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $9.78 | 10.23% | 0.65%(c) | 0.65%(c) | 3.42%(c) | 25% | $125,612 |
| Year Ended 5/31/2019 | $9.02 | 3.87% | 0.65% | 0.64% | 3.28% | 66% | $112,951 |
| Year Ended 5/31/2018 | $9.76 | 8.40% | 0.64%(e) | 0.63%(e) | 3.86% | 65% | $132,205 |
| Year Ended 5/31/2017 | $10.10 | 12.01%(g) | 0.63%(e) | 0.63%(e) | 3.82% | 65% | $159,887 |
| Year Ended 5/31/2016 | $9.40 | 2.56% | 0.62%(e) | 0.62%(e) | 3.97% | 85% | $65,791 |
| Year Ended 5/31/2015 | $9.74 | 6.17% | 0.60% | 0.60% | 3.54% | 78% | $60,275 |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $9.55 | 10.05% | 1.25%(c) | 1.25%(c),(d) | 2.82%(c) | 25% | $41,052 |
| Year Ended 5/31/2019 | $8.80 | 3.21% | 1.24% | 1.24%(d) | 2.67% | 66% | $38,093 |
| Year Ended 5/31/2018 | $9.55 | 7.69% | 1.23%(e) | 1.23%(d),(e) | 3.28% | 65% | $43,418 |
| Year Ended 5/31/2017 | $9.91 | 11.32%(g) | 1.24%(e) | 1.24%(d),(e) | 3.17% | 65% | $45,454 |
| Year Ended 5/31/2016 | $9.23 | 1.83% | 1.26%(e) | 1.26%(d),(e) | 3.31% | 85% | $38,578 |
| Year Ended 5/31/2015 | $9.58 | 5.65% | 1.25% | 1.25%(d) | 2.87% | 78% | $36,480 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 19 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia Dividend Opportunity Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple
| 20 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported,
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 21 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid each calendar quarter. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
| 22 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.72% to 0.52% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.63% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 23 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
share class. In addition, effective through September 30, 2020, Institutional 2 Class shares are subject to a contractual transfer agency fee annual limitation of not more than 0.05% and Institutional 3 Class shares are subject to a contractual transfer agency fee annual limitation of not more than 0.00% of the average daily net assets attributable to each share class.
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.10 |
| Advisor Class | 0.10 |
| Class C | 0.10 |
| Institutional Class | 0.10 |
| Institutional 2 Class | 0.05 |
| Institutional 3 Class | 0.00 |
| Class R | 0.10 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended November 30, 2019, these minimum account balance fees reduced total expenses of the Fund by $60.
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25%, 1.00% and 0.50% of the Fund’s average daily net assets attributable to Class A, Class C and Class R shares, respectively. For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses. For Class R shares, of the 0.50% fee, up to 0.25% can be reimbursed for shareholder servicing expenses.
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $865,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 5.75 | 0.50 - 1.00(a) | 296,829 |
| Class C | — | 1.00(b) | 3,810 |
| (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. |
The Fund’s other share classes are not subject to sales charges.
| 24 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 1.11% | 1.16% |
| Advisor Class | 0.86 | 0.91 |
| Class C | 1.86 | 1.91 |
| Institutional Class | 0.86 | 0.91 |
| Institutional 2 Class | 0.81 | 0.86 |
| Institutional 3 Class | 0.76 | 0.81 |
| Class R | 1.36 | 1.41 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Reflected in the contractual cap commitments, effective through September 30, 2020, is the Transfer Agent’s contractual agreement to limit total transfer agency fees to an annual rate of not more than 0.05% for Institutional 2 Class and 0.00% for Institutional 3 Class of the average daily net assets attributable to each share class, unless sooner terminated at the sole discretion of the Board of Trustees. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 2,270,536,000 | 469,930,000 | (13,821,000) | 456,109,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 25 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $679,663,333 and $820,848,989, respectively, for the six months ended November 30, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended November 30, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Note 9. Significant risks
Shareholder concentration risk
At November 30, 2019, affiliated shareholders of record owned 58.6% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
| 26 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 27 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Dividend Opportunity Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as its history, reputation, expertise, resources and capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
| 28 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds under the Management Agreement. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group, the product score of the Fund (taking into account performance relative to peers and benchmarks) and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Dividend Opportunity Fund | Semiannual Report 2019
| 29 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 30 | Columbia Dividend Opportunity Fund | Semiannual Report 2019 |
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Columbia Dividend Opportunity Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia High Yield Bond Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia High Yield Bond Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia High Yield Bond Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with high current income as its primary objective and, as its secondary objective, capital growth.
Portfolio management
Brian Lavin, CFA
Lead Portfolio Manager
Managed Fund since 2010
Daniel DeYoung
Portfolio Manager
Managed Fund since February 2019
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class A | Excluding sales charges | 12/08/83 | 6.03 | 11.88 | 4.84 | 7.07 |
| | Including sales charges | | 1.08 | 6.52 | 3.81 | 6.55 |
| Advisor Class | 12/11/06 | 6.15 | 11.74 | 5.03 | 7.16 |
| Class C | Excluding sales charges | 06/26/00 | 5.66 | 10.70 | 4.06 | 6.26 |
| | Including sales charges | | 4.66 | 9.70 | 4.06 | 6.26 |
| Institutional Class* | 09/27/10 | 6.16 | 12.16 | 5.10 | 7.31 |
| Institutional 2 Class | 12/11/06 | 6.21 | 12.27 | 5.19 | 7.40 |
| Institutional 3 Class* | 11/08/12 | 6.23 | 11.92 | 5.25 | 7.36 |
| Class R | 12/11/06 | 5.88 | 11.58 | 4.58 | 6.79 |
| ICE BofAML U.S. Cash Pay High Yield Constrained Index | | 4.24 | 9.62 | 5.38 | 7.57 |
Returns for Class A shares are shown with and without the maximum initial sales charge of 4.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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. |
The ICE BofAML U.S. Cash Pay High Yield Constrained Index tracks the performance of U.S. dollar-denominated below investment grade corporate debt, currently in a coupon paying period that is publicly issued in the U.S. domestic market.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at November 30, 2019) |
| Corporate Bonds & Notes | 93.9 |
| Foreign Government Obligations | 0.2 |
| Money Market Funds | 2.6 |
| Senior Loans | 3.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at November 30, 2019) |
| BBB rating | 1.4 |
| BB rating | 38.7 |
| B rating | 47.6 |
| CCC rating | 12.2 |
| CC rating | 0.1 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the average rating of Moody’s, S&P and Fitch. When ratings are available from only two rating agencies, the average of the two rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
| 4 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,060.30 | 1,019.74 | 5.28 | 5.17 | 1.03 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,061.50 | 1,020.98 | 4.00 | 3.92 | 0.78 |
| Class C | 1,000.00 | 1,000.00 | 1,056.60 | 1,015.96 | 9.15 | 8.97 | 1.79 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,061.60 | 1,020.98 | 4.00 | 3.92 | 0.78 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,062.10 | 1,021.33 | 3.64 | 3.57 | 0.71 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,062.30 | 1,021.58 | 3.38 | 3.32 | 0.66 |
| Class R | 1,000.00 | 1,000.00 | 1,058.80 | 1,018.50 | 6.55 | 6.42 | 1.28 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Corporate Bonds & Notes 93.2% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aerospace & Defense 2.7% |
| Bombardier, Inc.(a) |
| 10/15/2022 | 6.000% | | 902,000 | 905,592 |
| 12/01/2024 | 7.500% | | 877,000 | 900,283 |
| 03/15/2025 | 7.500% | | 1,575,000 | 1,596,715 |
| 04/15/2027 | 7.875% | | 2,507,000 | 2,516,402 |
| TransDigm, Inc. |
| 05/15/2025 | 6.500% | | 2,710,000 | 2,819,193 |
| 06/15/2026 | 6.375% | | 9,548,000 | 10,031,640 |
| 03/15/2027 | 7.500% | | 1,833,000 | 1,985,146 |
| TransDigm, Inc.(a) |
| 03/15/2026 | 6.250% | | 12,540,000 | 13,473,424 |
| 11/15/2027 | 5.500% | | 6,990,000 | 7,008,977 |
| Total | 41,237,372 |
| Automotive 0.4% |
| IAA Spinco, Inc.(a) |
| 06/15/2027 | 5.500% | | 781,000 | 822,935 |
| KAR Auction Services, Inc.(a) |
| 06/01/2025 | 5.125% | | 2,853,000 | 2,901,018 |
| Panther BF Aggregator 2 LP/Finance Co., Inc.(a) |
| 05/15/2027 | 8.500% | | 2,369,000 | 2,421,845 |
| Total | 6,145,798 |
| Banking 0.5% |
| Ally Financial, Inc. |
| 11/01/2031 | 8.000% | | 5,718,000 | 7,878,273 |
| Brokerage/Asset Managers/Exchanges 0.6% |
| LPL Holdings, Inc.(a) |
| 09/15/2025 | 5.750% | | 186,000 | 196,214 |
| Subordinated |
| 11/15/2027 | 4.625% | | 2,816,000 | 2,853,874 |
| NFP Corp.(a) |
| 07/15/2025 | 6.875% | | 6,349,000 | 6,204,037 |
| Total | 9,254,125 |
| Building Materials 1.5% |
| American Builders & Contractors Supply Co., Inc.(a) |
| 05/15/2026 | 5.875% | | 800,000 | 849,000 |
| 01/15/2028 | 4.000% | | 5,833,000 | 5,838,869 |
| Beacon Roofing Supply, Inc.(a) |
| 11/01/2025 | 4.875% | | 8,607,000 | 8,425,456 |
| 11/15/2026 | 4.500% | | 2,198,000 | 2,232,305 |
| Core & Main LP(a) |
| 08/15/2025 | 6.125% | | 4,640,000 | 4,747,266 |
| Total | 22,092,896 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cable and Satellite 8.2% |
| CCO Holdings LLC/Capital Corp.(a) |
| 05/01/2026 | 5.500% | | 3,194,000 | 3,372,761 |
| 05/01/2027 | 5.875% | | 1,954,000 | 2,091,492 |
| 06/01/2029 | 5.375% | | 7,548,000 | 8,087,093 |
| 03/01/2030 | 4.750% | | 6,835,000 | 6,994,220 |
| CSC Holdings LLC(a) |
| 07/15/2023 | 5.375% | | 2,159,000 | 2,218,596 |
| 10/15/2025 | 10.875% | | 3,146,000 | 3,544,716 |
| 02/01/2028 | 5.375% | | 4,462,000 | 4,722,625 |
| 04/01/2028 | 7.500% | | 1,249,000 | 1,410,812 |
| 02/01/2029 | 6.500% | | 15,973,000 | 17,824,591 |
| 01/15/2030 | 5.750% | | 5,186,000 | 5,473,408 |
| DISH DBS Corp. |
| 07/01/2026 | 7.750% | | 16,281,000 | 16,882,455 |
| Intelsat Jackson Holdings SA |
| 08/01/2023 | 5.500% | | 2,390,000 | 1,901,606 |
| Intelsat Jackson Holdings SA(a) |
| 10/15/2024 | 8.500% | | 4,458,000 | 3,693,485 |
| Intelsat Luxembourg SA |
| 06/01/2023 | 8.125% | | 3,144,000 | 1,466,486 |
| Radiate HoldCo LLC/Finance, Inc.(a) |
| 02/15/2023 | 6.875% | | 1,537,000 | 1,568,125 |
| 02/15/2025 | 6.625% | | 2,116,000 | 2,124,757 |
| Sirius XM Radio, Inc.(a) |
| 07/15/2024 | 4.625% | | 1,702,000 | 1,781,469 |
| 04/15/2025 | 5.375% | | 3,483,000 | 3,616,409 |
| 07/01/2029 | 5.500% | | 1,897,000 | 2,035,156 |
| Viasat, Inc.(a) |
| 04/15/2027 | 5.625% | | 1,411,000 | 1,511,171 |
| Virgin Media Secured Finance PLC(a) |
| 08/15/2026 | 5.500% | | 7,907,000 | 8,305,523 |
| Ziggo Bond Finance BV(a) |
| 01/15/2027 | 6.000% | | 9,914,000 | 10,403,297 |
| Ziggo BV(a) |
| 01/15/2027 | 5.500% | | 9,331,000 | 9,876,819 |
| 01/15/2030 | 4.875% | | 1,451,000 | 1,474,951 |
| Total | 122,382,023 |
| Chemicals 3.6% |
| Alpha 2 BV(a),(b) |
| 06/01/2023 | 8.750% | | 4,600,000 | 4,554,541 |
| Angus Chemical Co.(a) |
| 02/15/2023 | 8.750% | | 4,470,000 | 4,477,361 |
| Atotech U.S.A., Inc.(a) |
| 02/01/2025 | 6.250% | | 4,581,000 | 4,659,931 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Axalta Coating Systems LLC(a) |
| 08/15/2024 | 4.875% | | 3,649,000 | 3,779,735 |
| CF Industries, Inc. |
| 03/15/2034 | 5.150% | | 1,083,000 | 1,185,210 |
| 03/15/2044 | 5.375% | | 562,000 | 598,357 |
| Chemours Co. (The) |
| 05/15/2027 | 5.375% | | 859,000 | 722,162 |
| INEOS Group Holdings SA(a) |
| 08/01/2024 | 5.625% | | 1,932,000 | 1,983,161 |
| Platform Specialty Products Corp.(a) |
| 12/01/2025 | 5.875% | | 6,987,000 | 7,286,191 |
| PQ Corp.(a) |
| 11/15/2022 | 6.750% | | 7,780,000 | 8,046,693 |
| 12/15/2025 | 5.750% | | 4,343,000 | 4,545,624 |
| SPCM SA(a) |
| 09/15/2025 | 4.875% | | 3,211,000 | 3,325,757 |
| Starfruit Finco BV/US Holdco LLC(a) |
| 10/01/2026 | 8.000% | | 8,704,000 | 9,093,863 |
| Total | 54,258,586 |
| Construction Machinery 1.3% |
| H&E Equipment Services, Inc. |
| 09/01/2025 | 5.625% | | 4,682,000 | 4,940,064 |
| Herc Holdings, Inc.(a) |
| 07/15/2027 | 5.500% | | 3,398,000 | 3,566,095 |
| Ritchie Bros. Auctioneers, Inc.(a) |
| 01/15/2025 | 5.375% | | 3,058,000 | 3,189,100 |
| United Rentals North America, Inc. |
| 09/15/2026 | 5.875% | | 2,512,000 | 2,692,274 |
| 12/15/2026 | 6.500% | | 3,826,000 | 4,186,893 |
| 11/15/2027 | 3.875% | | 1,072,000 | 1,083,236 |
| Total | 19,657,662 |
| Consumer Cyclical Services 1.8% |
| APX Group, Inc. |
| 12/01/2020 | 8.750% | | 1,439,000 | 1,408,682 |
| 12/01/2022 | 7.875% | | 6,781,000 | 6,735,135 |
| 09/01/2023 | 7.625% | | 5,539,000 | 4,873,254 |
| APX Group, Inc.(a) |
| 11/01/2024 | 8.500% | | 2,608,000 | 2,586,223 |
| ASGN, Inc.(a) |
| 05/15/2028 | 4.625% | | 3,178,000 | 3,194,619 |
| frontdoor, Inc.(a) |
| 08/15/2026 | 6.750% | | 1,378,000 | 1,505,235 |
| Prime Security Services Borrower LLC/Finance, Inc.(a) |
| 04/15/2026 | 5.750% | | 3,035,000 | 3,167,991 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Uber Technologies, Inc.(a) |
| 11/01/2023 | 7.500% | | 4,114,000 | 4,239,509 |
| Total | 27,710,648 |
| Consumer Products 1.8% |
| Energizer Holdings, Inc.(a) |
| 07/15/2026 | 6.375% | | 1,647,000 | 1,757,508 |
| 01/15/2027 | 7.750% | | 2,966,000 | 3,324,044 |
| Mattel, Inc.(a) |
| 12/15/2027 | 5.875% | | 469,000 | 473,057 |
| Mattel, Inc. |
| 11/01/2041 | 5.450% | | 3,057,000 | 2,475,448 |
| Prestige Brands, Inc.(a) |
| 03/01/2024 | 6.375% | | 6,212,000 | 6,466,764 |
| Prestige Brands, Inc.(a),(c) |
| 01/15/2028 | 5.125% | | 1,428,000 | 1,462,137 |
| Scotts Miracle-Gro Co. (The)(a) |
| 10/15/2029 | 4.500% | | 1,954,000 | 1,977,256 |
| Spectrum Brands, Inc. |
| 07/15/2025 | 5.750% | | 4,953,000 | 5,191,690 |
| Valvoline, Inc. |
| 07/15/2024 | 5.500% | | 3,919,000 | 4,080,471 |
| Total | 27,208,375 |
| Diversified Manufacturing 1.6% |
| CFX Escrow Corp.(a) |
| 02/15/2024 | 6.000% | | 959,000 | 1,019,377 |
| 02/15/2026 | 6.375% | | 1,151,000 | 1,244,843 |
| Gates Global LLC/Co.(a) |
| 07/15/2022 | 6.000% | | 6,357,000 | 6,359,167 |
| 01/15/2026 | 6.250% | | 7,638,000 | 7,634,052 |
| MTS Systems Corp.(a) |
| 08/15/2027 | 5.750% | | 792,000 | 826,072 |
| Resideo Funding, Inc.(a) |
| 11/01/2026 | 6.125% | | 4,096,000 | 3,954,027 |
| SPX FLOW, Inc.(a) |
| 08/15/2024 | 5.625% | | 924,000 | 963,738 |
| Welbilt, Inc. |
| 02/15/2024 | 9.500% | | 1,206,000 | 1,276,264 |
| Zekelman Industries, Inc.(a) |
| 06/15/2023 | 9.875% | | 1,026,000 | 1,081,684 |
| Total | 24,359,224 |
| Electric 4.9% |
| AES Corp. (The) |
| 05/15/2026 | 6.000% | | 4,759,000 | 5,082,947 |
| 09/01/2027 | 5.125% | | 4,022,000 | 4,300,612 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Calpine Corp. |
| 02/01/2024 | 5.500% | | 3,320,000 | 3,379,099 |
| Calpine Corp.(a) |
| 06/01/2026 | 5.250% | | 2,670,000 | 2,785,691 |
| Clearway Energy Operating LLC |
| 08/15/2024 | 5.375% | | 9,665,000 | 9,911,506 |
| 10/15/2025 | 5.750% | | 3,290,000 | 3,469,335 |
| 09/15/2026 | 5.000% | | 4,123,000 | 4,261,696 |
| NextEra Energy Operating Partners LP(a) |
| 07/15/2024 | 4.250% | | 2,150,000 | 2,211,026 |
| 09/15/2027 | 4.500% | | 10,256,000 | 10,492,656 |
| NRG Energy, Inc. |
| 01/15/2027 | 6.625% | | 2,858,000 | 3,093,942 |
| 01/15/2028 | 5.750% | | 179,000 | 193,870 |
| NRG Energy, Inc.(a) |
| 06/15/2029 | 5.250% | | 6,574,000 | 7,052,104 |
| Pattern Energy Group, Inc.(a) |
| 02/01/2024 | 5.875% | | 2,127,000 | 2,190,712 |
| TerraForm Power Operating LLC(a) |
| 01/31/2028 | 5.000% | | 2,874,000 | 2,982,868 |
| 01/15/2030 | 4.750% | | 2,786,000 | 2,812,973 |
| Vistra Operations Co. LLC(a) |
| 02/15/2027 | 5.625% | | 5,212,000 | 5,476,843 |
| 07/31/2027 | 5.000% | | 3,466,000 | 3,602,258 |
| Total | 73,300,138 |
| Environmental 0.6% |
| Clean Harbors, Inc.(a) |
| 07/15/2027 | 4.875% | | 1,121,000 | 1,173,591 |
| 07/15/2029 | 5.125% | | 786,000 | 829,227 |
| GFL Environmental, Inc.(a) |
| 05/01/2022 | 5.625% | | 2,234,000 | 2,258,618 |
| 03/01/2023 | 5.375% | | 1,050,000 | 1,056,230 |
| 05/01/2027 | 8.500% | | 3,182,000 | 3,398,596 |
| Hulk Finance Corp.(a) |
| 06/01/2026 | 7.000% | | 758,000 | 771,200 |
| Total | 9,487,462 |
| Finance Companies 2.6% |
| Global Aircraft Leasing Co., Ltd.(a),(b) |
| 09/15/2024 | 6.500% | | 4,217,000 | 4,314,473 |
| Navient Corp. |
| 03/25/2020 | 8.000% | | 224,000 | 227,565 |
| 07/26/2021 | 6.625% | | 4,512,000 | 4,787,381 |
| 01/25/2022 | 7.250% | | 2,868,000 | 3,118,878 |
| 06/15/2022 | 6.500% | | 3,348,000 | 3,635,658 |
| Provident Funding Associates LP/Finance Corp.(a) |
| 06/15/2025 | 6.375% | | 5,305,000 | 5,219,610 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Quicken Loans, Inc.(a) |
| 05/01/2025 | 5.750% | | 9,555,000 | 9,920,002 |
| Springleaf Finance Corp. |
| 03/15/2023 | 5.625% | | 2,868,000 | 3,078,201 |
| 03/15/2024 | 6.125% | | 4,165,000 | 4,560,169 |
| Total | 38,861,937 |
| Food and Beverage 2.3% |
| B&G Foods, Inc. |
| 04/01/2025 | 5.250% | | 4,694,000 | 4,742,334 |
| 09/15/2027 | 5.250% | | 1,898,000 | 1,861,628 |
| Darling Ingredients, Inc.(a) |
| 04/15/2027 | 5.250% | | 573,000 | 606,872 |
| FAGE International SA/U.S.A. Dairy Industry, Inc.(a) |
| 08/15/2026 | 5.625% | | 2,517,000 | 2,215,437 |
| Lamb Weston Holdings, Inc.(a) |
| 11/01/2024 | 4.625% | | 2,055,000 | 2,177,202 |
| 11/01/2026 | 4.875% | | 2,498,000 | 2,644,758 |
| Performance Food Group, Inc.(a) |
| 10/15/2027 | 5.500% | | 1,397,000 | 1,494,648 |
| Post Holdings, Inc.(a) |
| 03/01/2025 | 5.500% | | 2,369,000 | 2,486,402 |
| 08/15/2026 | 5.000% | | 3,529,000 | 3,705,690 |
| 03/01/2027 | 5.750% | | 8,965,000 | 9,599,542 |
| 01/15/2028 | 5.625% | | 1,908,000 | 2,048,297 |
| 12/15/2029 | 5.500% | | 1,065,000 | 1,121,907 |
| Total | 34,704,717 |
| Gaming 4.3% |
| Boyd Gaming Corp. |
| 05/15/2023 | 6.875% | | 5,088,000 | 5,262,925 |
| Boyd Gaming Corp.(a),(c) |
| 12/01/2027 | 4.750% | | 2,649,000 | 2,675,250 |
| Caesars Resort Collection LLC/CRC Finco, Inc.(a) |
| 10/15/2025 | 5.250% | | 2,190,000 | 2,261,380 |
| Eldorado Resorts, Inc. |
| 04/01/2025 | 6.000% | | 5,035,000 | 5,311,265 |
| 09/15/2026 | 6.000% | | 2,650,000 | 2,920,522 |
| International Game Technology PLC(a) |
| 02/15/2022 | 6.250% | | 5,709,000 | 6,032,354 |
| 02/15/2025 | 6.500% | | 2,515,000 | 2,820,337 |
| 01/15/2027 | 6.250% | | 1,656,000 | 1,855,877 |
| MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. |
| 05/01/2024 | 5.625% | | 2,126,000 | 2,323,549 |
| 01/15/2028 | 4.500% | | 296,000 | 310,031 |
| MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) |
| 02/01/2027 | 5.750% | | 1,906,000 | 2,135,390 |
| Scientific Games International, Inc. |
| 12/01/2022 | 10.000% | | 5,203,000 | 5,344,887 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Scientific Games International, Inc.(a) |
| 10/15/2025 | 5.000% | | 5,966,000 | 6,211,508 |
| 03/15/2026 | 8.250% | | 4,169,000 | 4,511,463 |
| 05/15/2028 | 7.000% | | 1,392,000 | 1,449,293 |
| 11/15/2029 | 7.250% | | 1,394,000 | 1,456,594 |
| Stars Group Holdings BV/Co-Borrower LLC(a) |
| 07/15/2026 | 7.000% | | 2,031,000 | 2,200,900 |
| VICI Properties LP/Note Co., Inc.(a) |
| 12/01/2026 | 4.250% | | 2,382,000 | 2,430,045 |
| 12/01/2029 | 4.625% | | 1,908,000 | 1,967,539 |
| Wynn Las Vegas LLC/Capital Corp.(a) |
| 03/01/2025 | 5.500% | | 3,955,000 | 4,232,183 |
| Wynn Resorts Finance LLC/Capital Corp.(a) |
| 10/01/2029 | 5.125% | | 1,307,000 | 1,385,736 |
| Total | 65,099,028 |
| Health Care 5.1% |
| Acadia Healthcare Co., Inc. |
| 07/01/2022 | 5.125% | | 3,156,000 | 3,180,650 |
| 02/15/2023 | 5.625% | | 1,690,000 | 1,724,650 |
| 03/01/2024 | 6.500% | | 418,000 | 434,691 |
| Avantor, Inc.(a) |
| 10/01/2025 | 9.000% | | 4,578,000 | 5,116,133 |
| Change Healthcare Holdings LLC/Finance, Inc.(a) |
| 03/01/2025 | 5.750% | | 5,206,000 | 5,394,800 |
| Charles River Laboratories International, Inc.(a) |
| 04/01/2026 | 5.500% | | 1,689,000 | 1,797,769 |
| 05/01/2028 | 4.250% | | 1,072,000 | 1,083,557 |
| CHS/Community Health Systems, Inc. |
| 03/31/2023 | 6.250% | | 4,274,000 | 4,242,884 |
| Encompass Health Corp. |
| 02/01/2028 | 4.500% | | 1,294,000 | 1,326,645 |
| 02/01/2030 | 4.750% | | 1,294,000 | 1,337,435 |
| HCA, Inc. |
| 02/01/2025 | 5.375% | | 2,498,000 | 2,762,832 |
| 09/01/2028 | 5.625% | | 5,109,000 | 5,797,632 |
| 02/01/2029 | 5.875% | | 2,357,000 | 2,697,046 |
| Hologic, Inc.(a) |
| 10/15/2025 | 4.375% | | 5,368,000 | 5,544,303 |
| 02/01/2028 | 4.625% | | 1,613,000 | 1,703,077 |
| MPH Acquisition Holdings LLC(a) |
| 06/01/2024 | 7.125% | | 2,970,000 | 2,691,129 |
| Select Medical Corp.(a) |
| 08/15/2026 | 6.250% | | 1,928,000 | 2,067,127 |
| Sotera Health Holdings LLC(a) |
| 05/15/2023 | 6.500% | | 5,871,000 | 6,062,258 |
| Surgery Center Holdings, Inc.(a) |
| 04/15/2027 | 10.000% | | 1,506,000 | 1,584,132 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Teleflex, Inc. |
| 11/15/2027 | 4.625% | | 3,130,000 | 3,320,670 |
| Tenet Healthcare Corp. |
| 08/01/2025 | 7.000% | | 3,939,000 | 4,140,874 |
| Tenet Healthcare Corp.(a) |
| 02/01/2027 | 6.250% | | 2,829,000 | 3,033,553 |
| 11/01/2027 | 5.125% | | 8,881,000 | 9,282,984 |
| Total | 76,326,831 |
| Healthcare Insurance 1.6% |
| Centene Corp.(a) |
| 06/01/2026 | 5.375% | | 4,937,000 | 5,252,926 |
| Centene Corp.(a),(c) |
| 12/15/2027 | 4.250% | | 5,637,000 | 5,791,553 |
| 12/15/2029 | 4.625% | | 7,340,000 | 7,678,774 |
| WellCare Health Plans, Inc.(a) |
| 08/15/2026 | 5.375% | | 4,429,000 | 4,719,253 |
| Total | 23,442,506 |
| Home Construction 1.3% |
| Lennar Corp. |
| 11/15/2024 | 5.875% | | 5,630,000 | 6,259,813 |
| 06/01/2026 | 5.250% | | 2,127,000 | 2,331,803 |
| 06/15/2027 | 5.000% | | 1,578,000 | 1,714,696 |
| Meritage Homes Corp. |
| 04/01/2022 | 7.000% | | 2,106,000 | 2,296,571 |
| Taylor Morrison Communities, Inc./Holdings II(a) |
| 04/15/2023 | 5.875% | | 2,300,000 | 2,468,543 |
| 03/01/2024 | 5.625% | | 2,745,000 | 2,952,109 |
| TRI Pointe Group, Inc./Homes |
| 06/15/2024 | 5.875% | | 1,480,000 | 1,597,594 |
| Total | 19,621,129 |
| Independent Energy 5.9% |
| Callon Petroleum Co. |
| 10/01/2024 | 6.125% | | 1,724,000 | 1,643,753 |
| 07/01/2026 | 6.375% | | 7,678,000 | 7,156,839 |
| Carrizo Oil & Gas, Inc. |
| 04/15/2023 | 6.250% | | 5,455,000 | 5,217,329 |
| Centennial Resource Production LLC(a) |
| 01/15/2026 | 5.375% | | 2,854,000 | 2,690,178 |
| 04/01/2027 | 6.875% | | 3,152,000 | 3,090,869 |
| Chesapeake Energy Corp. |
| 10/01/2026 | 7.500% | | 3,791,000 | 1,785,847 |
| CrownRock LP/Finance, Inc.(a) |
| 10/15/2025 | 5.625% | | 11,475,000 | 11,312,906 |
| Endeavor Energy Resources LP/Finance, Inc.(a) |
| 01/30/2028 | 5.750% | | 2,625,000 | 2,745,991 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 9 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Hilcorp Energy I LP/Finance Co.(a) |
| 11/01/2028 | 6.250% | | 955,000 | 800,632 |
| Jagged Peak Energy LLC |
| 05/01/2026 | 5.875% | | 4,575,000 | 4,630,094 |
| Matador Resources Co. |
| 09/15/2026 | 5.875% | | 7,051,000 | 6,958,434 |
| Murphy Oil Corp. |
| 12/01/2027 | 5.875% | | 3,232,000 | 3,246,764 |
| Parsley Energy LLC/Finance Corp.(a) |
| 01/15/2025 | 5.375% | | 3,378,000 | 3,451,334 |
| 08/15/2025 | 5.250% | | 6,493,000 | 6,592,095 |
| 10/15/2027 | 5.625% | | 5,703,000 | 5,896,000 |
| QEP Resources, Inc. |
| 03/01/2026 | 5.625% | | 2,949,000 | 2,677,082 |
| SM Energy Co. |
| 06/01/2025 | 5.625% | | 1,555,000 | 1,412,801 |
| 09/15/2026 | 6.750% | | 4,953,000 | 4,513,551 |
| 01/15/2027 | 6.625% | | 2,307,000 | 2,099,370 |
| WPX Energy, Inc. |
| 09/15/2024 | 5.250% | | 6,175,000 | 6,306,003 |
| 06/01/2026 | 5.750% | | 2,762,000 | 2,816,391 |
| 10/15/2027 | 5.250% | | 2,182,000 | 2,185,868 |
| Total | 89,230,131 |
| Leisure 0.6% |
| Live Nation Entertainment, Inc.(a) |
| 11/01/2024 | 4.875% | | 3,002,000 | 3,110,848 |
| 10/15/2027 | 4.750% | | 2,144,000 | 2,211,899 |
| Viking Cruises Ltd.(a) |
| 09/15/2027 | 5.875% | | 3,703,000 | 3,970,430 |
| Total | 9,293,177 |
| Media and Entertainment 4.5% |
| Clear Channel Worldwide Holdings, Inc.(a) |
| 02/15/2024 | 9.250% | | 7,423,000 | 8,186,023 |
| 08/15/2027 | 5.125% | | 4,457,000 | 4,643,109 |
| Diamond Sports Group LLC/Finance Co.(a) |
| 08/15/2026 | 5.375% | | 3,132,000 | 3,188,117 |
| 08/15/2027 | 6.625% | | 711,000 | 692,501 |
| iHeartCommunications, Inc. |
| 05/01/2026 | 6.375% | | 2,103,583 | 2,277,562 |
| 05/01/2027 | 8.375% | | 10,055,817 | 10,942,753 |
| iHeartCommunications, Inc.(a) |
| 08/15/2027 | 5.250% | | 1,118,000 | 1,152,064 |
| 01/15/2028 | 4.750% | | 2,513,000 | 2,528,310 |
| Match Group, Inc. |
| 06/01/2024 | 6.375% | | 3,938,000 | 4,141,164 |
| Match Group, Inc.(a) |
| 12/15/2027 | 5.000% | | 206,000 | 211,234 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Netflix, Inc. |
| 04/15/2028 | 4.875% | | 7,615,000 | 7,793,239 |
| 11/15/2028 | 5.875% | | 3,363,000 | 3,685,570 |
| 05/15/2029 | 6.375% | | 452,000 | 506,496 |
| Netflix, Inc.(a) |
| 11/15/2029 | 5.375% | | 2,472,000 | 2,596,537 |
| 06/15/2030 | 4.875% | | 3,253,000 | 3,281,563 |
| Outfront Media Capital LLC/Corp. |
| 03/15/2025 | 5.875% | | 3,683,000 | 3,796,942 |
| Outfront Media Capital LLC/Corp.(a) |
| 08/15/2027 | 5.000% | | 1,042,000 | 1,090,794 |
| 03/15/2030 | 4.625% | | 3,721,000 | 3,751,826 |
| TEGNA, Inc.(a) |
| 09/15/2029 | 5.000% | | 3,236,000 | 3,248,026 |
| Total | 67,713,830 |
| Metals and Mining 3.6% |
| Alcoa Nederland Holding BV(a) |
| 09/30/2024 | 6.750% | | 2,545,000 | 2,679,917 |
| 09/30/2026 | 7.000% | | 1,675,000 | 1,823,550 |
| Big River Steel LLC/Finance Corp.(a) |
| 09/01/2025 | 7.250% | | 1,982,000 | 2,041,483 |
| Constellium NV(a) |
| 03/01/2025 | 6.625% | | 3,870,000 | 4,033,646 |
| 02/15/2026 | 5.875% | | 9,260,000 | 9,678,011 |
| Freeport-McMoRan, Inc. |
| 09/01/2029 | 5.250% | | 2,238,000 | 2,304,074 |
| 03/15/2043 | 5.450% | | 9,458,000 | 9,077,328 |
| HudBay Minerals, Inc.(a) |
| 01/15/2023 | 7.250% | | 2,201,000 | 2,260,254 |
| 01/15/2025 | 7.625% | | 8,255,000 | 8,287,464 |
| Novelis Corp.(a) |
| 08/15/2024 | 6.250% | | 2,094,000 | 2,200,165 |
| 09/30/2026 | 5.875% | | 9,483,000 | 9,959,508 |
| Total | 54,345,400 |
| Midstream 6.1% |
| Antero Midstream Partners LP/Finance Corp.(a) |
| 03/01/2027 | 5.750% | | 2,247,000 | 1,772,828 |
| Cheniere Energy Partners LP |
| 10/01/2026 | 5.625% | | 4,907,000 | 5,158,648 |
| Cheniere Energy Partners LP(a) |
| 10/01/2029 | 4.500% | | 5,394,000 | 5,413,101 |
| DCP Midstream Operating LP |
| 05/15/2029 | 5.125% | | 2,850,000 | 2,887,364 |
| 04/01/2044 | 5.600% | | 12,095,000 | 11,511,605 |
| Delek Logistics Partners LP/Finance Corp. |
| 05/15/2025 | 6.750% | | 4,005,000 | 4,002,822 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Holly Energy Partners LP/Finance Corp.(a) |
| 08/01/2024 | 6.000% | | 4,921,000 | 5,145,061 |
| NuStar Logistics LP |
| 06/01/2026 | 6.000% | | 1,704,000 | 1,834,276 |
| 04/28/2027 | 5.625% | | 5,741,000 | 5,923,113 |
| Rockies Express Pipeline LLC(a) |
| 07/15/2029 | 4.950% | | 3,762,000 | 3,630,811 |
| Rockpoint Gas Storage Canada Ltd.(a) |
| 03/31/2023 | 7.000% | | 5,388,000 | 5,397,773 |
| Sunoco LP/Finance Corp. |
| 01/15/2023 | 4.875% | | 1,880,000 | 1,930,485 |
| 02/15/2026 | 5.500% | | 5,676,000 | 5,903,035 |
| Targa Resources Partners LP/Finance Corp. |
| 02/01/2027 | 5.375% | | 4,548,000 | 4,632,058 |
| 01/15/2028 | 5.000% | | 12,578,000 | 12,444,855 |
| Targa Resources Partners LP/Finance Corp.(a) |
| 03/01/2030 | 5.500% | | 6,463,000 | 6,479,000 |
| TransMontaigne Partners LP/TLP Finance Corp. |
| 02/15/2026 | 6.125% | | 5,106,000 | 4,902,825 |
| Western Gas Partners LP |
| 08/15/2028 | 4.750% | | 367,000 | 354,639 |
| Western Midstream Operating LP |
| 03/01/2028 | 4.500% | | 2,422,000 | 2,310,239 |
| Total | 91,634,538 |
| Oil Field Services 1.4% |
| Apergy Corp. |
| 05/01/2026 | 6.375% | | 5,650,000 | 5,593,810 |
| Calfrac Holdings LP(a) |
| 06/15/2026 | 8.500% | | 2,494,000 | 1,003,419 |
| Nabors Industries, Inc. |
| 02/01/2025 | 5.750% | | 6,512,000 | 5,079,360 |
| SESI LLC |
| 09/15/2024 | 7.750% | | 1,406,000 | 812,049 |
| Transocean Sentry Ltd.(a) |
| 05/15/2023 | 5.375% | | 6,769,000 | 6,769,000 |
| USA Compression Partners LP/Finance Corp.(a) |
| 09/01/2027 | 6.875% | | 1,178,000 | 1,204,246 |
| Total | 20,461,884 |
| Other REIT 1.0% |
| CyrusOne LP/Finance Corp. |
| 03/15/2024 | 5.000% | | 2,561,000 | 2,643,336 |
| 03/15/2027 | 5.375% | | 5,056,000 | 5,563,327 |
| iStar, Inc. |
| 04/01/2022 | 6.000% | | 5,934,000 | 6,084,552 |
| Total | 14,291,215 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Packaging 3.5% |
| ARD Finance SA(a),(b) |
| 06/30/2027 | 6.500% | | 1,856,000 | 1,849,274 |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 02/15/2025 | 6.000% | | 8,830,000 | 9,286,543 |
| 08/15/2026 | 4.125% | | 2,762,000 | 2,810,842 |
| 08/15/2027 | 5.250% | | 3,292,000 | 3,406,969 |
| Berry Global Escrow Corp.(a) |
| 07/15/2026 | 4.875% | | 1,088,000 | 1,139,688 |
| Berry Global, Inc. |
| 07/15/2023 | 5.125% | | 5,060,000 | 5,192,225 |
| BWAY Holding Co.(a) |
| 04/15/2024 | 5.500% | | 4,478,000 | 4,597,995 |
| Flex Acquisition Co., Inc.(a) |
| 07/15/2026 | 7.875% | | 2,750,000 | 2,629,440 |
| Novolex(a) |
| 01/15/2025 | 6.875% | | 1,763,000 | 1,682,449 |
| Reynolds Group Issuer, Inc./LLC |
| 10/15/2020 | 5.750% | | 6,623,852 | 6,631,051 |
| Reynolds Group Issuer, Inc./LLC(a) |
| 07/15/2024 | 7.000% | | 9,060,000 | 9,375,974 |
| Trivium Packaging Finance BV(a) |
| 08/15/2026 | 5.500% | | 2,321,000 | 2,440,824 |
| 08/15/2027 | 8.500% | | 1,396,000 | 1,516,857 |
| Total | 52,560,131 |
| Pharmaceuticals 2.9% |
| Bausch Health Companies, Inc.(a) |
| 04/15/2025 | 6.125% | | 8,068,000 | 8,389,065 |
| 11/01/2025 | 5.500% | | 1,638,000 | 1,711,850 |
| 12/15/2025 | 9.000% | | 2,881,000 | 3,259,084 |
| 04/01/2026 | 9.250% | | 5,400,000 | 6,178,271 |
| 01/31/2027 | 8.500% | | 4,595,000 | 5,206,391 |
| Catalent Pharma Solutions, Inc.(a) |
| 01/15/2026 | 4.875% | | 3,073,000 | 3,178,040 |
| 07/15/2027 | 5.000% | | 727,000 | 756,056 |
| Eagle Holding Co. II LLC(a),(b) |
| 05/15/2022 | 7.750% | | 2,941,000 | 2,988,791 |
| Endo Dac/Finance LLC/Finco, Inc.(a) |
| 07/15/2023 | 6.000% | | 2,229,000 | 1,446,945 |
| Endo Dac/Finance LLC/Finco, Inc.(a),(d) |
| 02/01/2025 | 6.000% | | 616,000 | 382,030 |
| Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) |
| 08/01/2023 | 6.375% | | 7,606,000 | 7,871,935 |
| Par Pharmaceutical, Inc.(a) |
| 04/01/2027 | 7.500% | | 3,010,000 | 2,852,020 |
| Total | 44,220,478 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 11 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Property & Casualty 0.7% |
| Acrisure LLC/Finance, Inc.(a) |
| 02/15/2024 | 8.125% | | 1,043,000 | 1,111,885 |
| Alliant Holdings Intermediate LLC/Co-Issuer(a) |
| 10/15/2027 | 6.750% | | 3,164,000 | 3,343,673 |
| HUB International Ltd.(a) |
| 05/01/2026 | 7.000% | | 5,040,000 | 5,170,896 |
| USI, Inc.(a) |
| 05/01/2025 | 6.875% | | 1,503,000 | 1,518,750 |
| Total | 11,145,204 |
| Restaurants 0.7% |
| 1011778 BC ULC/New Red Finance, Inc.(a) |
| 01/15/2028 | 3.875% | | 1,626,000 | 1,638,310 |
| IRB Holding Corp.(a) |
| 02/15/2026 | 6.750% | | 6,207,000 | 6,476,298 |
| Yum! Brands, Inc.(a) |
| 01/15/2030 | 4.750% | | 1,667,000 | 1,725,736 |
| Total | 9,840,344 |
| Retailers 0.8% |
| L Brands, Inc. |
| 06/15/2029 | 7.500% | | 1,812,000 | 1,823,625 |
| 11/01/2035 | 6.875% | | 2,212,000 | 1,940,668 |
| PetSmart, Inc.(a) |
| 03/15/2023 | 7.125% | | 4,008,000 | 3,599,046 |
| 06/01/2025 | 5.875% | | 4,496,000 | 4,412,582 |
| Total | 11,775,921 |
| Supermarkets 0.5% |
| Albertsons Companies LLC/Safeway, Inc./New Albertsons LP |
| 03/15/2025 | 5.750% | | 1,589,000 | 1,633,264 |
| Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(a) |
| 03/15/2026 | 7.500% | | 1,874,000 | 2,079,150 |
| Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
| 01/15/2027 | 4.625% | | 3,021,000 | 2,984,004 |
| Total | 6,696,418 |
| Technology 6.0% |
| Ascend Learning LLC(a) |
| 08/01/2025 | 6.875% | | 2,873,000 | 3,018,309 |
| 08/01/2025 | 6.875% | | 2,691,000 | 2,828,161 |
| Banff Merger Sub, Inc.(a) |
| 09/01/2026 | 9.750% | | 788,000 | 738,626 |
| Broadcom Corp./Cayman Finance Ltd. |
| 01/15/2027 | 3.875% | | 6,030,000 | 6,155,163 |
| Camelot Finance SA(a) |
| 11/01/2026 | 4.500% | | 2,158,000 | 2,200,925 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CDK Global, Inc. |
| 06/01/2027 | 4.875% | | 5,352,000 | 5,600,620 |
| CommScope Finance LLC(a) |
| 03/01/2026 | 6.000% | | 2,724,000 | 2,856,362 |
| CommScope Technologies LLC(a) |
| 06/15/2025 | 6.000% | | 4,029,000 | 3,891,868 |
| Ensemble S Merger Sub, Inc.(a) |
| 09/30/2023 | 9.000% | | 1,096,000 | 1,125,899 |
| Gartner, Inc.(a) |
| 04/01/2025 | 5.125% | | 7,077,000 | 7,417,390 |
| Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(a) |
| 11/30/2024 | 10.000% | | 3,340,000 | 3,597,401 |
| Informatica LLC(a) |
| 07/15/2023 | 7.125% | | 4,292,000 | 4,362,234 |
| Iron Mountain, Inc. |
| 08/15/2024 | 5.750% | | 5,392,000 | 5,453,182 |
| NCR Corp. |
| 07/15/2022 | 5.000% | | 4,762,000 | 4,811,726 |
| 12/15/2023 | 6.375% | | 5,954,000 | 6,108,750 |
| NCR Corp.(a) |
| 09/01/2027 | 5.750% | | 2,185,000 | 2,259,858 |
| Plantronics, Inc.(a) |
| 05/31/2023 | 5.500% | | 1,738,000 | 1,633,961 |
| Qualitytech LP/QTS Finance Corp.(a) |
| 11/15/2025 | 4.750% | | 7,397,000 | 7,683,381 |
| Refinitiv US Holdings, Inc.(a) |
| 11/15/2026 | 8.250% | | 5,686,000 | 6,383,371 |
| Sensata Technologies, Inc.(a) |
| 02/15/2030 | 4.375% | | 1,022,000 | 1,020,784 |
| Solera LLC/Finance, Inc.(a) |
| 03/01/2024 | 10.500% | | 2,645,000 | 2,753,725 |
| Tempo Acquisition LLC/Finance Corp.(a) |
| 06/01/2025 | 6.750% | | 3,703,000 | 3,814,016 |
| Verscend Escrow Corp.(a) |
| 08/15/2026 | 9.750% | | 3,909,000 | 4,202,518 |
| Total | 89,918,230 |
| Transportation Services 1.4% |
| Avis Budget Car Rental LLC/Finance, Inc. |
| 04/01/2023 | 5.500% | | 529,000 | 536,290 |
| Avis Budget Car Rental LLC/Finance, Inc.(a) |
| 03/15/2025 | 5.250% | | 3,677,000 | 3,783,525 |
| Hertz Corp. (The)(a) |
| 06/01/2022 | 7.625% | | 2,215,000 | 2,301,635 |
| 10/15/2024 | 5.500% | | 1,917,000 | 1,945,620 |
| 08/01/2026 | 7.125% | | 2,494,000 | 2,660,158 |
| 01/15/2028 | 6.000% | | 7,579,000 | 7,534,639 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| XPO Logistics, Inc.(a) |
| 06/15/2022 | 6.500% | | 2,314,000 | 2,358,753 |
| Total | 21,120,620 |
| Wireless 4.6% |
| Altice France SA(a) |
| 05/01/2026 | 7.375% | | 10,190,000 | 10,878,126 |
| 02/01/2027 | 8.125% | | 3,670,000 | 4,055,058 |
| 01/15/2028 | 5.500% | | 4,180,000 | 4,237,549 |
| Altice Luxembourg SA(a) |
| 05/15/2027 | 10.500% | | 4,123,000 | 4,669,586 |
| SBA Communications Corp. |
| 09/01/2024 | 4.875% | | 10,899,000 | 11,328,951 |
| Sprint Capital Corp. |
| 11/15/2028 | 6.875% | | 8,231,000 | 8,773,307 |
| Sprint Corp. |
| 02/15/2025 | 7.625% | | 1,412,000 | 1,545,665 |
| 03/01/2026 | 7.625% | | 5,016,000 | 5,492,639 |
| T-Mobile U.S.A., Inc. |
| 01/15/2026 | 6.500% | | 10,824,000 | 11,605,041 |
| 02/01/2026 | 4.500% | | 2,703,000 | 2,784,125 |
| 02/01/2028 | 4.750% | | 3,381,000 | 3,550,062 |
| Total | 68,920,109 |
| Wirelines 2.3% |
| CenturyLink, Inc. |
| 06/15/2021 | 6.450% | | 2,259,000 | 2,372,320 |
| 03/15/2022 | 5.800% | | 7,800,000 | 8,221,615 |
| 04/01/2024 | 7.500% | | 7,238,000 | 8,149,253 |
| Frontier Communications Corp.(a) |
| 04/01/2026 | 8.500% | | 1,680,000 | 1,664,917 |
| Telecom Italia Capital SA |
| 09/30/2034 | 6.000% | | 1,454,000 | 1,557,150 |
| Zayo Group LLC/Capital, Inc. |
| 05/15/2025 | 6.375% | | 8,977,000 | 9,259,510 |
| Zayo Group LLC/Capital, Inc.(a) |
| 01/15/2027 | 5.750% | | 2,734,000 | 2,801,147 |
| Total | 34,025,912 |
Total Corporate Bonds & Notes
(Cost $1,365,306,834) | 1,400,222,272 |
|
| Foreign Government Obligations(e) 0.2% |
| | | | |
| Canada 0.2% |
| NOVA Chemicals Corp.(a) |
| 06/01/2027 | 5.250% | | 2,885,000 | 2,922,013 |
Total Foreign Government Obligations
(Cost $2,993,372) | 2,922,013 |
|
| Senior Loans 3.3% |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Construction Machinery 0.2% |
| Vertiv Group Corp.(f),(g) |
| Tranche B Term Loan |
3-month USD LIBOR + 4.000%
Floor 1.000%
11/30/2023 | 5.927% | | 3,209,000 | 3,132,786 |
| Finance Companies 0.3% |
| Ellie Mae, Inc.(f),(g) |
| 1st Lien Term Loan |
3-month USD LIBOR + 4.000%
04/17/2026 | 5.863% | | 4,160,000 | 4,143,110 |
| Food and Beverage 0.4% |
| 8th Avenue Food & Provisions, Inc.(f),(g) |
| 1st Lien Term Loan |
3-month USD LIBOR + 3.750%
10/01/2025 | 5.508% | | 3,169,301 | 3,171,931 |
| 2nd Lien Term Loan |
3-month USD LIBOR + 7.750%
10/01/2026 | 9.508% | | 3,441,442 | 3,375,470 |
| Total | 6,547,401 |
| Health Care 0.1% |
| Avantor Funding, Inc.(f),(g) |
| Tranche B2 Term Loan |
3-month USD LIBOR + 3.000%
Floor 1.000%
11/21/2024 | 4.702% | | 645,164 | 649,603 |
| Metals and Mining 0.5% |
| Big River Steel LLC(f),(g) |
| Term Loan |
3-month USD LIBOR + 5.000%
Floor 1.000%
08/23/2023 | 7.104% | | 7,032,145 | 6,948,674 |
| Restaurants 0.3% |
| IRB Holding Corp./Arby’s/Buffalo Wild Wings(f),(g) |
| Tranche B Term Loan |
3-month USD LIBOR + 3.250%
Floor 1.000%
02/05/2025 | 5.216% | | 4,587,712 | 4,585,418 |
| Retailers 0.2% |
| BellRing Brands LLC(f),(g) |
| Tranche B Term Loan |
3-month USD LIBOR + 5.000%
Floor 1.000%
10/21/2024 | 6.702% | | 2,597,000 | 2,593,754 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 13 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Technology 1.3% |
| Applied Systems, Inc.(f),(g) |
| 1st Lien Term Loan |
3-month USD LIBOR + 3.250%
Floor 1.000%
09/19/2024 | 5.354% | | 1,769,880 | 1,762,022 |
| Ascend Learning LLC(f),(g) |
| Term Loan |
3-month USD LIBOR + 3.000%
Floor 1.000%
07/12/2024 | 4.702% | | 2,324,515 | 2,324,515 |
| Dun & Bradstreet Corp. (The)(f),(g) |
| Term Loan |
3-month USD LIBOR + 5.000%
02/06/2026 | 6.700% | | 4,933,000 | 4,957,665 |
| Greeneden US Holdings I LLC/Genesys Telecommunications Laboratories, Inc.(f),(g) |
| Tranche B3 Term Loan |
3-month USD LIBOR + 3.250%
12/01/2023 | 4.952% | | 3,166,148 | 3,150,887 |
| Misys Ltd./Almonde/Tahoe/Finastra USA(f),(g) |
| 1st Lien Term Loan |
3-month USD LIBOR + 3.500%
Floor 1.000%
06/13/2024 | 5.696% | | 2,373,536 | 2,318,660 |
| Project Alpha Intermediate Holding, Inc.(f),(g) |
| Term Loan |
3-month USD LIBOR + 3.500%
Floor 1.000%
04/26/2024 | 5.490% | | 845,265 | 836,111 |
3-month USD LIBOR + 4.250%
04/26/2024 | 6.240% | | 2,541,258 | 2,539,149 |
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ultimate Software Group, Inc. (The)(f),(g) |
| 1st Lien Term Loan |
3-month USD LIBOR + 3.750%
05/04/2026 | 5.452% | | 1,892,000 | 1,900,400 |
| Total | 19,789,409 |
Total Senior Loans
(Cost $48,243,165) | 48,390,155 |
| Money Market Funds 2.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(h),(i) | 39,334,395 | 39,334,395 |
Total Money Market Funds
(Cost $39,334,076) | 39,334,395 |
Total Investments in Securities
(Cost: $1,455,877,447) | 1,490,868,835 |
| Other Assets & Liabilities, Net | | 11,242,150 |
| Net Assets | 1,502,110,985 |
At November 30, 2019, securities and/or cash totaling $519,044 were pledged as collateral.
Investments in derivatives
| Cleared credit default swap contracts - sell protection |
Reference
entity | Counterparty | Maturity
date | Receive
fixed
rate
(%) | Payment
frequency | Implied
credit
spread
(%)* | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | 3.248 | USD | 9,000,000 | 197,064 | — | — | 197,064 | — |
| * | 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. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Notes to Portfolio of Investments
| (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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At November 30, 2019, the total value of these securities amounted to $885,112,006, which represents 58.92% of total net assets. |
| (b) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (c) | Represents a security purchased on a when-issued basis. |
| (d) | 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, 2019. |
| (e) | Principal and interest may not be guaranteed by a governmental entity. |
| (f) | The stated interest rate represents the weighted average interest rate at November 30, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. |
| (g) | Variable rate security. The interest rate shown was the current rate as of November 30, 2019. |
| (h) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
| (i) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Columbia Short-Term Cash Fund, 1.745% |
| | 61,632,087 | 272,762,785 | (295,060,477) | 39,334,395 | (758) | 2,761 | 765,770 | 39,334,395 |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 15 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Corporate Bonds & Notes | — | 1,400,222,272 | — | 1,400,222,272 |
| Foreign Government Obligations | — | 2,922,013 | — | 2,922,013 |
| Senior Loans | — | 48,390,155 | — | 48,390,155 |
| Money Market Funds | 39,334,395 | — | — | 39,334,395 |
| Total Investments in Securities | 39,334,395 | 1,451,534,440 | — | 1,490,868,835 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Swap Contracts | — | 197,064 | — | 197,064 |
| Total | 39,334,395 | 1,451,731,504 | — | 1,491,065,899 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,416,543,371) | $1,451,534,440 |
| Affiliated issuers (cost $39,334,076) | 39,334,395 |
| Cash | 68,876 |
| Margin deposits on: | |
| Swap contracts | 519,044 |
| Receivable for: | |
| Investments sold | 6,842,588 |
| Investments sold on a delayed delivery basis | 2,218,922 |
| Capital shares sold | 6,856,971 |
| Dividends | 81,948 |
| Interest | 20,951,622 |
| Foreign tax reclaims | 45,649 |
| Expense reimbursement due from Investment Manager | 713 |
| Prepaid expenses | 5,483 |
| Trustees’ deferred compensation plan | 10,185 |
| Other assets | 4,499 |
| Total assets | 1,528,475,335 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 262,843 |
| Investments purchased on a delayed delivery basis | 17,006,649 |
| Capital shares purchased | 1,869,898 |
| Distributions to shareholders | 6,798,904 |
| Variation margin for swap contracts | 316 |
| Management services fees | 51,729 |
| Distribution and/or service fees | 11,804 |
| Transfer agent fees | 138,630 |
| Compensation of board members | 139,442 |
| Compensation of chief compliance officer | 168 |
| Other expenses | 73,782 |
| Trustees’ deferred compensation plan | 10,185 |
| Total liabilities | 26,364,350 |
| Net assets applicable to outstanding capital stock | $1,502,110,985 |
| Represented by | |
| Paid in capital | 1,493,925,851 |
| Total distributable earnings (loss) | 8,185,134 |
| Total - representing net assets applicable to outstanding capital stock | $1,502,110,985 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 17 |
Statement of Assets and Liabilities (continued)
November 30, 2019 (Unaudited)
| Class A | |
| Net assets | $706,279,302 |
| Shares outstanding | 238,749,991 |
| Net asset value per share | $2.96 |
| Maximum sales charge | 4.75% |
| 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) | $3.11 |
| Advisor Class | |
| Net assets | $99,676,524 |
| Shares outstanding | 33,507,677 |
| Net asset value per share | $2.97 |
| Class C | |
| Net assets | $30,340,961 |
| Shares outstanding | 10,319,616 |
| Net asset value per share | $2.94 |
| Institutional Class | |
| Net assets | $179,157,076 |
| Shares outstanding | 60,617,361 |
| Net asset value per share | $2.96 |
| Institutional 2 Class | |
| Net assets | $76,730,833 |
| Shares outstanding | 26,034,794 |
| Net asset value per share | $2.95 |
| Institutional 3 Class | |
| Net assets | $391,136,510 |
| Shares outstanding | 132,479,562 |
| Net asset value per share | $2.95 |
| Class R | |
| Net assets | $18,789,779 |
| Shares outstanding | 6,332,315 |
| Net asset value per share | $2.97 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $765,770 |
| Interest | 43,178,585 |
| Interfund lending | 491 |
| Total income | 43,944,846 |
| Expenses: | |
| Management services fees | 4,727,235 |
| Distribution and/or service fees | |
| Class A | 877,869 |
| Class C | 160,857 |
| Class R | 46,100 |
| Transfer agent fees | |
| Class A | 450,622 |
| Advisor Class | 59,651 |
| Class C | 20,658 |
| Institutional Class | 115,384 |
| Institutional 2 Class | 27,646 |
| Institutional 3 Class | 14,947 |
| Class R | 11,834 |
| Compensation of board members | 18,555 |
| Custodian fees | 15,033 |
| Printing and postage fees | 53,835 |
| Registration fees | 57,642 |
| Audit fees | 15,849 |
| Legal fees | 12,083 |
| Compensation of chief compliance officer | 168 |
| Other | 19,098 |
| Total expenses | 6,705,066 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (25,311) |
| Expense reduction | (2,098) |
| Total net expenses | 6,677,657 |
| Net investment income | 37,267,189 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 7,249,667 |
| Investments — affiliated issuers | (758) |
| Swap contracts | 166,312 |
| Net realized gain | 7,415,221 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 43,269,100 |
| Investments — affiliated issuers | 2,761 |
| Swap contracts | 197,064 |
| Net change in unrealized appreciation (depreciation) | 43,468,925 |
| Net realized and unrealized gain | 50,884,146 |
| Net increase in net assets resulting from operations | $88,151,335 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 19 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income | $37,267,189 | $82,282,886 |
| Net realized gain (loss) | 7,415,221 | (21,737,073) |
| Net change in unrealized appreciation (depreciation) | 43,468,925 | 28,597,681 |
| Net increase in net assets resulting from operations | 88,151,335 | 89,143,494 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | (17,100,220) | (36,460,443) |
| Advisor Class | (2,385,974) | (5,628,021) |
| Class C | (659,899) | (1,676,627) |
| Institutional Class | (4,600,364) | (10,846,074) |
| Institutional 2 Class | (2,433,525) | (5,061,035) |
| Institutional 3 Class | (9,937,049) | (22,279,376) |
| Class R | (425,737) | (940,291) |
| Class T | — | (4,337) |
| Total distributions to shareholders | (37,542,768) | (82,896,204) |
| Decrease in net assets from capital stock activity | (19,681,355) | (368,501,904) |
| Total increase (decrease) in net assets | 30,927,212 | (362,254,614) |
| Net assets at beginning of period | 1,471,183,773 | 1,833,438,387 |
| Net assets at end of period | $1,502,110,985 | $1,471,183,773 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 23,862,478 | 70,013,168 | 27,166,545 | 77,470,342 |
| Distributions reinvested | 5,599,219 | 16,501,107 | 12,395,868 | 35,174,806 |
| Redemptions | (32,813,819) | (96,295,831) | (70,938,771) | (201,412,090) |
| Net decrease | (3,352,122) | (9,781,556) | (31,376,358) | (88,766,942) |
| Advisor Class | | | | |
| Subscriptions | 6,876,674 | 20,322,254 | 17,000,531 | 48,341,763 |
| Distributions reinvested | 797,156 | 2,361,339 | 1,947,626 | 5,560,703 |
| Redemptions | (4,978,810) | (14,699,478) | (27,357,609) | (78,520,090) |
| Net increase (decrease) | 2,695,020 | 7,984,115 | (8,409,452) | (24,617,624) |
| Class C | | | | |
| Subscriptions | 460,904 | 1,344,160 | 1,051,653 | 2,976,744 |
| Distributions reinvested | 214,523 | 628,201 | 568,718 | 1,603,553 |
| Redemptions | (2,356,794) | (6,866,426) | (12,788,596) | (36,207,586) |
| Net decrease | (1,681,367) | (4,894,065) | (11,168,225) | (31,627,289) |
| Institutional Class | | | | |
| Subscriptions | 10,955,335 | 32,006,887 | 21,567,244 | 61,076,274 |
| Distributions reinvested | 1,467,972 | 4,320,950 | 3,407,251 | 9,668,921 |
| Redemptions | (12,770,716) | (37,360,334) | (49,100,433) | (139,250,555) |
| Net decrease | (347,409) | (1,032,497) | (24,125,938) | (68,505,360) |
| Institutional 2 Class | | | | |
| Subscriptions | 18,510,952 | 54,271,846 | 13,610,267 | 38,926,959 |
| Distributions reinvested | 827,736 | 2,428,372 | 1,745,567 | 4,939,014 |
| Redemptions | (20,620,797) | (60,437,855) | (36,178,621) | (102,939,659) |
| Net decrease | (1,282,109) | (3,737,637) | (20,822,787) | (59,073,686) |
| Institutional 3 Class | | | | |
| Subscriptions | 9,502,167 | 27,849,934 | 20,863,578 | 58,551,604 |
| Distributions reinvested | 3,115,098 | 9,159,276 | 7,209,564 | 20,413,064 |
| Redemptions | (15,217,836) | (44,363,520) | (60,168,596) | (171,222,731) |
| Net decrease | (2,600,571) | (7,354,310) | (32,095,454) | (92,258,063) |
| Class R | | | | |
| Subscriptions | 828,540 | 2,445,445 | 1,874,376 | 5,362,238 |
| Distributions reinvested | 123,104 | 363,635 | 263,570 | 750,324 |
| Redemptions | (1,251,618) | (3,674,485) | (3,363,667) | (9,599,703) |
| Net decrease | (299,974) | (865,405) | (1,225,721) | (3,487,141) |
| Class T | | | | |
| Distributions reinvested | — | — | 1,345 | 3,781 |
| Redemptions | — | — | (61,528) | (169,580) |
| Net decrease | — | — | (60,183) | (165,799) |
| Total net decrease | (6,868,532) | (19,681,355) | (129,284,118) | (368,501,904) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 21 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | 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 11/30/2019 (Unaudited) | $2.86 | 0.07 | 0.10 | 0.17 | (0.07) | (0.07) |
| Year Ended 5/31/2019 | $2.85 | 0.14 | 0.01 | 0.15 | (0.14) | (0.14) |
| Year Ended 5/31/2018 | $2.98 | 0.14 | (0.14) | 0.00(e) | (0.13) | (0.13) |
| Year Ended 5/31/2017 | $2.84 | 0.14 | 0.14 | 0.28 | (0.14) | (0.14) |
| Year Ended 5/31/2016 | $2.99 | 0.14 | (0.15) | (0.01) | (0.14) | (0.14) |
| Year Ended 5/31/2015 | $3.04 | 0.14 | (0.05) | 0.09 | (0.14) | (0.14) |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $2.87 | 0.07 | 0.11 | 0.18 | (0.08) | (0.08) |
| Year Ended 5/31/2019 | $2.87 | 0.15 | 0.00(e) | 0.15 | (0.15) | (0.15) |
| Year Ended 5/31/2018 | $3.00 | 0.14 | (0.13) | 0.01 | (0.14) | (0.14) |
| Year Ended 5/31/2017 | $2.86 | 0.15 | 0.14 | 0.29 | (0.15) | (0.15) |
| Year Ended 5/31/2016 | $3.01 | 0.15 | (0.15) | 0.00(e) | (0.15) | (0.15) |
| Year Ended 5/31/2015 | $3.06 | 0.15 | (0.05) | 0.10 | (0.15) | (0.15) |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $2.84 | 0.06 | 0.10 | 0.16 | (0.06) | (0.06) |
| Year Ended 5/31/2019 | $2.83 | 0.12 | 0.01 | 0.13 | (0.12) | (0.12) |
| Year Ended 5/31/2018 | $2.96 | 0.11 | (0.13) | (0.02) | (0.11) | (0.11) |
| Year Ended 5/31/2017 | $2.83 | 0.12 | 0.13 | 0.25 | (0.12) | (0.12) |
| Year Ended 5/31/2016 | $2.97 | 0.12 | (0.14) | (0.02) | (0.12) | (0.12) |
| Year Ended 5/31/2015 | $3.02 | 0.12 | (0.05) | 0.07 | (0.12) | (0.12) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $2.86 | 0.07 | 0.10 | 0.17 | (0.07) | (0.07) |
| Year Ended 5/31/2019 | $2.85 | 0.15 | 0.01 | 0.16 | (0.15) | (0.15) |
| Year Ended 5/31/2018 | $2.98 | 0.14 | (0.13) | 0.01 | (0.14) | (0.14) |
| Year Ended 5/31/2017 | $2.84 | 0.15 | 0.14 | 0.29 | (0.15) | (0.15) |
| Year Ended 5/31/2016 | $2.99 | 0.15 | (0.15) | 0.00(e) | (0.15) | (0.15) |
| Year Ended 5/31/2015 | $3.04 | 0.15 | (0.05) | 0.10 | (0.15) | (0.15) |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $2.85 | 0.07 | 0.11 | 0.18 | (0.08) | (0.08) |
| Year Ended 5/31/2019 | $2.84 | 0.15 | 0.01 | 0.16 | (0.15) | (0.15) |
| Year Ended 5/31/2018 | $2.97 | 0.14 | (0.13) | 0.01 | (0.14) | (0.14) |
| Year Ended 5/31/2017 | $2.84 | 0.15 | 0.13 | 0.28 | (0.15) | (0.15) |
| Year Ended 5/31/2016 | $2.98 | 0.15 | (0.14) | 0.01 | (0.15) | (0.15) |
| Year Ended 5/31/2015 | $3.04 | 0.15 | (0.06) | 0.09 | (0.15) | (0.15) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $2.96 | 6.03% | 1.04%(c) | 1.03%(c),(d) | 4.85%(c) | 28% | $706,279 |
| Year Ended 5/31/2019 | $2.86 | 5.47% | 1.04% | 1.04%(d) | 4.93% | 41% | $692,138 |
| Year Ended 5/31/2018 | $2.85 | 0.10% | 1.03% | 1.03%(d) | 4.60% | 49% | $778,978 |
| Year Ended 5/31/2017 | $2.98 | 10.08% | 1.03% | 1.03%(d) | 4.77% | 60% | $929,057 |
| Year Ended 5/31/2016 | $2.84 | (0.21%) | 1.06% | 1.06%(d) | 4.88% | 51% | $1,178,208 |
| Year Ended 5/31/2015 | $2.99 | 3.12% | 1.08% | 1.07%(d) | 4.76% | 64% | $1,256,835 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $2.97 | 6.15% | 0.79%(c) | 0.78%(c),(d) | 5.09%(c) | 28% | $99,677 |
| Year Ended 5/31/2019 | $2.87 | 5.36% | 0.79% | 0.79%(d) | 5.17% | 41% | $88,582 |
| Year Ended 5/31/2018 | $2.87 | 0.37% | 0.78% | 0.78%(d) | 4.89% | 49% | $112,377 |
| Year Ended 5/31/2017 | $3.00 | 10.32% | 0.79% | 0.79%(d) | 5.04% | 60% | $68,934 |
| Year Ended 5/31/2016 | $2.86 | 0.07% | 0.81% | 0.81%(d) | 5.11% | 51% | $29,969 |
| Year Ended 5/31/2015 | $3.01 | 3.38% | 0.83% | 0.82%(d) | 5.01% | 64% | $14,992 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $2.94 | 5.66% | 1.79%(c) | 1.79%(c),(d) | 4.11%(c) | 28% | $30,341 |
| Year Ended 5/31/2019 | $2.84 | 4.68% | 1.79% | 1.79%(d) | 4.17% | 41% | $34,097 |
| Year Ended 5/31/2018 | $2.83 | (0.68%) | 1.78% | 1.78%(d) | 3.85% | 49% | $65,568 |
| Year Ended 5/31/2017 | $2.96 | 8.91% | 1.78% | 1.78%(d) | 4.02% | 60% | $84,315 |
| Year Ended 5/31/2016 | $2.83 | (0.64%) | 1.82% | 1.82%(d) | 4.12% | 51% | $82,543 |
| Year Ended 5/31/2015 | $2.97 | 2.38% | 1.83% | 1.78%(d) | 4.06% | 64% | $87,006 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $2.96 | 6.16% | 0.79%(c) | 0.78%(c),(d) | 5.10%(c) | 28% | $179,157 |
| Year Ended 5/31/2019 | $2.86 | 5.73% | 0.79% | 0.79%(d) | 5.17% | 41% | $174,135 |
| Year Ended 5/31/2018 | $2.85 | 0.35% | 0.78% | 0.78%(d) | 4.84% | 49% | $242,148 |
| Year Ended 5/31/2017 | $2.98 | 10.36% | 0.79% | 0.79%(d) | 5.04% | 60% | $395,530 |
| Year Ended 5/31/2016 | $2.84 | 0.04% | 0.81% | 0.81%(d) | 5.12% | 51% | $227,058 |
| Year Ended 5/31/2015 | $2.99 | 3.37% | 0.83% | 0.82%(d) | 5.01% | 64% | $208,466 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $2.95 | 6.21% | 0.72%(c) | 0.71%(c) | 5.15%(c) | 28% | $76,731 |
| Year Ended 5/31/2019 | $2.85 | 5.82% | 0.71% | 0.71% | 5.23% | 41% | $77,805 |
| Year Ended 5/31/2018 | $2.84 | 0.40% | 0.71% | 0.71% | 4.92% | 49% | $136,612 |
| Year Ended 5/31/2017 | $2.97 | 10.08% | 0.70% | 0.70% | 5.11% | 60% | $143,247 |
| Year Ended 5/31/2016 | $2.84 | 0.48% | 0.71% | 0.71% | 5.18% | 51% | $173,794 |
| Year Ended 5/31/2015 | $2.98 | 3.15% | 0.71% | 0.71% | 5.12% | 64% | $33,231 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 23 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $2.85 | 0.08 | 0.10 | 0.18 | (0.08) | (0.08) |
| Year Ended 5/31/2019 | $2.84 | 0.15 | 0.01 | 0.16 | (0.15) | (0.15) |
| Year Ended 5/31/2018 | $2.97 | 0.15 | (0.13) | 0.02 | (0.15) | (0.15) |
| Year Ended 5/31/2017 | $2.84 | 0.15 | 0.13 | 0.28 | (0.15) | (0.15) |
| Year Ended 5/31/2016 | $2.99 | 0.15 | (0.15) | 0.00(e) | (0.15) | (0.15) |
| Year Ended 5/31/2015 | $3.03 | 0.15 | (0.04) | 0.11 | (0.15) | (0.15) |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $2.87 | 0.07 | 0.10 | 0.17 | (0.07) | (0.07) |
| Year Ended 5/31/2019 | $2.86 | 0.13 | 0.01 | 0.14 | (0.13) | (0.13) |
| Year Ended 5/31/2018 | $2.99 | 0.13 | (0.13) | 0.00(e) | (0.13) | (0.13) |
| Year Ended 5/31/2017 | $2.85 | 0.13 | 0.14 | 0.27 | (0.13) | (0.13) |
| Year Ended 5/31/2016 | $3.00 | 0.13 | (0.15) | (0.02) | (0.13) | (0.13) |
| Year Ended 5/31/2015 | $3.05 | 0.13 | (0.05) | 0.08 | (0.13) | (0.13) |
| 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%. |
| (e) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $2.95 | 6.23% | 0.67%(c) | 0.66%(c) | 5.22%(c) | 28% | $391,137 |
| Year Ended 5/31/2019 | $2.85 | 5.87% | 0.66% | 0.66% | 5.29% | 41% | $385,410 |
| Year Ended 5/31/2018 | $2.84 | 0.45% | 0.66% | 0.66% | 4.99% | 49% | $475,135 |
| Year Ended 5/31/2017 | $2.97 | 10.13% | 0.65% | 0.65% | 5.17% | 60% | $353,045 |
| Year Ended 5/31/2016 | $2.84 | 0.19% | 0.66% | 0.66% | 5.29% | 51% | $19,341 |
| Year Ended 5/31/2015 | $2.99 | 3.89% | 0.65% | 0.65% | 5.18% | 64% | $10,668 |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $2.97 | 5.88% | 1.29%(c) | 1.28%(c),(d) | 4.60%(c) | 28% | $18,790 |
| Year Ended 5/31/2019 | $2.87 | 5.21% | 1.29% | 1.29%(d) | 4.68% | 41% | $19,019 |
| Year Ended 5/31/2018 | $2.86 | (0.14%) | 1.28% | 1.28%(d) | 4.36% | 49% | $22,450 |
| Year Ended 5/31/2017 | $2.99 | 9.79% | 1.28% | 1.28%(d) | 4.52% | 60% | $25,925 |
| Year Ended 5/31/2016 | $2.85 | (0.44%) | 1.32% | 1.32%(d) | 4.63% | 51% | $22,299 |
| Year Ended 5/31/2015 | $3.00 | 2.87% | 1.33% | 1.32%(d) | 4.51% | 64% | $19,516 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 25 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia High Yield Bond Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Senior loan securities for which reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Swap transactions are valued through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
| 26 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty
Columbia High Yield Bond Fund | Semiannual Report 2019
| 27 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Swap contracts
Swap contracts are negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. Unlike a bilateral swap contract, for centrally cleared swap contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities.
Entering into these contracts involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit default swap contracts to manage cash. These instruments may be used for other purposes in future periods. Credit default swap contracts are agreements in which one party pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference obligation from the buyer in exchange
| 28 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront payments or receipts by the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging risk, correlation risk and liquidity risk.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at November 30, 2019:
| | 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 | 197,064* |
| * | 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 High Yield Bond Fund | Semiannual Report 2019
| 29 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended November 30, 2019:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Swap
contracts
($) |
| Credit risk | 166,312 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Swap
contracts
($) |
| Credit risk | 197,064 |
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at November 30, 2019:
| Derivative instrument | Average notional
amounts ($)* |
| Credit default swap contracts — sell protection | 8,955,000 |
| * | Based on the ending quarterly outstanding amounts for the six months ended November 30, 2019. |
Investments in senior loans
The Fund may invest in senior loan assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased, may become illiquid.
The Fund may enter into senior loan assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund designates cash or liquid securities to cover these commitments.
Delayed delivery securities
The Fund may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
| 30 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of November 30, 2019:
| | Morgan
Stanley ($) |
| Liabilities | |
| Centrally cleared credit default swap contracts (a) | 316 |
| Total liabilities | 316 |
| Total financial and derivative net assets | (316) |
| Total collateral received (pledged) (b) | (316) |
| Net amount (c) | - |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin on 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. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Dividend income is recorded on the ex-dividend date.
The value of additional securities received as an income payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
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| 31 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.66% to 0.40% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.63% of the Fund’s average daily net assets.
| 32 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.13 |
| Advisor Class | 0.13 |
| Class C | 0.13 |
| Institutional Class | 0.13 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
| Class R | 0.13 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended November 30, 2019, these minimum account balance fees reduced total expenses of the Fund by $2,098.
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| 33 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25%, 1.00% and 0.50% of the Fund’s average daily net assets attributable to Class A, Class C and Class R shares, respectively. For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses. For Class R shares, of the 0.50% fee, up to 0.25% can be reimbursed for shareholder servicing expenses.
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $7,074,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 4.75 | 0.50 - 1.00(a) | 152,922 |
| Class C | — | 1.00(b) | 772 |
| (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. |
The Fund’s other share classes are not subject to sales charges.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 1.03% | 1.05% |
| Advisor Class | 0.78 | 0.80 |
| Class C | 1.78 | 1.80 |
| Institutional Class | 0.78 | 0.80 |
| Institutional 2 Class | 0.71 | 0.73 |
| Institutional 3 Class | 0.66 | 0.68 |
| Class R | 1.28 | 1.30 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This
| 34 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 1,455,877,000 | 49,905,000 | (14,716,000) | 35,189,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at May 31, 2019, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| 18,657,208 | 15,445,430 | 34,102,638 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $404,759,989 and $399,745,404, respectively, for the six months ended November 30, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 35 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended November 30, 2019 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 1,340,000 | 2.64 | 5 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at November 30, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
High-yield investments risk
Securities and other debt instruments held by the Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of principal and income than a fund that invests solely or primarily in investment grade debt instruments. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
| 36 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Shareholder concentration risk
At November 30, 2019, affiliated shareholders of record owned 54.8% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia High Yield Bond Fund | Semiannual Report 2019
| 37 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia High Yield Bond Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as its history, reputation, expertise, resources and capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
| 38 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds under the Management Agreement. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group, the product score of the Fund (taking into account performance relative to peers and benchmarks) and the net assets of the Fund. The Board observed the Fund’s underperformance for certain periods, noting that appropriate steps such as changes to the management team had been taken to help improve the Fund’s performance.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall
Columbia High Yield Bond Fund | Semiannual Report 2019
| 39 |
Approval of Management Agreement (continued)
reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 40 | Columbia High Yield Bond Fund | Semiannual Report 2019 |
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Columbia High Yield Bond Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia Small/Mid Cap Value Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Small/Mid Cap Value Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term growth of capital.
Portfolio management
Jarl Ginsberg, CFA, CAIA
Co-Portfolio Manager
Managed Fund since 2013
Christian Stadlinger, Ph.D., CFA
Co-Portfolio Manager
Managed Fund since 2013
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2020 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class A | Excluding sales charges | 02/14/02 | 8.00 | 5.53 | 4.57 | 9.49 |
| | Including sales charges | | 1.75 | -0.59 | 3.35 | 8.84 |
| Advisor Class | 12/11/06 | 8.20 | 5.82 | 4.85 | 9.66 |
| Class C | Excluding sales charges | 02/14/02 | 7.63 | 4.72 | 3.77 | 8.67 |
| | Including sales charges | | 6.63 | 3.76 | 3.77 | 8.67 |
| Institutional Class* | 09/27/10 | 8.21 | 5.77 | 4.82 | 9.75 |
| Institutional 2 Class | 12/11/06 | 8.29 | 5.92 | 4.93 | 9.90 |
| Institutional 3 Class* | 06/13/13 | 8.31 | 5.97 | 4.97 | 9.78 |
| Class R | 12/11/06 | 7.96 | 5.34 | 4.31 | 9.20 |
| Russell 2500 Value Index | | 10.80 | 6.68 | 6.85 | 11.65 |
Returns for Class A shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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. |
The Russell 2500 Value Index measures the performance of the small to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 companies that are considered more value oriented relative to the overall market as defined by Russell’s leading style methodology.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at November 30, 2019) |
| SYNNEX Corp. | 1.9 |
| First Industrial Realty Trust, Inc. | 1.9 |
| Sun Communities, Inc. | 1.9 |
| Popular, Inc. | 1.8 |
| Alexandria Real Estate Equities, Inc. | 1.8 |
| Nexstar Media Group, Inc., Class A | 1.7 |
| Horizon Therapeutics PLC | 1.7 |
| Zions Bancorp | 1.7 |
| ON Semiconductor Corp. | 1.6 |
| LHC Group, Inc. | 1.6 |
Percentages indicated are based upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at November 30, 2019) |
| Common Stocks | 95.8 |
| Money Market Funds | 4.2 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at November 30, 2019) |
| Communication Services | 4.0 |
| Consumer Discretionary | 7.9 |
| Consumer Staples | 4.4 |
| Energy | 5.2 |
| Financials | 20.7 |
| Health Care | 6.0 |
| Industrials | 14.7 |
| Information Technology | 13.9 |
| Materials | 4.9 |
| Real Estate | 13.3 |
| Utilities | 5.0 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,080.00 | 1,018.70 | 6.41 | 6.22 | 1.24 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,082.00 | 1,019.94 | 5.12 | 4.97 | 0.99 |
| Class C | 1,000.00 | 1,000.00 | 1,076.30 | 1,014.92 | 10.32 | 10.02 | 2.00 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,082.10 | 1,019.94 | 5.13 | 4.97 | 0.99 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,082.90 | 1,020.39 | 4.66 | 4.52 | 0.90 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,083.10 | 1,020.59 | 4.45 | 4.32 | 0.86 |
| Class R | 1,000.00 | 1,000.00 | 1,079.60 | 1,017.45 | 7.70 | 7.47 | 1.49 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 95.8% |
| Issuer | Shares | Value ($) |
| Communication Services 3.8% |
| Diversified Telecommunication Services 0.7% |
| Vonage Holdings Corp.(a) | 595,000 | 4,706,450 |
| Entertainment 1.5% |
| Take-Two Interactive Software, Inc.(a) | 78,000 | 9,465,300 |
| Media 1.6% |
| Nexstar Media Group, Inc., Class A | 100,000 | 10,771,000 |
| Total Communication Services | 24,942,750 |
| Consumer Discretionary 7.6% |
| Diversified Consumer Services 0.4% |
| Grand Canyon Education, Inc.(a) | 33,000 | 2,811,270 |
| Hotels, Restaurants & Leisure 0.8% |
| Dine Brands Global, Inc. | 59,000 | 4,889,920 |
| Household Durables 2.2% |
| D.R. Horton, Inc. | 165,000 | 9,132,750 |
| KB Home | 155,000 | 5,359,900 |
| Total | | 14,492,650 |
| Specialty Retail 3.4% |
| Aaron’s, Inc. | 96,921 | 5,660,186 |
| American Eagle Outfitters, Inc. | 280,000 | 4,191,600 |
| Children’s Place, Inc. (The) | 79,000 | 5,708,540 |
| Foot Locker, Inc. | 160,000 | 6,408,000 |
| Total | | 21,968,326 |
| Textiles, Apparel & Luxury Goods 0.8% |
| Levi Strauss & Co., Class A | 325,000 | 5,453,500 |
| Total Consumer Discretionary | 49,615,666 |
| Consumer Staples 4.2% |
| Food & Staples Retailing 1.1% |
| BJ’s Wholesale Club Holdings, Inc.(a) | 297,000 | 7,038,900 |
| Food Products 2.2% |
| Post Holdings, Inc.(a) | 66,000 | 6,969,600 |
| TreeHouse Foods, Inc.(a) | 153,000 | 7,480,170 |
| Total | | 14,449,770 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Personal Products 0.9% |
| BellRing Brands, Inc., Class A(a) | 300,000 | 6,009,000 |
| Total Consumer Staples | 27,497,670 |
| Energy 5.0% |
| Energy Equipment & Services 2.0% |
| Helmerich & Payne, Inc. | 105,000 | 4,150,650 |
| Patterson-UTI Energy, Inc. | 450,000 | 4,023,000 |
| TechnipFMC PLC | 255,000 | 4,804,200 |
| Total | | 12,977,850 |
| Oil, Gas & Consumable Fuels 3.0% |
| Arch Coal, Inc. | 95,000 | 7,040,450 |
| Delek U.S. Holdings, Inc. | 187,000 | 6,415,970 |
| WPX Energy, Inc.(a) | 655,000 | 6,445,200 |
| Total | | 19,901,620 |
| Total Energy | 32,879,470 |
| Financials 19.9% |
| Banks 11.2% |
| East West Bancorp, Inc. | 186,000 | 8,522,520 |
| Hancock Whitney Corp. | 200,000 | 8,122,000 |
| Huntington Bancshares, Inc. | 610,000 | 9,082,900 |
| Popular, Inc. | 210,000 | 11,615,100 |
| Prosperity Bancshares, Inc. | 120,000 | 8,430,000 |
| TCF Financial Corp. | 185,456 | 7,880,026 |
| Western Alliance Bancorp | 170,000 | 8,867,200 |
| Zions Bancorp | 210,000 | 10,453,800 |
| Total | | 72,973,546 |
| Capital Markets 1.1% |
| Houlihan Lokey, Inc. | 150,000 | 7,150,500 |
| Consumer Finance 0.5% |
| SLM Corp. | 370,000 | 3,156,100 |
| Diversified Financial Services 1.4% |
| Voya Financial, Inc. | 159,000 | 9,266,520 |
| Insurance 0.8% |
| MBIA, Inc.(a) | 570,485 | 5,322,625 |
| Mortgage Real Estate Investment Trusts (REITS) 1.5% |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| New Residential Investment Corp. | 350,000 | 5,425,000 |
| Starwood Property Trust, Inc. | 180,000 | 4,410,000 |
| Total | | 9,835,000 |
| Thrifts & Mortgage Finance 3.4% |
| Axos Financial, Inc.(a) | 220,000 | 6,479,000 |
| Flagstar Bancorp, Inc. | 240,000 | 8,942,400 |
| MGIC Investment Corp. | 480,000 | 6,916,800 |
| Total | | 22,338,200 |
| Total Financials | 130,042,491 |
| Health Care 5.7% |
| Biotechnology 0.6% |
| Immunomedics, Inc.(a) | 225,000 | 4,225,500 |
| Health Care Equipment & Supplies 1.5% |
| Merit Medical Systems, Inc.(a) | 93,000 | 2,604,000 |
| Teleflex, Inc. | 19,500 | 6,890,130 |
| Total | | 9,494,130 |
| Health Care Providers & Services 1.5% |
| LHC Group, Inc.(a) | 75,700 | 10,098,380 |
| Life Sciences Tools & Services 0.5% |
| Syneos Health, Inc.(a) | 55,000 | 3,020,050 |
| Pharmaceuticals 1.6% |
| Horizon Therapeutics PLC(a) | 320,000 | 10,489,600 |
| Total Health Care | 37,327,660 |
| Industrials 14.1% |
| Aerospace & Defense 1.3% |
| Curtiss-Wright Corp. | 60,000 | 8,238,600 |
| Airlines 1.3% |
| Skywest, Inc. | 135,000 | 8,456,400 |
| Building Products 1.3% |
| Armstrong World Industries, Inc. | 90,000 | 8,641,800 |
| Construction & Engineering 2.0% |
| Granite Construction, Inc. | 147,119 | 3,789,786 |
| MasTec, Inc.(a) | 142,000 | 9,420,280 |
| Total | | 13,210,066 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Electrical Equipment 2.1% |
| GrafTech International Ltd. | 580,000 | 8,172,200 |
| Sunrun, Inc.(a) | 405,000 | 5,621,400 |
| Total | | 13,793,600 |
| Machinery 3.5% |
| Gardner Denver Holdings, Inc.(a) | 215,000 | 7,282,050 |
| Navistar International Corp.(a) | 178,000 | 5,811,700 |
| Oshkosh Corp. | 108,000 | 9,769,680 |
| Total | | 22,863,430 |
| Professional Services 0.8% |
| Korn/Ferry International | 130,000 | 5,106,400 |
| Road & Rail 0.8% |
| Hertz Global Holdings, Inc.(a) | 355,000 | 5,502,500 |
| Trading Companies & Distributors 1.0% |
| Triton International Ltd. | 165,000 | 6,250,200 |
| Total Industrials | 92,062,996 |
| Information Technology 13.3% |
| Communications Equipment 3.6% |
| Ciena Corp.(a) | 205,000 | 7,781,800 |
| Lumentum Holdings, Inc.(a) | 125,000 | 9,207,500 |
| Viavi Solutions, Inc.(a) | 460,000 | 6,909,200 |
| Total | | 23,898,500 |
| Electronic Equipment, Instruments & Components 1.8% |
| SYNNEX Corp. | 96,000 | 11,789,760 |
| IT Services 2.2% |
| Booz Allen Hamilton Holdings Corp. | 108,000 | 7,858,080 |
| Leidos Holdings, Inc. | 73,000 | 6,631,320 |
| Total | | 14,489,400 |
| Semiconductors & Semiconductor Equipment 4.7% |
| Cypress Semiconductor Corp. | 320,000 | 7,504,000 |
| Kulicke & Soffa Industries, Inc. | 193,000 | 4,842,370 |
| Marvell Technology Group Ltd. | 305,000 | 8,042,850 |
| ON Semiconductor Corp.(a) | 480,000 | 10,305,600 |
| Total | | 30,694,820 |
| Software 1.0% |
| Avaya Holdings Corp.(a) | 495,000 | 6,321,150 |
| Total Information Technology | 87,193,630 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Materials 4.7% |
| Chemicals 2.6% |
| CF Industries Holdings, Inc. | 116,000 | 5,360,360 |
| Huntsman Corp. | 300,000 | 6,786,000 |
| Orion Engineered Carbons SA | 257,000 | 4,672,260 |
| Total | | 16,818,620 |
| Metals & Mining 2.1% |
| Cleveland-Cliffs, Inc. | 855,000 | 6,831,450 |
| Steel Dynamics, Inc. | 210,000 | 7,083,300 |
| Total | | 13,914,750 |
| Total Materials | 30,733,370 |
| Real Estate 12.8% |
| Equity Real Estate Investment Trusts (REITS) 12.8% |
| Alexandria Real Estate Equities, Inc. | 69,000 | 11,213,880 |
| American Assets Trust, Inc. | 132,000 | 6,273,960 |
| Duke Realty Corp. | 210,000 | 7,387,800 |
| First Industrial Realty Trust, Inc. | 275,000 | 11,709,500 |
| Highwoods Properties, Inc. | 120,000 | 5,826,000 |
| Hudson Pacific Properties, Inc. | 193,100 | 6,912,980 |
| Mack-Cali Realty Corp. | 305,000 | 6,523,950 |
| Mid-America Apartment Communities, Inc. | 52,000 | 7,077,720 |
| PS Business Parks, Inc. | 51,000 | 9,006,090 |
| Sun Communities, Inc. | 71,000 | 11,694,410 |
| Total | | 83,626,290 |
| Total Real Estate | 83,626,290 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Utilities 4.7% |
| Electric Utilities 1.8% |
| Alliant Energy Corp. | 150,000 | 7,950,000 |
| Pinnacle West Capital Corp. | 45,000 | 3,932,550 |
| Total | | 11,882,550 |
| Gas Utilities 1.7% |
| New Jersey Resources Corp. | 142,000 | 6,040,680 |
| South Jersey Industries, Inc. | 175,000 | 5,467,000 |
| Total | | 11,507,680 |
| Multi-Utilities 1.2% |
| CMS Energy Corp. | 126,000 | 7,723,800 |
| Total Utilities | 31,114,030 |
Total Common Stocks
(Cost $485,934,886) | 627,036,023 |
|
| Money Market Funds 4.2% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(b),(c) | 27,269,372 | 27,269,372 |
Total Money Market Funds
(Cost $27,268,058) | 27,269,372 |
Total Investments in Securities
(Cost: $513,202,944) | 654,305,395 |
| Other Assets & Liabilities, Net | | 292,150 |
| Net Assets | 654,597,545 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Columbia Short-Term Cash Fund, 1.745% |
| | 27,794,039 | 72,647,937 | (73,172,604) | 27,269,372 | 928 | 1,314 | 209,095 | 27,269,372 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 24,942,750 | — | — | 24,942,750 |
| Consumer Discretionary | 49,615,666 | — | — | 49,615,666 |
| Consumer Staples | 27,497,670 | — | — | 27,497,670 |
| Energy | 32,879,470 | — | — | 32,879,470 |
| Financials | 130,042,491 | — | — | 130,042,491 |
| Health Care | 37,327,660 | — | — | 37,327,660 |
| Industrials | 92,062,996 | — | — | 92,062,996 |
| Information Technology | 87,193,630 | — | — | 87,193,630 |
| Materials | 30,733,370 | — | — | 30,733,370 |
| Real Estate | 83,626,290 | — | — | 83,626,290 |
| Utilities | 31,114,030 | — | — | 31,114,030 |
| Total Common Stocks | 627,036,023 | — | — | 627,036,023 |
| Money Market Funds | 27,269,372 | — | — | 27,269,372 |
| Total Investments in Securities | 654,305,395 | — | — | 654,305,395 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 9 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $485,934,886) | $627,036,023 |
| Affiliated issuers (cost $27,268,058) | 27,269,372 |
| Receivable for: | |
| Investments sold | 420,668 |
| Capital shares sold | 295,004 |
| Dividends | 623,008 |
| Prepaid expenses | 3,479 |
| Total assets | 655,647,554 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 320,827 |
| Capital shares purchased | 386,599 |
| Management services fees | 29,199 |
| Distribution and/or service fees | 6,598 |
| Transfer agent fees | 70,063 |
| Compensation of board members | 125,135 |
| Compensation of chief compliance officer | 73 |
| Printing and postage fees | 57,765 |
| Other expenses | 53,750 |
| Total liabilities | 1,050,009 |
| Net assets applicable to outstanding capital stock | $654,597,545 |
| Represented by | |
| Paid in capital | 484,232,139 |
| Total distributable earnings (loss) | 170,365,406 |
| Total - representing net assets applicable to outstanding capital stock | $654,597,545 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Statement of Assets and Liabilities (continued)
November 30, 2019 (Unaudited)
| Class A | |
| Net assets | $445,489,031 |
| Shares outstanding | 47,796,981 |
| Net asset value per share | $9.32 |
| 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) | $9.89 |
| Advisor Class | |
| Net assets | $27,835,654 |
| Shares outstanding | 2,971,788 |
| Net asset value per share | $9.37 |
| Class C | |
| Net assets | $6,246,457 |
| Shares outstanding | 763,277 |
| Net asset value per share | $8.18 |
| Institutional Class | |
| Net assets | $67,266,658 |
| Shares outstanding | 6,990,990 |
| Net asset value per share | $9.62 |
| Institutional 2 Class | |
| Net assets | $18,097,095 |
| Shares outstanding | 1,897,496 |
| Net asset value per share | $9.54 |
| Institutional 3 Class | |
| Net assets | $85,960,817 |
| Shares outstanding | 9,168,523 |
| Net asset value per share | $9.38 |
| Class R | |
| Net assets | $3,701,833 |
| Shares outstanding | 407,399 |
| Net asset value per share | $9.09 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 11 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $6,105,542 |
| Dividends — affiliated issuers | 209,095 |
| Interfund lending | 796 |
| Foreign taxes withheld | (21,420) |
| Total income | 6,294,013 |
| Expenses: | |
| Management services fees | 2,636,514 |
| Distribution and/or service fees | |
| Class A | 558,533 |
| Class C | 33,548 |
| Class R | 9,784 |
| Transfer agent fees | |
| Class A | 301,691 |
| Advisor Class | 19,249 |
| Class C | 4,529 |
| Institutional Class | 46,173 |
| Institutional 2 Class | 5,344 |
| Institutional 3 Class | 3,849 |
| Class R | 2,642 |
| Compensation of board members | 12,782 |
| Custodian fees | 8,400 |
| Printing and postage fees | 47,886 |
| Registration fees | 58,590 |
| Audit fees | 12,849 |
| Legal fees | 6,410 |
| Compensation of chief compliance officer | 73 |
| Other | 9,782 |
| Total expenses | 3,778,628 |
| Fees waived by transfer agent | |
| Institutional 2 Class | (1,492) |
| Institutional 3 Class | (3,849) |
| Expense reduction | (60) |
| Total net expenses | 3,773,227 |
| Net investment income | 2,520,786 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 16,558,523 |
| Investments — affiliated issuers | 928 |
| Net realized gain | 16,559,451 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 31,655,243 |
| Investments — affiliated issuers | 1,314 |
| Net change in unrealized appreciation (depreciation) | 31,656,557 |
| Net realized and unrealized gain | 48,216,008 |
| Net increase in net assets resulting from operations | $50,736,794 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income | $2,520,786 | $3,832,737 |
| Net realized gain | 16,559,451 | 14,276,047 |
| Net change in unrealized appreciation (depreciation) | 31,656,557 | (94,148,907) |
| Net increase (decrease) in net assets resulting from operations | 50,736,794 | (76,040,123) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | — | (36,591,589) |
| Advisor Class | — | (3,024,772) |
| Class C | — | (794,226) |
| Institutional Class | — | (6,080,665) |
| Institutional 2 Class | — | (1,501,686) |
| Institutional 3 Class | — | (5,148,797) |
| Class R | — | (382,546) |
| Class T | — | (174) |
| Total distributions to shareholders | — | (53,524,455) |
| Decrease in net assets from capital stock activity | (36,833,887) | (44,892,175) |
| Total increase (decrease) in net assets | 13,902,907 | (174,456,753) |
| Net assets at beginning of period | 640,694,638 | 815,151,391 |
| Net assets at end of period | $654,597,545 | $640,694,638 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 13 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 609,347 | 5,505,187 | 2,720,376 | 26,699,846 |
| Distributions reinvested | — | — | 4,366,070 | 36,413,021 |
| Redemptions | (4,055,082) | (36,689,341) | (9,465,374) | (88,457,637) |
| Net decrease | (3,445,735) | (31,184,154) | (2,378,928) | (25,344,770) |
| Advisor Class | | | | |
| Subscriptions | 335,345 | 3,043,961 | 730,654 | 6,942,604 |
| Distributions reinvested | — | — | 361,815 | 3,024,772 |
| Redemptions | (631,320) | (5,753,675) | (2,209,882) | (20,657,443) |
| Net decrease | (295,975) | (2,709,714) | (1,117,413) | (10,690,067) |
| Class C | | | | |
| Subscriptions | 23,633 | 189,438 | 77,960 | 636,798 |
| Distributions reinvested | — | — | 105,880 | 781,397 |
| Redemptions | (244,576) | (1,949,615) | (1,872,311) | (16,900,216) |
| Net decrease | (220,943) | (1,760,177) | (1,688,471) | (15,482,021) |
| Institutional Class | | | | |
| Subscriptions | 566,311 | 5,282,056 | 1,243,986 | 12,134,656 |
| Distributions reinvested | — | — | 704,989 | 6,055,852 |
| Redemptions | (1,262,373) | (11,765,280) | (3,253,175) | (31,205,172) |
| Net decrease | (696,062) | (6,483,224) | (1,304,200) | (13,014,664) |
| Institutional 2 Class | | | | |
| Subscriptions | 111,379 | 1,034,692 | 392,795 | 3,847,332 |
| Distributions reinvested | — | — | 119,849 | 1,019,920 |
| Redemptions | (137,408) | (1,272,176) | (1,133,555) | (11,251,539) |
| Net decrease | (26,029) | (237,484) | (620,911) | (6,384,287) |
| Institutional 3 Class | | | | |
| Subscriptions | 1,711,457 | 15,551,627 | 3,951,552 | 37,398,983 |
| Distributions reinvested | — | — | 615,708 | 5,147,324 |
| Redemptions | (1,020,774) | (9,276,753) | (1,683,466) | (15,656,056) |
| Net increase | 690,683 | 6,274,874 | 2,883,794 | 26,890,251 |
| Class R | | | | |
| Subscriptions | 28,238 | 248,919 | 126,192 | 1,197,205 |
| Distributions reinvested | — | — | 43,384 | 353,578 |
| Redemptions | (113,516) | (982,927) | (266,131) | (2,415,403) |
| Net decrease | (85,278) | (734,008) | (96,555) | (864,620) |
| Class T | | | | |
| Redemptions | — | — | (243) | (1,997) |
| Net decrease | — | — | (243) | (1,997) |
| Total net decrease | (4,079,339) | (36,833,887) | (4,322,927) | (44,892,175) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
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Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 15 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | 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 11/30/2019 (Unaudited) | $8.63 | 0.03 | 0.66 | 0.69 | — | — | — |
| Year Ended 5/31/2019 | $10.39 | 0.04 | (1.08) | (1.04) | (0.03) | (0.69) | (0.72) |
| Year Ended 5/31/2018 | $9.95 | 0.01 | 1.37 | 1.38 | (0.00)(e) | (0.94) | (0.94) |
| Year Ended 5/31/2017 | $8.57 | 0.01 | 1.39 | 1.40 | (0.02) | — | (0.02) |
| Year Ended 5/31/2016 | $10.03 | 0.02 | (0.95) | (0.93) | — | (0.53) | (0.53) |
| Year Ended 5/31/2015 | $10.81 | (0.01) | 0.84 | 0.83 | — | (1.61) | (1.61) |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $8.66 | 0.04 | 0.67 | 0.71 | — | — | — |
| Year Ended 5/31/2019 | $10.43 | 0.07 | (1.10) | (1.03) | (0.05) | (0.69) | (0.74) |
| Year Ended 5/31/2018 | $9.98 | 0.04 | 1.37 | 1.41 | (0.02) | (0.94) | (0.96) |
| Year Ended 5/31/2017 | $8.58 | 0.03 | 1.41 | 1.44 | (0.04) | — | (0.04) |
| Year Ended 5/31/2016 | $10.03 | 0.04 | (0.96) | (0.92) | — | (0.53) | (0.53) |
| Year Ended 5/31/2015 | $10.79 | 0.02 | 0.84 | 0.86 | (0.01) | (1.61) | (1.62) |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $7.60 | (0.00) | 0.58 | 0.58 | — | — | — |
| Year Ended 5/31/2019 | $9.29 | (0.03) | (0.97) | (1.00) | — | (0.69) | (0.69) |
| Year Ended 5/31/2018 | $9.05 | (0.06) | 1.24 | 1.18 | — | (0.94) | (0.94) |
| Year Ended 5/31/2017 | $7.83 | (0.06) | 1.28 | 1.22 | — | — | — |
| Year Ended 5/31/2016 | $9.29 | (0.04) | (0.89) | (0.93) | — | (0.53) | (0.53) |
| Year Ended 5/31/2015 | $10.20 | (0.08) | 0.78 | 0.70 | — | (1.61) | (1.61) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $8.89 | 0.04 | 0.69 | 0.73 | — | — | — |
| Year Ended 5/31/2019 | $10.69 | 0.07 | (1.13) | (1.06) | (0.05) | (0.69) | (0.74) |
| Year Ended 5/31/2018 | $10.21 | 0.04 | 1.40 | 1.44 | (0.02) | (0.94) | (0.96) |
| Year Ended 5/31/2017 | $8.78 | 0.03 | 1.44 | 1.47 | (0.04) | — | (0.04) |
| Year Ended 5/31/2016 | $10.24 | 0.04 | (0.97) | (0.93) | — | (0.53) | (0.53) |
| Year Ended 5/31/2015 | $10.99 | 0.02 | 0.85 | 0.87 | (0.01) | (1.61) | (1.62) |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $8.81 | 0.05 | 0.68 | 0.73 | — | — | — |
| Year Ended 5/31/2019 | $10.60 | 0.08 | (1.12) | (1.04) | (0.06) | (0.69) | (0.75) |
| Year Ended 5/31/2018 | $10.12 | 0.05 | 1.39 | 1.44 | (0.02) | (0.94) | (0.96) |
| Year Ended 5/31/2017 | $8.71 | 0.04 | 1.42 | 1.46 | (0.05) | — | (0.05) |
| Year Ended 5/31/2016 | $10.15 | 0.05 | (0.96) | (0.91) | — | (0.53) | (0.53) |
| Year Ended 5/31/2015 | $10.90 | 0.03 | 0.85 | 0.88 | (0.02) | (1.61) | (1.63) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $9.32 | 8.00% | 1.24%(c) | 1.24%(c),(d) | 0.69%(c) | 14% | $445,489 |
| Year Ended 5/31/2019 | $8.63 | (9.81%) | 1.24% | 1.24%(d) | 0.45% | 28% | $442,029 |
| Year Ended 5/31/2018 | $10.39 | 14.24% | 1.23% | 1.23%(d) | 0.14% | 46% | $557,134 |
| Year Ended 5/31/2017 | $9.95 | 16.38% | 1.25% | 1.25%(d) | 0.08% | 57% | $569,969 |
| Year Ended 5/31/2016 | $8.57 | (9.09%) | 1.25% | 1.25%(d) | 0.22% | 69% | $686,606 |
| Year Ended 5/31/2015 | $10.03 | 8.58% | 1.25% | 1.25%(d) | (0.05%) | 50% | $886,673 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $9.37 | 8.20% | 0.99%(c) | 0.99%(c),(d) | 0.94%(c) | 14% | $27,836 |
| Year Ended 5/31/2019 | $8.66 | (9.61%) | 0.99% | 0.99%(d) | 0.71% | 28% | $28,293 |
| Year Ended 5/31/2018 | $10.43 | 14.47% | 0.99% | 0.98%(d) | 0.41% | 46% | $45,740 |
| Year Ended 5/31/2017 | $9.98 | 16.84% | 1.00% | 1.00%(d) | 0.33% | 57% | $15,800 |
| Year Ended 5/31/2016 | $8.58 | (8.98%) | 1.00% | 1.00%(d) | 0.49% | 69% | $13,780 |
| Year Ended 5/31/2015 | $10.03 | 8.90% | 1.00% | 1.00%(d) | 0.22% | 50% | $14,552 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $8.18 | 7.63% | 2.00%(c) | 2.00%(c),(d) | (0.05%)(c) | 14% | $6,246 |
| Year Ended 5/31/2019 | $7.60 | (10.56%) | 1.98% | 1.98%(d) | (0.34%) | 28% | $7,483 |
| Year Ended 5/31/2018 | $9.29 | 13.36% | 1.98% | 1.98%(d) | (0.62%) | 46% | $24,831 |
| Year Ended 5/31/2017 | $9.05 | 15.58% | 2.00% | 2.00%(d) | (0.67%) | 57% | $28,116 |
| Year Ended 5/31/2016 | $7.83 | (9.83%) | 2.00% | 2.00%(d) | (0.52%) | 69% | $30,361 |
| Year Ended 5/31/2015 | $9.29 | 7.77% | 2.00% | 2.00%(d) | (0.80%) | 50% | $35,212 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $9.62 | 8.21% | 0.99%(c) | 0.99%(c),(d) | 0.94%(c) | 14% | $67,267 |
| Year Ended 5/31/2019 | $8.89 | (9.66%) | 0.99% | 0.99%(d) | 0.70% | 28% | $68,369 |
| Year Ended 5/31/2018 | $10.69 | 14.44% | 0.98% | 0.98%(d) | 0.38% | 46% | $96,124 |
| Year Ended 5/31/2017 | $10.21 | 16.79% | 1.02% | 1.01%(d) | 0.31% | 57% | $128,661 |
| Year Ended 5/31/2016 | $8.78 | (8.89%) | 1.00% | 1.00%(d) | 0.48% | 69% | $21,929 |
| Year Ended 5/31/2015 | $10.24 | 8.82% | 1.00% | 1.00%(d) | 0.20% | 50% | $28,575 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $9.54 | 8.29% | 0.92%(c) | 0.90%(c) | 1.03%(c) | 14% | $18,097 |
| Year Ended 5/31/2019 | $8.81 | (9.57%) | 0.92% | 0.90% | 0.78% | 28% | $16,950 |
| Year Ended 5/31/2018 | $10.60 | 14.63% | 0.91% | 0.90% | 0.46% | 46% | $26,971 |
| Year Ended 5/31/2017 | $10.12 | 16.81% | 0.90% | 0.90% | 0.43% | 57% | $37,489 |
| Year Ended 5/31/2016 | $8.71 | (8.77%) | 0.89% | 0.89% | 0.58% | 69% | $35,946 |
| Year Ended 5/31/2015 | $10.15 | 8.99% | 0.86% | 0.86% | 0.33% | 50% | $53,124 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 17 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $8.66 | 0.05 | 0.67 | 0.72 | — | — | — |
| Year Ended 5/31/2019 | $10.43 | 0.08 | (1.10) | (1.02) | (0.06) | (0.69) | (0.75) |
| Year Ended 5/31/2018 | $9.98 | 0.05 | 1.37 | 1.42 | (0.03) | (0.94) | (0.97) |
| Year Ended 5/31/2017 | $8.58 | 0.05 | 1.41 | 1.46 | (0.06) | — | (0.06) |
| Year Ended 5/31/2016 | $10.01 | 0.06 | (0.96) | (0.90) | — | (0.53) | (0.53) |
| Year Ended 5/31/2015 | $10.77 | 0.04 | 0.83 | 0.87 | (0.02) | (1.61) | (1.63) |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $8.42 | 0.02 | 0.65 | 0.67 | — | — | — |
| Year Ended 5/31/2019 | $10.16 | 0.02 | (1.07) | (1.05) | (0.00)(e) | (0.69) | (0.69) |
| Year Ended 5/31/2018 | $9.77 | (0.01) | 1.34 | 1.33 | — | (0.94) | (0.94) |
| Year Ended 5/31/2017 | $8.41 | (0.02) | 1.38 | 1.36 | (0.00)(e) | — | (0.00)(e) |
| Year Ended 5/31/2016 | $9.89 | (0.00)(e) | (0.95) | (0.95) | — | (0.53) | (0.53) |
| Year Ended 5/31/2015 | $10.70 | (0.03) | 0.83 | 0.80 | — | (1.61) | (1.61) |
| 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%. |
| (e) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $9.38 | 8.31% | 0.87%(c) | 0.86%(c) | 1.07%(c) | 14% | $85,961 |
| Year Ended 5/31/2019 | $8.66 | (9.48%) | 0.87% | 0.86% | 0.85% | 28% | $73,423 |
| Year Ended 5/31/2018 | $10.43 | 14.55% | 0.87% | 0.86% | 0.51% | 46% | $58,363 |
| Year Ended 5/31/2017 | $9.98 | 16.99% | 0.85% | 0.85% | 0.48% | 57% | $1,471 |
| Year Ended 5/31/2016 | $8.58 | (8.80%) | 0.85% | 0.85% | 0.72% | 69% | $760 |
| Year Ended 5/31/2015 | $10.01 | 9.04% | 0.81% | 0.81% | 0.35% | 50% | $59 |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $9.09 | 7.96% | 1.49%(c) | 1.49%(c),(d) | 0.45%(c) | 14% | $3,702 |
| Year Ended 5/31/2019 | $8.42 | (10.11%) | 1.49% | 1.49%(d) | 0.19% | 28% | $4,149 |
| Year Ended 5/31/2018 | $10.16 | 13.95% | 1.48% | 1.48%(d) | (0.12%) | 46% | $5,986 |
| Year Ended 5/31/2017 | $9.77 | 16.20% | 1.50% | 1.50%(d) | (0.17%) | 57% | $6,343 |
| Year Ended 5/31/2016 | $8.41 | (9.43%) | 1.50% | 1.50%(d) | (0.03%) | 69% | $7,409 |
| Year Ended 5/31/2015 | $9.89 | 8.37% | 1.50% | 1.50%(d) | (0.30%) | 50% | $9,670 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 19 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia Small/Mid Cap Value Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities and exchange-traded funds are valued at the close of business of the New York Stock Exchange. Equity securities and exchange-traded funds are valued at the official closing price on the principal exchange or market on which they trade. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 20 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 21 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.82% to 0.65% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.81% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
| 22 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transactions with affiliates
For the six months ended November 30, 2019, the Fund engaged in purchase and/or sale transactions with affiliates and/or accounts that have a common investment manager (or affiliated investment managers), common directors/trustees, and/or common officers. Those purchase and sale transactions complied with provisions of Rule 17a-7 under the 1940 Act and were $6,862,834 and $0, respectively.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class. In addition, effective October 1, 2019 through September 30, 2020, Institutional 2 Class shares are subject to a contractual transfer agency fee annual limitation of not more than 0.05% and Institutional 3 Class shares are subject to a contractual transfer agency fee annual limitation of not more than 0.00% of the average daily net assets attributable to each share class. Prior to October 1, 2019, Institutional 2 Class shares were subject to a contractual transfer agency fee annual limitation of not more than 0.04% and Institutional 3 Class shares were subject to a contractual transfer agency fee annual limitation of not more than 0.00% of the average daily net assets attributable to each share class.
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.14 |
| Advisor Class | 0.14 |
| Class C | 0.14 |
| Institutional Class | 0.14 |
| Institutional 2 Class | 0.04 |
| Institutional 3 Class | 0.00 |
| Class R | 0.14 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended November 30, 2019, these minimum account balance fees reduced total expenses of the Fund by $60.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 23 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25%, 1.00% and 0.50% of the Fund’s average daily net assets attributable to Class A, Class C and Class R shares, respectively. For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses. For Class R shares, of the 0.50% fee, up to 0.25% can be reimbursed for shareholder servicing expenses.
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $282,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 5.75 | 0.50 - 1.00(a) | 62,380 |
| Class C | — | 1.00(b) | 32 |
| (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. |
The Fund’s other share classes are not subject to sales charges.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 1.33% | 1.33% |
| Advisor Class | 1.08 | 1.08 |
| Class C | 2.08 | 2.08 |
| Institutional Class | 1.08 | 1.08 |
| Institutional 2 Class | 1.00 | 0.99 |
| Institutional 3 Class | 0.95 | 0.95 |
| Class R | 1.58 | 1.58 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the
| 24 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Fund. Reflected in the contractual cap commitment, effective October 1, 2019, through September 30, 2020, is the Transfer Agent’s contractual agreement to limit total transfer agency fees to an annual rate of not more than 0.05% for Institutional 2 Class and 0.00% for Institutional 3 Class of the average daily net assets attributable to each share class, unless sooner terminated at the sole discretion of the Board of Trustees. Reflected in the contractual cap commitment, prior to October 1, 2019, is the Transfer Agent’s contractual agreement to limit total transfer agency fees to an annual rate of not more than 0.04% for Institutional 2 Class and 0.00% for Institutional 3 Class of the average daily net assets attributable to each share class. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 513,203,000 | 168,933,000 | (27,831,000) | 141,102,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at May 31, 2019 as arising on June 1, 2019.
Late year
ordinary losses ($) | Post-October
capital losses ($) |
| — | 4,583,452 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $86,065,302 and $118,687,656, respectively, for the six months ended November 30, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 25 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended November 30, 2019 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 3,000,000 | 2.70 | 4 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at November 30, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Note 9. Significant risks
Financial sector risk
The Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Shareholder concentration risk
At November 30, 2019, one unaffiliated shareholder of record owned 14.8% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of record owned 67.1% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a
| 26 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Small- and mid-cap company risk
Investments in small- and mid-capitalization companies (small- and mid-cap companies) often involve greater risks than investments in larger, more established companies (larger companies) because small- and mid-cap companies tend to have less predictable earnings and may lack the management experience, financial resources, product diversification and competitive strengths of larger companies. Securities of small- and mid-cap companies may be less liquid and more volatile than the securities of larger companies.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 27 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Small/Mid Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as its history, reputation, expertise, resources and capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
| 28 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds under the Management Agreement. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group, the product score of the Fund (taking into account performance relative to peers and benchmarks) and the net assets of the Fund. The Board observed the Fund’s underperformance for certain periods, noting somewhat improved performance in 2019, but that the Fund remains under close scrutiny and further review by management.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Small/Mid Cap Value Fund | Semiannual Report 2019
| 29 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 30 | Columbia Small/Mid Cap Value Fund | Semiannual Report 2019 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Small/Mid Cap Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia Select Large Cap Value Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Select Large Cap Value Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Select Large Cap Value Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital appreciation.
Portfolio management
Richard Rosen
Lead Portfolio Manager
Managed Fund since 1997
Richard Taft
Portfolio Manager
Managed Fund since 2016
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2020 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class A | Excluding sales charges | 04/25/97 | 15.29 | 10.16 | 7.94 | 12.09 |
| | Including sales charges | | 8.66 | 3.81 | 6.67 | 11.43 |
| Advisor Class* | 11/08/12 | 15.42 | 10.40 | 8.20 | 12.29 |
| Class C | Excluding sales charges | 05/27/99 | 14.86 | 9.32 | 7.13 | 11.26 |
| | Including sales charges | | 13.86 | 8.32 | 7.13 | 11.26 |
| Institutional Class* | 09/27/10 | 15.46 | 10.43 | 8.21 | 12.36 |
| Institutional 2 Class | 11/30/01 | 15.45 | 10.45 | 8.28 | 12.49 |
| Institutional 3 Class* | 10/01/14 | 15.49 | 10.53 | 8.36 | 12.32 |
| Class R | 04/30/03 | 15.11 | 9.85 | 7.66 | 11.81 |
| Russell 1000 Value Index | | 13.56 | 11.33 | 7.83 | 11.69 |
| S&P 500 Index | | 15.26 | 16.11 | 10.98 | 13.44 |
Returns for Class A shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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. |
The Russell 1000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values.
The S&P 500 Index, an unmanaged index, measures the performance of 500 widely held, large-capitalization U.S. stocks and is frequently used as a general measure of market performance.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at November 30, 2019) |
| Verizon Communications, Inc. | 4.8 |
| Cigna Corp. | 4.3 |
| FMC Corp. | 4.3 |
| Humana, Inc. | 4.0 |
| Bristol-Myers Squibb Co. | 3.8 |
| Corning, Inc. | 3.7 |
| Lowe’s Companies, Inc. | 3.6 |
| JPMorgan Chase & Co. | 3.5 |
| Bank of America Corp. | 3.5 |
| Citigroup, Inc. | 3.3 |
Percentages indicated are based upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at November 30, 2019) |
| Common Stocks | 99.7 |
| Money Market Funds | 0.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at November 30, 2019) |
| Communication Services | 4.8 |
| Consumer Discretionary | 5.3 |
| Consumer Staples | 6.4 |
| Energy | 13.3 |
| Financials | 22.4 |
| Health Care | 14.3 |
| Industrials | 8.8 |
| Information Technology | 10.4 |
| Materials | 9.3 |
| Utilities | 5.0 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,152.90 | 1,020.89 | 4.28 | 4.02 | 0.80 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,154.20 | 1,022.13 | 2.95 | 2.77 | 0.55 |
| Class C | 1,000.00 | 1,000.00 | 1,148.60 | 1,017.16 | 8.28 | 7.77 | 1.55 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,154.60 | 1,022.13 | 2.95 | 2.77 | 0.55 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,154.50 | 1,022.38 | 2.68 | 2.51 | 0.50 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,154.90 | 1,022.63 | 2.41 | 2.26 | 0.45 |
| Class R | 1,000.00 | 1,000.00 | 1,151.10 | 1,019.64 | 5.62 | 5.27 | 1.05 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 99.6% |
| Issuer | Shares | Value ($) |
| Communication Services 4.8% |
| Diversified Telecommunication Services 4.8% |
| Verizon Communications, Inc. | 905,000 | 54,517,200 |
| Total Communication Services | 54,517,200 |
| Consumer Discretionary 5.3% |
| Internet & Direct Marketing Retail 1.7% |
| Qurate Retail, Inc.(a) | 2,050,000 | 19,393,000 |
| Specialty Retail 3.6% |
| Lowe’s Companies, Inc. | 350,000 | 41,058,500 |
| Total Consumer Discretionary | 60,451,500 |
| Consumer Staples 6.4% |
| Food Products 3.1% |
| Tyson Foods, Inc., Class A | 400,000 | 35,956,000 |
| Tobacco 3.3% |
| Philip Morris International, Inc. | 450,000 | 37,318,500 |
| Total Consumer Staples | 73,274,500 |
| Energy 13.2% |
| Energy Equipment & Services 4.2% |
| Halliburton Co. | 1,150,000 | 24,138,500 |
| TechnipFMC PLC | 1,250,000 | 23,550,000 |
| Total | | 47,688,500 |
| Oil, Gas & Consumable Fuels 9.0% |
| Chevron Corp. | 195,000 | 22,840,350 |
| Marathon Petroleum Corp. | 500,000 | 30,320,000 |
| Valero Energy Corp. | 240,000 | 22,917,600 |
| Williams Companies, Inc. (The) | 1,200,000 | 27,264,000 |
| Total | | 103,341,950 |
| Total Energy | 151,030,450 |
| Financials 22.3% |
| Banks 12.9% |
| Bank of America Corp. | 1,180,000 | 39,317,600 |
| Citigroup, Inc. | 500,000 | 37,560,000 |
| JPMorgan Chase & Co. | 300,000 | 39,528,000 |
| Wells Fargo & Co. | 580,000 | 31,586,800 |
| Total | | 147,992,400 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Capital Markets 2.2% |
| Morgan Stanley | 500,000 | 24,740,000 |
| Insurance 7.2% |
| American International Group, Inc. | 630,000 | 33,175,800 |
| MetLife, Inc. | 635,000 | 31,692,850 |
| Unum Group | 550,000 | 16,907,000 |
| Total | | 81,775,650 |
| Total Financials | 254,508,050 |
| Health Care 14.3% |
| Health Care Equipment & Supplies 2.2% |
| Baxter International, Inc. | 310,000 | 25,410,700 |
| Health Care Providers & Services 8.3% |
| Cigna Corp. | 245,000 | 48,980,400 |
| Humana, Inc. | 135,000 | 46,066,050 |
| Total | | 95,046,450 |
| Pharmaceuticals 3.8% |
| Bristol-Myers Squibb Co. | 750,000 | 42,705,000 |
| Total Health Care | 163,162,150 |
| Industrials 8.8% |
| Aerospace & Defense 3.1% |
| United Technologies Corp. | 240,000 | 35,601,600 |
| Industrial Conglomerates 2.3% |
| Honeywell International, Inc. | 147,500 | 26,336,125 |
| Road & Rail 3.4% |
| CSX Corp. | 305,000 | 21,819,700 |
| Union Pacific Corp. | 93,500 | 16,455,065 |
| Total | | 38,274,765 |
| Total Industrials | 100,212,490 |
| Information Technology 10.4% |
| Electronic Equipment, Instruments & Components 3.7% |
| Corning, Inc. | 1,440,000 | 41,817,600 |
| Semiconductors & Semiconductor Equipment 4.3% |
| Applied Materials, Inc. | 416,300 | 24,103,770 |
| QUALCOMM, Inc. | 302,300 | 25,257,165 |
| Total | | 49,360,935 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Software 2.4% |
| Teradata Corp.(a) | 1,020,000 | 27,091,200 |
| Total Information Technology | 118,269,735 |
| Materials 9.2% |
| Chemicals 4.3% |
| FMC Corp. | 500,000 | 48,980,000 |
| Metals & Mining 4.9% |
| Barrick Gold Corp. | 1,575,000 | 26,460,000 |
| Freeport-McMoRan, Inc. | 2,650,000 | 30,157,000 |
| Total | | 56,617,000 |
| Total Materials | 105,597,000 |
| Utilities 4.9% |
| Electric Utilities 2.0% |
| NextEra Energy, Inc. | 100,000 | 23,382,000 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Independent Power and Renewable Electricity Producers 2.9% |
| AES Corp. (The) | 1,750,000 | 33,092,500 |
| Total Utilities | 56,474,500 |
Total Common Stocks
(Cost $737,349,423) | 1,137,497,575 |
|
| Money Market Funds 0.3% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(b),(c) | 3,464,858 | 3,464,858 |
Total Money Market Funds
(Cost $3,464,511) | 3,464,858 |
Total Investments in Securities
(Cost: $740,813,934) | 1,140,962,433 |
| Other Assets & Liabilities, Net | | 1,422,205 |
| Net Assets | 1,142,384,638 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Columbia Short-Term Cash Fund, 1.745% |
| | 6,233,858 | 88,352,618 | (91,121,618) | 3,464,858 | 684 | 347 | 129,702 | 3,464,858 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 54,517,200 | — | — | 54,517,200 |
| Consumer Discretionary | 60,451,500 | — | — | 60,451,500 |
| Consumer Staples | 73,274,500 | — | — | 73,274,500 |
| Energy | 151,030,450 | — | — | 151,030,450 |
| Financials | 254,508,050 | — | — | 254,508,050 |
| Health Care | 163,162,150 | — | — | 163,162,150 |
| Industrials | 100,212,490 | — | — | 100,212,490 |
| Information Technology | 118,269,735 | — | — | 118,269,735 |
| Materials | 105,597,000 | — | — | 105,597,000 |
| Utilities | 56,474,500 | — | — | 56,474,500 |
| Total Common Stocks | 1,137,497,575 | — | — | 1,137,497,575 |
| Money Market Funds | 3,464,858 | — | — | 3,464,858 |
| Total Investments in Securities | 1,140,962,433 | — | — | 1,140,962,433 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $737,349,423) | $1,137,497,575 |
| Affiliated issuers (cost $3,464,511) | 3,464,858 |
| Receivable for: | |
| Capital shares sold | 799,465 |
| Dividends | 2,663,187 |
| Foreign tax reclaims | 7,875 |
| Expense reimbursement due from Investment Manager | 20,868 |
| Prepaid expenses | 4,558 |
| Total assets | 1,144,458,386 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 1,759,776 |
| Management services fees | 45,822 |
| Distribution and/or service fees | 6,626 |
| Transfer agent fees | 128,593 |
| Compensation of board members | 59,889 |
| Compensation of chief compliance officer | 119 |
| Other expenses | 72,923 |
| Total liabilities | 2,073,748 |
| Net assets applicable to outstanding capital stock | $1,142,384,638 |
| Represented by | |
| Paid in capital | 672,277,698 |
| Total distributable earnings (loss) | 470,106,940 |
| Total - representing net assets applicable to outstanding capital stock | $1,142,384,638 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 9 |
Statement of Assets and Liabilities (continued)
November 30, 2019 (Unaudited)
| Class A | |
| Net assets | $247,483,734 |
| Shares outstanding | 9,222,022 |
| Net asset value per share | $26.84 |
| 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) | $28.48 |
| Advisor Class | |
| Net assets | $156,035,689 |
| Shares outstanding | 5,512,741 |
| Net asset value per share | $28.30 |
| Class C | |
| Net assets | $46,761,133 |
| Shares outstanding | 1,915,032 |
| Net asset value per share | $24.42 |
| Institutional Class | |
| Net assets | $458,513,200 |
| Shares outstanding | 16,417,328 |
| Net asset value per share | $27.93 |
| Institutional 2 Class | |
| Net assets | $39,455,297 |
| Shares outstanding | 1,411,921 |
| Net asset value per share | $27.94 |
| Institutional 3 Class | |
| Net assets | $171,485,533 |
| Shares outstanding | 6,039,064 |
| Net asset value per share | $28.40 |
| Class R | |
| Net assets | $22,650,052 |
| Shares outstanding | 859,164 |
| Net asset value per share | $26.36 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $14,101,865 |
| Dividends — affiliated issuers | 129,702 |
| Foreign taxes withheld | (28,312) |
| Total income | 14,203,255 |
| Expenses: | |
| Management services fees | 4,049,963 |
| Distribution and/or service fees | |
| Class A | 298,326 |
| Class C | 239,953 |
| Class R | 58,460 |
| Transfer agent fees | |
| Class A | 150,556 |
| Advisor Class | 93,176 |
| Class C | 30,228 |
| Institutional Class | 282,613 |
| Institutional 2 Class | 12,357 |
| Institutional 3 Class | 6,315 |
| Class R | 14,723 |
| Compensation of board members | 13,905 |
| Custodian fees | 4,427 |
| Printing and postage fees | 35,530 |
| Registration fees | 73,244 |
| Audit fees | 12,849 |
| Legal fees | 8,411 |
| Interest on interfund lending | 3,961 |
| Compensation of chief compliance officer | 119 |
| Other | 12,371 |
| Total expenses | 5,401,487 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (1,846,745) |
| Expense reduction | (560) |
| Total net expenses | 3,554,182 |
| Net investment income | 10,649,073 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 26,000,447 |
| Investments — affiliated issuers | 684 |
| Net realized gain | 26,001,131 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 121,374,720 |
| Investments — affiliated issuers | 347 |
| Net change in unrealized appreciation (depreciation) | 121,375,067 |
| Net realized and unrealized gain | 147,376,198 |
| Net increase in net assets resulting from operations | $158,025,271 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income | $10,649,073 | $20,180,707 |
| Net realized gain | 26,001,131 | 48,541,856 |
| Net change in unrealized appreciation (depreciation) | 121,375,067 | (125,306,929) |
| Net increase (decrease) in net assets resulting from operations | 158,025,271 | (56,584,366) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | — | (9,538,204) |
| Advisor Class | — | (6,670,875) |
| Class C | — | (1,965,175) |
| Institutional Class | — | (18,964,635) |
| Institutional 2 Class | — | (3,266,682) |
| Institutional 3 Class | — | (6,394,537) |
| Class R | — | (992,921) |
| Class T | — | (7,942) |
| Total distributions to shareholders | — | (47,800,971) |
| Increase (decrease) in net assets from capital stock activity | (74,306,811) | 90,151,658 |
| Total increase (decrease) in net assets | 83,718,460 | (14,233,679) |
| Net assets at beginning of period | 1,058,666,178 | 1,072,899,857 |
| Net assets at end of period | $1,142,384,638 | $1,058,666,178 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 1,035,553 | 26,105,894 | 3,347,431 | 83,951,614 |
| Distributions reinvested | — | — | 336,984 | 7,753,996 |
| Redemptions | (1,198,744) | (30,324,108) | (3,088,490) | (77,726,473) |
| Net increase (decrease) | (163,191) | (4,218,214) | 595,925 | 13,979,137 |
| Advisor Class | | | | |
| Subscriptions | 872,691 | 22,850,618 | 1,565,477 | 41,508,048 |
| Distributions reinvested | — | — | 267,747 | 6,482,160 |
| Redemptions | (1,433,999) | (38,032,638) | (1,504,106) | (39,540,642) |
| Net increase (decrease) | (561,308) | (15,182,020) | 329,118 | 8,449,566 |
| Class C | | | | |
| Subscriptions | 88,665 | 2,051,857 | 635,919 | 14,387,725 |
| Distributions reinvested | — | — | 69,716 | 1,470,319 |
| Redemptions | (470,302) | (10,702,844) | (1,402,664) | (32,723,179) |
| Net decrease | (381,637) | (8,650,987) | (697,029) | (16,865,135) |
| Institutional Class | | | | |
| Subscriptions | 1,950,964 | 51,046,571 | 7,519,655 | 195,027,450 |
| Distributions reinvested | — | — | 669,636 | 15,997,602 |
| Redemptions | (3,227,151) | (84,015,539) | (5,435,498) | (138,356,998) |
| Net increase (decrease) | (1,276,187) | (32,968,968) | 2,753,793 | 72,668,054 |
| Institutional 2 Class | | | | |
| Subscriptions | 240,186 | 6,344,540 | 1,709,362 | 45,789,701 |
| Distributions reinvested | — | — | 136,595 | 3,263,245 |
| Redemptions | (468,127) | (12,782,321) | (2,251,538) | (57,377,591) |
| Net decrease | (227,941) | (6,437,781) | (405,581) | (8,324,645) |
| Institutional 3 Class | | | | |
| Subscriptions | 519,543 | 14,196,486 | 1,103,630 | 28,275,568 |
| Distributions reinvested | — | — | 263,578 | 6,394,414 |
| Redemptions | (579,417) | (15,706,601) | (637,647) | (17,043,256) |
| Net increase (decrease) | (59,874) | (1,510,115) | 729,561 | 17,626,726 |
| Class R | | | | |
| Subscriptions | 67,702 | 1,670,844 | 429,339 | 10,421,750 |
| Distributions reinvested | — | — | 23,557 | 533,796 |
| Redemptions | (288,476) | (7,009,570) | (332,339) | (8,159,979) |
| Net increase (decrease) | (220,774) | (5,338,726) | 120,557 | 2,795,567 |
| Class T | | | | |
| Distributions reinvested | — | — | 342 | 7,813 |
| Redemptions | — | — | (8,174) | (185,425) |
| Net decrease | — | — | (7,832) | (177,612) |
| Total net increase (decrease) | (2,890,912) | (74,306,811) | 3,418,512 | 90,151,658 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | Net asset value,
beginning of
period | Net
investment
income | 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 11/30/2019 (Unaudited) | $23.28 | 0.22 | 3.34 | 3.56 | — | — | — |
| Year Ended 5/31/2019 | $25.66 | 0.41 | (1.73) | (1.32) | (0.36) | (0.70) | (1.06) |
| Year Ended 5/31/2018 | $23.93 | 0.27 | 2.71 | 2.98 | (0.24) | (1.01) | (1.25) |
| Year Ended 5/31/2017 | $21.43 | 0.24 | 4.17 | 4.41 | (0.26) | (1.65) | (1.91) |
| Year Ended 5/31/2016 | $23.18 | 0.27 | (1.10) | (0.83) | (0.30) | (0.62) | (0.92) |
| Year Ended 5/31/2015 | $22.18 | 0.23 | 1.33 | 1.56 | (0.19) | (0.37) | (0.56) |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $24.52 | 0.27 | 3.51 | 3.78 | — | — | — |
| Year Ended 5/31/2019 | $26.98 | 0.50 | (1.83) | (1.33) | (0.43) | (0.70) | (1.13) |
| Year Ended 5/31/2018 | $25.10 | 0.36 | 2.83 | 3.19 | (0.30) | (1.01) | (1.31) |
| Year Ended 5/31/2017 | $22.38 | 0.32 | 4.36 | 4.68 | (0.31) | (1.65) | (1.96) |
| Year Ended 5/31/2016 | $24.17 | 0.34 | (1.15) | (0.81) | (0.36) | (0.62) | (0.98) |
| Year Ended 5/31/2015 | $23.10 | 0.35 | 1.33 | 1.68 | (0.24) | (0.37) | (0.61) |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $21.26 | 0.12 | 3.04 | 3.16 | — | — | — |
| Year Ended 5/31/2019 | $23.49 | 0.20 | (1.57) | (1.37) | (0.16) | (0.70) | (0.86) |
| Year Ended 5/31/2018 | $22.00 | 0.07 | 2.48 | 2.55 | (0.05) | (1.01) | (1.06) |
| Year Ended 5/31/2017 | $19.83 | 0.06 | 3.86 | 3.92 | (0.10) | (1.65) | (1.75) |
| Year Ended 5/31/2016 | $21.51 | 0.10 | (1.03) | (0.93) | (0.13) | (0.62) | (0.75) |
| Year Ended 5/31/2015 | $20.61 | 0.06 | 1.23 | 1.29 | (0.02) | (0.37) | (0.39) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $24.19 | 0.26 | 3.48 | 3.74 | — | — | — |
| Year Ended 5/31/2019 | $26.63 | 0.49 | (1.80) | (1.31) | (0.43) | (0.70) | (1.13) |
| Year Ended 5/31/2018 | $24.79 | 0.36 | 2.79 | 3.15 | (0.30) | (1.01) | (1.31) |
| Year Ended 5/31/2017 | $22.13 | 0.32 | 4.30 | 4.62 | (0.31) | (1.65) | (1.96) |
| Year Ended 5/31/2016 | $23.91 | 0.33 | (1.13) | (0.80) | (0.36) | (0.62) | (0.98) |
| Year Ended 5/31/2015 | $22.86 | 0.31 | 1.35 | 1.66 | (0.24) | (0.37) | (0.61) |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $24.20 | 0.27 | 3.47 | 3.74 | — | — | — |
| Year Ended 5/31/2019 | $26.64 | 0.50 | (1.79) | (1.29) | (0.45) | (0.70) | (1.15) |
| Year Ended 5/31/2018 | $24.81 | 0.39 | 2.77 | 3.16 | (0.32) | (1.01) | (1.33) |
| Year Ended 5/31/2017 | $22.14 | 0.33 | 4.32 | 4.65 | (0.33) | (1.65) | (1.98) |
| Year Ended 5/31/2016 | $23.92 | 0.36 | (1.14) | (0.78) | (0.38) | (0.62) | (1.00) |
| Year Ended 5/31/2015 | $22.87 | 0.37 | 1.32 | 1.69 | (0.27) | (0.37) | (0.64) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $26.84 | 15.29% | 1.14%(c),(d) | 0.80%(c),(d),(e) | 1.77%(c) | 6% | $247,484 |
| Year Ended 5/31/2019 | $23.28 | (5.09%) | 1.13% | 0.80%(e) | 1.64% | 21% | $218,458 |
| Year Ended 5/31/2018 | $25.66 | 12.39% | 1.15% | 1.03%(e) | 1.07% | 9% | $225,532 |
| Year Ended 5/31/2017 | $23.93 | 20.87% | 1.19% | 1.16%(e) | 1.05% | 8% | $204,824 |
| Year Ended 5/31/2016 | $21.43 | (3.34%) | 1.21%(f) | 1.19%(e),(f) | 1.25% | 13% | $225,892 |
| Year Ended 5/31/2015 | $23.18 | 7.08% | 1.20% | 1.18%(e) | 1.02% | 4% | $327,326 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $28.30 | 15.42% | 0.89%(c),(d) | 0.55%(c),(d),(e) | 2.01%(c) | 6% | $156,036 |
| Year Ended 5/31/2019 | $24.52 | (4.87%) | 0.88% | 0.55%(e) | 1.89% | 21% | $148,935 |
| Year Ended 5/31/2018 | $26.98 | 12.67% | 0.90% | 0.77%(e) | 1.35% | 9% | $154,976 |
| Year Ended 5/31/2017 | $25.10 | 21.23% | 0.94% | 0.91%(e) | 1.33% | 8% | $40,794 |
| Year Ended 5/31/2016 | $22.38 | (3.11%) | 0.96%(f) | 0.94%(e),(f) | 1.53% | 13% | $30,836 |
| Year Ended 5/31/2015 | $24.17 | 7.35% | 0.94% | 0.93%(e) | 1.46% | 4% | $30,403 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $24.42 | 14.86% | 1.89%(c),(d) | 1.55%(c),(d),(e) | 1.01%(c) | 6% | $46,761 |
| Year Ended 5/31/2019 | $21.26 | (5.80%) | 1.88% | 1.55%(e) | 0.87% | 21% | $48,824 |
| Year Ended 5/31/2018 | $23.49 | 11.53% | 1.90% | 1.78%(e) | 0.32% | 9% | $70,325 |
| Year Ended 5/31/2017 | $22.00 | 20.02% | 1.94% | 1.91%(e) | 0.30% | 8% | $65,295 |
| Year Ended 5/31/2016 | $19.83 | (4.12%) | 1.96%(f) | 1.94%(e),(f) | 0.51% | 13% | $69,410 |
| Year Ended 5/31/2015 | $21.51 | 6.30% | 1.95% | 1.93%(e) | 0.30% | 4% | $92,432 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $27.93 | 15.46% | 0.89%(c),(d) | 0.55%(c),(d),(e) | 2.02%(c) | 6% | $458,513 |
| Year Ended 5/31/2019 | $24.19 | (4.86%) | 0.88% | 0.55%(e) | 1.89% | 21% | $428,080 |
| Year Ended 5/31/2018 | $26.63 | 12.66% | 0.90% | 0.77%(e) | 1.35% | 9% | $397,901 |
| Year Ended 5/31/2017 | $24.79 | 21.19% | 0.94% | 0.91%(e) | 1.33% | 8% | $294,914 |
| Year Ended 5/31/2016 | $22.13 | (3.11%) | 0.96%(f) | 0.94%(e),(f) | 1.50% | 13% | $244,994 |
| Year Ended 5/31/2015 | $23.91 | 7.34% | 0.95% | 0.93%(e) | 1.33% | 4% | $348,999 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $27.94 | 15.45% | 0.82%(c),(d) | 0.50%(c),(d) | 2.05%(c) | 6% | $39,455 |
| Year Ended 5/31/2019 | $24.20 | (4.80%) | 0.82% | 0.51% | 1.92% | 21% | $39,688 |
| Year Ended 5/31/2018 | $26.64 | 12.69% | 0.84% | 0.69% | 1.48% | 9% | $54,500 |
| Year Ended 5/31/2017 | $24.81 | 21.33% | 0.85% | 0.83% | 1.39% | 8% | $23,215 |
| Year Ended 5/31/2016 | $22.14 | (3.01%) | 0.84%(f) | 0.84%(f) | 1.64% | 13% | $23,155 |
| Year Ended 5/31/2015 | $23.92 | 7.45% | 0.83% | 0.83% | 1.58% | 4% | $23,731 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 15 |
Financial Highlights (continued)
| | Net asset value,
beginning of
period | Net
investment
income | 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 11/30/2019 (Unaudited) | $24.59 | 0.28 | 3.53 | 3.81 | — | — | — |
| Year Ended 5/31/2019 | $27.05 | 0.53 | (1.83) | (1.30) | (0.46) | (0.70) | (1.16) |
| Year Ended 5/31/2018 | $25.16 | 0.39 | 2.84 | 3.23 | (0.33) | (1.01) | (1.34) |
| Year Ended 5/31/2017 | $22.43 | 0.50 | 4.22 | 4.72 | (0.34) | (1.65) | (1.99) |
| Year Ended 5/31/2016 | $24.23 | 0.41 | (1.19) | (0.78) | (0.40) | (0.62) | (1.02) |
| Year Ended 5/31/2015(g) | $23.47 | 0.26 | 1.15 | 1.41 | (0.28) | (0.37) | (0.65) |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $22.90 | 0.19 | 3.27 | 3.46 | — | — | — |
| Year Ended 5/31/2019 | $25.25 | 0.34 | (1.69) | (1.35) | (0.30) | (0.70) | (1.00) |
| Year Ended 5/31/2018 | $23.57 | 0.20 | 2.67 | 2.87 | (0.18) | (1.01) | (1.19) |
| Year Ended 5/31/2017 | $21.13 | 0.18 | 4.12 | 4.30 | (0.21) | (1.65) | (1.86) |
| Year Ended 5/31/2016 | $22.87 | 0.22 | (1.09) | (0.87) | (0.25) | (0.62) | (0.87) |
| Year Ended 5/31/2015 | $21.89 | 0.18 | 1.30 | 1.48 | (0.13) | (0.37) | (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 line of credit interest expense which is less than 0.01%. |
| (g) | Institutional 3 Class shares commenced operations on October 1, 2014. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $28.40 | 15.49% | 0.77%(c),(d) | 0.45%(c),(d) | 2.12%(c) | 6% | $171,486 |
| Year Ended 5/31/2019 | $24.59 | (4.76%) | 0.77% | 0.46% | 1.98% | 21% | $149,956 |
| Year Ended 5/31/2018 | $27.05 | 12.80% | 0.79% | 0.66% | 1.44% | 9% | $145,244 |
| Year Ended 5/31/2017 | $25.16 | 21.36% | 0.80% | 0.77% | 2.01% | 8% | $121,439 |
| Year Ended 5/31/2016 | $22.43 | (2.96%) | 0.80%(f) | 0.80%(f) | 1.93% | 13% | $735 |
| Year Ended 5/31/2015(g) | $24.23 | 6.09% | 0.72%(c) | 0.72%(c) | 1.64%(c) | 4% | $3 |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $26.36 | 15.11% | 1.39%(c),(d) | 1.05%(c),(d),(e) | 1.50%(c) | 6% | $22,650 |
| Year Ended 5/31/2019 | $22.90 | (5.32%) | 1.38% | 1.05%(e) | 1.39% | 21% | $24,725 |
| Year Ended 5/31/2018 | $25.25 | 12.10% | 1.40% | 1.28%(e) | 0.82% | 9% | $24,222 |
| Year Ended 5/31/2017 | $23.57 | 20.61% | 1.44% | 1.41%(e) | 0.80% | 8% | $23,132 |
| Year Ended 5/31/2016 | $21.13 | (3.61%) | 1.46%(f) | 1.44%(e),(f) | 1.05% | 13% | $23,911 |
| Year Ended 5/31/2015 | $22.87 | 6.82% | 1.45% | 1.43%(e) | 0.80% | 4% | $21,793 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 17 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia Select Large Cap Value Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 18 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 19 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.77% to 0.57% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.73% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
| 20 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.13 |
| Advisor Class | 0.13 |
| Class C | 0.13 |
| Institutional Class | 0.13 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
| Class R | 0.13 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended November 30, 2019, these minimum account balance fees reduced total expenses of the Fund by $560.
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25%, 1.00% and 0.50% of the Fund’s average daily net assets attributable to Class A, Class C and Class R shares, respectively. For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses. For Class R shares, of the 0.50% fee, up to 0.25% can be reimbursed for shareholder servicing expenses.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 21 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $2,862,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 5.75 | 0.50 - 1.00(a) | 46,579 |
| Class C | — | 1.00(b) | 1,928 |
| (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. |
The Fund’s other share classes are not subject to sales charges.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 0.80% | 0.80% |
| Advisor Class | 0.55 | 0.55 |
| Class C | 1.55 | 1.55 |
| Institutional Class | 0.55 | 0.55 |
| Institutional 2 Class | 0.49 | 0.51 |
| Institutional 3 Class | 0.44 | 0.46 |
| Class R | 1.05 | 1.05 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
| 22 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 740,814,000 | 458,468,000 | (58,320,000) | 400,148,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $66,412,648 and $115,165,096, respectively, for the six months ended November 30, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended November 30, 2019 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Borrower | 13,700,000 | 2.60 | 4 |
Interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at November 30, 2019.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 23 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Note 9. Significant risks
Financial sector risk
The Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Shareholder concentration risk
At November 30, 2019, three unaffiliated shareholders of record owned 42.7% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of record owned 16.6% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
| 24 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 25 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Select Large Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as its history, reputation, expertise, resources and capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
| 26 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds under the Management Agreement. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group, and the net assets of the Fund. The Board observed that the Fund’s investment performance was understandable in light of the particular management style involved and the particular market environment.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Select Large Cap Value Fund | Semiannual Report 2019
| 27 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 28 | Columbia Select Large Cap Value Fund | Semiannual Report 2019 |
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Columbia Select Large Cap Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia Select Small Cap Value Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Select Small Cap Value Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Select Small Cap Value Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital appreciation.
Portfolio management
Kari Montanus
Lead Portfolio Manager
Managed Fund since 2014
Jonas Patrikson, CFA
Portfolio Manager
Managed Fund since 2018
Effective November 26, 2019, David Hoffman no longer serves as a Portfolio Manager of the Fund.
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2020 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class A | Excluding sales charges | 04/25/97 | 5.37 | 2.32 | 4.25 | 10.31 |
| | Including sales charges | | -0.71 | -3.59 | 3.02 | 9.66 |
| Advisor Class* | 11/08/12 | 5.48 | 2.60 | 4.51 | 10.51 |
| Class C | Excluding sales charges | 05/27/99 | 4.98 | 1.52 | 3.47 | 9.48 |
| | Including sales charges | | 3.98 | 0.60 | 3.47 | 9.48 |
| Institutional Class* | 09/27/10 | 5.46 | 2.59 | 4.51 | 10.57 |
| Institutional 2 Class | 11/30/01 | 5.49 | 2.64 | 4.61 | 10.73 |
| Institutional 3 Class* | 10/01/14 | 5.56 | 2.73 | 4.65 | 10.53 |
| Class R | 04/30/03 | 5.23 | 2.13 | 3.99 | 10.03 |
| Russell 2000 Value Index | | 10.86 | 3.96 | 6.83 | 10.99 |
Returns for Class A shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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. |
The Russell 2000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at November 30, 2019) |
| Radian Group, Inc. | 4.6 |
| CACI International, Inc., Class A | 3.9 |
| Gaming and Leisure Properties, Inc. | 3.9 |
| Axos Financial, Inc. | 3.6 |
| Opus Bank | 3.5 |
| Viavi Solutions, Inc. | 3.5 |
| EPAM Systems, Inc. | 3.4 |
| National General Holdings Corp. | 3.4 |
| MACOM Technology Solutions Holdings, Inc. | 3.4 |
| Waste Connections, Inc. | 3.1 |
Percentages indicated are based upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at November 30, 2019) |
| Common Stocks | 99.4 |
| Money Market Funds | 0.6 |
| Rights | 0.0(a) |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at November 30, 2019) |
| Communication Services | 2.4 |
| Consumer Discretionary | 11.7 |
| Consumer Staples | 2.6 |
| Energy | 2.8 |
| Financials | 23.8 |
| Health Care | 7.0 |
| Industrials | 14.5 |
| Information Technology | 17.6 |
| Materials | 9.1 |
| Real Estate | 5.0 |
| Utilities | 3.5 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,053.70 | 1,018.35 | 6.69 | 6.57 | 1.31 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,054.80 | 1,019.59 | 5.42 | 5.32 | 1.06 |
| Class C | 1,000.00 | 1,000.00 | 1,049.80 | 1,014.62 | 10.50 | 10.32 | 2.06 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,054.60 | 1,019.59 | 5.41 | 5.32 | 1.06 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,054.90 | 1,019.99 | 5.01 | 4.92 | 0.98 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,055.60 | 1,020.24 | 4.75 | 4.67 | 0.93 |
| Class R | 1,000.00 | 1,000.00 | 1,052.30 | 1,017.11 | 7.96 | 7.82 | 1.56 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 99.5% |
| Issuer | Shares | Value ($) |
| Communication Services 2.4% |
| Wireless Telecommunication Services 2.4% |
| Telephone & Data Systems, Inc. | 469,927 | 11,141,969 |
| Total Communication Services | 11,141,969 |
| Consumer Discretionary 11.7% |
| Auto Components 3.1% |
| American Axle & Manufacturing Holdings, Inc.(a) | 462,016 | 4,555,478 |
| Motorcar Parts of America, Inc.(a) | 520,767 | 10,160,164 |
| Total | | 14,715,642 |
| Diversified Consumer Services 0.8% |
| Regis Corp.(a) | 235,000 | 3,790,550 |
| Hotels, Restaurants & Leisure 4.1% |
| Penn National Gaming, Inc.(a) | 371,048 | 8,545,235 |
| Texas Roadhouse, Inc. | 181,547 | 10,511,571 |
| Total | | 19,056,806 |
| Household Durables 3.7% |
| Lennar Corp., Class A | 158,456 | 9,451,901 |
| William Lyon Homes, Inc., Class A(a) | 383,597 | 8,009,505 |
| Total | | 17,461,406 |
| Total Consumer Discretionary | 55,024,404 |
| Consumer Staples 2.5% |
| Food Products 2.5% |
| Nomad Foods Ltd.(a) | 572,700 | 12,026,700 |
| Total Consumer Staples | 12,026,700 |
| Energy 2.8% |
| Energy Equipment & Services 1.9% |
| Exterran Corp.(a) | 471,042 | 2,534,206 |
| Patterson-UTI Energy, Inc. | 701,140 | 6,268,192 |
| Total | | 8,802,398 |
| Oil, Gas & Consumable Fuels 0.9% |
| Callon Petroleum Co.(a) | 1,180,300 | 4,308,095 |
| Total Energy | 13,110,493 |
| Financials 23.7% |
| Banks 3.4% |
| Opus Bank | 630,768 | 16,217,045 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 9.1% |
| Hanover Insurance Group, Inc. (The) | 92,644 | 12,593,099 |
| Lincoln National Corp. | 239,627 | 14,149,974 |
| National General Holdings Corp. | 747,953 | 15,923,920 |
| Total | | 42,666,993 |
| Mortgage Real Estate Investment Trusts (REITS) 3.1% |
| Ladder Capital Corp., Class A | 839,974 | 14,523,150 |
| Thrifts & Mortgage Finance 8.1% |
| Axos Financial, Inc.(a) | 567,860 | 16,723,477 |
| Radian Group, Inc. | 827,538 | 21,383,582 |
| Total | | 38,107,059 |
| Total Financials | 111,514,247 |
| Health Care 6.9% |
| Biotechnology 2.1% |
| Ligand Pharmaceuticals, Inc.(a) | 88,316 | 9,979,708 |
| Health Care Equipment & Supplies 2.3% |
| Dentsply Sirona, Inc. | 190,498 | 10,770,757 |
| Health Care Providers & Services 2.5% |
| WellCare Health Plans, Inc.(a) | 37,022 | 11,923,676 |
| Total Health Care | 32,674,141 |
| Industrials 14.4% |
| Aerospace & Defense 3.0% |
| Cubic Corp. | 240,861 | 14,343,273 |
| Airlines 1.8% |
| Spirit Airlines, Inc.(a) | 220,979 | 8,633,649 |
| Commercial Services & Supplies 3.1% |
| Waste Connections, Inc. | 161,658 | 14,638,132 |
| Construction & Engineering 1.6% |
| Granite Construction, Inc. | 285,690 | 7,359,374 |
| Machinery 2.2% |
| Rexnord Corp.(a) | 323,364 | 10,215,069 |
| Road & Rail 2.7% |
| Knight-Swift Transportation Holdings, Inc. | 344,700 | 12,750,453 |
| Total Industrials | 67,939,950 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Information Technology 17.5% |
| Communications Equipment 5.9% |
| Extreme Networks, Inc.(a) | 1,658,333 | 11,658,081 |
| Viavi Solutions, Inc.(a) | 1,075,316 | 16,151,247 |
| Total | | 27,809,328 |
| IT Services 7.3% |
| CACI International, Inc., Class A(a) | 76,926 | 18,409,930 |
| EPAM Systems, Inc.(a) | 76,236 | 16,150,597 |
| Total | | 34,560,527 |
| Semiconductors & Semiconductor Equipment 4.3% |
| KLA Corp. | 25,227 | 4,133,696 |
| MACOM Technology Solutions Holdings, Inc.(a) | 645,200 | 15,917,084 |
| Total | | 20,050,780 |
| Total Information Technology | 82,420,635 |
| Materials 9.1% |
| Chemicals 2.6% |
| Minerals Technologies, Inc. | 224,721 | 12,134,934 |
| Construction Materials 2.8% |
| Summit Materials, Inc., Class A(a) | 549,000 | 13,104,630 |
| Containers & Packaging 1.7% |
| Owens-Illinois, Inc. | 829,739 | 8,197,821 |
| Metals & Mining 2.0% |
| Warrior Met Coal, Inc. | 461,673 | 9,478,147 |
| Total Materials | 42,915,532 |
| Real Estate 5.0% |
| Equity Real Estate Investment Trusts (REITS) 5.0% |
| First Industrial Realty Trust, Inc. | 125,000 | 5,322,500 |
| Gaming and Leisure Properties, Inc. | 435,511 | 18,378,564 |
| Total | | 23,701,064 |
| Total Real Estate | 23,701,064 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Utilities 3.5% |
| Electric Utilities 3.5% |
| PNM Resources, Inc. | 120,000 | 5,814,000 |
| Portland General Electric Co. | 191,300 | 10,619,063 |
| Total | | 16,433,063 |
| Total Utilities | 16,433,063 |
Total Common Stocks
(Cost $362,310,213) | 468,902,198 |
|
| Rights —% |
| | |
| Industrials —% |
| Airlines —% |
| American Airlines Escrow(a),(b),(c),(d) | 52,560 | 0 |
| Total Industrials | 0 |
Total Rights
(Cost $—) | 0 |
|
| Money Market Funds 0.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(e),(f) | 2,626,911 | 2,626,911 |
Total Money Market Funds
(Cost $2,626,653) | 2,626,911 |
Total Investments in Securities
(Cost: $364,936,866) | 471,529,109 |
| Other Assets & Liabilities, Net | | (459,861) |
| Net Assets | 471,069,248 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2019, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
| (c) | Negligible market value. |
| (d) | Valuation based on significant unobservable inputs. |
| (e) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Notes to Portfolio of Investments (continued)
| (f) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Columbia Short-Term Cash Fund, 1.745% |
| | 2,184,048 | 49,845,011 | (49,402,148) | 2,626,911 | (148) | 258 | 53,131 | 2,626,911 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 11,141,969 | — | — | 11,141,969 |
| Consumer Discretionary | 55,024,404 | — | — | 55,024,404 |
| Consumer Staples | 12,026,700 | — | — | 12,026,700 |
| Energy | 13,110,493 | — | — | 13,110,493 |
| Financials | 111,514,247 | — | — | 111,514,247 |
| Health Care | 32,674,141 | — | — | 32,674,141 |
| Industrials | 67,939,950 | — | — | 67,939,950 |
| Information Technology | 82,420,635 | — | — | 82,420,635 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Materials | 42,915,532 | — | — | 42,915,532 |
| Real Estate | 23,701,064 | — | — | 23,701,064 |
| Utilities | 16,433,063 | — | — | 16,433,063 |
| Total Common Stocks | 468,902,198 | — | — | 468,902,198 |
| Rights | | | | |
| Industrials | — | — | 0* | 0* |
| Total Rights | — | — | 0* | 0* |
| Money Market Funds | 2,626,911 | — | — | 2,626,911 |
| Total Investments in Securities | 471,529,109 | — | 0* | 471,529,109 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 9 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $362,310,213) | $468,902,198 |
| Affiliated issuers (cost $2,626,653) | 2,626,911 |
| Receivable for: | |
| Capital shares sold | 75,146 |
| Dividends | 84,246 |
| Prepaid expenses | 3,108 |
| Total assets | 471,691,609 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 387,719 |
| Management services fees | 22,628 |
| Distribution and/or service fees | 5,676 |
| Transfer agent fees | 56,895 |
| Compensation of board members | 84,724 |
| Compensation of chief compliance officer | 57 |
| Other expenses | 64,662 |
| Total liabilities | 622,361 |
| Net assets applicable to outstanding capital stock | $471,069,248 |
| Represented by | |
| Paid in capital | 369,266,291 |
| Total distributable earnings (loss) | 101,802,957 |
| Total - representing net assets applicable to outstanding capital stock | $471,069,248 |
| Class A | |
| Net assets | $369,138,423 |
| Shares outstanding | 22,124,823 |
| Net asset value per share | $16.68 |
| 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) | $17.70 |
| Advisor Class | |
| Net assets | $3,099,575 |
| Shares outstanding | 157,829 |
| Net asset value per share | $19.64 |
| Class C | |
| Net assets | $8,194,137 |
| Shares outstanding | 706,238 |
| Net asset value per share | $11.60 |
| Institutional Class | |
| Net assets | $68,598,218 |
| Shares outstanding | 3,551,846 |
| Net asset value per share | $19.31 |
| Institutional 2 Class | |
| Net assets | $3,461,134 |
| Shares outstanding | 176,564 |
| Net asset value per share | $19.60 |
| Institutional 3 Class | |
| Net assets | $13,917,496 |
| Shares outstanding | 685,635 |
| Net asset value per share | $20.30 |
| Class R | |
| Net assets | $4,660,265 |
| Shares outstanding | 301,089 |
| Net asset value per share | $15.48 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $2,765,591 |
| Dividends — affiliated issuers | 53,131 |
| Foreign taxes withheld | (9,254) |
| Total income | 2,809,468 |
| Expenses: | |
| Management services fees | 2,114,027 |
| Distribution and/or service fees | |
| Class A | 470,672 |
| Class C | 42,682 |
| Class R | 12,866 |
| Transfer agent fees | |
| Class A | 256,115 |
| Advisor Class | 2,177 |
| Class C | 5,806 |
| Institutional Class | 49,132 |
| Institutional 2 Class | 2,172 |
| Institutional 3 Class | 586 |
| Class R | 3,498 |
| Compensation of board members | 10,632 |
| Custodian fees | 2,225 |
| Printing and postage fees | 29,576 |
| Registration fees | 57,684 |
| Audit fees | 12,849 |
| Legal fees | 5,662 |
| Compensation of chief compliance officer | 57 |
| Other | 8,735 |
| Total expenses | 3,087,153 |
| Expense reduction | (760) |
| Total net expenses | 3,086,393 |
| Net investment loss | (276,925) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 5,125,371 |
| Investments — affiliated issuers | (148) |
| Net realized gain | 5,125,223 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 20,438,390 |
| Investments — affiliated issuers | 258 |
| Net change in unrealized appreciation (depreciation) | 20,438,648 |
| Net realized and unrealized gain | 25,563,871 |
| Net increase in net assets resulting from operations | $25,286,946 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income (loss) | $(276,925) | $629,035 |
| Net realized gain | 5,125,223 | 13,919,848 |
| Net change in unrealized appreciation (depreciation) | 20,438,648 | (61,832,774) |
| Net increase (decrease) in net assets resulting from operations | 25,286,946 | (47,283,891) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | — | (26,786,410) |
| Advisor Class | — | (288,639) |
| Class C | — | (950,878) |
| Institutional Class | — | (5,702,830) |
| Institutional 2 Class | — | (553,130) |
| Institutional 3 Class | — | (765,577) |
| Class R | — | (481,390) |
| Total distributions to shareholders | — | (35,528,854) |
| Decrease in net assets from capital stock activity | (48,400,220) | (81,981,076) |
| Total decrease in net assets | (23,113,274) | (164,793,821) |
| Net assets at beginning of period | 494,182,522 | 658,976,343 |
| Net assets at end of period | $471,069,248 | $494,182,522 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 246,590 | 4,034,176 | 1,689,110 | 30,345,251 |
| Distributions reinvested | — | — | 1,689,736 | 26,072,624 |
| Redemptions | (2,063,386) | (33,676,010) | (4,407,359) | (75,475,802) |
| Net decrease | (1,816,796) | (29,641,834) | (1,028,513) | (19,057,927) |
| Advisor Class | | | | |
| Subscriptions | 24,945 | 474,095 | 91,309 | 1,884,524 |
| Distributions reinvested | — | — | 15,923 | 288,520 |
| Redemptions | (40,035) | (765,269) | (192,437) | (3,848,318) |
| Net decrease | (15,090) | (291,174) | (85,205) | (1,675,274) |
| Class C | | | | |
| Subscriptions | 12,654 | 144,508 | 70,929 | 883,212 |
| Distributions reinvested | — | — | 81,310 | 878,960 |
| Redemptions | (137,617) | (1,559,814) | (1,600,705) | (21,330,565) |
| Net decrease | (124,963) | (1,415,306) | (1,448,466) | (19,568,393) |
| Institutional Class | | | | |
| Subscriptions | 409,015 | 7,697,964 | 1,304,661 | 26,249,293 |
| Distributions reinvested | — | — | 139,768 | 2,490,659 |
| Redemptions | (897,542) | (16,897,475) | (3,476,619) | (67,498,823) |
| Net decrease | (488,527) | (9,199,511) | (2,032,190) | (38,758,871) |
| Institutional 2 Class | | | | |
| Subscriptions | 28,997 | 560,769 | 96,328 | 1,921,217 |
| Distributions reinvested | — | — | 30,405 | 549,423 |
| Redemptions | (373,441) | (6,975,253) | (157,467) | (3,230,184) |
| Net decrease | (344,444) | (6,414,484) | (30,734) | (759,544) |
| Institutional 3 Class | | | | |
| Subscriptions | 7,572 | 153,288 | 43,222 | 864,526 |
| Distributions reinvested | — | — | 40,930 | 765,391 |
| Redemptions | (13,533) | (267,162) | (78,681) | (1,566,908) |
| Net increase (decrease) | (5,961) | (113,874) | 5,471 | 63,009 |
| Class R | | | | |
| Subscriptions | 16,423 | 249,517 | 86,885 | 1,365,969 |
| Distributions reinvested | — | — | 11,831 | 169,779 |
| Redemptions | (104,237) | (1,573,554) | (234,028) | (3,759,824) |
| Net decrease | (87,814) | (1,324,037) | (135,312) | (2,224,076) |
| Total net decrease | (2,883,595) | (48,400,220) | (4,754,949) | (81,981,076) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | 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 11/30/2019 (Unaudited) | $15.83 | (0.01) | 0.86 | 0.85 | — | — | — |
| Year Ended 5/31/2019 | $18.40 | 0.01 | (1.47) | (1.46) | (0.02) | (1.09) | (1.11) |
| Year Ended 5/31/2018 | $18.85 | 0.08(e) | 1.91 | 1.99 | — | (2.44) | (2.44) |
| Year Ended 5/31/2017 | $17.48 | (0.09) | 2.59 | 2.50 | — | (1.13) | (1.13) |
| Year Ended 5/31/2016 | $21.36 | (0.05) | (1.70) | (1.75) | — | (2.13) | (2.13) |
| Year Ended 5/31/2015 | $21.52 | (0.14) | 2.28 | 2.14 | — | (2.30) | (2.30) |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $18.62 | 0.01 | 1.01 | 1.02 | — | — | — |
| Year Ended 5/31/2019 | $21.38 | 0.05 | (1.69) | (1.64) | (0.03) | (1.09) | (1.12) |
| Year Ended 5/31/2018 | $21.49 | 0.17(e) | 2.16 | 2.33 | — | (2.44) | (2.44) |
| Year Ended 5/31/2017 | $19.74 | (0.06) | 2.94 | 2.88 | — | (1.13) | (1.13) |
| Year Ended 5/31/2016 | $23.76 | 0.01 | (1.90) | (1.89) | — | (2.13) | (2.13) |
| Year Ended 5/31/2015 | $23.63 | (0.10) | 2.53 | 2.43 | — | (2.30) | (2.30) |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $11.05 | (0.05) | 0.60 | 0.55 | — | — | — |
| Year Ended 5/31/2019 | $13.29 | (0.09) | (1.06) | (1.15) | — | (1.09) | (1.09) |
| Year Ended 5/31/2018 | $14.35 | (0.05)(e) | 1.43 | 1.38 | — | (2.44) | (2.44) |
| Year Ended 5/31/2017 | $13.64 | (0.18) | 2.02 | 1.84 | — | (1.13) | (1.13) |
| Year Ended 5/31/2016 | $17.30 | (0.15) | (1.38) | (1.53) | — | (2.13) | (2.13) |
| Year Ended 5/31/2015 | $18.00 | (0.25) | 1.85 | 1.60 | — | (2.30) | (2.30) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $18.31 | 0.01 | 0.99 | 1.00 | — | — | — |
| Year Ended 5/31/2019 | $21.05 | 0.05 | (1.67) | (1.62) | (0.03) | (1.09) | (1.12) |
| Year Ended 5/31/2018 | $21.19 | 0.15(e) | 2.15 | 2.30 | — | (2.44) | (2.44) |
| Year Ended 5/31/2017 | $19.48 | (0.06) | 2.90 | 2.84 | — | (1.13) | (1.13) |
| Year Ended 5/31/2016 | $23.47 | (0.01) | (1.85) | (1.86) | — | (2.13) | (2.13) |
| Year Ended 5/31/2015 | $23.37 | (0.10) | 2.50 | 2.40 | — | (2.30) | (2.30) |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $18.58 | 0.02 | 1.00 | 1.02 | — | — | — |
| Year Ended 5/31/2019 | $21.33 | 0.08 | (1.70) | (1.62) | (0.04) | (1.09) | (1.13) |
| Year Ended 5/31/2018 | $21.43 | 0.17(e) | 2.17 | 2.34 | — | (2.44) | (2.44) |
| Year Ended 5/31/2017 | $19.66 | (0.04) | 2.94 | 2.90 | — | (1.13) | (1.13) |
| Year Ended 5/31/2016 | $23.65 | 0.02 | (1.88) | (1.86) | — | (2.13) | (2.13) |
| Year Ended 5/31/2015 | $23.49 | (0.07) | 2.53 | 2.46 | — | (2.30) | (2.30) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $16.68 | 5.37% | 1.31%(c) | 1.31%(c),(d) | (0.16%)(c) | 4% | $369,138 |
| Year Ended 5/31/2019 | $15.83 | (7.80%) | 1.30% | 1.30%(d) | 0.08% | 17% | $379,113 |
| Year Ended 5/31/2018 | $18.40 | 10.88% | 1.29% | 1.29%(d) | 0.42% | 20% | $459,420 |
| Year Ended 5/31/2017 | $18.85 | 14.44% | 1.32% | 1.32%(d) | (0.52%) | 24% | $493,661 |
| Year Ended 5/31/2016 | $17.48 | (8.19%) | 1.36% | 1.36%(d) | (0.26%) | 27% | $547,110 |
| Year Ended 5/31/2015 | $21.36 | 11.21% | 1.38% | 1.38%(d) | (0.67%) | 26% | $397,847 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $19.64 | 5.48% | 1.06%(c) | 1.06%(c),(d) | 0.10%(c) | 4% | $3,100 |
| Year Ended 5/31/2019 | $18.62 | (7.50%) | 1.04% | 1.04%(d) | 0.26% | 17% | $3,219 |
| Year Ended 5/31/2018 | $21.38 | 11.14% | 1.04% | 1.04%(d) | 0.78% | 20% | $5,519 |
| Year Ended 5/31/2017 | $21.49 | 14.72% | 1.07% | 1.07%(d) | (0.28%) | 24% | $4,860 |
| Year Ended 5/31/2016 | $19.74 | (7.94%) | 1.12% | 1.12%(d) | 0.03% | 27% | $4,147 |
| Year Ended 5/31/2015 | $23.76 | 11.45% | 1.13% | 1.13%(d) | (0.44%) | 26% | $486 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $11.60 | 4.98% | 2.06%(c) | 2.06%(c),(d) | (0.89%)(c) | 4% | $8,194 |
| Year Ended 5/31/2019 | $11.05 | (8.46%) | 2.04% | 2.04%(d) | (0.68%) | 17% | $9,187 |
| Year Ended 5/31/2018 | $13.29 | 9.98% | 2.04% | 2.04%(d) | (0.34%) | 20% | $30,308 |
| Year Ended 5/31/2017 | $14.35 | 13.64% | 2.07% | 2.07%(d) | (1.27%) | 24% | $35,657 |
| Year Ended 5/31/2016 | $13.64 | (8.89%) | 2.11% | 2.11%(d) | (1.02%) | 27% | $42,200 |
| Year Ended 5/31/2015 | $17.30 | 10.35% | 2.13% | 2.13%(d) | (1.42%) | 26% | $43,974 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $19.31 | 5.46% | 1.06%(c) | 1.06%(c),(d) | 0.10%(c) | 4% | $68,598 |
| Year Ended 5/31/2019 | $18.31 | (7.53%) | 1.04% | 1.04%(d) | 0.25% | 17% | $73,967 |
| Year Ended 5/31/2018 | $21.05 | 11.15% | 1.04% | 1.04%(d) | 0.71% | 20% | $127,825 |
| Year Ended 5/31/2017 | $21.19 | 14.71% | 1.07% | 1.07%(d) | (0.30%) | 24% | $103,000 |
| Year Ended 5/31/2016 | $19.48 | (7.91%) | 1.12% | 1.12%(d) | (0.05%) | 27% | $75,905 |
| Year Ended 5/31/2015 | $23.47 | 11.44% | 1.13% | 1.13%(d) | (0.44%) | 26% | $18,605 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $19.60 | 5.49% | 0.98%(c) | 0.98%(c) | 0.24%(c) | 4% | $3,461 |
| Year Ended 5/31/2019 | $18.58 | (7.44%) | 0.97% | 0.97% | 0.40% | 17% | $9,678 |
| Year Ended 5/31/2018 | $21.33 | 11.22% | 0.96% | 0.96% | 0.78% | 20% | $11,770 |
| Year Ended 5/31/2017 | $21.43 | 14.88% | 0.96% | 0.96% | (0.19%) | 24% | $17,775 |
| Year Ended 5/31/2016 | $19.66 | (7.85%) | 0.99% | 0.99% | 0.10% | 27% | $10,476 |
| Year Ended 5/31/2015 | $23.65 | 11.65% | 0.98% | 0.98% | (0.29%) | 26% | $2,188 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 15 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $19.23 | 0.02 | 1.05 | 1.07 | — | — | — |
| Year Ended 5/31/2019 | $22.03 | 0.10 | (1.77) | (1.67) | (0.04) | (1.09) | (1.13) |
| Year Ended 5/31/2018 | $22.05 | 0.18(e) | 2.24 | 2.42 | — | (2.44) | (2.44) |
| Year Ended 5/31/2017 | $20.20 | (0.14) | 3.12 | 2.98 | — | (1.13) | (1.13) |
| Year Ended 5/31/2016 | $24.21 | 0.04 | (1.92) | (1.88) | — | (2.13) | (2.13) |
| Year Ended 5/31/2015(f) | $23.11 | (0.02) | 3.42 | 3.40 | — | (2.30) | (2.30) |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $14.71 | (0.03) | 0.80 | 0.77 | — | — | — |
| Year Ended 5/31/2019 | $17.20 | (0.03) | (1.37) | (1.40) | — | (1.09) | (1.09) |
| Year Ended 5/31/2018 | $17.81 | 0.04(e) | 1.79 | 1.83 | — | (2.44) | (2.44) |
| Year Ended 5/31/2017 | $16.62 | (0.13) | 2.45 | 2.32 | — | (1.13) | (1.13) |
| Year Ended 5/31/2016 | $20.46 | (0.09) | (1.62) | (1.71) | — | (2.13) | (2.13) |
| Year Ended 5/31/2015 | $20.77 | (0.19) | 2.18 | 1.99 | — | (2.30) | (2.30) |
| 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%. |
| (e) | Net investment income per share includes special dividends. The per share effect of these dividends amounted to: |
| Year Ended | Class A | Advisor
Class | Class C | Institutional
Class | Institutional 2
Class | Institutional 3
Class | Class R |
| 05/31/2018 | $0.22 | $0.28 | $0.16 | $0.26 | $0.26 | $0.26 | $0.22 |
| (f) | Institutional 3 Class shares commenced operations on October 1, 2014. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $20.30 | 5.56% | 0.93%(c) | 0.93%(c) | 0.21%(c) | 4% | $13,917 |
| Year Ended 5/31/2019 | $19.23 | (7.41%) | 0.92% | 0.92% | 0.47% | 17% | $13,299 |
| Year Ended 5/31/2018 | $22.03 | 11.27% | 0.91% | 0.91% | 0.79% | 20% | $15,117 |
| Year Ended 5/31/2017 | $22.05 | 14.88% | 0.92% | 0.92% | (0.66%) | 24% | $14,576 |
| Year Ended 5/31/2016 | $20.20 | (7.74%) | 0.94% | 0.94% | 0.16% | 27% | $5 |
| Year Ended 5/31/2015(f) | $24.21 | 15.90% | 0.88%(c) | 0.88%(c) | (0.15%)(c) | 26% | $3 |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $15.48 | 5.23% | 1.56%(c) | 1.56%(c),(d) | (0.39%)(c) | 4% | $4,660 |
| Year Ended 5/31/2019 | $14.71 | (7.97%) | 1.54% | 1.54%(d) | (0.21%) | 17% | $5,720 |
| Year Ended 5/31/2018 | $17.20 | 10.60% | 1.54% | 1.54%(d) | 0.23% | 20% | $9,018 |
| Year Ended 5/31/2017 | $17.81 | 14.09% | 1.57% | 1.57%(d) | (0.77%) | 24% | $11,210 |
| Year Ended 5/31/2016 | $16.62 | (8.36%) | 1.61% | 1.61%(d) | (0.52%) | 27% | $12,386 |
| Year Ended 5/31/2015 | $20.46 | 10.87% | 1.63% | 1.63%(d) | (0.92%) | 26% | $11,772 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 17 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia Select Small Cap Value Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 18 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 19 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.87% to 0.75% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.87% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
| 20 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transactions with affiliates
For the six months ended November 30, 2019, the Fund engaged in purchase and/or sale transactions with affiliates and/or accounts that have a common investment manager (or affiliated investment managers), common directors/trustees, and/or common officers. Those purchase and sale transactions complied with provisions of Rule 17a-7 under the 1940 Act and were $0 and $7,830,000, respectively. The sale transactions resulted in a net realized gain of $3,530,585.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.14 |
| Advisor Class | 0.14 |
| Class C | 0.14 |
| Institutional Class | 0.14 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
| Class R | 0.14 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended November 30, 2019, these minimum account balance fees reduced total expenses of the Fund by $760.
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25%, 1.00% and 0.50% of the Fund’s average daily net assets attributable to Class A, Class C and Class R shares, respectively.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 21 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses. For Class R shares, of the 0.50% fee, up to 0.25% can be reimbursed for shareholder servicing expenses.
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $2,400,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 5.75 | 0.50 - 1.00(a) | 35,396 |
| Class C | — | 1.00(b) | 66 |
| (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. |
The Fund’s other share classes are not subject to sales charges.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 1.33% | 1.33% |
| Advisor Class | 1.08 | 1.08 |
| Class C | 2.08 | 2.08 |
| Institutional Class | 1.08 | 1.08 |
| Institutional 2 Class | 1.01 | 1.02 |
| Institutional 3 Class | 0.96 | 0.97 |
| Class R | 1.58 | 1.58 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
| 22 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 364,937,000 | 144,141,000 | (37,549,000) | 106,592,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $20,967,687 and $67,813,079, respectively, for the six months ended November 30, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended November 30, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 23 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
The Fund had no borrowings during the six months ended November 30, 2019.
Note 9. Significant risks
Financial sector risk
The Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Shareholder concentration risk
At November 30, 2019, affiliated shareholders of record owned 66.8% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Small- and mid-cap company risk
Investments in small- and mid-capitalization companies (small- and mid-cap companies) often involve greater risks than investments in larger, more established companies (larger companies) because small- and mid-cap companies tend to have less predictable earnings and may lack the management experience, financial resources, product diversification and competitive strengths of larger companies. Securities of small- and mid-cap companies may be less liquid and more volatile than the securities of larger companies.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 24 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Select Small Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as its history, reputation, expertise, resources and capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 25 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds under the Management Agreement. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group, The Board observed the Fund’s underperformance for certain periods, noting that appropriate steps had been taken last year (such as portfolio management team changes) to help improve the Fund’s performance.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was slightly below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 26 | Columbia Select Small Cap Value Fund | Semiannual Report 2019 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Select Small Cap Value Fund | Semiannual Report 2019
| 27 |
Columbia Select Small Cap Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia Flexible Capital Income Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Flexible Capital Income Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Flexible Capital Income Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders current income, with long-term capital appreciation.
Portfolio management
David King, CFA
Co-Portfolio Manager
Managed Fund since 2011
Yan Jin
Co-Portfolio Manager
Managed Fund since 2011
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class A | Excluding sales charges | 07/28/11 | 8.28 | 11.23 | 6.45 | 8.38 |
| | Including sales charges | | 2.03 | 4.85 | 5.19 | 7.61 |
| Advisor Class* | 11/08/12 | 8.43 | 11.49 | 6.71 | 8.61 |
| Class C | Excluding sales charges | 07/28/11 | 7.85 | 10.38 | 5.65 | 7.57 |
| | Including sales charges | | 6.85 | 9.38 | 5.65 | 7.57 |
| Institutional Class | 07/28/11 | 8.42 | 11.51 | 6.71 | 8.64 |
| Institutional 2 Class* | 11/08/12 | 8.44 | 11.53 | 6.76 | 8.65 |
| Institutional 3 Class* | 03/01/17 | 8.49 | 11.56 | 6.65 | 8.50 |
| Class R | 07/28/11 | 8.15 | 10.96 | 6.18 | 8.09 |
| Blended Benchmark | | 9.65 | 13.49 | 7.01 | 8.90 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 3.81 | 10.79 | 3.08 | 3.27 |
Returns for Class A shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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. |
The Blended Benchmark, established by the Investment Manager, is composed of one-third each of the Russell 1000 Value Index, the Bloomberg Barclays U.S. Corporate Investment Grade & High Yield Index and the Bloomberg Barclays U.S. Convertible Composite Index. The Russell 1000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. The Bloomberg Barclays U.S. Corporate Investment Grade & High Yield Index is a broad-based benchmark that measures the performance of investment grade and non-investment grade, fixed-rate and taxable corporate bonds. It includes USD-denominated securities publicly issued by U.S. and non U.S. industrial, utility, and financial issuers that meet specified maturity, liquidity, and quality requirements. The Bloomberg Barclays U.S. Convertible Composite Index measures the performance of all four major classes of USD equity-linked securities including: convertible cash coupon bonds, zero-coupon bonds, preferred convertibles with fixed par amounts and mandatory equity-linked securities.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at November 30, 2019) |
Broadcom, Inc.
09/30/2022 8.000% | 1.8 |
American Electric Power Co., Inc.
03/15/2022 6.125% | 1.4 |
DTE Energy Co.
11/01/2022 6.250% | 1.4 |
Avantor, Inc.
05/15/2022 6.250% | 1.3 |
| JPMorgan Chase & Co. | 1.2 |
| Philip Morris International, Inc. | 1.2 |
| Citigroup, Inc. | 1.2 |
Microchip Technology, Inc.
02/15/2037 2.250% | 1.2 |
| Wells Fargo & Co. | 1.1 |
Becton Dickinson and Co.
05/01/2020 6.125% | 1.1 |
Percentages indicated are based upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at November 30, 2019) |
| Common Stocks | 39.3 |
| Convertible Bonds | 12.4 |
| Convertible Preferred Stocks | 15.5 |
| Corporate Bonds & Notes | 25.1 |
| Limited Partnerships | 1.1 |
| Money Market Funds | 5.2 |
| Preferred Debt | 1.0 |
| Rights | 0.0(a) |
| Senior Loans | 0.4 |
| Warrants | 0.0(a) |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,082.80 | 1,019.84 | 5.23 | 5.07 | 1.01 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,084.30 | 1,021.08 | 3.94 | 3.82 | 0.76 |
| Class C | 1,000.00 | 1,000.00 | 1,078.50 | 1,016.11 | 9.10 | 8.82 | 1.76 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,084.20 | 1,021.08 | 3.94 | 3.82 | 0.76 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,084.40 | 1,021.23 | 3.78 | 3.67 | 0.73 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,084.90 | 1,021.48 | 3.52 | 3.42 | 0.68 |
| Class R | 1,000.00 | 1,000.00 | 1,081.50 | 1,018.60 | 6.52 | 6.32 | 1.26 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 39.3% |
| Issuer | Shares | Value ($) |
| Communication Services 2.4% |
| Diversified Telecommunication Services 2.4% |
| AT&T, Inc. | 235,000 | 8,784,300 |
| BCE, Inc. | 110,000 | 5,287,700 |
| Verizon Communications, Inc. | 175,000 | 10,542,000 |
| Total | | 24,614,000 |
| Total Communication Services | 24,614,000 |
| Consumer Discretionary 4.3% |
| Automobiles 0.7% |
| General Motors Co. | 200,000 | 7,200,000 |
| Hotels, Restaurants & Leisure 1.3% |
| Extended Stay America, Inc. | 525,000 | 7,749,000 |
| Six Flags Entertainment Corp. | 125,000 | 5,435,000 |
| Total | | 13,184,000 |
| Household Durables 0.6% |
| Newell Brands, Inc. | 300,000 | 5,766,000 |
| Specialty Retail 0.5% |
| Home Depot, Inc. (The) | 25,000 | 5,512,750 |
| Textiles, Apparel & Luxury Goods 1.2% |
| Kontoor Brands, Inc. | 155,000 | 5,556,750 |
| Tapestry, Inc. | 235,000 | 6,319,150 |
| Total | | 11,875,900 |
| Total Consumer Discretionary | 43,538,650 |
| Consumer Staples 3.0% |
| Food Products 1.8% |
| ConAgra Foods, Inc. | 275,000 | 7,939,250 |
| General Mills, Inc. | 200,000 | 10,664,000 |
| Total | | 18,603,250 |
| Tobacco 1.2% |
| Philip Morris International, Inc. | 140,000 | 11,610,200 |
| Total Consumer Staples | 30,213,450 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Energy 2.8% |
| Oil, Gas & Consumable Fuels 2.8% |
| BP PLC, ADR | 275,000 | 10,290,500 |
| Suncor Energy, Inc. | 265,000 | 8,321,000 |
| Valero Energy Corp. | 55,000 | 5,251,950 |
| Williams Companies, Inc. (The) | 225,000 | 5,112,000 |
| Total | | 28,975,450 |
| Total Energy | 28,975,450 |
| Financials 9.5% |
| Banks 4.9% |
| BB&T Corp. | 150,000 | 8,208,000 |
| Citigroup, Inc. | 150,000 | 11,268,000 |
| JPMorgan Chase & Co. | 90,000 | 11,858,400 |
| KeyCorp | 425,000 | 8,240,750 |
| Wells Fargo & Co. | 200,000 | 10,892,000 |
| Total | | 50,467,150 |
| Capital Markets 2.3% |
| Ares Capital Corp. | 550,000 | 10,301,500 |
| Morgan Stanley | 175,000 | 8,659,000 |
| TCG BDC, Inc. | 300,000 | 4,068,000 |
| Total | | 23,028,500 |
| Insurance 0.8% |
| MetLife, Inc. | 165,000 | 8,235,150 |
| Mortgage Real Estate Investment Trusts (REITS) 1.5% |
| Blackstone Mortgage Trust, Inc. | 125,000 | 4,578,750 |
| Starwood Property Trust, Inc. | 425,000 | 10,412,500 |
| Total | | 14,991,250 |
| Total Financials | 96,722,050 |
| Health Care 3.8% |
| Biotechnology 1.4% |
| AbbVie, Inc. | 105,000 | 9,211,650 |
| Gilead Sciences, Inc. | 77,500 | 5,211,100 |
| Total | | 14,422,750 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Pharmaceuticals 2.4% |
| Amryt Pharma PLC, ADR(a) | 184,365 | 1,335,466 |
| Bristol-Myers Squibb Co. | 110,000 | 6,263,400 |
| Johnson & Johnson | 40,000 | 5,499,600 |
| Merck & Co., Inc. | 62,500 | 5,448,750 |
| Pfizer, Inc. | 145,000 | 5,585,400 |
| Total | | 24,132,616 |
| Total Health Care | 38,555,366 |
| Industrials 2.9% |
| Aerospace & Defense 1.1% |
| Lockheed Martin Corp. | 27,500 | 10,753,325 |
| Air Freight & Logistics 0.8% |
| United Parcel Service, Inc., Class B | 70,000 | 8,381,100 |
| Industrial Conglomerates 0.5% |
| 3M Co. | 32,500 | 5,517,525 |
| Transportation Infrastructure 0.5% |
| Macquarie Infrastructure Corp. | 120,000 | 5,034,000 |
| Total Industrials | 29,685,950 |
| Information Technology 7.1% |
| Communications Equipment 1.0% |
| Cisco Systems, Inc. | 225,000 | 10,194,750 |
| Electronic Equipment, Instruments & Components 0.8% |
| Corning, Inc. | 275,000 | 7,986,000 |
| IT Services 1.1% |
| International Business Machines Corp. | 80,000 | 10,756,000 |
| Semiconductors & Semiconductor Equipment 2.8% |
| Intel Corp. | 92,500 | 5,369,625 |
| Lam Research Corp. | 20,000 | 5,336,600 |
| Maxim Integrated Products, Inc. | 145,000 | 8,217,150 |
| Texas Instruments, Inc. | 82,500 | 9,917,325 |
| Total | | 28,840,700 |
| Technology Hardware, Storage & Peripherals 1.4% |
| Seagate Technology PLC | 155,000 | 9,250,400 |
| Western Digital Corp. | 110,000 | 5,536,300 |
| Total | | 14,786,700 |
| Total Information Technology | 72,564,150 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Materials 0.8% |
| Chemicals 0.8% |
| Dow, Inc. | 150,000 | 8,005,500 |
| Total Materials | 8,005,500 |
| Real Estate 1.9% |
| Equity Real Estate Investment Trusts (REITS) 1.9% |
| Alexandria Real Estate Equities, Inc. | 52,500 | 8,532,300 |
| Duke Realty Corp. | 160,000 | 5,628,800 |
| Medical Properties Trust, Inc. | 275,000 | 5,709,000 |
| Total | | 19,870,100 |
| Total Real Estate | 19,870,100 |
| Utilities 0.8% |
| Electric Utilities 0.8% |
| Edison International | 117,500 | 8,119,250 |
| Total Utilities | 8,119,250 |
Total Common Stocks
(Cost $370,535,194) | 400,863,916 |
| Convertible Bonds 12.4% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cable and Satellite 1.0% |
| DISH Network Corp. |
| 08/15/2026 | 3.375% | | 11,000,000 | 10,374,375 |
| Gaming 0.6% |
| Caesars Entertainment Corp. |
| 10/01/2024 | 5.000% | | 3,300,000 | 6,138,001 |
| Health Care 0.7% |
| Invacare Corp. |
| 11/15/2024 | 5.000% | | 4,500,000 | 3,996,706 |
| Novavax, Inc. |
| 02/01/2023 | 3.750% | | 6,840,000 | 2,699,146 |
| Total | 6,695,852 |
| Home Construction 0.6% |
| SunPower Corp. |
| 01/15/2023 | 4.000% | | 7,508,000 | 6,081,436 |
| Independent Energy 0.4% |
| Chesapeake Energy Corp. |
| 09/15/2026 | 5.500% | | 10,500,000 | 4,589,779 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Convertible Bonds (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Life Insurance 0.8% |
| AXA SA(b) |
| 05/15/2021 | 7.250% | | 7,000,000 | 8,112,720 |
| Metals and Mining 0.5% |
| Endeavour Mining Corp.(b) |
| 02/15/2023 | 3.000% | | 5,000,000 | 5,187,500 |
| Other Financial Institutions 0.8% |
| RWT Holdings, Inc.(b) |
| 10/01/2025 | 5.750% | | 8,250,000 | 8,381,404 |
| Other Industry 0.5% |
| Green Plains, Inc. |
| 09/01/2022 | 4.125% | | 5,000,000 | 4,619,540 |
| Other REIT 0.6% |
| Blackstone Mortgage Trust, Inc. |
| 05/05/2022 | 4.375% | | 5,500,000 | 5,754,375 |
| Pharmaceuticals 3.0% |
| Aegerion Pharmaceuticals, Inc.(c),(d),(e) |
| 04/01/2025 | 2.000% | | 3,000,000 | 0 |
| Aegerion Pharmaceuticals, Inc.(b) |
| 04/01/2025 | 5.000% | | 997,778 | 947,889 |
| Clovis Oncology, Inc. |
| 05/01/2025 | 1.250% | | 10,000,000 | 5,900,000 |
| Dermira, Inc. |
| 05/15/2022 | 3.000% | | 5,500,000 | 4,599,375 |
| Insmed, Inc. |
| 01/15/2025 | 1.750% | | 6,500,000 | 6,118,671 |
| Intercept Pharmaceuticals, Inc. |
| 07/01/2023 | 3.250% | | 5,800,000 | 5,550,345 |
| Radius Health, Inc. |
| 09/01/2024 | 3.000% | | 5,500,000 | 4,762,519 |
| Tilray, Inc. |
| 10/01/2023 | 5.000% | | 6,000,000 | 3,270,000 |
| Total | 31,148,799 |
| Property & Casualty 0.8% |
| Heritage Insurance Holdings, Inc. |
| 08/01/2037 | 5.875% | | 3,400,000 | 3,875,312 |
| MGIC Investment Corp.(b),(f) |
| Junior Subordinated |
| 04/01/2063 | 9.000% | | 3,089,000 | 4,139,984 |
| Total | 8,015,296 |
| Convertible Bonds (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Technology 2.1% |
| Avaya Holdings Corp. |
| 06/15/2023 | 2.250% | | 5,700,000 | 4,974,630 |
| Infinera Corp. |
| 09/01/2024 | 2.125% | | 5,315,000 | 4,950,400 |
| Microchip Technology, Inc. |
| Junior Subordinated |
| 02/15/2037 | 2.250% | | 8,500,000 | 11,108,434 |
| Total | 21,033,464 |
Total Convertible Bonds
(Cost $135,306,114) | 126,132,541 |
| Convertible Preferred Stocks 15.5% |
| Issuer | | Shares | Value ($) |
| Consumer Staples 0.6% |
| Household Products 0.6% |
| Energizer Holdings, Inc. | 7.500% | 60,000 | 6,306,515 |
| Total Consumer Staples | 6,306,515 |
| Financials 2.2% |
| Banks 0.9% |
| Bank of America Corp. | 7.250% | 6,200 | 9,176,000 |
| Capital Markets 0.7% |
| AMG Capital Trust II | 5.150% | 87,500 | 4,225,710 |
| Cowen, Inc. | 5.625% | 3,700 | 3,194,676 |
| Total | | | 7,420,386 |
| Insurance 0.6% |
| Assurant, Inc. | 6.500% | 45,000 | 5,843,955 |
| Total Financials | 22,440,341 |
| Health Care 3.8% |
| Health Care Equipment & Supplies 2.1% |
| Becton Dickinson and Co. | 6.125% | 175,000 | 10,881,730 |
| Danaher Corp. | 4.750% | 9,000 | 10,280,430 |
| Total | | | 21,162,160 |
| Health Care Technology 0.5% |
| Change Healthcare, Inc. | 6.000% | 100,000 | 5,125,000 |
| Life Sciences Tools & Services 1.2% |
| Avantor, Inc. | 6.250% | 200,000 | 12,089,220 |
| Total Health Care | 38,376,380 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Convertible Preferred Stocks (continued) |
| Issuer | | Shares | Value ($) |
| Industrials 1.2% |
| Machinery 1.2% |
| Fortive Corp. | 5.000% | 7,000 | 6,551,557 |
| Stanley Black & Decker, Inc. | 5.250% | 55,000 | 5,714,500 |
| Total | | | 12,266,057 |
| Total Industrials | 12,266,057 |
| Information Technology 1.7% |
| Semiconductors & Semiconductor Equipment 1.7% |
| Broadcom, Inc. | 8.000% | 14,800 | 17,230,456 |
| Total Information Technology | 17,230,456 |
| Real Estate 1.3% |
| Equity Real Estate Investment Trusts (REITS) 1.3% |
| Crown Castle International Corp. | 6.875% | 6,500 | 7,850,468 |
| QTS Realty Trust, Inc. | 6.500% | 45,000 | 5,651,271 |
| Total | | | 13,501,739 |
| Total Real Estate | 13,501,739 |
| Utilities 4.7% |
| Electric Utilities 2.1% |
| American Electric Power Co., Inc. | 6.125% | 250,000 | 13,298,050 |
| Southern Co. (The) | 6.750% | 155,000 | 8,165,400 |
| Total | | | 21,463,450 |
| Multi-Utilities 2.1% |
| Dominion Energy, Inc. | 7.250% | 75,000 | 7,933,500 |
| DTE Energy Co. | 6.250% | 265,000 | 13,149,830 |
| Total | | | 21,083,330 |
| Water Utilities 0.5% |
| Aqua America, Inc. | 6.000% | 90,000 | 5,372,307 |
| Total Utilities | 47,919,087 |
Total Convertible Preferred Stocks
(Cost $146,731,037) | 158,040,575 |
| Corporate Bonds & Notes 25.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Brokerage/Asset Managers/Exchanges 0.9% |
| LPL Holdings, Inc.(b) |
| 09/15/2025 | 5.750% | | 8,650,000 | 9,125,003 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cable and Satellite 2.0% |
| Charter Communications Operating LLC/Capital |
| 10/23/2045 | 6.484% | | 7,700,000 | 9,542,463 |
| Gogo Intermediate Holdings LLC/Finance Co., Inc.(b) |
| 05/01/2024 | 9.875% | | 5,000,000 | 5,257,511 |
| Telesat Canada/LLC(b) |
| 10/15/2027 | 6.500% | | 5,714,000 | 5,907,649 |
| Total | 20,707,623 |
| Chemicals 1.0% |
| Starfruit Finco BV/US Holdco LLC(b) |
| 10/01/2026 | 8.000% | | 9,500,000 | 9,925,517 |
| Consumer Products 1.1% |
| Mattel, Inc.(b) |
| 12/31/2025 | 6.750% | | 9,246,000 | 9,687,190 |
| 12/15/2027 | 5.875% | | 1,348,000 | 1,359,660 |
| Total | 11,046,850 |
| Electric 0.4% |
| Enviva Partners LP/Finance Corp.(b),(g) |
| 01/15/2026 | 6.500% | | 4,125,000 | 4,289,566 |
| Environmental 0.9% |
| Covanta Holding Corp. |
| 07/01/2025 | 5.875% | | 4,666,000 | 4,889,622 |
| 01/01/2027 | 6.000% | | 4,500,000 | 4,736,250 |
| Total | 9,625,872 |
| Finance Companies 1.6% |
| Fortress Transportation & Infrastructure Investors LLC(b) |
| 10/01/2025 | 6.500% | | 7,000,000 | 7,204,693 |
| Springleaf Finance Corp. |
| 03/15/2025 | 6.875% | | 6,100,000 | 6,971,246 |
| 03/15/2026 | 7.125% | | 2,091,000 | 2,410,160 |
| Total | 16,586,099 |
| Food and Beverage 0.9% |
| Chobani LLC/Finance Corp., Inc.(b) |
| 04/15/2025 | 7.500% | | 4,972,000 | 4,726,447 |
| Lamb Weston Holdings, Inc.(b) |
| 11/01/2026 | 4.875% | | 4,600,000 | 4,870,250 |
| Total | 9,596,697 |
| Health Care 1.0% |
| Quotient Ltd.(b),(c),(e) |
| 04/15/2024 | 12.000% | | 1,330,000 | 1,330,000 |
| 04/15/2024 | 12.000% | | 570,000 | 570,000 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 9 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Surgery Center Holdings, Inc.(b) |
| 07/01/2025 | 6.750% | | 8,200,000 | 7,913,032 |
| Total | 9,813,032 |
| Healthcare Insurance 0.6% |
| Centene Corp.(b),(g) |
| 12/15/2027 | 4.250% | | 6,145,000 | 6,313,481 |
| Independent Energy 1.2% |
| Indigo Natural Resources LLC(b) |
| 02/15/2026 | 6.875% | | 8,600,000 | 7,819,513 |
| Talos Production LLC/Finance, Inc. |
| 04/03/2022 | 11.000% | | 4,169,067 | 4,231,603 |
| Total | 12,051,116 |
| Lodging 0.9% |
| Marriott Ownership Resorts, Inc./ILG LLC |
| 09/15/2026 | 6.500% | | 8,132,000 | 8,856,633 |
| Media and Entertainment 1.3% |
| Lions Gate Capital Holdings LLC(b) |
| 11/01/2024 | 5.875% | | 9,050,000 | 8,722,163 |
| Meredith Corp. |
| 02/01/2026 | 6.875% | | 4,000,000 | 4,119,760 |
| Total | 12,841,923 |
| Metals and Mining 1.7% |
| CONSOL Energy, Inc.(b) |
| 11/15/2025 | 11.000% | | 4,600,000 | 3,973,062 |
| Constellium NV(b) |
| 03/01/2025 | 6.625% | | 8,400,000 | 8,755,200 |
| Warrior Met Coal, Inc.(b) |
| 11/01/2024 | 8.000% | | 4,437,000 | 4,479,417 |
| Total | 17,207,679 |
| Midstream 0.6% |
| Rockpoint Gas Storage Canada Ltd.(b) |
| 03/31/2023 | 7.000% | | 3,111,000 | 3,116,643 |
| Summit Midstream Partners LP(f) |
| Junior Subordinated |
| 12/31/2049 | 9.500% | | 5,600,000 | 3,087,853 |
| Total | 6,204,496 |
| Other Industry 0.6% |
| WeWork Companies, Inc.(b) |
| 05/01/2025 | 7.875% | | 9,300,000 | 6,654,315 |
| Other REIT 0.9% |
| iStar, Inc. |
| 04/01/2022 | 6.000% | | 8,957,000 | 9,184,250 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Packaging 2.7% |
| ARD Finance SA(b),(h) |
| 06/30/2027 | 6.500% | | 10,000,000 | 9,963,759 |
| BWAY Holding Co.(b) |
| 04/15/2025 | 7.250% | | 9,500,000 | 8,991,164 |
| Novolex(b) |
| 01/15/2025 | 6.875% | | 9,000,000 | 8,588,791 |
| Total | 27,543,714 |
| Pharmaceuticals 0.7% |
| Bausch Health Companies, Inc.(b) |
| 01/31/2027 | 8.500% | | 6,500,000 | 7,364,862 |
| Restaurants 0.5% |
| IRB Holding Corp.(b) |
| 02/15/2026 | 6.750% | | 4,700,000 | 4,903,915 |
| Supermarkets 1.0% |
| Albertsons Companies LLC/Safeway, Inc./New Albertsons LP(b) |
| 02/15/2028 | 5.875% | | 5,000,000 | 5,237,128 |
| Safeway, Inc. |
| 02/01/2031 | 7.250% | | 4,588,000 | 4,723,022 |
| Total | 9,960,150 |
| Technology 1.4% |
| Diebold, Inc. |
| 04/15/2024 | 8.500% | | 7,000,000 | 5,994,740 |
| Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/U.S. Holdings I LLC(b) |
| 11/30/2024 | 10.000% | | 4,250,000 | 4,577,530 |
| Informatica LLC(b) |
| 07/15/2023 | 7.125% | | 4,232,000 | 4,301,252 |
| Total | 14,873,522 |
| Transportation Services 1.1% |
| Hertz Corp. (The)(b) |
| 10/15/2024 | 5.500% | | 5,000,000 | 5,074,649 |
| 08/01/2026 | 7.125% | | 5,500,000 | 5,866,428 |
| Total | 10,941,077 |
Total Corporate Bonds & Notes
(Cost $255,278,025) | 255,617,392 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Limited Partnerships 1.1% |
| Issuer | Shares | Value ($) |
| Energy 1.1% |
| Oil, Gas & Consumable Fuels 1.1% |
| Enviva Partners LP | 165,000 | 5,702,400 |
| Rattler Midstream LP | 375,000 | 5,966,250 |
| Total | | 11,668,650 |
| Total Energy | 11,668,650 |
Total Limited Partnerships
(Cost $10,403,285) | 11,668,650 |
| Preferred Debt 0.9% |
| Issuer | Coupon
Rate | | Shares | Value ($) |
| Banking 0.4% |
| Citigroup Capital XIII(f) |
| 10/30/2040 | 8.953% | | 175,000 | 4,831,750 |
| Finance Companies 0.5% |
| GMAC Capital Trust I(f) |
| 02/15/2040 | 8.303% | | 190,000 | 4,926,700 |
Total Preferred Debt
(Cost $9,497,934) | 9,758,450 |
| Rights 0.0% |
| Issuer | Shares | Value ($) |
| Communication Services 0.0% |
| Media 0.0% |
| DISH Network Corp.(a) | 9,135 | 6,212 |
| Total Communication Services | 6,212 |
Total Rights
(Cost $—) | 6,212 |
| Senior Loans 0.4% |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Oil Field Services 0.4% |
| BCP Raptor LLC/EagleClaw Midstream Ventures(i),(j) |
| Term Loan |
3-month USD LIBOR + 4.250%
Floor 1.000%
06/24/2024 | 5.952% | | 5,045,855 | 4,288,977 |
Total Senior Loans
(Cost $5,005,836) | 4,288,977 |
| Warrants —% |
| Issuer | Shares | Value ($) |
| Energy —% |
| Oil, Gas & Consumable Fuels —% |
| Goodrich Petroleum Corp.(a),(c),(d),(e) | 16,125 | 0 |
| Total Energy | 0 |
Total Warrants
(Cost $—) | 0 |
|
| Money Market Funds 5.2% |
| | Shares | Value ($) |
| JPMorgan US Government Money Market Fund, Agency Shares, 1.463%(k) | 52,904,848 | 52,904,848 |
Total Money Market Funds
(Cost $52,904,848) | 52,904,848 |
Total Investments in Securities
(Cost: $985,662,273) | 1,019,281,561 |
| Other Assets & Liabilities, Net | | 1,542,799 |
| Net Assets | 1,020,824,360 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | 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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At November 30, 2019, the total value of these securities amounted to $213,639,287, which represents 20.93% of total net assets. |
| (c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2019, the total value of these securities amounted to $1,900,000, which represents 0.19% of total net assets. |
| (d) | Negligible market value. |
| (e) | Valuation based on significant unobservable inputs. |
| (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, 2019. |
| (g) | Represents a security purchased on a when-issued basis. |
| (h) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 11 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Notes to Portfolio of Investments (continued)
| (i) | The stated interest rate represents the weighted average interest rate at November 30, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. |
| (j) | Variable rate security. The interest rate shown was the current rate as of November 30, 2019. |
| (k) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 24,614,000 | — | — | 24,614,000 |
| Consumer Discretionary | 43,538,650 | — | — | 43,538,650 |
| Consumer Staples | 30,213,450 | — | — | 30,213,450 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Energy | 28,975,450 | — | — | 28,975,450 |
| Financials | 96,722,050 | — | — | 96,722,050 |
| Health Care | 37,219,900 | 1,335,466 | — | 38,555,366 |
| Industrials | 29,685,950 | — | — | 29,685,950 |
| Information Technology | 72,564,150 | — | — | 72,564,150 |
| Materials | 8,005,500 | — | — | 8,005,500 |
| Real Estate | 19,870,100 | — | — | 19,870,100 |
| Utilities | 8,119,250 | — | — | 8,119,250 |
| Total Common Stocks | 399,528,450 | 1,335,466 | — | 400,863,916 |
| Convertible Bonds | — | 126,132,541 | 0* | 126,132,541 |
| Convertible Preferred Stocks | | | | |
| Consumer Staples | — | 6,306,515 | — | 6,306,515 |
| Financials | — | 22,440,341 | — | 22,440,341 |
| Health Care | — | 38,376,380 | — | 38,376,380 |
| Industrials | — | 12,266,057 | — | 12,266,057 |
| Information Technology | — | 17,230,456 | — | 17,230,456 |
| Real Estate | — | 13,501,739 | — | 13,501,739 |
| Utilities | — | 47,919,087 | — | 47,919,087 |
| Total Convertible Preferred Stocks | — | 158,040,575 | — | 158,040,575 |
| Corporate Bonds & Notes | — | 253,717,392 | 1,900,000 | 255,617,392 |
| Limited Partnerships | | | | |
| Energy | 11,668,650 | — | — | 11,668,650 |
| Total Limited Partnerships | 11,668,650 | — | — | 11,668,650 |
| Preferred Debt | 9,758,450 | — | — | 9,758,450 |
| Rights | | | | |
| Communication Services | 6,212 | — | — | 6,212 |
| Total Rights | 6,212 | — | — | 6,212 |
| Senior Loans | — | 4,288,977 | — | 4,288,977 |
| Warrants | | | | |
| Energy | — | — | 0* | 0* |
| Total Warrants | — | — | 0* | 0* |
| Money Market Funds | 52,904,848 | — | — | 52,904,848 |
| Total Investments in Securities | 473,866,610 | 543,514,951 | 1,900,000 | 1,019,281,561 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 13 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $985,662,273) | $1,019,281,561 |
| Receivable for: | |
| Investments sold | 5,076,626 |
| Capital shares sold | 1,072,351 |
| Dividends | 2,038,750 |
| Interest | 5,025,141 |
| Prepaid expenses | 4,071 |
| Other assets | 30,600 |
| Total assets | 1,032,529,100 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 558,280 |
| Investments purchased on a delayed delivery basis | 10,218,382 |
| Capital shares purchased | 711,995 |
| Management services fees | 35,791 |
| Distribution and/or service fees | 16,502 |
| Transfer agent fees | 74,307 |
| Compensation of board members | 42,419 |
| Compensation of chief compliance officer | 93 |
| Other expenses | 46,971 |
| Total liabilities | 11,704,740 |
| Net assets applicable to outstanding capital stock | $1,020,824,360 |
| Represented by | |
| Paid in capital | 981,196,729 |
| Total distributable earnings (loss) | 39,627,631 |
| Total - representing net assets applicable to outstanding capital stock | $1,020,824,360 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Statement of Assets and Liabilities (continued)
November 30, 2019 (Unaudited)
| Class A | |
| Net assets | $239,094,237 |
| Shares outstanding | 17,964,390 |
| Net asset value per share | $13.31 |
| 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) | $14.12 |
| Advisor Class | |
| Net assets | $19,848,770 |
| Shares outstanding | 1,478,778 |
| Net asset value per share | $13.42 |
| Class C | |
| Net assets | $239,980,806 |
| Shares outstanding | 18,151,422 |
| Net asset value per share | $13.22 |
| Institutional Class | |
| Net assets | $475,649,822 |
| Shares outstanding | 35,737,224 |
| Net asset value per share | $13.31 |
| Institutional 2 Class | |
| Net assets | $32,015,125 |
| Shares outstanding | 2,383,352 |
| Net asset value per share | $13.43 |
| Institutional 3 Class | |
| Net assets | $12,598,051 |
| Shares outstanding | 950,093 |
| Net asset value per share | $13.26 |
| Class R | |
| Net assets | $1,637,549 |
| Shares outstanding | 123,165 |
| Net asset value per share | $13.30 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 15 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $13,952,671 |
| Interest | 12,091,752 |
| Interfund lending | 265 |
| Foreign taxes withheld | (38,069) |
| Total income | 26,006,619 |
| Expenses: | |
| Management services fees | 3,051,298 |
| Distribution and/or service fees | |
| Class A | 282,086 |
| Class C | 1,135,883 |
| Class R | 3,963 |
| Transfer agent fees | |
| Class A | 94,909 |
| Advisor Class | 8,664 |
| Class C | 95,529 |
| Institutional Class | 185,291 |
| Institutional 2 Class | 7,940 |
| Institutional 3 Class | 506 |
| Class R | 667 |
| Compensation of board members | 12,174 |
| Custodian fees | 4,080 |
| Printing and postage fees | 29,215 |
| Registration fees | 75,305 |
| Audit fees | 12,998 |
| Legal fees | 9,092 |
| Compensation of chief compliance officer | 93 |
| Other | 12,832 |
| Total expenses | 5,022,525 |
| Fees waived by transfer agent | |
| Institutional 2 Class | (831) |
| Institutional 3 Class | (315) |
| Total net expenses | 5,021,379 |
| Net investment income | 20,985,240 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 5,249,554 |
| Foreign currency translations | 2,290 |
| Net realized gain | 5,251,844 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 48,594,476 |
| Net change in unrealized appreciation (depreciation) | 48,594,476 |
| Net realized and unrealized gain | 53,846,320 |
| Net increase in net assets resulting from operations | $74,831,560 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income | $20,985,240 | $34,200,818 |
| Net realized gain | 5,251,844 | 8,518,277 |
| Net change in unrealized appreciation (depreciation) | 48,594,476 | (41,101,272) |
| Net increase in net assets resulting from operations | 74,831,560 | 1,617,823 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | (4,839,035) | (7,407,699) |
| Advisor Class | (472,961) | (999,064) |
| Class C | (4,040,691) | (6,548,597) |
| Institutional Class | (9,880,690) | (15,862,125) |
| Institutional 2 Class | (549,646) | (918,267) |
| Institutional 3 Class | (242,576) | (314,936) |
| Class R | (31,869) | (45,354) |
| Class T | — | (162) |
| Total distributions to shareholders | (20,057,468) | (32,096,204) |
| Increase in net assets from capital stock activity | 80,115,090 | 239,157,097 |
| Total increase in net assets | 134,889,182 | 208,678,716 |
| Net assets at beginning of period | 885,935,178 | 677,256,462 |
| Net assets at end of period | $1,020,824,360 | $885,935,178 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 17 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 2,977,146 | 38,605,330 | 8,247,915 | 105,094,653 |
| Distributions reinvested | 367,721 | 4,748,917 | 573,336 | 7,274,870 |
| Redemptions | (2,338,490) | (30,301,604) | (3,883,360) | (49,121,118) |
| Net increase | 1,006,377 | 13,052,643 | 4,937,891 | 63,248,405 |
| Advisor Class | | | | |
| Subscriptions | 403,886 | 5,278,366 | 1,561,917 | 20,010,646 |
| Distributions reinvested | 36,326 | 472,900 | 77,969 | 998,950 |
| Redemptions | (861,581) | (11,250,786) | (1,367,276) | (17,428,019) |
| Net increase (decrease) | (421,369) | (5,499,520) | 272,610 | 3,581,577 |
| Class C | | | | |
| Subscriptions | 2,329,530 | 30,113,714 | 6,634,561 | 84,469,498 |
| Distributions reinvested | 308,691 | 3,966,763 | 507,416 | 6,406,962 |
| Redemptions | (1,583,925) | (20,439,154) | (3,076,012) | (38,688,171) |
| Net increase | 1,054,296 | 13,641,323 | 4,065,965 | 52,188,289 |
| Institutional Class | | | | |
| Subscriptions | 7,179,071 | 93,107,516 | 17,341,191 | 221,599,624 |
| Distributions reinvested | 758,579 | 9,795,915 | 1,238,765 | 15,704,595 |
| Redemptions | (4,526,237) | (58,582,736) | (9,903,688) | (123,179,044) |
| Net increase | 3,411,413 | 44,320,695 | 8,676,268 | 114,125,175 |
| Institutional 2 Class | | | | |
| Subscriptions | 1,094,790 | 14,326,319 | 978,046 | 12,694,223 |
| Distributions reinvested | 42,112 | 549,585 | 71,671 | 918,152 |
| Redemptions | (239,061) | (3,135,751) | (1,022,733) | (12,728,147) |
| Net increase | 897,841 | 11,740,153 | 26,984 | 884,228 |
| Institutional 3 Class | | | | |
| Subscriptions | 267,805 | 3,467,867 | 458,743 | 5,821,666 |
| Distributions reinvested | 18,847 | 242,515 | 24,964 | 314,822 |
| Redemptions | (77,067) | (997,286) | (130,483) | (1,632,304) |
| Net increase | 209,585 | 2,713,096 | 353,224 | 4,504,184 |
| Class R | | | | |
| Subscriptions | 24,921 | 322,133 | 66,216 | 848,706 |
| Distributions reinvested | 2,465 | 31,814 | 3,571 | 45,251 |
| Redemptions | (15,937) | (207,247) | (22,205) | (263,546) |
| Net increase | 11,449 | 146,700 | 47,582 | 630,411 |
| Class T | | | | |
| Distributions reinvested | — | — | 7 | 82 |
| Redemptions | — | — | (439) | (5,254) |
| Net decrease | — | — | (432) | (5,172) |
| Total net increase | 6,169,592 | 80,115,090 | 18,380,092 | 239,157,097 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
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Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 19 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | 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 11/30/2019 (Unaudited) | $12.56 | 0.29 | 0.74 | 1.03 | (0.28) | — | (0.28) |
| Year Ended 5/31/2019 | $12.98 | 0.55 | (0.44) | 0.11 | (0.53) | — | (0.53) |
| Year Ended 5/31/2018 | $12.49 | 0.52 | 0.52 | 1.04 | (0.55) | — | (0.55) |
| Year Ended 5/31/2017 | $11.06 | 0.51 | 1.48 | 1.99 | (0.56) | — | (0.56) |
| Year Ended 5/31/2016 | $12.49 | 0.49 | (1.20) | (0.71) | (0.57) | (0.15) | (0.72) |
| Year Ended 5/31/2015 | $12.59 | 0.39 | 0.02 | 0.41 | (0.43) | (0.08) | (0.51) |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $12.66 | 0.31 | 0.75 | 1.06 | (0.30) | — | (0.30) |
| Year Ended 5/31/2019 | $13.08 | 0.58 | (0.44) | 0.14 | (0.56) | — | (0.56) |
| Year Ended 5/31/2018 | $12.59 | 0.56 | 0.51 | 1.07 | (0.58) | — | (0.58) |
| Year Ended 5/31/2017 | $11.14 | 0.55 | 1.49 | 2.04 | (0.59) | — | (0.59) |
| Year Ended 5/31/2016 | $12.58 | 0.52 | (1.21) | (0.69) | (0.60) | (0.15) | (0.75) |
| Year Ended 5/31/2015 | $12.68 | 0.43 | 0.01 | 0.44 | (0.46) | (0.08) | (0.54) |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $12.48 | 0.24 | 0.73 | 0.97 | (0.23) | — | (0.23) |
| Year Ended 5/31/2019 | $12.90 | 0.45 | (0.44) | 0.01 | (0.43) | — | (0.43) |
| Year Ended 5/31/2018 | $12.42 | 0.42 | 0.52 | 0.94 | (0.46) | — | (0.46) |
| Year Ended 5/31/2017 | $11.00 | 0.42 | 1.48 | 1.90 | (0.48) | — | (0.48) |
| Year Ended 5/31/2016 | $12.42 | 0.41 | (1.19) | (0.78) | (0.49) | (0.15) | (0.64) |
| Year Ended 5/31/2015 | $12.52 | 0.30 | 0.01 | 0.31 | (0.33) | (0.08) | (0.41) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $12.56 | 0.30 | 0.75 | 1.05 | (0.30) | — | (0.30) |
| Year Ended 5/31/2019 | $12.98 | 0.58 | (0.44) | 0.14 | (0.56) | — | (0.56) |
| Year Ended 5/31/2018 | $12.49 | 0.56 | 0.51 | 1.07 | (0.58) | — | (0.58) |
| Year Ended 5/31/2017 | $11.06 | 0.54 | 1.48 | 2.02 | (0.59) | — | (0.59) |
| Year Ended 5/31/2016 | $12.49 | 0.52 | (1.20) | (0.68) | (0.60) | (0.15) | (0.75) |
| Year Ended 5/31/2015 | $12.60 | 0.43 | 0.00(e) | 0.43 | (0.46) | (0.08) | (0.54) |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $12.67 | 0.31 | 0.75 | 1.06 | (0.30) | — | (0.30) |
| Year Ended 5/31/2019 | $13.09 | 0.59 | (0.45) | 0.14 | (0.56) | — | (0.56) |
| Year Ended 5/31/2018 | $12.60 | 0.57 | 0.51 | 1.08 | (0.59) | — | (0.59) |
| Year Ended 5/31/2017 | $11.15 | 0.55 | 1.50 | 2.05 | (0.60) | — | (0.60) |
| Year Ended 5/31/2016 | $12.58 | 0.54 | (1.21) | (0.67) | (0.61) | (0.15) | (0.76) |
| Year Ended 5/31/2015 | $12.68 | 0.42 | 0.03 | 0.45 | (0.47) | (0.08) | (0.55) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $13.31 | 8.28% | 1.01%(c) | 1.01%(c) | 4.46%(c) | 26% | $239,094 |
| Year Ended 5/31/2019 | $12.56 | 0.82% | 1.02% | 1.02% | 4.31% | 32% | $212,999 |
| Year Ended 5/31/2018 | $12.98 | 8.48% | 1.04% | 1.04%(d) | 4.06% | 50% | $156,011 |
| Year Ended 5/31/2017 | $12.49 | 18.45% | 1.06% | 1.06% | 4.31% | 71% | $134,698 |
| Year Ended 5/31/2016 | $11.06 | (5.42%) | 1.09% | 1.09% | 4.37% | 63% | $238,361 |
| Year Ended 5/31/2015 | $12.49 | 3.37% | 1.08% | 1.07% | 3.20% | 60% | $372,408 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $13.42 | 8.43% | 0.76%(c) | 0.76%(c) | 4.72%(c) | 26% | $19,849 |
| Year Ended 5/31/2019 | $12.66 | 1.07% | 0.77% | 0.77% | 4.54% | 32% | $24,065 |
| Year Ended 5/31/2018 | $13.08 | 8.68% | 0.79% | 0.79%(d) | 4.30% | 50% | $21,291 |
| Year Ended 5/31/2017 | $12.59 | 18.79% | 0.81% | 0.81% | 4.55% | 71% | $18,460 |
| Year Ended 5/31/2016 | $11.14 | (5.22%) | 0.84% | 0.84% | 4.62% | 63% | $14,839 |
| Year Ended 5/31/2015 | $12.58 | 3.61% | 0.83% | 0.82% | 3.45% | 60% | $23,755 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $13.22 | 7.85% | 1.76%(c) | 1.76%(c) | 3.71%(c) | 26% | $239,981 |
| Year Ended 5/31/2019 | $12.48 | 0.07% | 1.77% | 1.77% | 3.56% | 32% | $213,342 |
| Year Ended 5/31/2018 | $12.90 | 7.64% | 1.79% | 1.79%(d) | 3.32% | 50% | $168,061 |
| Year Ended 5/31/2017 | $12.42 | 17.58% | 1.81% | 1.81% | 3.56% | 71% | $132,227 |
| Year Ended 5/31/2016 | $11.00 | (6.10%) | 1.84% | 1.84% | 3.64% | 63% | $118,203 |
| Year Ended 5/31/2015 | $12.42 | 2.61% | 1.83% | 1.82% | 2.47% | 60% | $162,563 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $13.31 | 8.42% | 0.76%(c) | 0.76%(c) | 4.71%(c) | 26% | $475,650 |
| Year Ended 5/31/2019 | $12.56 | 1.08% | 0.77% | 0.77% | 4.56% | 32% | $406,033 |
| Year Ended 5/31/2018 | $12.98 | 8.75% | 0.79% | 0.79%(d) | 4.32% | 50% | $306,954 |
| Year Ended 5/31/2017 | $12.49 | 18.74% | 0.82% | 0.82% | 4.56% | 71% | $223,904 |
| Year Ended 5/31/2016 | $11.06 | (5.18%) | 0.83% | 0.83% | 4.56% | 63% | $73,885 |
| Year Ended 5/31/2015 | $12.49 | 3.55% | 0.83% | 0.82% | 3.49% | 60% | $144,617 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $13.43 | 8.44% | 0.74%(c) | 0.73%(c) | 4.73%(c) | 26% | $32,015 |
| Year Ended 5/31/2019 | $12.67 | 1.10% | 0.74% | 0.73% | 4.59% | 32% | $18,828 |
| Year Ended 5/31/2018 | $13.09 | 8.71% | 0.77% | 0.76% | 4.37% | 50% | $19,095 |
| Year Ended 5/31/2017 | $12.60 | 18.85% | 0.77% | 0.77% | 4.58% | 71% | $5,280 |
| Year Ended 5/31/2016 | $11.15 | (5.06%) | 0.75% | 0.75% | 4.76% | 63% | $4,946 |
| Year Ended 5/31/2015 | $12.58 | 3.66% | 0.74% | 0.72% | 3.41% | 60% | $4,663 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 21 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $12.51 | 0.31 | 0.74 | 1.05 | (0.30) | — | (0.30) |
| Year Ended 5/31/2019 | $12.93 | 0.59 | (0.44) | 0.15 | (0.57) | — | (0.57) |
| Year Ended 5/31/2018 | $12.44 | 0.58 | 0.50 | 1.08 | (0.59) | — | (0.59) |
| Year Ended 5/31/2017(f) | $12.48 | (5.60) | 5.70 | 0.10 | (0.14) | — | (0.14) |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $12.55 | 0.27 | 0.74 | 1.01 | (0.26) | — | (0.26) |
| Year Ended 5/31/2019 | $12.97 | 0.52 | (0.45) | 0.07 | (0.49) | — | (0.49) |
| Year Ended 5/31/2018 | $12.48 | 0.49 | 0.52 | 1.01 | (0.52) | — | (0.52) |
| Year Ended 5/31/2017 | $11.05 | 0.47 | 1.49 | 1.96 | (0.53) | — | (0.53) |
| Year Ended 5/31/2016 | $12.48 | 0.45 | (1.18) | (0.73) | (0.55) | (0.15) | (0.70) |
| Year Ended 5/31/2015 | $12.58 | 0.36 | 0.02 | 0.38 | (0.40) | (0.08) | (0.48) |
| 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%. |
| (e) | Rounds to zero. |
| (f) | Institutional 3 Class shares commenced operations on March 1, 2017. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $13.26 | 8.49% | 0.69%(c) | 0.68%(c) | 4.80%(c) | 26% | $12,598 |
| Year Ended 5/31/2019 | $12.51 | 1.16% | 0.70% | 0.69% | 4.66% | 32% | $9,267 |
| Year Ended 5/31/2018 | $12.93 | 8.82% | 0.72% | 0.71% | 4.50% | 50% | $5,009 |
| Year Ended 5/31/2017(f) | $12.44 | 0.84% | 0.74%(c) | 0.74%(c) | (184.79%)(c) | 71% | $2 |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $13.30 | 8.15% | 1.26%(c) | 1.26%(c) | 4.21%(c) | 26% | $1,638 |
| Year Ended 5/31/2019 | $12.55 | 0.57% | 1.27% | 1.27% | 4.08% | 32% | $1,402 |
| Year Ended 5/31/2018 | $12.97 | 8.22% | 1.29% | 1.29%(d) | 3.81% | 50% | $832 |
| Year Ended 5/31/2017 | $12.48 | 18.18% | 1.31% | 1.31% | 3.95% | 71% | $626 |
| Year Ended 5/31/2016 | $11.05 | (5.67%) | 1.33% | 1.33% | 3.98% | 63% | $299 |
| Year Ended 5/31/2015 | $12.48 | 3.11% | 1.34% | 1.33% | 2.94% | 60% | $1,368 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 23 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia Flexible Capital Income Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the official closing price on the principal exchange or market on which they trade. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Senior loan securities for which reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may
| 24 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Investments in senior loans
The Fund may invest in senior loan assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased, may become illiquid.
The Fund may enter into senior loan assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund designates cash or liquid securities to cover these commitments.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 25 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Delayed delivery securities
The Fund may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as realized gains.
The value of additional securities received as an income payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
| 26 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid each calendar quarter. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 27 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.65% to 0.54% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.64% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class. In addition, prior to October 1, 2019, Institutional 2 Class shares were subject to a contractual transfer agency fee annual limitation of not more than 0.05% and Institutional 3 Class shares were subject to a contractual transfer agency fee annual limitation of not more than 0.00% of the average daily net assets attributable to each share class.
| 28 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.08 |
| Advisor Class | 0.08 |
| Class C | 0.08 |
| Institutional Class | 0.08 |
| Institutional 2 Class | 0.05 |
| Institutional 3 Class | 0.00 |
| Class R | 0.08 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended November 30, 2019, no minimum account balance fees were charged by the Fund.
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25%, 1.00% and 0.50% of the Fund’s average daily net assets attributable to Class A, Class C and Class R shares, respectively. For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses. For Class R shares, of the 0.50% fee, up to 0.25% can be reimbursed for shareholder servicing expenses.
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $1,111,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 5.75 | 0.50 - 1.00(a) | 574,453 |
| Class C | — | 1.00(b) | 13,250 |
| (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. |
The Fund’s other share classes are not subject to sales charges.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 29 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 1.22% | 1.25% |
| Advisor Class | 0.97 | 1.00 |
| Class C | 1.97 | 2.00 |
| Institutional Class | 0.97 | 1.00 |
| Institutional 2 Class | 0.95 | 0.97 |
| Institutional 3 Class | 0.90 | 0.92 |
| Class R | 1.47 | 1.50 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Reflected in the contractual cap commitments, prior to October 1, 2019, is the Transfer Agent’s contractual agreement to limit total transfer agency fees to an annual rate of not more than 0.05% for Institutional 2 Class and 0.00% for Institutional 3 Class of the average daily net assets attributable to each share class. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 985,662,000 | 73,524,000 | (39,904,000) | 33,620,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at May 31, 2019, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| 4,501,722 | — | 4,501,722 |
| 30 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $302,894,955 and $239,448,046, respectively, for the six months ended November 30, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended November 30, 2019 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 2,100,000 | 2.40 | 2 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at November 30, 2019.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Note 8. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 31 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Shareholder concentration risk
At November 30, 2019, affiliated shareholders of record owned 40.8% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 32 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Flexible Capital Income Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as its history, reputation, expertise, resources and capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 33 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds under the Management Agreement. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group, the product score of the Fund (taking into account performance relative to peers and benchmarks) and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliate s in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 34 | Columbia Flexible Capital Income Fund | Semiannual Report 2019 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Flexible Capital Income Fund | Semiannual Report 2019
| 35 |
Columbia Flexible Capital Income Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia Mortgage Opportunities Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Mortgage Opportunities Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks total return, consisting of long-term capital appreciation and current income.
Portfolio management
Jason Callan
Co-Portfolio Manager
Managed Fund since 2014
Tom Heuer, CFA
Co-Portfolio Manager
Managed Fund since 2014
Ryan Osborn, CFA
Co-Portfolio Manager
Managed Fund since February 2019
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class A | Excluding sales charges | 04/30/14 | 1.95 | 6.94 | 5.47 | 5.35 |
| | Including sales charges | | -1.16 | 3.71 | 4.84 | 4.78 |
| Advisor Class | 04/30/14 | 2.08 | 7.21 | 5.72 | 5.60 |
| Class C | Excluding sales charges | 04/30/14 | 1.47 | 6.14 | 4.66 | 4.55 |
| | Including sales charges | | 0.47 | 5.14 | 4.66 | 4.55 |
| Institutional Class | 04/30/14 | 1.98 | 7.21 | 5.72 | 5.60 |
| Institutional 2 Class | 04/30/14 | 2.10 | 7.27 | 5.79 | 5.68 |
| Institutional 3 Class* | 03/01/17 | 2.03 | 7.32 | 5.66 | 5.52 |
| FTSE One-Month U.S. Treasury Bill Index | | 1.03 | 2.26 | 0.98 | 0.88 |
Returns for Class A shares are shown with and without the maximum initial sales charge of 3.00%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, 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. |
The FTSE One-Month U.S. Treasury Bill Index is an unmanaged index that measures the rate of return for 30-day U.S. Treasury Bills.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at November 30, 2019) |
| Asset-Backed Securities — Non-Agency | 14.4 |
| Commercial Mortgage-Backed Securities - Agency | 0.6 |
| Commercial Mortgage-Backed Securities - Non-Agency | 8.7 |
| Money Market Funds | 1.3 |
| Options Purchased Calls | 0.2 |
| Residential Mortgage-Backed Securities - Agency | 53.2 |
| Residential Mortgage-Backed Securities - Non-Agency | 21.6 |
| Total | 100.0 |
Percentages indicated are based upon total investments including options purchased and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at November 30, 2019) |
| AAA rating | 54.8 |
| AA rating | 1.8 |
| A rating | 0.9 |
| BBB rating | 9.3 |
| BB rating | 9.8 |
| B rating | 3.3 |
| Not rated | 20.1 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
| 4 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,019.50 | 1,019.89 | 5.02 | 5.02 | 1.00 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,020.80 | 1,021.13 | 3.77 | 3.77 | 0.75 |
| Class C | 1,000.00 | 1,000.00 | 1,014.70 | 1,016.11 | 8.82 | 8.82 | 1.76 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,019.80 | 1,021.13 | 3.77 | 3.77 | 0.75 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,021.00 | 1,021.33 | 3.57 | 3.57 | 0.71 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,020.30 | 1,021.58 | 3.32 | 3.32 | 0.66 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Non-Agency 26.9% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| ARES XLIV CLO Ltd.(a),(b) |
| Series 2017-44A Class D |
3-month USD LIBOR + 6.550%
10/15/2029 | 8.551% | | 4,500,000 | 4,307,283 |
| Avant Loans Funding Trust(a) |
| Series 2019-B Class B |
| 10/15/2026 | 3.150% | | 5,800,000 | 5,808,224 |
| Series 2019-B Class C |
| 10/15/2026 | 4.540% | | 7,000,000 | 7,003,394 |
| Ballyrock CLO Ltd.(a),(b) |
| Series 2018-1A Class A2 |
3-month USD LIBOR + 1.600%
04/20/2031 | 3.566% | | 4,000,000 | 3,955,744 |
| Series 2019-1A Class A2 |
3-month USD LIBOR + 1.850%
07/15/2032 | 4.187% | | 7,500,000 | 7,502,977 |
| Carlyle Global Market Strategies CLO Ltd.(a),(b) |
| Series 2013-3A Class A2R |
3-month USD LIBOR + 1.400%
10/15/2030 | 3.401% | | 4,000,000 | 3,932,224 |
| Series 2013-3A Class BR |
3-month USD LIBOR + 1.700%
10/15/2030 | 3.701% | | 5,000,000 | 4,713,420 |
| Series 2015-4A Class CR |
3-month USD LIBOR + 3.700%
07/20/2032 | 5.666% | | 7,500,000 | 7,421,962 |
| CLUB Credit Trust(a) |
| Series 2018-NP1 Class C |
| 05/15/2024 | 4.740% | | 3,259,536 | 3,277,255 |
| Conn’s Receivables Funding LLC(a) |
| Series 2019-A Class B |
| 10/16/2023 | 4.360% | | 6,000,000 | 6,052,126 |
| Series 2019-B Class B |
| 06/17/2024 | 3.620% | | 8,000,000 | 7,999,650 |
| Subordinated Series 2018-A Class B |
| 01/15/2023 | 4.650% | | 7,319,461 | 7,362,658 |
| Consumer Lending Receivables Trust(a) |
| Series 2019-A Class B |
| 04/15/2026 | 4.010% | | 5,000,000 | 5,063,283 |
| Consumer Underlying Bond Securitization(a) |
| Series 2018-1 Class A |
| 02/17/2026 | 4.790% | | 13,500,000 | 13,694,646 |
| Series 2018-1 Class B |
| 02/17/2026 | 6.170% | | 12,500,000 | 12,859,364 |
| Credit Suisse ABS Trust(a) |
| Series 2018-LD1 Class C |
| 07/25/2024 | 5.170% | | 3,000,000 | 3,036,850 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| ENVA LLC(a) |
| Series 2019-A Class B |
| 06/22/2026 | 6.170% | | 4,500,000 | 4,501,327 |
| Series 2019-A Class C |
| 06/22/2026 | 7.620% | | 1,967,000 | 1,968,809 |
| LendingClub Receivables Trust(a) |
| Series 2019-1 Class A |
| 07/17/2045 | 4.000% | | 12,199,189 | 12,239,905 |
| Series 2019-2 Class A |
| 08/15/2025 | 4.000% | | 7,561,009 | 7,573,637 |
| Series 2019-3 Class A |
| 10/15/2025 | 3.750% | | 15,551,926 | 15,522,423 |
| Series 2019-5 Class A |
| 12/15/2045 | 3.750% | | 18,962,271 | 18,928,507 |
| Madison Park Funding XXXII Ltd.(a),(b) |
| Series 2018-32A Class C |
3-month USD LIBOR + 2.900%
Floor 2.900%
01/22/2031 | 4.853% | | 6,500,000 | 6,510,783 |
| Series 2018-32A Class D |
3-month USD LIBOR + 4.100%
Floor 4.100%
01/22/2031 | 6.053% | | 10,000,000 | 10,001,660 |
| Marlette Funding Trust(a) |
| Subordinated Series 2018-2A Class C |
| 07/17/2028 | 4.370% | | 10,000,000 | 10,177,021 |
| Subordinated Series 2018-4A Class C |
| 12/15/2028 | 4.910% | | 8,000,000 | 8,263,515 |
| Morgan Stanley Resecuritization Pass-Through Trust(a),(c) |
| Series 2018-SC1 Class B |
| 09/18/2023 | 1.000% | | 3,371,494 | 3,337,779 |
| Morgan Stanley Resecuritization Pass-Through Trust(a),(c),(d) |
| Series 2018-SC1 Class R |
| 09/18/2023 | 0.000% | | 950,000 | 13,509,000 |
| Octagon Investment Partners Ltd.(a),(b) |
| Series 2018-18A Class A2 |
3-month USD LIBOR + 1.470%
04/16/2031 | 3.471% | | 11,000,000 | 10,775,985 |
| OZLM Funding IV Ltd.(a),(b) |
| Series 2013-4A Class D2R |
3-month USD LIBOR + 7.250%
10/22/2030 | 9.203% | | 2,000,000 | 1,850,006 |
| OZLM Funding Ltd.(a),(b) |
| Series 2012-1A Class DR2 |
3-month USD LIBOR + 6.670%
07/22/2029 | 8.623% | | 2,000,000 | 1,854,116 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| OZLM XI Ltd.(a),(b) |
| Series 2015-11A Class A2R |
3-month USD LIBOR + 1.750%
10/30/2030 | 3.686% | | 6,300,000 | 6,138,002 |
| OZLM XVII Ltd.(a),(b) |
| Series 2017-17A Class D |
3-month USD LIBOR + 5.990%
07/20/2030 | 7.956% | | 3,750,000 | 3,388,155 |
| Pagaya AI Debt Selection Trust(a),(c) |
| Series 2019-1 Class B |
| 06/15/2026 | 5.499% | | 15,000,000 | 15,187,500 |
| Pagaya AI Debt Selection Trust(a) |
| Series 2019-3 Class B |
| 11/16/2026 | 5.625% | | 9,900,000 | 9,924,585 |
| Subordinated Series 2019-2 Class A2B |
| 09/15/2026 | 3.929% | | 7,745,250 | 7,602,076 |
| Palmer Square Loan Funding Ltd.(a),(b) |
| Series 2019-2A Class A2 |
3-month USD LIBOR + 1.600%
Floor 1.600%
04/20/2027 | 3.566% | | 8,000,000 | 7,999,832 |
| Prosper Marketplace Issuance Trust(a) |
| Series 2018-1A Class C |
| 06/17/2024 | 4.870% | | 15,477,000 | 15,661,511 |
| Series 2019-1A Class B |
| 04/15/2025 | 4.030% | | 9,800,000 | 9,905,764 |
| Series 2019-2A Class B |
| 09/15/2025 | 3.690% | | 9,700,000 | 9,743,549 |
| Series 2019-3A Class B |
| 07/15/2025 | 3.590% | | 8,500,000 | 8,544,608 |
| Subordinated Series 2017-1A Class C |
| 06/15/2023 | 5.800% | | 2,233,158 | 2,265,102 |
| Subordinated Series 2017-2A Class C |
| 09/15/2023 | 5.370% | | 5,130,518 | 5,183,283 |
| Subordinated Series 2017-3A Class C |
| 11/15/2023 | 5.210% | | 13,000,000 | 13,035,655 |
| Subordinated Series 2019-3A Class C |
| 07/15/2025 | 4.940% | | 8,500,000 | 8,646,719 |
| Prosper Pass-Through Trust(a),(c) |
| Series 2019-ST2 Class A |
| 11/15/2025 | 3.750% | | 10,000,000 | 10,000,000 |
| Race Point IX CLO Ltd.(a),(b) |
| Series 2015-9R Class A2R |
3-month USD LIBOR + 1.650%
10/15/2030 | 3.651% | | 13,930,000 | 13,807,068 |
| Redding Ridge Asset Management Ltd.(a),(b) |
| Series 2018-4A Class D |
3-month USD LIBOR + 5.850%
04/15/2030 | 7.751% | | 5,000,000 | 4,562,180 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| RR 1 LLC(a),(b) |
| Series 2017-1A Class A2R |
3-month USD LIBOR + 1.700%
07/15/2029 | 3.701% | | 4,000,000 | 3,993,308 |
| Series 2017-1A Class DR |
3-month USD LIBOR + 6.500%
07/15/2029 | 8.501% | | 6,280,000 | 5,941,916 |
| SoFi Consumer Loan Program LLC(a),(c),(d),(e) |
| Series 2016-2 Class R |
| 10/27/2025 | 0.000% | | 379,888 | 10,731,836 |
| Series 2016-4 Class R |
| 11/25/2025 | 0.000% | | 900,000 | 7,290,000 |
| SoFi Consumer Loan Program Repack Trust(a),(c),(f) |
| Series 2018-3 Class R1A |
| 08/28/2027 | 2.000% | | 2,147,930 | 2,131,821 |
| Series 2018-4 Class R1A |
| 12/01/2027 | 2.000% | | 3,101,537 | 3,056,831 |
| Series 2019-1 Class R1A |
| 03/01/2028 | 2.000% | | 3,145,018 | 3,095,656 |
| Series 2019-2 Class R1A |
| 04/28/2028 | 2.000% | | 3,332,469 | 3,280,409 |
| Series 2019-3 Class R1A |
| 05/30/2028 | 2.000% | | 4,655,550 | 4,565,143 |
| SoFi Professional Loan Program LLC(a),(c),(d),(e),(f) |
| Series 2015-D Class RC |
| 10/26/2037 | 0.000% | | 7 | 1,726,667 |
| Series 2016-A Class RIO |
| 01/25/2038 | 0.000% | | 6 | 780,000 |
| Series 2016-A Class RPO |
| 01/25/2038 | 0.000% | | 6 | 1,768,925 |
| SoFi Professional Loan Program LLC(a),(c),(d),(e) |
| Series 2017-A Class R |
| 03/26/2040 | 0.000% | | 84,403 | 3,421,276 |
| Upgrade Receivables Trust(a) |
| Subordinated Series 2019-2A Class C |
| 10/15/2025 | 4.450% | | 15,977,017 | 15,973,497 |
| Westlake Automobile Receivables Trust(a) |
| Subordinated Series 2018-2A Class E |
| 01/16/2024 | 4.860% | | 11,305,000 | 11,716,958 |
| Subordinated Series 2019-2A Class E |
| 04/15/2025 | 4.020% | | 7,000,000 | 7,131,903 |
| Subordinated Series 2019-3A Class E |
| 03/17/2025 | 3.590% | | 8,000,000 | 8,028,943 |
Total Asset-Backed Securities — Non-Agency
(Cost $486,960,964) | 477,236,211 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Commercial Mortgage-Backed Securities - Agency 1.1% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Government National Mortgage Association(g),(h) |
| Series 2017-100 Class IO |
| 05/16/2059 | 0.807% | | 88,933,125 | 5,387,853 |
| Series 2017-30 Class IO |
| 08/16/2058 | 0.711% | | 88,491,059 | 4,912,413 |
| Series 2019-37 Class IO |
| 11/16/2060 | 0.841% | | 128,078,025 | 9,666,715 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $20,967,904) | 19,966,981 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 16.2% |
| | | | |
| BBCMS Mortgage Trust(a),(b) |
| Series 2019-BWAY Class E |
1-month USD LIBOR + 2.850%
Floor 2.850%
11/25/2034 | 4.650% | | 17,850,000 | 17,729,641 |
| BBCMS Trust(a),(b) |
| Subordinated Series 2018-BXH Class F |
1-month USD LIBOR + 2.950%
Floor 2.950%
10/15/2037 | 4.715% | | 5,400,000 | 5,406,758 |
| BFLD(a),(b) |
| Series 2019-DPLO Class G |
1-month USD LIBOR + 3.190%
Floor 3.190%
10/15/2034 | 5.104% | | 6,853,000 | 6,861,732 |
| BHMS Mortgage Trust(a),(b) |
| Series 2018-ATLS Class D |
1-month USD LIBOR + 2.250%
Floor 2.250%
07/15/2035 | 4.015% | | 10,000,000 | 9,999,992 |
| Braemar Hotels & Resorts Trust(a),(b) |
| Series 2018-PRME Class F |
1-month USD LIBOR + 2.900%
Floor 2.900%
06/15/2035 | 4.665% | | 14,000,000 | 14,052,046 |
| BX Trust(a),(b) |
| Series 2018-GW Class G |
1-month USD LIBOR + 2.920%
Floor 2.920%
05/15/2035 | 4.685% | | 7,250,000 | 7,296,233 |
| Series 2019-ATL Class E |
1-month USD LIBOR + 2.237%
Floor 2.237%
10/15/2036 | 4.237% | | 6,500,000 | 6,500,012 |
| CHT 2017-COSMO Mortgage Trust(a),(b) |
| Series 2017-CSMO Class D |
1-month USD LIBOR + 2.250%
Floor 2.100%
11/15/2036 | 4.015% | | 5,000,000 | 5,003,114 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2017-CSMO Class E |
1-month USD LIBOR + 3.000%
Floor 3.000%
11/15/2036 | 4.765% | | 5,803,000 | 5,808,429 |
| CLNY Trust(a),(b),(i) |
| Series 2019-IKPR Class E |
1-month USD LIBOR + 2.822%
Floor 2.822%
11/15/2038 | 4.592% | | 6,000,000 | 5,965,748 |
| Series 2019-IKPR Class F |
1-month USD LIBOR + 3.520%
Floor 3.520%
11/15/2038 | 5.290% | | 13,000,000 | 12,925,904 |
| Cosmopolitan Hotel Mortgage Trust(a),(b) |
| Subordinated Series 2017-CSMO Class F |
1-month USD LIBOR + 3.741%
Floor 3.800%
11/15/2036 | 5.506% | | 10,203,000 | 10,215,684 |
| Credit Suisse Mortgage Capital Certificates OA LLC(a) |
| Subordinated Series 2014-USA Class D |
| 09/15/2037 | 4.373% | | 6,990,000 | 6,918,665 |
| Subordinated Series 2014-USA Class E |
| 09/15/2037 | 4.373% | | 23,525,000 | 22,282,708 |
| Subordinated Series 2014-USA Class F |
| 09/15/2037 | 4.373% | | 13,000,000 | 11,892,992 |
| Hilton U.S.A. Trust(a),(g) |
| Series 2016-HHV Class F |
| 11/05/2038 | 4.333% | | 12,500,000 | 12,559,217 |
| Hilton U.S.A. Trust(a) |
| Subordinated Series 2016-SFP Class F |
| 11/05/2035 | 6.155% | | 12,100,000 | 12,122,545 |
| Invitation Homes Trust(a),(b) |
| Series 2017-SFR2 Class E |
1-month USD LIBOR + 2.250%
Floor 2.250%
12/17/2036 | 4.016% | | 3,213,076 | 3,213,067 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a),(g) |
| Subordinated Series 2015-UES Class E |
| 09/05/2032 | 3.742% | | 16,880,000 | 16,894,620 |
| Subordinated Series 2016-WIKI Class D |
| 10/05/2031 | 4.143% | | 7,239,000 | 7,360,698 |
| Subordinated Series 2016-WIKI Class E |
| 10/05/2031 | 4.143% | | 15,000,000 | 15,145,333 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a),(b) |
| Subordinated Series 2018-ASH8 Class F |
1-month USD LIBOR + 4.000%
Floor 3.800%
02/15/2035 | 5.765% | | 9,000,000 | 9,027,950 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Morgan Stanley Capital I Trust(a),(g) |
| Series 2018-MP Class E |
| 07/11/2040 | 4.419% | | 6,500,000 | 6,535,144 |
| Morgan Stanley Capital I Trust(a) |
| Series 2019-MEAD Class E |
| 11/10/2036 | 3.177% | | 5,500,000 | 5,279,301 |
| Morgan Stanley Capital I Trust(a),(b) |
| Subordinated Series 2017-ASHF Class E |
1-month USD LIBOR + 3.150%
Floor 3.150%
11/15/2034 | 4.915% | | 4,300,000 | 4,302,651 |
| Olympic Tower Mortgage Trust(a),(g) |
| Subordinated Series 2017-OT Class D |
| 05/10/2039 | 4.077% | | 4,040,000 | 4,247,191 |
| Progress Residential Trust(a) |
| Series 2017-SFR1 Class E |
| 08/17/2034 | 4.261% | | 2,802,000 | 2,849,316 |
| Series 2019-SFR1 Class F |
| 08/17/2035 | 5.061% | | 10,000,000 | 10,271,714 |
| Series 2019-SFR3 Class F |
| 09/17/2036 | 3.867% | | 8,000,000 | 7,916,683 |
| Subordinated Series 2019-SFR2 Class F |
| 05/17/2036 | 4.837% | | 10,000,000 | 10,232,512 |
| UBS Commercial Mortgage Trust(a),(b) |
| Series 2018-NYCH Class F |
1-month USD LIBOR + 3.821%
Floor 3.821%
02/15/2032 | 5.586% | | 9,600,000 | 9,653,467 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $279,628,181) | 286,471,067 |
|
| Residential Mortgage-Backed Securities - Agency 99.2% |
| | | | |
| Federal Home Loan Mortgage Corp.(b),(h) |
| CMO Series 3922 Class SH |
-1.0 x 1-month USD LIBOR + 5.900%
Cap 5.900%
09/15/2041 | 4.135% | | 9,038,636 | 1,281,797 |
| CMO Series 4057 Class SA |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
04/15/2039 | 4.285% | | 73,673,849 | 3,013,784 |
| CMO Series 4093 Class SD |
-1.0 x 1-month USD LIBOR + 6.700%
Cap 6.700%
01/15/2038 | 4.935% | | 19,805,018 | 1,845,396 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 4097 Class ST |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
08/15/2042 | 4.285% | | 2,552,199 | 387,896 |
| CMO Series 4223 Class DS |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
12/15/2038 | 4.335% | | 5,214,691 | 300,720 |
| CMO Series 4286 Class NS |
-1.0 x 1-month USD LIBOR + 5.900%
Cap 5.900%
12/15/2043 | 4.135% | | 2,189,799 | 454,731 |
| CMO Series 4670 Class QS |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
03/15/2047 | 4.335% | | 21,143,191 | 4,425,323 |
| CMO Series 4704 Class SK |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/15/2047 | 4.385% | | 21,231,053 | 4,472,347 |
| CMO Series 4826 Class KS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
09/15/2048 | 4.435% | | 19,961,894 | 4,130,731 |
| CMO STRIPS Series 309 Class S4 |
-1.0 x 1-month USD LIBOR + 5.970%
Cap 5.970%
08/15/2043 | 4.205% | | 4,945,120 | 877,632 |
| Federal Home Loan Mortgage Corp.(h) |
| CMO Series 4121 Class IA |
| 01/15/2041 | 3.500% | | 1,162,692 | 92,200 |
| CMO Series 4213 Class DI |
| 06/15/2038 | 3.500% | | 4,208,455 | 227,250 |
| CMO Series 4215 Class IL |
| 07/15/2041 | 3.500% | | 5,372,037 | 388,855 |
| CMO STRIPS Series 304 Class C67 |
| 12/15/2042 | 4.500% | | 5,707,359 | 1,115,289 |
| Federal Home Loan Mortgage Corp.(g),(h) |
| CMO Series 4620 Class AS |
| 11/15/2042 | 2.113% | | 3,454,171 | 183,564 |
| Federal National Mortgage Association(i) |
| 12/12/2049 | 3.000% | | 742,775,000 | 753,249,286 |
| 12/12/2049 | 3.500% | | 285,000,000 | 292,570,313 |
| 12/12/2049 | 4.000% | | 45,000,000 | 46,689,258 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 9 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal National Mortgage Association(h) |
| CMO Series 2012-121 Class GI |
| 08/25/2039 | 3.500% | | 2,635,837 | 165,291 |
| CMO Series 2012-152 Class EI |
| 07/25/2031 | 3.000% | | 7,873,265 | 503,931 |
| CMO Series 2013-117 Class AI |
| 04/25/2036 | 3.500% | | 1,398,342 | 25,109 |
| Federal National Mortgage Association(b),(h) |
| CMO Series 2013-101 Class CS |
-1.0 x 1-month USD LIBOR + 5.900%
Cap 5.900%
10/25/2043 | 4.192% | | 3,878,984 | 851,290 |
| CMO Series 2013-97 Class SB |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
06/25/2032 | 4.392% | | 1,562,399 | 125,107 |
| CMO Series 2014-93 Class ES |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
01/25/2045 | 4.442% | | 2,651,546 | 381,970 |
| CMO Series 2015-27 Class AS |
-1.0 x 1-month USD LIBOR + 5.650%
Cap 5.650%
05/25/2045 | 3.942% | | 22,197,506 | 3,914,857 |
| CMO Series 2015-8 Class AS |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
03/25/2045 | 4.392% | | 17,335,739 | 3,752,470 |
| CMO Series 2016-31 Class VS |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
06/25/2046 | 4.292% | | 3,487,554 | 671,557 |
| CMO Series 2016-57 Class SA |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
08/25/2046 | 4.292% | | 22,288,056 | 4,638,657 |
| CMO Series 2017-50 Class SB |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
07/25/2047 | 4.392% | | 16,766,617 | 3,579,389 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2017-51 Class SC |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/25/2047 | 4.442% | | 31,821,815 | 6,734,492 |
| CMO Series 2017-57 Class SD |
-1.0 x 1-month USD LIBOR + 3.950%
Cap 2.750%
08/25/2047 | 2.242% | | 76,321,590 | 6,560,253 |
| CMO Series 2017-72 Class S |
-1.0 x 1-month USD LIBOR + 3.950%
Cap 2.750%
09/25/2047 | 2.242% | | 66,092,655 | 5,320,730 |
| CMO Series 2017-90 Class SP |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
11/25/2047 | 4.442% | | 17,652,381 | 3,770,962 |
| CMO Series 2019-33 Class SB |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
07/25/2049 | 4.342% | | 23,530,007 | 4,761,384 |
| CMO Series 2019-42 Class SA |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
08/25/2049 | 4.342% | | 25,625,222 | 5,219,212 |
| Government National Mortgage Association(i) |
| 12/19/2049 | 3.000% | | 402,000,000 | 413,149,221 |
| Government National Mortgage Association(h) |
| CMO Series 2014-184 Class CI |
| 11/16/2041 | 3.500% | | 9,209,144 | 1,269,761 |
| CMO Series 2018-78 Class GI |
| 04/20/2048 | 4.000% | | 26,700,639 | 3,560,982 |
| Government National Mortgage Association(b),(h) |
| CMO Series 2017-101 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
07/20/2047 | 4.476% | | 38,478,272 | 7,060,628 |
| CMO Series 2017-101 Class SL |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
07/20/2047 | 4.476% | | 18,961,882 | 3,737,080 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2017-163 Class SD |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
11/20/2047 | 4.476% | | 24,485,034 | 4,983,706 |
| CMO Series 2018-113 Class SB |
-1.0 x 1-month USD LIBOR + 4.600%
Cap 4.600%
08/20/2048 | 2.876% | | 61,379,286 | 7,572,491 |
| CMO Series 2018-124 Class SG |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
09/20/2048 | 4.476% | | 19,921,235 | 4,543,826 |
| CMO Series 2018-125 Class SU |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
09/20/2048 | 4.476% | | 16,178,088 | 3,216,637 |
| CMO Series 2018-155 Class LS |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
11/20/2048 | 4.426% | | 22,903,009 | 3,922,667 |
| CMO Series 2018-168 Class KS |
1-month USD LIBOR + 6.150%
Cap 6.150%
12/20/2048 | 4.426% | | 48,610,343 | 8,521,991 |
| CMO Series 2018-40 Class SC |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
03/20/2048 | 4.476% | | 17,064,104 | 3,446,270 |
| CMO Series 2018-63 Class HS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
04/20/2048 | 4.476% | | 19,139,960 | 3,986,008 |
| CMO Series 2018-63 Class SH |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
04/20/2048 | 4.476% | | 23,613,913 | 4,506,479 |
| CMO Series 2018-78 Class SB |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
06/20/2048 | 4.476% | | 19,448,894 | 3,834,546 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2018-94 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
05/20/2048 | 4.476% | | 16,266,057 | 3,440,964 |
| CMO Series 2019-1 Class SG |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
01/20/2049 | 4.326% | | 47,155,182 | 9,932,131 |
| CMO Series 2019-119 Class KS |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
09/16/2049 | 4.288% | | 45,247,637 | 11,476,651 |
| CMO Series 2019-20 Class SB |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
02/20/2049 | 4.376% | | 41,969,286 | 8,452,501 |
| CMO Series 2019-20 Class SC |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
02/20/2049 | 4.376% | | 47,094,794 | 8,441,831 |
| CMO Series 2019-23 Class NS |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2049 | 4.326% | | 45,865,111 | 8,206,800 |
| CMO Series 2019-29 Class SH |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
03/20/2049 | 4.326% | | 18,977,987 | 3,081,169 |
| CMO Series 2019-43 Class NS |
-1.0 x 1-month USD LIBOR + 3.270%
Cap 3.270%
04/20/2049 | 1.546% | | 41,007,673 | 3,087,213 |
| CMO Series 2019-45 Class SE |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
04/20/2049 | 4.276% | | 43,262,284 | 7,760,272 |
| CMO Series 2019-52 Class SA |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
04/20/2049 | 4.376% | | 44,398,129 | 8,904,125 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 11 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2019-6 Class SD |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
01/20/2049 | 4.376% | | 55,448,943 | 9,309,085 |
| CMO Series 2019-78 Class FS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
06/20/2049 | 4.476% | | 33,554,048 | 8,249,722 |
| CMO Series 2019-92 Class SD |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
07/20/2049 | 4.376% | | 61,780,774 | 13,317,970 |
| CMO Series 2019-92 Class SL |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
07/20/2049 | 4.376% | | 37,654,204 | 6,659,123 |
| CMO Series 2019-97 Class SA |
1-month LIBID + 6.100%
Cap 6.100%
08/20/2049 | 4.376% | | 20,491,457 | 4,135,461 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $1,724,370,034) | 1,758,450,344 |
|
| Residential Mortgage-Backed Securities - Non-Agency 40.3% |
| | | | |
| Angel Oak Mortgage Trust I LLC(a) |
| CMO Series 2016-1 Class A2 |
| 07/25/2046 | 5.000% | | 604,735 | 617,980 |
| Angel Oak Mortgage Trust I LLC(a),(g) |
| CMO Series 2017-2 Class B1 |
| 07/25/2047 | 4.646% | | 5,000,000 | 5,057,839 |
| CMO Series 2018-2 Class M1 |
| 07/27/2048 | 4.343% | | 9,984,000 | 10,120,581 |
| CMO Series 2019-1 Class B1 |
| 11/25/2048 | 5.400% | | 7,000,000 | 7,215,693 |
| CMO Series 2019-1 Class M1 |
| 11/25/2048 | 4.500% | | 9,000,000 | 9,284,806 |
| Subordinated CMO Series 2019-2 Class B1 |
| 03/25/2049 | 5.016% | | 5,000,000 | 5,144,245 |
| Angel Oak Mortgage Trust I LLC(a),(c),(f),(g) |
| CMO Series 2018-3 Class M2 |
| 09/25/2048 | 4.721% | | 11,091,000 | 11,443,694 |
| Bayview Opportunity Master Fund IVa Trust(a) |
| Subordinated CMO Series 2016-SPL1 Class B3 |
| 04/28/2055 | 5.500% | | 2,500,000 | 2,723,470 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Bayview Opportunity Master Fund Trust IVb(a) |
| CMO Series 2019-RN1 Class A1 |
| 02/28/2034 | 4.090% | | 2,718,544 | 2,748,890 |
| BCAP LLC Trust(a),(g) |
| CMO Series 2010-RR11 Class 8A1 |
| 05/27/2037 | 4.530% | | 453,210 | 455,028 |
| Bellemeade Re Ltd.(a),(b) |
| CMO Series 2017-1 Class M2 |
1-month USD LIBOR + 3.350%
10/25/2027 | 5.495% | | 3,000,000 | 3,073,085 |
| CMO Series 2018-2A Class M1B |
1-month USD LIBOR + 1.350%
08/25/2028 | 3.058% | | 5,000,000 | 5,008,608 |
| CMO Series 2018-2A Class M1C |
1-month USD LIBOR + 1.600%
08/25/2028 | 3.308% | | 25,210,000 | 25,324,491 |
| CMO Series 2018-3A Class M1B |
1-month USD LIBOR + 1.850%
Floor 1.850%
10/25/2027 | 4.254% | | 6,500,000 | 6,499,993 |
| CMO Series 2019-1A Class M1B |
1-month USD LIBOR + 1.750%
Floor 1.750%
03/25/2029 | 3.573% | | 12,270,000 | 12,213,514 |
| CMO Series 2019-3A Class M1B |
1-month USD LIBOR + 1.600%
Floor 1.600%
07/25/2029 | 3.308% | | 15,000,000 | 15,031,009 |
| BRAVO Residential Funding Trust(a),(g) |
| CMO Series 2019-NQM2 Class B1 |
| 11/25/2059 | 3.954% | | 8,550,000 | 8,549,817 |
| CAM Mortgage Trust(a) |
| CMO Series 2018-1 Class A2 |
| 12/01/2065 | 5.000% | | 5,434,045 | 5,432,188 |
| CHL GMSR Issuer Trust(a),(b) |
| CMO Series 2018-GT1 Class A |
1-month USD LIBOR + 1.000%
05/25/2023 | 4.573% | | 2,000,000 | 2,005,905 |
| CMO Series 2018-GT1 Class B |
1-month USD LIBOR + 3.500%
05/25/2023 | 5.323% | | 4,350,000 | 4,357,008 |
| Citigroup Mortgage Loan Trust(a),(g) |
| CMO Series 2019-IMC1 Class M1 |
| 07/25/2049 | 3.170% | | 5,000,000 | 4,975,033 |
| Citigroup Mortgage Loan Trust, Inc.(a),(g) |
| CMO Series 2013-11 Class 3A3 |
| 09/25/2034 | 4.165% | | 380,430 | 380,647 |
| CMO Series 2015-A Class B3 |
| 06/25/2058 | 4.500% | | 3,804,864 | 3,795,438 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Citigroup Mortgage Loan Trust, Inc.(a),(h) |
| CMO Series 2015-A Class A1IO |
| 06/25/2058 | 1.000% | | 25,679,385 | 360,210 |
| CMO Series 2015-A Class A4IO |
| 06/25/2058 | 0.250% | | 3,970,251 | 13,923 |
| Connecticut Avenue Securities Trust(a),(b),(i) |
| CMO Series 2019-HRP1 Class B1 |
1-month USD LIBOR + 9.250%
11/25/2039 | 10.958% | | 18,400,000 | 18,795,600 |
| Deephaven Residential Mortgage Trust(a),(g) |
| CMO Series 2017-2A Class M1 |
| 06/25/2047 | 3.897% | | 2,000,000 | 2,026,581 |
| Subordinated CMO Series 2018-3A Class B1 |
| 08/25/2058 | 5.007% | | 6,000,000 | 6,103,871 |
| Subordinated CMO Series 2018-4A Class B1 |
| 10/25/2058 | 5.535% | | 12,000,000 | 12,445,876 |
| Deephaven Residential Mortgage Trust(a) |
| CMO Series 2017-3A Class M1 |
| 10/25/2047 | 3.511% | | 2,959,000 | 2,960,132 |
| Eagle RE Ltd.(a),(b) |
| CMO Series 2019-1 Class M1B |
1-month USD LIBOR + 1.800%
04/25/2029 | 3.623% | | 5,800,000 | 5,809,231 |
| Ellington Financial Mortgage Trust(a),(c),(f),(g) |
| CMO Series 2018-1 Class M1 |
| 10/25/2058 | 4.874% | | 6,475,000 | 6,761,195 |
| Federal National Mortgage Association(b),(c),(h),(i) |
| CMO Series PNC-2389 Class SA |
1-month USD LIBOR + 5.950%
Cap 5.950%
11/20/2049 | 4.234% | | 27,598,065 | 5,933,584 |
| FMC GMSR Issuer Trust(a),(g) |
| CMO Series 2019-GT1 Class B |
| 05/25/2024 | 5.660% | | 9,000,000 | 9,263,087 |
| GCAT LLC(a),(g) |
| CMO Series 2019-1 Class A1 |
| 04/26/2049 | 4.089% | | 2,214,191 | 2,219,828 |
| CMO Series 2019-2 Class A1 |
| 06/25/2024 | 3.475% | | 7,877,324 | 7,879,377 |
| GCAT LLC(a) |
| CMO Series 2019-NQM1 Class M1 |
| 02/25/2059 | 3.849% | | 8,800,000 | 8,847,748 |
| GCAT Trust(a),(g) |
| Subordinated CMO Series 2019-NQM3 Class M1 |
| 11/25/2059 | 3.450% | | 5,650,000 | 5,650,000 |
| Headlands Residential LLC(a) |
| CMO Series 2019-RPL1 |
| 06/25/2024 | 3.967% | | 10,000,000 | 10,080,013 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Homeward Opportunities Fund I Trust(a),(g) |
| CMO Series 2019-1 Class B1 |
| 01/25/2059 | 4.800% | | 4,500,000 | 4,571,645 |
| Homeward Opportunities Fund I Trust(a) |
| CMO Subordinated Series 2018-1 Class B1 |
| 06/25/2048 | 5.295% | | 7,000,000 | 7,132,339 |
| Homeward Opportunities Fund I Trust(a),(c) |
| Subordinated CMO Series 2018-2 Class B1 |
| 11/25/2058 | 5.593% | | 13,285,000 | 13,683,550 |
| Legacy Mortgage Asset Trust(a) |
| CMO Series 2017-GS1 Class A2 |
| 01/25/2057 | 3.500% | | 11,000,000 | 10,938,789 |
| MFA LLC(a) |
| CMO Series 2018-NPL2 Class A1 |
| 07/25/2048 | 4.164% | | 7,538,046 | 7,547,262 |
| New Residential Mortgage LLC(a) |
| CMO Series 2018-FNT1 Class F |
| 05/25/2023 | 5.570% | | 13,447,761 | 13,600,534 |
| CMO Series 2018-FNT2 Class F |
| 07/25/2054 | 5.950% | | 6,969,759 | 6,965,403 |
| Subordinated CMO Series 2018-FNT1 Class D |
| 05/25/2023 | 4.690% | | 5,547,201 | 5,543,734 |
| Subordinated CMO Series 2018-FNT1 Class E |
| 05/25/2023 | 4.890% | | 1,584,915 | 1,603,335 |
| Subordinated CMO Series 2018-FNT1 Class G |
| 05/25/2023 | 5.670% | | 9,644,734 | 9,754,595 |
| New Residential Mortgage Loan Trust(a),(g),(h) |
| CMO Series 2014-1A Class AIO |
| 01/25/2054 | 2.309% | | 9,668,909 | 389,839 |
| New Residential Mortgage Loan Trust(a),(g) |
| CMO Series 2019-NQM3 Class B1 |
| 07/25/2049 | 4.653% | | 11,286,000 | 11,339,303 |
| CMO Series 2019-RPL1 Class A1 |
| 02/26/2024 | 4.335% | | 9,297,229 | 9,372,645 |
| NRZ Excess Spread-Collateralized Notes(a) |
| Series 2018-PLS1 Class D |
| 01/25/2023 | 4.374% | | 6,170,786 | 6,204,875 |
| Subordinated CMO Series 2018-PLS2 Class D |
| 02/25/2023 | 4.593% | | 1,653,352 | 1,667,142 |
| Oaktown Re III Ltd.(a),(b) |
| CMO Series 2019-1A Class M1B |
1-month USD LIBOR + 1.950%
Floor 1.950%
07/25/2029 | 3.773% | | 9,100,000 | 9,103,334 |
| OMSR(a),(c),(f) |
| CMO Series 2019-PLS1 Class A |
| 11/25/2024 | 5.069% | | 18,500,000 | 18,499,959 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 13 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| PMT Credit Risk Transfer Trust(a),(b) |
| CMO Series 2019-1R Class A |
1-month USD LIBOR + 2.000%
Floor 2.000%
03/27/2024 | 3.805% | | 19,694,198 | 19,679,025 |
| Series 2019-2R Class A |
1-month USD LIBOR + 2.750%
Floor 2.750%
05/27/2023 | 4.555% | | 16,869,145 | 16,996,134 |
| PNMAC GMSR Issuer Trust(a),(b) |
| CMO Series 2018-GT1 Class A |
1-month USD LIBOR + 2.850%
Floor 2.850%
02/25/2023 | 4.558% | | 10,879,000 | 10,944,916 |
| CMO Series 2018-GT2 Class A |
1-month USD LIBOR + 2.650%
08/25/2025 | 4.473% | | 19,100,000 | 19,165,078 |
| Preston Ridge Partners Mortgage LLC(a),(g) |
| CMO Series 2017-3A Class A2 |
| 11/25/2022 | 5.000% | | 6,000,000 | 5,984,483 |
| CMO Series 2018-3A Class A1 |
| 10/25/2023 | 4.483% | | 5,759,849 | 5,824,603 |
| CMO Series 2019-1A Class A2 |
| 01/25/2024 | 5.000% | | 20,000,000 | 19,538,724 |
| Preston Ridge Partners Mortgage LLC(a) |
| CMO Series 2018-2A Class A2 |
| 08/25/2023 | 5.000% | | 6,788,000 | 6,810,263 |
| CMO Series 2019-2A Class A1 |
| 04/25/2024 | 3.967% | | 4,535,391 | 4,546,310 |
| Preston Ridge Partners Mortgage Trust(a),(c),(f),(g),(i) |
| CMO Series 2019-4A Class A2 |
| 11/25/2024 | 4.654% | | 14,000,000 | 13,999,777 |
| PRPM LLC(a) |
| CMO Series 2019-2A Class A2 |
| 04/25/2024 | 5.438% | | 4,528,000 | 4,573,261 |
| PRPM LLC(a),(g) |
| CMO Series 2019-3A Class A2 |
| 07/25/2024 | 4.458% | | 8,000,000 | 8,003,825 |
| Radnor Re Ltd.(a),(b) |
| CMO Series 2019-1 Class M1B |
1-month USD LIBOR + 1.950%
Floor 1.950%
02/25/2029 | 3.658% | | 10,890,000 | 10,883,478 |
| Radnor RE Ltd.(a),(b) |
| CMO Series 2019-2 Class B1 |
1-month USD LIBOR + 2.700%
Floor 2.700%
06/25/2029 | 4.408% | | 3,000,000 | 2,993,191 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2019-2 Class M1B |
1-month USD LIBOR + 1.750%
Floor 1.750%
06/25/2029 | 3.458% | | 9,716,000 | 9,719,719 |
| RCO Trust(a),(g) |
| CMO Series 2018-VFS1 Class M1 |
| 12/26/2053 | 5.101% | | 5,835,000 | 5,925,571 |
| RCO V Mortgage LLC(a),(g) |
| CMO Series 2018-2 Class A1 |
| 10/25/2023 | 4.458% | | 2,552,646 | 2,563,448 |
| Residential Mortgage Loan Trust(a),(g) |
| CMO Series 2019-3 Class M1 |
| 09/25/2059 | 3.257% | | 6,378,000 | 6,316,722 |
| SG Residential Mortgage Trust(a),(g) |
| CMO Series 2019-3 Class M1 |
| 09/25/2059 | 3.526% | | 8,000,000 | 8,039,385 |
| Starwood Mortgage Residential Trust(a),(g) |
| CMO Series 2018-IMC1 Class M1 |
| 03/25/2048 | 4.589% | | 3,000,000 | 3,055,551 |
| Toorak Mortgage Corp., Ltd.(a),(g) |
| CMO Series 2019-1 Class A1 |
| 03/25/2022 | 4.458% | | 10,000,000 | 10,098,209 |
| Toorak Mortgage Corp., Ltd.(g) |
| CMO Series 2019-2 Class A1 |
| 09/25/2022 | 3.721% | | 10,000,000 | 9,987,388 |
| VCAT LLC(a) |
| CMO Series 2019-NPL1 Class A1 |
| 02/25/2049 | 4.360% | | 3,046,956 | 3,069,397 |
| Vericrest Opportunity Loan Transferee LXXII LLC(a) |
| CMO Series 2018-NPL8 Class A1B |
| 10/26/2048 | 4.655% | | 7,500,000 | 7,543,958 |
| Vericrest Opportunity Loan Transferee LXXV LLC(a) |
| CMO Series 2019-NPL1 Class A1B |
| 01/25/2049 | 4.826% | | 19,000,000 | 19,123,540 |
| Vericrest Opportunity Loan Trust(a),(g) |
| CMO Series 2019-NPL5 Class A1A |
| 09/25/2049 | 3.352% | | 11,414,703 | 11,400,506 |
| CMO Series 2019-NPL8 Class A1B |
| 11/25/2049 | 4.090% | | 18,000,000 | 18,011,180 |
| Subordinated CMO Series 2019-NPL7 Class A1B |
| 10/25/2049 | 3.967% | | 10,000,000 | 9,979,765 |
| Vericrest Opportunity Loan Trust LXXXIII LLC(a),(g) |
| CMO Series 2019-NPL9 Class A1B |
| 11/26/2049 | 4.090% | | 5,700,000 | 5,695,702 |
| Verus Securitization Trust(a),(g) |
| CMO Series 2017-2A Class B1 |
| 07/25/2047 | 3.700% | | 6,200,000 | 6,295,666 |
| CMO Series 2018-INV1 Class A3 |
| 03/25/2058 | 4.059% | | 618,355 | 620,701 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2019-3 Class M1 |
| 07/25/2059 | 3.139% | | 5,495,000 | 5,519,889 |
| Subordinated CMO Series 2018-3 Class M1 |
| 10/25/2058 | 4.595% | | 6,000,000 | 6,126,416 |
| Subordinated CMO Series 2019-2 Class B1 |
| 04/25/2059 | 4.437% | | 1,700,000 | 1,710,366 |
| Subordinated CMO Series 2019-3 Class B1 |
| 07/25/2059 | 4.043% | | 4,000,000 | 4,017,542 |
| Subordinated CMO Series 2019-4 Class B1 |
| 11/25/2059 | 3.860% | | 4,150,000 | 4,159,944 |
| Visio Trust(a),(g) |
| CMO Series 2019-1 Class B1 |
| 06/25/2054 | 5.080% | | 4,000,000 | 4,019,619 |
| CMO Series 2019-1 Class M1 |
| 06/25/2054 | 4.078% | | 4,000,000 | 4,021,907 |
| CMO Series 2019-2 Class B1 |
| 11/25/2054 | 3.910% | | 1,200,000 | 1,219,487 |
| CMO Series 2019-2 Class M1 |
| 11/25/2054 | 3.260% | | 1,400,000 | 1,418,634 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $708,290,409) | 714,130,781 |
| Options Purchased Calls 0.3% |
| | | | | Value ($) |
| (Cost $8,470,000) | 4,824,573 |
| Money Market Funds 2.4% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(j),(k) | 43,383,175 | 43,383,175 |
Total Money Market Funds
(Cost $43,378,837) | 43,383,175 |
Total Investments in Securities
(Cost: $3,272,066,329) | 3,304,463,132 |
| Other Assets & Liabilities, Net | | (1,532,139,171) |
| Net Assets | 1,772,323,961 |
At November 30, 2019, securities and/or cash totaling $21,616,489 were pledged as collateral.
Investments in derivatives
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | (5,152) | 03/2020 | USD | (666,459,500) | 755,262 | — |
| U.S. Treasury 5-Year Note | (520) | 03/2020 | USD | (61,863,750) | 6,607 | — |
| Total | | | | | 761,869 | — |
| Call option contracts purchased |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Cost ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 550,000,000 | 550,000,000 | 1.50 | 03/16/2020 | 6,627,500 | 3,241,480 |
| 10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA | Morgan Stanley | USD | 275,000,000 | 275,000,000 | 1.75 | 12/06/2019 | 1,842,500 | 1,583,093 |
| Total | | | | | | | 8,470,000 | 4,824,573 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 15 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Credit default swap contracts - buy protection |
Reference
entity | Counterparty | Maturity
date | Pay
fixed
rate
(%) | Payment
frequency | Notional
currency | Notional
amount | Value
($) | Periodic
payments
receivable
(payable)
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 10,000,000 | 150,563 | (4,167) | 382,036 | — | — | (235,640) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 15,000,000 | 225,845 | (6,250) | 651,917 | — | — | (432,322) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 15,000,000 | 225,845 | (6,250) | 814,430 | — | — | (594,835) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 15,000,000 | 225,844 | (6,250) | 938,013 | — | — | (718,419) |
| Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 5,000,000 | 140,499 | (2,083) | 283,499 | — | — | (145,083) |
| Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 18,000,000 | 505,800 | (7,500) | 890,526 | — | — | (392,226) |
| Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 14,000,000 | 393,399 | (5,833) | 911,045 | — | — | (523,479) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | USD | 16,000,000 | 240,902 | (6,667) | 1,009,793 | — | — | (775,558) |
| Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | USD | 17,000,000 | 477,700 | (7,083) | 900,828 | — | — | (430,211) |
| Total | | | | | | | 2,586,397 | (52,083) | 6,782,087 | — | — | (4,247,773) |
| Cleared credit default swap contracts - buy protection |
Reference
entity | Counterparty | Maturity
date | Pay
fixed
rate
(%) | Payment
frequency | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CDX North America High Yield Index, Series 32 | Morgan Stanley | 06/20/2024 | 5.000 | Quarterly | USD | 168,300,000 | (4,341,423) | — | — | — | (4,341,423) |
| 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 7 BBB- | Morgan Stanley | 01/17/2047 | 3.000 | Monthly | 3.030 | USD | 5,000,000 | (5,405) | 2,083 | — | (301,575) | 298,253 | — |
| Markit CMBX North America Index, Series 7 BBB- | Morgan Stanley | 01/17/2047 | 3.000 | Monthly | 3.030 | USD | 2,550,000 | (2,756) | 1,062 | — | (234,277) | 232,583 | — |
| Total | | | | | | | | (8,161) | 3,145 | — | (535,852) | 530,836 | — |
| * | 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. |
Notes to Portfolio of Investments
| (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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At November 30, 2019, the total value of these securities amounted to $1,461,917,087, which represents 82.49% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of November 30, 2019. |
| (c) | Valuation based on significant unobservable inputs. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Notes to Portfolio of Investments (continued)
| (d) | Zero coupon bond. |
| (e) | Represents shares owned in the residual interest of an asset-backed securitization. |
| (f) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2019, the total value of these securities amounted to $71,110,077, which represents 4.01% of total net assets. |
| (g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of November 30, 2019. |
| (h) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (i) | Represents a security purchased on a when-issued basis. |
| (j) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
| (k) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Columbia Short-Term Cash Fund, 1.745% |
| | 54,871,648 | 505,880,726 | (517,369,199) | 43,383,175 | 2,427 | 4,338 | 573,739 | 43,383,175 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 17 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Asset-Backed Securities — Non-Agency | — | 393,353,368 | 83,882,843 | 477,236,211 |
| Commercial Mortgage-Backed Securities - Agency | — | 19,966,981 | — | 19,966,981 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 286,471,067 | — | 286,471,067 |
| Residential Mortgage-Backed Securities - Agency | — | 1,758,450,344 | — | 1,758,450,344 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 643,809,022 | 70,321,759 | 714,130,781 |
| Options Purchased Calls | — | 4,824,573 | — | 4,824,573 |
| Money Market Funds | 43,383,175 | — | — | 43,383,175 |
| Total Investments in Securities | 43,383,175 | 3,106,875,355 | 154,204,602 | 3,304,463,132 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Futures Contracts | 761,869 | — | — | 761,869 |
| Swap Contracts | — | 530,836 | — | 530,836 |
| Liability | | | | |
| Swap Contracts | — | (8,589,196) | — | (8,589,196) |
| Total | 44,145,044 | 3,098,816,995 | 154,204,602 | 3,297,166,641 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Futures contracts and swap contracts are valued at unrealized appreciation (depreciation).
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| | Balance
as of
05/31/2019
($) | 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
($) | Balance
as of
11/30/2019
($) |
| Asset-Backed Securities — Non-Agency | 51,935,907 | 222,600 | 54,239 | (6,458,251) | 54,474,350 | (16,346,002) | — | — | 83,882,843 |
| Residential Mortgage-Backed Securities — Non-Agency | 51,878,175 | — | — | 32,564 | 38,452,600 | — | — | (20,041,580) | 70,321,759 |
| Total | 103,814,082 | 222,600 | 54,239 | (6,425,687) | 92,926,950 | (16,346,002) | — | (20,041,580) | 154,204,602 |
(a) Change in unrealized appreciation (depreciation) relating to securities held at November 30, 2019 was $(6,425,687), which is comprised of Asset-Backed Securities — Non-Agency of $(6,458,251) and Residential Mortgage-Backed Securities — Non-Agency of $32,564.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential and asset backed securities classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but were not limited to, observable transactions for identical or similar assets in the market and the distressed nature of the security. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price reviews and other control procedures. Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value measurement.
Financial assets were transferred from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $3,220,217,492) | $3,256,255,384 |
| Affiliated issuers (cost $43,378,837) | 43,383,175 |
| Options purchased (cost $8,470,000) | 4,824,573 |
| Cash | 2,654,031 |
| Margin deposits on: | |
| Futures contracts | 15,626,490 |
| Swap contracts | 5,989,999 |
| Unrealized appreciation on swap contracts | 530,836 |
| Upfront payments on swap contracts | 6,782,087 |
| Receivable for: | |
| Investments sold | 3,405,042 |
| Investments sold on a delayed delivery basis | 911,512,500 |
| Capital shares sold | 744,766 |
| Dividends | 75,402 |
| Interest | 6,867,066 |
| Variation margin for futures contracts | 644,000 |
| Expense reimbursement due from Investment Manager | 2,400 |
| Prepaid expenses | 5,355 |
| Total assets | 4,259,303,106 |
| Liabilities | |
| Due to custodian | 3,081,616 |
| Unrealized depreciation on swap contracts | 4,247,773 |
| Upfront receipts on swap contracts | 535,852 |
| Payable for: | |
| Investments purchased | 8,579,868 |
| Investments purchased on a delayed delivery basis | 2,469,795,755 |
| Capital shares purchased | 311,903 |
| Variation margin for futures contracts | 4,062 |
| Variation margin for swap contracts | 6,954 |
| Management services fees | 62,015 |
| Distribution and/or service fees | 3,981 |
| Transfer agent fees | 167,793 |
| Compensation of board members | 29,062 |
| Compensation of chief compliance officer | 180 |
| Other expenses | 152,331 |
| Total liabilities | 2,486,979,145 |
| Net assets applicable to outstanding capital stock | $1,772,323,961 |
| Represented by | |
| Paid in capital | 1,733,319,946 |
| Total distributable earnings (loss) | 39,004,015 |
| Total - representing net assets applicable to outstanding capital stock | $1,772,323,961 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 19 |
Statement of Assets and Liabilities (continued)
November 30, 2019 (Unaudited)
| Class A | |
| Net assets | $117,572,803 |
| Shares outstanding | 11,496,322 |
| Net asset value per share | $10.23 |
| 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) | $10.55 |
| Advisor Class | |
| Net assets | $227,313,647 |
| Shares outstanding | 22,245,647 |
| Net asset value per share | $10.22 |
| Class C | |
| Net assets | $43,302,883 |
| Shares outstanding | 4,235,584 |
| Net asset value per share | $10.22 |
| Institutional Class | |
| Net assets | $964,095,405 |
| Shares outstanding | 94,304,865 |
| Net asset value per share | $10.22 |
| Institutional 2 Class | |
| Net assets | $200,095,752 |
| Shares outstanding | 19,585,283 |
| Net asset value per share | $10.22 |
| Institutional 3 Class | |
| Net assets | $219,943,471 |
| Shares outstanding | 21,515,380 |
| Net asset value per share | $10.22 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $8,235,690 |
| Dividends — affiliated issuers | 573,739 |
| Interest | 31,923,459 |
| Total income | 40,732,888 |
| Expenses: | |
| Management services fees | 5,210,438 |
| Distribution and/or service fees | |
| Class A | 156,840 |
| Class C | 189,048 |
| Transfer agent fees | |
| Class A | 64,304 |
| Advisor Class | 110,935 |
| Class C | 19,382 |
| Institutional Class | 434,574 |
| Institutional 2 Class | 57,206 |
| Institutional 3 Class | 8,217 |
| Compensation of board members | 15,483 |
| Custodian fees | 21,548 |
| Printing and postage fees | 59,655 |
| Registration fees | 144,395 |
| Audit fees | 22,622 |
| Legal fees | 12,182 |
| Interest on collateral | 68,547 |
| Compensation of chief compliance officer | 180 |
| Other | 12,814 |
| Total expenses | 6,608,370 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (285,483) |
| Total net expenses | 6,322,887 |
| Net investment income | 34,410,001 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 12,738,500 |
| Investments — affiliated issuers | 2,427 |
| Futures contracts | 14,274,912 |
| Options purchased | 12,603,135 |
| Options contracts written | (45,286,002) |
| Swap contracts | 955,898 |
| Net realized loss | (4,711,130) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 2,782,351 |
| Investments — affiliated issuers | 4,338 |
| Futures contracts | (7,933,037) |
| Options purchased | (13,527,210) |
| Options contracts written | 30,657,806 |
| Swap contracts | (9,582,636) |
| Net change in unrealized appreciation (depreciation) | 2,401,612 |
| Net realized and unrealized loss | (2,309,518) |
| Net increase in net assets resulting from operations | $32,100,483 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 21 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income | $34,410,001 | $41,180,543 |
| Net realized gain (loss) | (4,711,130) | 2,487,541 |
| Net change in unrealized appreciation (depreciation) | 2,401,612 | 29,719,967 |
| Net increase in net assets resulting from operations | 32,100,483 | 73,388,051 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | (1,942,055) | (5,545,526) |
| Advisor Class | (3,616,519) | (4,587,451) |
| Class C | (445,586) | (663,552) |
| Institutional Class | (14,322,579) | (16,726,230) |
| Institutional 2 Class | (3,190,635) | (4,321,463) |
| Institutional 3 Class | (3,662,630) | (8,730,654) |
| Class T | — | (285) |
| Total distributions to shareholders | (27,180,004) | (40,575,161) |
| Increase in net assets from capital stock activity | 363,657,738 | 963,894,175 |
| Total increase in net assets | 368,578,217 | 996,707,065 |
| Net assets at beginning of period | 1,403,745,744 | 407,038,679 |
| Net assets at end of period | $1,772,323,961 | $1,403,745,744 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 3,979,492 | 40,668,155 | 14,879,268 | 147,912,167 |
| Distributions reinvested | 190,260 | 1,939,964 | 557,699 | 5,544,433 |
| Redemptions | (4,832,665) | (49,315,077) | (10,356,075) | (103,321,678) |
| Net increase (decrease) | (662,913) | (6,706,958) | 5,080,892 | 50,134,922 |
| Advisor Class | | | | |
| Subscriptions | 8,762,353 | 89,594,789 | 20,531,489 | 204,573,183 |
| Distributions reinvested | 354,936 | 3,616,349 | 460,415 | 4,586,969 |
| Redemptions | (6,199,564) | (63,489,538) | (4,607,485) | (45,926,892) |
| Net increase | 2,917,725 | 29,721,600 | 16,384,419 | 163,233,260 |
| Class C | | | | |
| Subscriptions | 1,304,876 | 13,322,604 | 2,922,597 | 29,086,002 |
| Distributions reinvested | 43,597 | 444,558 | 66,581 | 663,103 |
| Redemptions | (307,425) | (3,140,905) | (383,256) | (3,816,080) |
| Net increase | 1,041,048 | 10,626,257 | 2,605,922 | 25,933,025 |
| Institutional Class | | | | |
| Subscriptions | 37,603,778 | 384,153,059 | 73,187,005 | 729,104,589 |
| Distributions reinvested | 1,397,838 | 14,250,383 | 1,654,691 | 16,490,239 |
| Redemptions | (12,886,478) | (131,691,402) | (13,105,099) | (130,915,750) |
| Net increase | 26,115,138 | 266,712,040 | 61,736,597 | 614,679,078 |
| Institutional 2 Class | | | | |
| Subscriptions | 12,686,866 | 129,691,602 | 16,453,202 | 163,745,480 |
| Distributions reinvested | 312,734 | 3,187,127 | 433,944 | 4,318,630 |
| Redemptions | (8,156,940) | (83,039,577) | (6,979,641) | (69,218,444) |
| Net increase | 4,842,660 | 49,839,152 | 9,907,505 | 98,845,666 |
| Institutional 3 Class | | | | |
| Subscriptions | 1,363,531 | 13,917,615 | 2,027,372 | 20,399,876 |
| Distributions reinvested | 359,302 | 3,662,357 | 878,236 | 8,730,186 |
| Redemptions | (402,566) | (4,114,325) | (1,820,754) | (18,051,964) |
| Net increase | 1,320,267 | 13,465,647 | 1,084,854 | 11,078,098 |
| Class T | | | | |
| Redemptions | — | — | (1,000) | (9,874) |
| Net decrease | — | — | (1,000) | (9,874) |
| Total net increase | 35,573,925 | 363,657,738 | 96,799,189 | 963,894,175 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 23 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | Net asset value,
beginning of
period | Net
investment
income | 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 11/30/2019 (Unaudited) | $10.19 | 0.20 | 0.00(c) | 0.20 | (0.16) | — | (0.16) |
| Year Ended 5/31/2019 | $9.93 | 0.44 | 0.25 | 0.69 | (0.40) | (0.03) | (0.43) |
| Year Ended 5/31/2018 | $10.12 | 0.49 | 0.04 | 0.53 | (0.38) | (0.34) | (0.72) |
| Year Ended 5/31/2017 | $9.69 | 0.38 | 0.52 | 0.90 | (0.34) | (0.13) | (0.47) |
| Year Ended 5/31/2016 | $10.05 | 0.38 | (0.30) | 0.08 | (0.34) | (0.10) | (0.44) |
| Year Ended 5/31/2015 | $10.02 | 0.39 | 0.09 | 0.48 | (0.35) | (0.10) | (0.45) |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $10.18 | 0.22 | (0.01) | 0.21 | (0.17) | — | (0.17) |
| Year Ended 5/31/2019 | $9.92 | 0.47 | 0.24 | 0.71 | (0.42) | (0.03) | (0.45) |
| Year Ended 5/31/2018 | $10.11 | 0.54 | 0.01 | 0.55 | (0.40) | (0.34) | (0.74) |
| Year Ended 5/31/2017 | $9.69 | 0.45 | 0.46 | 0.91 | (0.36) | (0.13) | (0.49) |
| Year Ended 5/31/2016 | $10.06 | 0.41 | (0.32) | 0.09 | (0.36) | (0.10) | (0.46) |
| Year Ended 5/31/2015 | $10.02 | 0.44 | 0.07 | 0.51 | (0.37) | (0.10) | (0.47) |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $10.19 | 0.17 | (0.02) | 0.15 | (0.12) | — | (0.12) |
| Year Ended 5/31/2019 | $9.93 | 0.37 | 0.24 | 0.61 | (0.32) | (0.03) | (0.35) |
| Year Ended 5/31/2018 | $10.12 | 0.44 | 0.01 | 0.45 | (0.30) | (0.34) | (0.64) |
| Year Ended 5/31/2017 | $9.69 | 0.34 | 0.48 | 0.82 | (0.26) | (0.13) | (0.39) |
| Year Ended 5/31/2016 | $10.05 | 0.30 | (0.30) | 0.00(c) | (0.26) | (0.10) | (0.36) |
| Year Ended 5/31/2015 | $10.02 | 0.31 | 0.09 | 0.40 | (0.27) | (0.10) | (0.37) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $10.19 | 0.22 | (0.02) | 0.20 | (0.17) | — | (0.17) |
| Year Ended 5/31/2019 | $9.93 | 0.47 | 0.24 | 0.71 | (0.42) | (0.03) | (0.45) |
| Year Ended 5/31/2018 | $10.12 | 0.53 | 0.02 | 0.55 | (0.40) | (0.34) | (0.74) |
| Year Ended 5/31/2017 | $9.69 | 0.48 | 0.44 | 0.92 | (0.36) | (0.13) | (0.49) |
| Year Ended 5/31/2016 | $10.06 | 0.39 | (0.30) | 0.09 | (0.36) | (0.10) | (0.46) |
| Year Ended 5/31/2015 | $10.02 | 0.39 | 0.12 | 0.51 | (0.37) | (0.10) | (0.47) |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $10.18 | 0.22 | (0.01) | 0.21 | (0.17) | — | (0.17) |
| Year Ended 5/31/2019 | $9.92 | 0.47 | 0.25 | 0.72 | (0.43) | (0.03) | (0.46) |
| Year Ended 5/31/2018 | $10.11 | 0.52 | 0.03 | 0.55 | (0.40) | (0.34) | (0.74) |
| Year Ended 5/31/2017 | $9.69 | 0.45 | 0.47 | 0.92 | (0.37) | (0.13) | (0.50) |
| Year Ended 5/31/2016 | $10.06 | 0.40 | (0.30) | 0.10 | (0.37) | (0.10) | (0.47) |
| Year Ended 5/31/2015 | $10.02 | 0.39 | 0.13 | 0.52 | (0.38) | (0.10) | (0.48) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $10.23 | 1.95% | 1.04%(d),(e) | 1.00%(d),(e) | 3.99%(d) | 424% | $117,573 |
| Year Ended 5/31/2019 | $10.19 | 7.12% | 1.08%(e) | 1.01%(e) | 4.41% | 528% | $123,926 |
| Year Ended 5/31/2018 | $9.93 | 5.53% | 1.12% | 1.00% | 5.12% | 716% | $70,299 |
| Year Ended 5/31/2017 | $10.12 | 9.50% | 1.10% | 1.00% | 3.80% | 739% | $4,964 |
| Year Ended 5/31/2016 | $9.69 | 0.83% | 1.16% | 1.00% | 3.95% | 743% | $7,023 |
| Year Ended 5/31/2015 | $10.05 | 4.88% | 1.21% | 1.00% | 4.08% | 829% | $1,718 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $10.22 | 2.08% | 0.79%(d),(e) | 0.75%(d),(e) | 4.26%(d) | 424% | $227,314 |
| Year Ended 5/31/2019 | $10.18 | 7.39% | 0.84%(e) | 0.76%(e) | 4.69% | 528% | $196,808 |
| Year Ended 5/31/2018 | $9.92 | 5.79% | 0.86% | 0.75% | 5.52% | 716% | $29,201 |
| Year Ended 5/31/2017 | $10.11 | 9.67% | 0.85% | 0.75% | 4.55% | 739% | $6,157 |
| Year Ended 5/31/2016 | $9.69 | 0.98% | 0.92% | 0.75% | 4.22% | 743% | $2,848 |
| Year Ended 5/31/2015 | $10.06 | 5.24% | 0.94% | 0.75% | 4.44% | 829% | $3,071 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $10.22 | 1.47% | 1.79%(d),(e) | 1.76%(d),(e) | 3.28%(d) | 424% | $43,303 |
| Year Ended 5/31/2019 | $10.19 | 6.32% | 1.84%(e) | 1.76%(e) | 3.69% | 528% | $32,543 |
| Year Ended 5/31/2018 | $9.93 | 4.74% | 1.85% | 1.75% | 4.44% | 716% | $5,842 |
| Year Ended 5/31/2017 | $10.12 | 8.69% | 1.85% | 1.75% | 3.43% | 739% | $1,975 |
| Year Ended 5/31/2016 | $9.69 | 0.07% | 1.91% | 1.75% | 3.17% | 743% | $1,070 |
| Year Ended 5/31/2015 | $10.05 | 4.09% | 1.98% | 1.75% | 3.16% | 829% | $50 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $10.22 | 1.98% | 0.79%(d),(e) | 0.75%(d),(e) | 4.28%(d) | 424% | $964,095 |
| Year Ended 5/31/2019 | $10.19 | 7.38% | 0.84%(e) | 0.76%(e) | 4.71% | 528% | $694,646 |
| Year Ended 5/31/2018 | $9.93 | 5.80% | 0.85% | 0.75% | 5.44% | 716% | $64,054 |
| Year Ended 5/31/2017 | $10.12 | 9.78% | 0.86% | 0.75% | 4.92% | 739% | $17,188 |
| Year Ended 5/31/2016 | $9.69 | 0.98% | 0.90% | 0.75% | 4.07% | 743% | $3,494 |
| Year Ended 5/31/2015 | $10.06 | 5.24% | 1.03% | 0.75% | 3.96% | 829% | $41 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $10.22 | 2.10% | 0.75%(d),(e) | 0.71%(d),(e) | 4.30%(d) | 424% | $200,096 |
| Year Ended 5/31/2019 | $10.18 | 7.45% | 0.77%(e) | 0.70%(e) | 4.70% | 528% | $150,092 |
| Year Ended 5/31/2018 | $9.92 | 5.84% | 0.83% | 0.71% | 5.44% | 716% | $47,960 |
| Year Ended 5/31/2017 | $10.11 | 9.76% | 0.80% | 0.69% | 4.55% | 739% | $49 |
| Year Ended 5/31/2016 | $9.69 | 1.09% | 0.79% | 0.65% | 4.09% | 743% | $45 |
| Year Ended 5/31/2015 | $10.06 | 5.34% | 0.90% | 0.65% | 3.91% | 829% | $10 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 25 |
Financial Highlights (continued)
| | Net asset value,
beginning of
period | Net
investment
income | 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 11/30/2019 (Unaudited) | $10.19 | 0.22 | (0.02) | 0.20 | (0.17) | — | (0.17) |
| Year Ended 5/31/2019 | $9.93 | 0.47 | 0.25 | 0.72 | (0.43) | (0.03) | (0.46) |
| Year Ended 5/31/2018 | $10.12 | 0.55 | 0.01 | 0.56 | (0.41) | (0.34) | (0.75) |
| Year Ended 5/31/2017(f) | $9.87 | 0.16 | 0.18 | 0.34 | (0.09) | — | (0.09) |
| 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) | Rounds to zero. |
| (d) | Annualized. |
| (e) | Ratios include interest on collateral expense which is less than 0.01%. |
| (f) | Institutional 3 Class shares commenced operations on March 1, 2017. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $10.22 | 2.03% | 0.69%(d),(e) | 0.66%(d),(e) | 4.36%(d) | 424% | $219,943 |
| Year Ended 5/31/2019 | $10.19 | 7.49% | 0.72%(e) | 0.65%(e) | 4.71% | 528% | $205,730 |
| Year Ended 5/31/2018 | $9.93 | 5.90% | 0.75% | 0.65% | 5.55% | 716% | $189,672 |
| Year Ended 5/31/2017(f) | $10.12 | 3.50% | 0.76%(d) | 0.65%(d) | 6.57%(d) | 739% | $260,713 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 27 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia Mortgage Opportunities Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class and Institutional 3 Class shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Asset- and mortgage-backed securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data, including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage, prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or exchange bid quote from an approved independent broker-dealer.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Option contracts are valued at the mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using mid-market evaluations from independent third-party vendors.
Swap transactions are valued through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
| 28 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 29 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased option contracts to manage exposure to fluctuations in interest rates and to manage convexity risk. These instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Cash collateral may be collected or posted by the Fund to secure certain over-the-counter option contract trades. Cash collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund
| 30 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
will realize a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption agreement will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
When the Fund writes an interest rate swaption contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the interest rate swaption contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the expiration date as realized gains from options written in the Statement of Operations. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also recorded as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts are reflected as net realized gain (loss) on options written in the Statement of Operations.
Swap contracts
Swap contracts are negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. Unlike a bilateral swap contract, for centrally cleared swap contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities.
Entering into these contracts involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 31 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Credit default swap contracts
The Fund entered into credit default swap contracts to increase or decrease its credit exposure to an index and to manage credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are agreements in which one party pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront payments or receipts by the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging risk, correlation risk and liquidity risk.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
| 32 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at November 30, 2019:
| | 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 | 530,836* |
| Credit risk | Upfront payments on swap contracts | 6,782,087 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 761,869* |
| Interest rate risk | Investments, at value — Options purchased | 4,824,573 |
| Total | | 12,899,365 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 8,589,196* |
| Credit risk | Upfront receipts on swap contracts | 535,852 |
| Total | | 9,125,048 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended November 30, 2019:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | 955,898 | 955,898 |
| Interest rate risk | 14,274,912 | (45,286,002) | 12,603,135 | — | (18,407,955) |
| Total | 14,274,912 | (45,286,002) | 12,603,135 | 955,898 | (17,452,057) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | (9,582,636) | (9,582,636) |
| Interest rate risk | (7,933,037) | 30,657,806 | (13,527,210) | — | 9,197,559 |
| Total | (7,933,037) | 30,657,806 | (13,527,210) | (9,582,636) | (385,077) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended November 30, 2019:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 243,125,321 |
| Futures contracts — short | 364,161,625 |
| Credit default swap contracts — buy protection | 240,250,000 |
| Credit default swap contracts — sell protection | 7,550,000 |
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 33 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
| Derivative instrument | Average
value ($)* |
| Options contracts — purchased | 7,788,715 |
| Options contracts — written | (19,497,288) |
| * | Based on the ending quarterly outstanding amounts for the six months ended November 30, 2019. |
Asset- and mortgage-backed securities
The Fund may invest in asset-backed and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion, of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage “dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type, coupon and maturity) on a specified future date. During the roll period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price.
For financial reporting and tax purposes, the Fund treats “to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may increase the Fund’s portfolio turnover rate. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
| 34 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Interest only and principal only securities
The Fund may invest in Interest Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income on the Statement of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statement of Operations. POs are stripped securities entitled to receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of November 30, 2019:
| | Citi ($) (a) | Citi ($) (a) | Morgan
Stanley ($) (a) | Morgan
Stanley ($) (a) | Total ($) |
| Assets | | | | | |
| Options purchased calls | 3,241,480 | - | 1,583,093 | - | 4,824,573 |
| OTC credit default swap contracts (b) | - | 1,829,464 | 704,852 | - | 2,534,316 |
| Total assets | 3,241,480 | 1,829,464 | 2,287,945 | - | 7,358,889 |
| Liabilities | | | | | |
| Centrally cleared credit default swap contracts (c) | - | - | - | 6,954 | 6,954 |
| OTC credit default swap contracts (b) | - | - | 5,016 | - | 5,016 |
| Total liabilities | - | - | 5,016 | 6,954 | 11,970 |
| Total financial and derivative net assets | 3,241,480 | 1,829,464 | 2,282,929 | (6,954) | 7,346,919 |
| Total collateral received (pledged) (d) | 3,241,480 | 1,829,464 | 2,282,929 | - | 7,353,873 |
| Net amount (e) | - | - | - | (6,954) | (6,954) |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | 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. |
| (c) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (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. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 35 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Dividend income is recorded on the ex-dividend date.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting
| 36 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.650% to 0.535% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.642% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.10 |
| Advisor Class | 0.10 |
| Class C | 0.10 |
| Institutional Class | 0.10 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended November 30, 2019, no minimum account balance fees were charged by the Fund.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 37 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25% and 1.00% of the Fund’s average daily net assets attributable to Class A and Class C shares, respectively. For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses.
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $297,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 3.00 | 0.50 - 1.00(a) | 206,925 |
| Class C | — | 1.00(b) | 1,892 |
| (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. |
The Fund’s other share classes are not subject to sales charges.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 1.00% | 1.00% |
| Advisor Class | 0.75 | 0.75 |
| Class C | 1.75 | 1.75 |
| Institutional Class | 0.75 | 0.75 |
| Institutional 2 Class | 0.71 | 0.70 |
| Institutional 3 Class | 0.66 | 0.65 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
| 38 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 3,281,502,000 | 61,559,000 | (36,458,000) | 25,101,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $12,998,376,094 and $12,203,166,279, respectively, for the six months ended November 30, 2019, of which $12,257,983,559 and $11,867,023,909, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended November 30, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 39 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency or index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund. Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging risk, leverage risk, liquidity risk and pricing risk.
High-yield investments risk
Securities and other debt instruments held by the Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of principal and income than a fund that invests solely or primarily in investment grade debt instruments. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
LIBOR replacement risk
The elimination of London Inter-Bank Offered Rate (LIBOR) may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. The U.K. Financial Conduct Authority has announced that it intends to stop compelling or inducing banks to submit LIBOR rates after 2021. However, it remains unclear if LIBOR will continue to exist in its current, or a modified, form. Alternatives to LIBOR are established or in development in most major currencies including the Secured Overnight Financing Rate (SOFR), that is intended to replace U.S. dollar LIBOR. Markets are slowly developing in response to these new reference rates. Questions around liquidity impacted by these rates, and how to appropriately adjust these rates at the time of transition, remain a concern for the Fund. The effect of any changes to, or
| 40 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
discontinuation of, LIBOR on the Fund will vary, and it is difficult to predict the full impact of the transition away from LIBOR on the Fund until new reference rates and fallbacks for both legacy and new products, instruments and contracts are commercially accepted and market practices become settled.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements; or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more sensitive to changes in interest rates.
Non-diversification risk
A non-diversified fund is permitted to invest a greater percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At November 30, 2019, three unaffiliated shareholders of record owned 43.7% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of record owned 30.2% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 41 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 42 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Mortgage Opportunities Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as its history, reputation, expertise, resources and capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 43 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds under the Management Agreement. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group, the product score of the Fund (taking into account performance relative to peers and benchmarks) and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 44 | Columbia Mortgage Opportunities Fund | Semiannual Report 2019 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Mortgage Opportunities Fund | Semiannual Report 2019
| 45 |
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Mortgage Opportunities Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia Commodity Strategy Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Commodity Strategy Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q or Form N-PORT (available for filings after March 31, 2019). The Fund’s Form N-Q or Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
You may obtain the current net asset value (NAV) of Fund shares at no cost by calling 800.345.6611 or by sending an e-mail to serviceinquiries@columbiathreadneedle.com.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Commodity Strategy Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with total return.
Portfolio management
Marc Khalamayzer, CFA
Co-Portfolio Manager
Managed Fund since December 2019
Matthew Ferrelli, CFA
Co-Portfolio Manager
Managed Fund since December 2019
Effective December 9, 2019, Columbia Management Investment Advisers, LLC assumed day-to-day management of the Fund from its affiliate Threadneedle International Limited.
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class A* | Excluding sales charges | 06/18/12 | 0.00 | -5.22 | -7.16 | -8.17 |
| | Including sales charges | | -5.66 | -10.73 | -8.25 | -8.82 |
| Advisor Class* | 03/19/13 | 0.23 | -5.03 | -6.93 | -7.99 |
| Class C* | Excluding sales charges | 06/18/12 | -0.25 | -5.83 | -7.83 | -8.86 |
| | Including sales charges | | -1.25 | -6.63 | -7.83 | -8.86 |
| Institutional Class* | 06/18/12 | 0.24 | -5.02 | -6.93 | -7.97 |
| Institutional 2 Class* | 01/08/14 | 0.47 | -4.71 | -6.81 | -7.95 |
| Institutional 3 Class* | 10/01/14 | 0.47 | -4.57 | -6.74 | -7.92 |
| Class R* | 06/18/12 | 0.00 | -5.43 | -7.36 | -8.39 |
| Bloomberg Commodity Index Total Return | | 0.20 | -4.54 | -6.36 | -8.05 |
Returns for Class A are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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 Class T shares for the period from July 28, 2011 through June 17, 2012, and of the Fund’s Class A shares for the periods from June 18, 2012 through the inception date of such class (in each case, without applicable sales charges and adjusted to reflect the higher class-related operating expenses of such share class, where applicable). Class T shares were offered prior to the Fund’s Class A shares but have since been merged into the Fund’s Class A shares. Share classes with expenses that are higher than Class T and/or Class A shares will have performance that is lower than Class T and/or Class A shares (without sales charges). Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
The Bloomberg Commodity Index Total Return is a total return index based on the Bloomberg Commodity Index, which is a broadly diversified index composed of futures contracts on physical commodities that allows investors to track commodity futures through a single, simple measure.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
Commodities market exposure (%)
(at November 30, 2019) |
| Commodities contracts(a) | Long | Short | Net |
| Agriculture | 35.6 | (5.5) | 30.1 |
| Energy | 31.6 | (3.3) | 28.3 |
| Industrial Metals | 25.0 | (5.6) | 19.4 |
| Precious Metals | 17.0 | 0.0 | 17.0 |
| Livestock | 7.3 | (2.1) | 5.2 |
Total notional market value of
commodities contracts | 116.5 | (16.5) | 100.0 |
(a) Reflects notional market value of commodities contracts. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given changes in individual markets. Notional amounts for each commodities contract are shown in the Consolidated Portfolio of Investments. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and Note 2 of the Notes to Consolidated Financial Statements.
Portfolio Holdings (%)
(at November 30, 2019) |
| Money Market Funds | 23.6 |
| Options Purchased Calls | 0.1 |
| Options Purchased Puts | 0.1 |
| Treasury Bills | 71.4 |
| Other Assets | 4.8 |
| Total | 100.0 |
Percentages indicated are based upon net assets. At period end, the Fund held an investment in an affiliated money market fund and treasury bills, which have been segregated to cover obligations relating to the Fund’s investments in open commodities contracts which provide exposure to the commodities market. For a description of the Fund’s investment in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and Note 2 of the Notes to Consolidated Financial Statements.
| 4 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,000.00 | 1,019.34 | 5.52 | 5.57 | 1.11 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,002.30 | 1,020.59 | 4.28 | 4.32 | 0.86 |
| Class C | 1,000.00 | 1,000.00 | 997.50 | 1,015.61 | 9.24 | 9.32 | 1.86 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,002.40 | 1,020.59 | 4.28 | 4.32 | 0.86 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,004.70 | 1,021.08 | 3.79 | 3.82 | 0.76 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,004.70 | 1,021.43 | 3.44 | 3.47 | 0.69 |
| Class R | 1,000.00 | 1,000.00 | 1,000.00 | 1,018.10 | 6.76 | 6.82 | 1.36 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 5 |
Consolidated Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Treasury Bills 71.4% |
| Issuer | Effective
Yield | | Principal
Amount ($) | Value ($) |
| United States 71.4% |
| U.S. Treasury Bills |
| 01/30/2020 | 1.520% | | 156,000,000 | 155,598,486 |
| 02/27/2020 | 1.520% | | 25,000,000 | 24,906,381 |
| 03/26/2020 | 1.530% | | 100,000,000 | 99,506,238 |
| 04/23/2020 | 1.550% | | 5,000,000 | 4,969,223 |
| 05/21/2020 | 1.560% | | 13,500,000 | 13,400,378 |
| Total | 298,380,706 |
Total Treasury Bills
(Cost $298,206,060) | 298,380,706 |
| Options Purchased Calls 0.1% |
| | | | | Value ($) |
| (Cost $2,016,982) | 586,377 |
|
| Options Purchased Puts 0.1% |
| | | | | Value ($) |
| (Cost $102,371) | 188,518 |
| Money Market Funds 23.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(a),(b) | 98,590,616 | 98,590,616 |
Total Money Market Funds
(Cost $98,581,688) | 98,590,616 |
Total Investments in Securities
(Cost: $398,907,101) | 397,746,217 |
| Other Assets & Liabilities, Net | | 19,960,575 |
| Net Assets | 417,706,792 |
At November 30, 2019, securities and/or cash totaling $26,984,744 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| Brent Crude | 664 | 01/2020 | USD | 39,740,400 | — | (835,172) |
| Coffee | 252 | 03/2020 | USD | 11,250,225 | 621,231 | — |
| Copper | 478 | 03/2020 | USD | 31,804,925 | — | (286,465) |
| Corn | 1,758 | 03/2020 | USD | 33,511,875 | — | (304,017) |
| Cotton | 157 | 03/2020 | USD | 5,130,760 | — | (65,724) |
| Feeder Cattle | 26 | 01/2020 | USD | 1,849,575 | 100,073 | — |
| Gas Oil | 145 | 01/2020 | USD | 8,290,375 | 19,777 | — |
| Gas Oil | 41 | 01/2020 | USD | 2,344,175 | — | (67,876) |
| Gold 100 oz. | 383 | 02/2020 | USD | 56,404,410 | 225,036 | — |
| Lean Hogs | 318 | 02/2020 | USD | 8,671,860 | — | (507,672) |
| Live Cattle | 304 | 02/2020 | USD | 15,345,920 | 115,234 | — |
| Natural Gas | 1,216 | 12/2019 | USD | 27,736,960 | — | (3,542,338) |
| Nickel | 170 | 01/2020 | USD | 13,921,980 | — | (2,287,798) |
| NY Harbor ULSD | 50 | 12/2019 | USD | 3,944,850 | — | (119,963) |
| Primary Aluminum | 321 | 01/2020 | USD | 14,152,088 | 181,331 | — |
| RBOB Gasoline | 238 | 12/2019 | USD | 15,903,636 | 18,475 | — |
| Silver | 197 | 03/2020 | USD | 16,849,410 | 83,767 | — |
| Soybean | 689 | 01/2020 | USD | 30,204,038 | — | (1,444,583) |
| Soybean Meal | 421 | 01/2020 | USD | 12,339,510 | — | (440,990) |
| Soybean Meal | 15 | 03/2020 | USD | 445,650 | — | (15,359) |
| Soybean Oil | 786 | 01/2020 | USD | 14,421,528 | 202,803 | — |
| Sugar #11 | 697 | 02/2020 | USD | 10,101,482 | 152,646 | — |
| Wheat | 316 | 03/2020 | USD | 8,559,650 | 293,681 | — |
| Wheat | 193 | 03/2020 | USD | 4,313,550 | 109,168 | — |
| White Sugar #5 | 257 | 02/2020 | USD | 4,431,965 | 16,335 | — |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 6 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Consolidated Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Long futures contracts (continued) |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| WTI Crude | 463 | 12/2019 | USD | 25,543,710 | — | (140,031) |
| Zinc | 45 | 01/2020 | USD | 2,570,625 | — | (101,236) |
| Total | | | | | 2,139,557 | (10,159,224) |
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| Soybean | (176) | 11/2020 | USD | (8,157,600) | 352,388 | — |
| Call option contracts purchased |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Cost ($) | Value ($) |
| Copper | UBS | USD | 13,041,350 | 196 | 300.00 | 02/25/2020 | 128,552 | 58,800 |
| Copper | UBS | USD | 5,988,375 | 90 | 290.00 | 02/25/2020 | 66,683 | 47,250 |
| Lean Hogs | UBS | USD | 2,454,300 | 90 | 80.00 | 02/19/2020 | 48,960 | 60,300 |
| Lean Hogs | UBS | USD | 3,272,400 | 120 | 90.00 | 02/19/2020 | 84,480 | 33,600 |
| Natural Gas | UBS | USD | 9,627,240 | 438 | 3.00 | 02/25/2020 | 756,704 | 237,396 |
| Nickel†,†† | UBS | USD | 18,999,408 | 232 | 17,000.00 | 01/02/2020 | 526,941 | 7,603 |
| Soybean | UBS | USD | 12,055,313 | 275 | 920.00 | 12/27/2019 | 62,953 | 22,344 |
| Sugar #11 | UBS | USD | 3,405,808 | 235 | 13.50 | 02/18/2020 | 45,830 | 65,800 |
| WTI Crude | UBS | USD | 3,089,520 | 56 | 57.00 | 12/16/2019 | 267,694 | 46,480 |
| Zinc | UBS | USD | 3,199,000 | 56 | 2,500.00 | 01/01/2020 | 28,185 | 6,804 |
| Total | | | | | | | 2,016,982 | 586,377 |
| † | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2019, the total value of these option contracts amounted to $7,603, which represents less than 0.01% of total net assets. |
| †† | Valuation based on significant unobservable inputs. |
| Put option contracts purchased |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Cost ($) | Value ($) |
| Sugar #11 | UBS | USD | 3,405,808 | 235 | 12.50 | 12/16/2019 | 27,347 | 10,528 |
| Zinc | UBS | USD | 3,903,200 | 68 | 2,400.00 | 12/04/2019 | 75,024 | 177,990 |
| Total | | | | | | | 102,371 | 188,518 |
| Call option contracts written |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Premium
received ($) | Value ($) |
| Live Cattle | UBS | USD | (3,393,600) | (70) | 112.00 | 12/06/2019 | (51,520) | (257,600) |
| Natural Gas | UBS | USD | (11,341,680) | (516) | 6.00 | 2/25/2020 | (189,337) | (27,348) |
| Soybean | UBS | USD | (12,055,313) | (275) | 950.00 | 12/27/2019 | (16,165) | (10,312) |
| Zinc†,†† | UBS | USD | (3,903,200) | (68) | 2,600.00 | 12/04/2019 | (59,276) | — |
| Total | | | | | | | (316,298) | (295,260) |
| † | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2019, the total value of these option contracts amounted to $0, which represents less than 0.01% of total net assets. |
| †† | Valuation based on significant unobservable inputs. |
| Put option contracts written |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Premium
received ($) | Value ($) |
| Copper | UBS | USD | (13,041,350) | (196) | 240.00 | 02/25/2020 | (91,028) | (53,900) |
| Lean Hogs | UBS | USD | (2,454,300) | (90) | 56.00 | 02/19/2020 | (48,240) | (45,000) |
| Lean Hogs | UBS | USD | (3,272,400) | (120) | 60.00 | 02/19/2020 | (93,120) | (104,400) |
| Nickel | UBS | USD | (4,012,806) | (49) | 13,000.00 | 01/02/2020 | (46,878) | (64,304) |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 7 |
Consolidated Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Put option contracts written (continued) |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Premium
received ($) | Value ($) |
| Sugar #11 | UBS | USD | (3,405,808) | (235) | 12.00 | 02/18/2020 | (43,658) | (26,320) |
| WTI Crude | UBS | USD | (3,089,520) | (56) | 57.00 | 12/16/2019 | (174,509) | (148,400) |
| Zinc | UBS | USD | (3,199,000) | (56) | 2,200.00 | 01/01/2020 | (27,815) | (34,916) |
| Total | | | | | | | (525,248) | (477,240) |
Notes to Consolidated Portfolio of Investments
| (a) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
| (b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Columbia Short-Term Cash Fund, 1.745% |
| | 10,218,717 | 391,478,446 | (303,106,547) | 98,590,616 | (349) | 8,928 | 149,353 | 98,590,616 |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 8 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Consolidated Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Treasury Bills | 298,380,706 | — | — | 298,380,706 |
| Options Purchased Calls | 578,774 | — | 7,603 | 586,377 |
| Options Purchased Puts | 188,518 | — | — | 188,518 |
| Money Market Funds | 98,590,616 | — | — | 98,590,616 |
| Total Investments in Securities | 397,738,614 | — | 7,603 | 397,746,217 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Futures Contracts | 2,491,945 | — | — | 2,491,945 |
| Liability | | | | |
| Futures Contracts | (10,159,224) | — | — | (10,159,224) |
| Options Contracts Written | (772,500) | — | — | (772,500) |
| Total | 389,298,835 | — | 7,603 | 389,306,438 |
See the Consolidated Portfolio of Investments for all investment classifications not indicated in the table.
Futures contracts are valued at unrealized appreciation (depreciation).
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 9 |
Consolidated Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $298,206,060) | $298,380,706 |
| Affiliated issuers (cost $98,581,688) | 98,590,616 |
| Options purchased (cost $2,119,353) | 774,895 |
| Cash | 191,388 |
| Margin deposits on: | |
| Futures contracts | 26,984,744 |
| Receivable for: | |
| Investments sold | 97,207 |
| Capital shares sold | 111,499 |
| Dividends | 24,178 |
| Variation margin for futures contracts | 2,055,370 |
| Prepaid expenses | 2,736 |
| Total assets | 427,213,339 |
| Liabilities | |
| Option contracts written, at value (premiums received $841,546) | 772,500 |
| Payable for: | |
| Investments purchased | 75,101 |
| Capital shares purchased | 16,850 |
| Variation margin for futures contracts | 8,538,191 |
| Management services fees | 13,017 |
| Distribution and/or service fees | 43 |
| Transfer agent fees | 4,195 |
| Compensation of board members | 32,112 |
| Compensation of chief compliance officer | 42 |
| Other expenses | 54,496 |
| Total liabilities | 9,506,547 |
| Net assets applicable to outstanding capital stock | $417,706,792 |
| Represented by | |
| Paid in capital | 514,486,126 |
| Total distributable earnings (loss) | (96,779,334) |
| Total - representing net assets applicable to outstanding capital stock | $417,706,792 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 10 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Consolidated Statement of Assets and Liabilities (continued)
November 30, 2019 (Unaudited)
| Class A | |
| Net assets | $1,787,938 |
| Shares outstanding | 428,609 |
| Net asset value per share | $4.17 |
| 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) | $4.42 |
| Advisor Class | |
| Net assets | $24,201,735 |
| Shares outstanding | 5,663,540 |
| Net asset value per share | $4.27 |
| Class C | |
| Net assets | $102,791 |
| Shares outstanding | 26,023 |
| Net asset value per share | $3.95 |
| Institutional Class | |
| Net assets | $491,425 |
| Shares outstanding | 115,991 |
| Net asset value per share | $4.24 |
| Institutional 2 Class | |
| Net assets | $53,921 |
| Shares outstanding | 12,544 |
| Net asset value per share | $4.30 |
| Institutional 3 Class | |
| Net assets | $390,618,030 |
| Shares outstanding | 90,488,996 |
| Net asset value per share | $4.32 |
| Class R | |
| Net assets | $450,952 |
| Shares outstanding | 109,992 |
| Net asset value per share | $4.10 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 11 |
Consolidated Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $149,353 |
| Interest | 3,649,302 |
| Total income | 3,798,655 |
| Expenses: | |
| Management services fees | 1,158,352 |
| Distribution and/or service fees | |
| Class A | 2,246 |
| Class C | 527 |
| Class R | 1,301 |
| Transfer agent fees | |
| Class A | 1,474 |
| Advisor Class | 20,098 |
| Class C | 86 |
| Institutional Class | 376 |
| Institutional 2 Class | 426 |
| Institutional 3 Class | 13,086 |
| Class R | 427 |
| Compensation of board members | 8,378 |
| Custodian fees | 3,421 |
| Printing and postage fees | 8,705 |
| Registration fees | 53,438 |
| Audit fees | 13,010 |
| Legal fees | 6,179 |
| Compensation of chief compliance officer | 42 |
| Other | 8,581 |
| Total expenses | 1,300,153 |
| Expense reduction | (20) |
| Total net expenses | 1,300,133 |
| Net investment income | 2,498,522 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 157,627 |
| Investments — affiliated issuers | (349) |
| Futures contracts | (8,761,657) |
| Options purchased | (988,114) |
| Options contracts written | 1,893,490 |
| Net realized loss | (7,699,003) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 71,621 |
| Investments — affiliated issuers | 8,928 |
| Futures contracts | 6,445,835 |
| Options purchased | (2,333,039) |
| Options contracts written | 361,683 |
| Net change in unrealized appreciation (depreciation) | 4,555,028 |
| Net realized and unrealized loss | (3,143,975) |
| Net decrease in net assets resulting from operations | $(645,453) |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 12 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Consolidated Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income | $2,498,522 | $5,809,699 |
| Net realized loss | (7,699,003) | (53,483,671) |
| Net change in unrealized appreciation (depreciation) | 4,555,028 | (20,058,949) |
| Net decrease in net assets resulting from operations | (645,453) | (67,732,921) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | — | (302,699) |
| Advisor Class | — | (3,068,754) |
| Class C | — | (24,695) |
| Institutional Class | — | (270,228) |
| Institutional 2 Class | — | (174,594) |
| Institutional 3 Class | — | (39,342,600) |
| Class R | — | (91,612) |
| Total distributions to shareholders | — | (43,275,182) |
| Increase (decrease) in net assets from capital stock activity | 69,904,521 | (152,645,257) |
| Total increase (decrease) in net assets | 69,259,068 | (263,653,360) |
| Net assets at beginning of period | 348,447,724 | 612,101,084 |
| Net assets at end of period | $417,706,792 | $348,447,724 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 13 |
Consolidated Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 25,851 | 110,297 | 108,621 | 549,067 |
| Distributions reinvested | — | — | 70,796 | 300,177 |
| Redemptions | (23,193) | (97,409) | (126,389) | (590,395) |
| Net increase | 2,658 | 12,888 | 53,028 | 258,849 |
| Advisor Class | | | | |
| Subscriptions | 804,064 | 3,482,019 | 2,628,837 | 12,347,500 |
| Distributions reinvested | — | — | 706,268 | 3,065,204 |
| Redemptions | (660,233) | (2,857,987) | (1,493,070) | (6,994,543) |
| Net increase | 143,831 | 624,032 | 1,842,035 | 8,418,161 |
| Class C | | | | |
| Subscriptions | 127 | 511 | 1,006 | 4,849 |
| Distributions reinvested | — | — | 6,044 | 24,478 |
| Redemptions | (5,420) | (21,401) | (16,481) | (73,555) |
| Net decrease | (5,293) | (20,890) | (9,431) | (44,228) |
| Institutional Class | | | | |
| Subscriptions | 51,615 | 223,477 | 498,005 | 2,357,404 |
| Distributions reinvested | — | — | 62,844 | 270,228 |
| Redemptions | (118,097) | (499,498) | (1,147,559) | (5,638,264) |
| Net decrease | (66,482) | (276,021) | (586,710) | (3,010,632) |
| Institutional 2 Class | | | | |
| Subscriptions | 7,551 | 32,339 | 65,355 | 285,277 |
| Distributions reinvested | — | — | 39,990 | 174,357 |
| Redemptions | (322,606) | (1,426,858) | (3,405) | (16,453) |
| Net increase (decrease) | (315,055) | (1,394,519) | 101,940 | 443,181 |
| Institutional 3 Class | | | | |
| Subscriptions | 65,248,831 | 285,023,574 | 56,147,108 | 275,383,273 |
| Distributions reinvested | — | — | 9,002,826 | 39,342,349 |
| Redemptions | (49,215,499) | (213,922,856) | (89,093,318) | (473,804,803) |
| Net increase (decrease) | 16,033,332 | 71,100,718 | (23,943,384) | (159,079,181) |
| Class R | | | | |
| Subscriptions | 6,950 | 28,857 | 70,845 | 357,994 |
| Distributions reinvested | — | — | 21,865 | 91,395 |
| Redemptions | (40,898) | (170,544) | (17,655) | (79,283) |
| Net increase (decrease) | (33,948) | (141,687) | 75,055 | 370,106 |
| Class T | | | | |
| Redemptions | — | — | (297) | (1,513) |
| Net decrease | — | — | (297) | (1,513) |
| Total net increase (decrease) | 15,759,043 | 69,904,521 | (22,467,764) | (152,645,257) |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 14 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
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Columbia Commodity Strategy Fund | Semiannual Report 2019
| 15 |
Consolidated Financial Highlights
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | 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 |
| Six Months Ended 11/30/2019 (Unaudited) | $4.17 | 0.02 | (0.02) | 0.00(c) | — | — |
| Year Ended 5/31/2019 | $5.76 | 0.06 | (0.90) | (0.84) | (0.75) | (0.75) |
| Year Ended 5/31/2018 | $5.24 | 0.01 | 0.51 | 0.52 | — | — |
| Year Ended 5/31/2017 | $5.39 | (0.03) | (0.12) | (0.15) | — | — |
| Year Ended 5/31/2016 | $6.32 | (0.06) | (0.87) | (0.93) | — | — |
| Year Ended 5/31/2015 | $8.57 | (0.08) | (2.17) | (2.25) | — | — |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $4.26 | 0.03 | (0.02) | 0.01 | — | — |
| Year Ended 5/31/2019 | $5.87 | 0.07 | (0.91) | (0.84) | (0.77) | (0.77) |
| Year Ended 5/31/2018 | $5.33 | 0.03 | 0.52 | 0.55 | (0.01) | (0.01) |
| Year Ended 5/31/2017 | $5.48 | (0.02) | (0.13) | (0.15) | — | — |
| Year Ended 5/31/2016 | $6.40 | (0.04) | (0.88) | (0.92) | — | — |
| Year Ended 5/31/2015 | $8.65 | (0.07) | (2.18) | (2.25) | — | — |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $3.96 | 0.00(c) | (0.01) | (0.01) | — | — |
| Year Ended 5/31/2019 | $5.51 | 0.02 | (0.86) | (0.84) | (0.71) | (0.71) |
| Year Ended 5/31/2018 | $5.04 | (0.03) | 0.50 | 0.47 | — | — |
| Year Ended 5/31/2017 | $5.23 | (0.07) | (0.12) | (0.19) | — | — |
| Year Ended 5/31/2016 | $6.18 | (0.10) | (0.85) | (0.95) | — | — |
| Year Ended 5/31/2015 | $8.45 | (0.13) | (2.14) | (2.27) | — | — |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $4.23 | 0.03 | (0.02) | 0.01 | — | — |
| Year Ended 5/31/2019 | $5.83 | 0.07 | (0.90) | (0.83) | (0.77) | (0.77) |
| Year Ended 5/31/2018 | $5.29 | 0.03 | 0.52 | 0.55 | (0.01) | (0.01) |
| Year Ended 5/31/2017 | $5.44 | (0.02) | (0.13) | (0.15) | — | — |
| Year Ended 5/31/2016 | $6.37 | (0.05) | (0.88) | (0.93) | — | — |
| Year Ended 5/31/2015 | $8.62 | (0.07) | (2.18) | (2.25) | — | — |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $4.28 | 0.03 | (0.01) | 0.02 | — | — |
| Year Ended 5/31/2019 | $5.90 | 0.08 | (0.93) | (0.85) | (0.77) | (0.77) |
| Year Ended 5/31/2018 | $5.35 | 0.03 | 0.53 | 0.56 | (0.01) | (0.01) |
| Year Ended 5/31/2017 | $5.49 | (0.01) | (0.13) | (0.14) | — | — |
| Year Ended 5/31/2016 | $6.42 | (0.04) | (0.89) | (0.93) | — | — |
| Year Ended 5/31/2015 | $8.68 | (0.06) | (2.20) | (2.26) | — | — |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 16 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Consolidated Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $4.17 | 0.00% | 1.11%(d) | 1.11%(d),(e) | 0.98%(d) | 0% | $1,788 |
| Year Ended 5/31/2019 | $4.17 | (14.76%) | 1.11% | 1.11%(e) | 1.18% | 0% | $1,775 |
| Year Ended 5/31/2018 | $5.76 | 9.92% | 1.08% | 1.08%(e) | 0.22% | 0% | $2,148 |
| Year Ended 5/31/2017 | $5.24 | (2.78%) | 1.13% | 1.13% | (0.63%) | 0% | $2,035 |
| Year Ended 5/31/2016 | $5.39 | (14.72%) | 1.50% | 1.43% | (1.20%) | 0% | $2,651 |
| Year Ended 5/31/2015 | $6.32 | (26.25%) | 1.51% | 1.27% | (1.17%) | 0% | $3,193 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $4.27 | 0.23% | 0.86%(d) | 0.86%(d),(e) | 1.23%(d) | 0% | $24,202 |
| Year Ended 5/31/2019 | $4.26 | (14.62%) | 0.86% | 0.86%(e) | 1.44% | 0% | $23,533 |
| Year Ended 5/31/2018 | $5.87 | 10.24% | 0.83% | 0.83%(e) | 0.48% | 0% | $21,601 |
| Year Ended 5/31/2017 | $5.33 | (2.74%) | 0.87% | 0.87% | (0.35%) | 0% | $15,213 |
| Year Ended 5/31/2016 | $5.48 | (14.38%) | 1.23% | 1.19% | (0.83%) | 0% | $10,826 |
| Year Ended 5/31/2015 | $6.40 | (26.01%) | 1.26% | 1.02% | (1.00%) | 0% | $381 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $3.95 | (0.25%) | 1.86%(d) | 1.86%(d),(e) | 0.23%(d) | 0% | $103 |
| Year Ended 5/31/2019 | $3.96 | (15.53%) | 1.86% | 1.86%(e) | 0.41% | 0% | $124 |
| Year Ended 5/31/2018 | $5.51 | 9.33% | 1.82% | 1.82%(e) | (0.57%) | 0% | $224 |
| Year Ended 5/31/2017 | $5.04 | (3.63%) | 1.87% | 1.87% | (1.36%) | 0% | $335 |
| Year Ended 5/31/2016 | $5.23 | (15.37%) | 2.25% | 2.18% | (1.92%) | 0% | $305 |
| Year Ended 5/31/2015 | $6.18 | (26.86%) | 2.26% | 2.02% | (1.93%) | 0% | $275 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $4.24 | 0.24% | 0.86%(d) | 0.86%(d),(e) | 1.24%(d) | 0% | $491 |
| Year Ended 5/31/2019 | $4.23 | (14.51%) | 0.84% | 0.84%(e) | 1.35% | 0% | $771 |
| Year Ended 5/31/2018 | $5.83 | 10.32% | 0.83% | 0.83%(e) | 0.52% | 0% | $4,485 |
| Year Ended 5/31/2017 | $5.29 | (2.76%) | 0.86% | 0.86% | (0.31%) | 0% | $1,166 |
| Year Ended 5/31/2016 | $5.44 | (14.60%) | 1.24% | 1.18% | (0.92%) | 0% | $842 |
| Year Ended 5/31/2015 | $6.37 | (26.10%) | 1.26% | 1.02% | (0.92%) | 0% | $693 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $4.30 | 0.47% | 0.76%(d) | 0.76%(d) | 1.36%(d) | 0% | $54 |
| Year Ended 5/31/2019 | $4.28 | (14.64%) | 0.78% | 0.78% | 1.52% | 0% | $1,404 |
| Year Ended 5/31/2018 | $5.90 | 10.43% | 0.75% | 0.75% | 0.56% | 0% | $1,331 |
| Year Ended 5/31/2017 | $5.35 | (2.55%) | 0.78% | 0.78% | (0.25%) | 0% | $756 |
| Year Ended 5/31/2016 | $5.49 | (14.49%) | 1.10% | 1.10% | (0.74%) | 0% | $654 |
| Year Ended 5/31/2015 | $6.42 | (26.04%) | 1.18% | 0.96% | (0.78%) | 0% | $2 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 17 |
Consolidated Financial Highlights (continued)
| | 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 |
| Six Months Ended 11/30/2019 (Unaudited) | $4.30 | 0.03 | (0.01) | 0.02 | — | — |
| Year Ended 5/31/2019 | $5.91 | 0.08 | (0.91) | (0.83) | (0.78) | (0.78) |
| Year Ended 5/31/2018 | $5.36 | 0.04 | 0.52 | 0.56 | (0.01) | (0.01) |
| Year Ended 5/31/2017 | $5.50 | 0.00(c) | (0.14) | (0.14) | — | — |
| Year Ended 5/31/2016 | $6.43 | (0.04) | (0.89) | (0.93) | — | — |
| Year Ended 5/31/2015(f) | $7.70 | (0.04) | (1.23) | (1.27) | — | — |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $4.10 | 0.02 | (0.02) | 0.00(c) | — | — |
| Year Ended 5/31/2019 | $5.68 | 0.05 | (0.89) | (0.84) | (0.74) | (0.74) |
| Year Ended 5/31/2018 | $5.17 | 0.00(c) | 0.51 | 0.51 | — | — |
| Year Ended 5/31/2017 | $5.34 | (0.05) | (0.12) | (0.17) | — | — |
| Year Ended 5/31/2016 | $6.28 | (0.08) | (0.86) | (0.94) | — | — |
| Year Ended 5/31/2015 | $8.53 | (0.10) | (2.15) | (2.25) | — | — |
| 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) | Rounds to zero. |
| (d) | Annualized. |
| (e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (f) | Institutional 3 Class shares commenced operations on October 1, 2014. Per share data and total return reflect activity from that date. |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 18 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Consolidated Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $4.32 | 0.47% | 0.69%(d) | 0.69%(d) | 1.38%(d) | 0% | $390,618 |
| Year Ended 5/31/2019 | $4.30 | (14.34%) | 0.70% | 0.70% | 1.56% | 0% | $320,251 |
| Year Ended 5/31/2018 | $5.91 | 10.44% | 0.69% | 0.69% | 0.64% | 0% | $581,920 |
| Year Ended 5/31/2017 | $5.36 | (2.55%) | 0.71% | 0.71% | 0.03% | 0% | $220,847 |
| Year Ended 5/31/2016 | $5.50 | (14.46%) | 1.01% | 1.01% | (0.73%) | 0% | $2 |
| Year Ended 5/31/2015(f) | $6.43 | (16.49%) | 1.33%(d) | 0.97%(d) | (0.80%)(d) | 0% | $2 |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $4.10 | 0.00% | 1.36%(d) | 1.36%(d),(e) | 0.74%(d) | 0% | $451 |
| Year Ended 5/31/2019 | $4.10 | (15.08%) | 1.36% | 1.36%(e) | 0.97% | 0% | $590 |
| Year Ended 5/31/2018 | $5.68 | 9.86% | 1.34% | 1.34%(e) | 0.07% | 0% | $391 |
| Year Ended 5/31/2017 | $5.17 | (3.18%) | 1.37% | 1.37% | (0.89%) | 0% | $77 |
| Year Ended 5/31/2016 | $5.34 | (14.97%) | 1.74% | 1.68% | (1.44%) | 0% | $104 |
| Year Ended 5/31/2015 | $6.28 | (26.38%) | 1.76% | 1.52% | (1.42%) | 0% | $117 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 19 |
Notes to Consolidated Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia Commodity Strategy Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Basis for consolidation
CCFS Offshore Fund, Ltd. (the Subsidiary) is a Cayman Islands exempted company and wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle in order to effect certain investment strategies consistent with the Fund’s investment objective and policies as stated in its current prospectus and statement of additional information. In accordance with the Memorandum and Articles of Association of the Subsidiary (the Articles), the Fund owns the sole issued share of the Subsidiary and retains all rights associated with such share, including the right to receive notice of, attend and vote at general meetings of the Subsidiary, rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. The consolidated financial statements (financial statements) include the accounts of the consolidated Fund and the respective Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary. All intercompany transactions and balances have been eliminated in the consolidation process.
At November 30, 2019, the Subsidiary financial statement information is as follows:
| | CCSF Offshore Fund, Ltd. |
| % of consolidated fund net assets | 6.55% |
| Net assets | $27,358,546 |
| Net investment income (loss) | 102,023 |
| Net realized gain (loss) | (7,856,281) |
| Net change in unrealized appreciation (depreciation) | 4,474,479 |
The financial statements present the portfolio holdings, financial position and results of operations of the Fund and the Subsidiary on a consolidated basis.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Consolidated Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
| 20 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Option contracts are valued at the mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using mid-market evaluations from independent third-party vendors.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Consolidated Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Consolidated Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 21 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Consolidated Statement of Operations. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage exposure to commodities markets. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Consolidated Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Consolidated Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day.
| 22 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Consolidated Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and wrote option contracts to facilitate buying and selling of securities for investments. These instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Cash collateral may be collected or posted by the Fund to secure certain over-the-counter option contract trades. Cash collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Consolidated Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund will realize a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Consolidated Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Consolidated Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Consolidated Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at November 30, 2019:
| | Asset derivatives | |
Risk exposure
category | Consolidated statement
of assets and liabilities
location | Fair value ($) |
| Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 2,491,945* |
| Commodity-related investment risk | Investments, at value — Options purchased | 774,895 |
| Total | | 3,266,840 |
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 23 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
| | Liability derivatives | |
Risk exposure
category | Consolidated statement
of assets and liabilities
location | Fair value ($) |
| Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 10,159,224* |
| Commodity-related investment risk | Options contracts written, at value | 772,500 |
| Total | | 10,931,724 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Consolidated Statement of Operations for the six months ended November 30, 2019:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Total
($) |
| Commodity-related investment risk | (8,761,657) | 1,893,490 | (988,114) | (7,856,281) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Total
($) |
| Commodity-related investment risk | 6,445,835 | 361,683 | (2,333,039) | 4,474,479 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended November 30, 2019:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 356,298,062 |
| Futures contracts — short | 5,942,380 |
| * | Based on the ending quarterly outstanding amounts for the six months ended November 30, 2019. |
| Derivative instrument | Average
value ($)* |
| Options contracts — purchased | 1,753,241 |
| Options contracts — written | (1,010,907) |
| * | Based on the ending quarterly outstanding amounts for the six months ended November 30, 2019. |
| 24 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of November 30, 2019:
| | UBS ($) |
| Assets | |
| Options purchased calls | 586,377 |
| Options purchased puts | 188,518 |
| Total assets | 774,895 |
| Liabilities | |
| Options contracts written | 772,500 |
| Total liabilities | 772,500 |
| Total financial and derivative net assets | 2,395 |
| Total collateral received (pledged) (a) | - |
| Net amount (b) | 2,395 |
| (a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (b) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Dividend income is recorded on the ex-dividend date.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Consolidated Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 25 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.63% to 0.49% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.63% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with Threadneedle International Limited (Threadneedle), an affiliate of the Investment Manager and an indirect wholly-owned subsidiary of Ameriprise Financial, to serve as the subadviser to the Fund. At present, Threadneedle is not providing services to the Fund pursuant to the Subadvisory Agreement. Threadneedle previously provided subadvisory services pursuant to the Subadvisory Agreement from 2011 through December 9, 2019, and the Investment Manager may in the future determine to re-allocate Fund assets to Threadneedle to serve the Fund again in a subadvisory capacity.
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Consolidated Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
| 26 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Consolidated Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.16 |
| Advisor Class | 0.16 |
| Class C | 0.16 |
| Institutional Class | 0.16 |
| Institutional 2 Class | 0.07 |
| Institutional 3 Class | 0.01 |
| Class R | 0.16 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Consolidated Statement of Operations. For the six months ended November 30, 2019, these minimum account balance fees reduced total expenses of the Fund by $20.
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25%, 1.00% and 0.50% of the Fund’s average daily net assets attributable to Class A, Class C and Class R shares, respectively. For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses. For Class R shares, of the 0.50% fee, up to 0.25% can be reimbursed for shareholder servicing expenses.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 27 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $3,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 5.75 | 0.50 - 1.00(a) | 3,394 |
| Class C | — | 1.00(b) | — |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share classes are not subject to sales charges.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 1.22% | 1.22% |
| Advisor Class | 0.97 | 0.97 |
| Class C | 1.97 | 1.97 |
| Institutional Class | 0.97 | 0.97 |
| Institutional 2 Class | 0.88 | 0.89 |
| Institutional 3 Class | 0.82 | 0.83 |
| Class R | 1.47 | 1.47 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
| 28 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
(depreciation) ($) |
| 398,066,000 | 2,746,000 | (11,506,000) | (8,760,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at May 31, 2019, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| 286,776 | — | 286,776 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
For the six months ended November 30, 2019, there were no purchases or proceeds from the sale of securities other than short-term investment transactions and derivative activity, if any. Only the amount of long-term security purchases and sales activity, excluding derivatives, impacts the portfolio turnover reported in the Consolidated Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Consolidated Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended November 30, 2019.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 29 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Consolidated Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Note 9. Significant risks
Commodity-related investment risk
The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity, which may include demand for the commodity, weather, embargoes, tariffs, and economic health, political, international, regulatory and other developments. Exposure to commodities and commodities markets may subject the value of the Fund’s investments to greater volatility than other types of investments. Commodities investments may also subject the Fund to counterparty risk and liquidity risk. The Fund may make commodity-related investments through one or more wholly-owned subsidiaries organized outside the U.S. that are generally not subject to U.S. laws (including securities laws) and their protections.
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency or index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund. Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging risk, leverage risk, liquidity risk and pricing risk.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
| 30 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Notes to Consolidated Financial Statements (continued)
November 30, 2019 (Unaudited)
Leverage risk
Leverage occurs when the Fund increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. The use of leverage may produce volatility and may exaggerate changes in the NAV of Fund shares and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested. Because short sales involve borrowing securities and then selling them, the Fund’s short sales effectively leverage the Fund’s assets. The Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in value while the short positions are outstanding, which may force the Fund to use its other assets to increase the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns. Leverage presents the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of loss. There can be no guarantee that a leveraging strategy will be successful.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Shareholder concentration risk
At November 30, 2019, affiliated shareholders of record owned 93.5% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 31 |
Approval of Management and SubadvisoryAgreements
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Commodity Strategy Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, under a Subadvisory Agreement (the Subadvisory Agreement) between Columbia Threadneedle and Threadneedle International Limited (the Subadviser), an affiliate of Columbia Threadneedle, the Subadviser provided portfolio management and related services for the Fund through December 9, 2019. At present, the Subadviser is not providing services to the Fund; however, Columbia Threadneedle has continued to retain the Subadviser and may in the future reallocate Fund assets to them to serve the Fund in a subadvisory capacity.
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement and the Subadvisory Agreement (together, the Advisory Agreements). Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of each of the Advisory Agreements for additional one-year terms. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of advisory and subadvisory agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
Nature, extent and quality of services provided by Columbia Threadneedle and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle and the Subadviser, as well as their history, reputation, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to Columbia Threadneedle, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Advisory Agreements, the Board also took into
| 32 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
Approval of Management and Subadvisory
Agreements (continued)
account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle in addition to monitoring the Subadviser), noting that no material changes are proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Funds under the Fund Management Agreements. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
With respect to the Subadviser, the Board observed that it had previously approved the Subadviser’s code of ethics and compliance program, that the Chief Compliance Officer of the Fund continues to monitor the code and the program, and that no material concerns have been reported. The Board also considered the Subadviser’s organizational strength and resources, portfolio management team depth and capabilities and investment process. The Board also considered the Subadviser’s capability and wherewithal to carry out its responsibilities under the Subadvisory Agreement. In addition, the Board discussed the acceptability of the terms of the Subadvisory Agreement, including the scope of services required to be performed. The Board noted that the terms of the Subadvisory Agreement are generally consistent with the terms of other subadviser agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no material changes were recommended to the Subadvisory Agreement. The Board took into account Columbia Threadneedle’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the subadvisory oversight team and their significant resources added in recent years to help improve performance.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that the Subadviser is in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Advisory Agreements, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the product score of the Fund (taking into account performance relative to peers and benchmarks) and (v) the net assets of the Fund. The Board observed the Fund’s underperformance for certain periods, noting that appropriate steps (such as increased scrutiny of Fund research tools) had been taken or are contemplated to help improve the Fund’s performance.
Additionally, the Board reviewed the performance of the Subadviser. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle, its affiliates and the Subadviser from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under each of the Advisory Agreements. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle, including accounts subadvised by Columbia Threadneedle, and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
Columbia Commodity Strategy Fund | Semiannual Report 2019
| 33 |
Approval of Management and Subadvisory
Agreements (continued)
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports.
Additionally, the Board reviewed the level of subadvisory fees paid to the Subadviser, noting that the fees are paid by the Investment Manager and do not impact the fees paid by the Fund. The Board also reviewed the fees charged by the Subadviser to other mutual funds employing similar investment strategies where the Subadviser serves as investment adviser or subadviser. Based on its reviews, including JDL’s conclusions/analyses, the Board concluded that the Fund’s investment management and subadvisory fees were fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
| 34 | Columbia Commodity Strategy Fund | Semiannual Report 2019 |
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Columbia Commodity Strategy Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
SemiAnnual Report
November 30, 2019
Columbia Quality Income Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Quality Income Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Quality Income Fund | Semiannual Report 2019
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with current income as its primary objective and, as its secondary objective, preservation of capital.
Portfolio management
Jason Callan
Co-Portfolio Manager
Managed Fund since 2009
Tom Heuer, CFA
Co-Portfolio Manager
Managed Fund since 2010
Ryan Osborn, CFA
Co-Portfolio Manager
Managed Fund since February 2019
| Average annual total returns (%) (for the period ended November 30, 2019) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class A | Excluding sales charges | 02/14/02 | 2.05 | 8.04 | 2.80 | 4.22 |
| | Including sales charges | | -0.99 | 4.88 | 2.18 | 3.90 |
| Advisor Class* | 11/08/12 | 2.36 | 8.31 | 3.06 | 4.41 |
| Class C | Excluding sales charges | 02/14/02 | 1.86 | 7.23 | 2.03 | 3.46 |
| | Including sales charges | | 0.86 | 6.23 | 2.03 | 3.46 |
| Institutional Class* | 09/27/10 | 2.36 | 8.31 | 3.06 | 4.49 |
| Institutional 2 Class* | 11/08/12 | 2.42 | 8.42 | 3.20 | 4.48 |
| Institutional 3 Class* | 10/01/14 | 2.44 | 8.50 | 3.25 | 4.46 |
| Class R* | 03/01/16 | 2.11 | 7.77 | 2.56 | 3.92 |
| Bloomberg Barclays U.S. Mortgage-Backed Securities Index | | 2.54 | 7.98 | 2.56 | 2.98 |
Returns for Class A shares are shown with and without the maximum initial sales charge of 3.00%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | 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. |
The Bloomberg Barclays U.S. Mortgage-Backed Securities Index is composed of all mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Quality Income Fund | Semiannual Report 2019
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at November 30, 2019) |
| Asset-Backed Securities — Non-Agency | 12.0 |
| Commercial Mortgage-Backed Securities - Agency | 2.2 |
| Commercial Mortgage-Backed Securities - Non-Agency | 7.6 |
| Money Market Funds | 1.5 |
| Options Purchased Calls | 0.1 |
| Residential Mortgage-Backed Securities - Agency | 58.3 |
| Residential Mortgage-Backed Securities - Non-Agency | 18.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments including options purchased and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at November 30, 2019) |
| AAA rating | 61.9 |
| AA rating | 5.1 |
| A rating | 4.1 |
| BBB rating | 12.4 |
| BB rating | 2.5 |
| B rating | 1.2 |
| Not rated | 12.8 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
| 4 | Columbia Quality Income Fund | Semiannual Report 2019 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
| June 1, 2019 — November 30, 2019 |
| | Account value at the
beginning of the
period ($) | 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 | 1,020.50 | 1,020.34 | 4.57 | 4.57 | 0.91 |
| Advisor Class | 1,000.00 | 1,000.00 | 1,023.60 | 1,021.58 | 3.32 | 3.32 | 0.66 |
| Class C | 1,000.00 | 1,000.00 | 1,018.60 | 1,016.61 | 8.33 | 8.32 | 1.66 |
| Institutional Class | 1,000.00 | 1,000.00 | 1,023.60 | 1,021.58 | 3.32 | 3.32 | 0.66 |
| Institutional 2 Class | 1,000.00 | 1,000.00 | 1,024.20 | 1,022.08 | 2.82 | 2.82 | 0.56 |
| Institutional 3 Class | 1,000.00 | 1,000.00 | 1,024.40 | 1,022.33 | 2.57 | 2.56 | 0.51 |
| Class R | 1,000.00 | 1,000.00 | 1,021.10 | 1,019.10 | 5.83 | 5.82 | 1.16 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia Quality Income Fund | Semiannual Report 2019
| 5 |
Portfolio of Investments
November 30, 2019 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Non-Agency 15.1% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Apidos CLO XXVIII(a),(b) |
| Series 2017-28A Class B |
3-month USD LIBOR + 1.700%
Floor 1.700%
01/20/2031 | 3.666% | | 8,000,000 | 7,797,712 |
| ARES XLIV CLO Ltd.(a),(b) |
| Series 2017-44A Class D |
3-month USD LIBOR + 6.550%
10/15/2029 | 8.551% | | 5,000,000 | 4,785,870 |
| Avant Loans Funding Trust(a) |
| Series 2019-B Class B |
| 10/15/2026 | 3.150% | | 7,450,000 | 7,460,563 |
| Subordinated Series 2018-B Class B |
| 07/15/2022 | 4.110% | | 9,946,000 | 10,033,108 |
| Ballyrock CLO Ltd.(a),(b) |
| Series 2019-1A Class A2 |
3-month USD LIBOR + 1.850%
07/15/2032 | 4.187% | | 7,500,000 | 7,502,978 |
| Carlyle Global Market Strategies CLO Ltd.(a),(b) |
| Series 2013-1A Class BR |
3-month USD LIBOR + 2.350%
08/14/2030 | 4.259% | | 5,000,000 | 4,878,165 |
| Series 2013-3A Class BR |
3-month USD LIBOR + 1.700%
10/15/2030 | 3.701% | | 6,750,000 | 6,363,117 |
| Series 2013-4A Class BRR |
3-month USD LIBOR + 1.420%
Floor 1.420%
01/15/2031 | 3.421% | | 12,500,000 | 12,260,300 |
| Conn’s Receivables Funding LLC(a) |
| Series 2019-B Class A |
| 06/17/2024 | 2.660% | | 12,000,000 | 11,999,773 |
| Consumer Loan Underlying Bond Credit Trust(a) |
| Series 2018-P2 Class B |
| 10/15/2025 | 4.100% | | 8,500,000 | 8,644,679 |
| Subordinated Series 2018-P1 Class B |
| 07/15/2025 | 4.070% | | 12,310,000 | 12,497,256 |
| Consumer Underlying Bond Securitization(a) |
| Series 2018-1 Class B |
| 02/17/2026 | 6.170% | | 5,500,000 | 5,658,120 |
| ENVA LLC(a) |
| Series 2019-A Class A |
| 06/22/2026 | 3.960% | | 4,500,000 | 4,500,748 |
| LendingClub Receivables Trust(a) |
| Series 2019-2 Class A |
| 08/15/2025 | 4.000% | | 5,880,784 | 5,890,607 |
| Series 2019-3 Class A |
| 10/15/2025 | 3.750% | | 8,747,959 | 8,731,363 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2019-5 Class A |
| 12/15/2045 | 3.750% | | 11,000,000 | 10,980,413 |
| Madison Park Funding Ltd.(a),(b) |
| Series 2015-18A Class CR |
3-month USD LIBOR + 1.950%
10/21/2030 | 3.916% | | 7,000,000 | 6,786,192 |
| Madison Park Funding XXXII Ltd.(a),(b) |
| Series 2018-32A Class D |
3-month USD LIBOR + 4.100%
Floor 4.100%
01/22/2031 | 6.053% | | 6,000,000 | 6,000,996 |
| Marlette Funding Trust(a) |
| Subordinated Series 2018-2A Class C |
| 07/17/2028 | 4.370% | | 8,250,000 | 8,396,042 |
| Morgan Stanley Resecuritization Pass-Through Trust(a),(c) |
| Series 2018-SC1 Class B |
| 09/18/2023 | 1.000% | | 3,371,494 | 3,337,779 |
| OHA Credit Funding 4 Ltd.(a),(b) |
| Series 2019-4A Class A2 |
3-month USD LIBOR + 1.650%
Floor 1.650%
10/22/2032 | 3.586% | | 9,000,000 | 8,999,631 |
| OZLM Funding IV Ltd.(a),(b) |
| Series 2013-4A Class D2R |
3-month USD LIBOR + 7.250%
10/22/2030 | 9.203% | | 2,750,000 | 2,543,758 |
| OZLM Funding Ltd.(a),(b) |
| Series 2012-1A Class DR2 |
3-month USD LIBOR + 6.670%
07/22/2029 | 8.623% | | 4,300,000 | 3,986,349 |
| OZLM XI Ltd.(a),(b) |
| Series 2015-11A Class A2R |
3-month USD LIBOR + 1.750%
10/30/2030 | 3.686% | | 7,000,000 | 6,820,002 |
| Pagaya AI Debt Selection Trust(a) |
| Series 2019-3 Class A |
| 11/16/2026 | 3.821% | | 9,676,682 | 9,690,631 |
| Palmer Square Loan Funding Ltd.(a),(b) |
| Series 2019-2A Class A2 |
3-month USD LIBOR + 1.600%
Floor 1.600%
04/20/2027 | 3.566% | | 7,000,000 | 6,999,853 |
| Prosper Marketplace Issuance Trust(a) |
| Series 2018-1A Class B |
| 06/17/2024 | 3.900% | | 4,152,756 | 4,163,117 |
| Series 2019-3A Class A |
| 07/15/2025 | 3.190% | | 3,665,627 | 3,681,789 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Quality Income Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2019-3A Class B |
| 07/15/2025 | 3.590% | | 4,000,000 | 4,020,992 |
| Subordinated Series 2017-1A Class C |
| 06/15/2023 | 5.800% | | 5,086,637 | 5,159,399 |
| Subordinated Series 2017-2A Class C |
| 09/15/2023 | 5.370% | | 9,344,873 | 9,440,979 |
| Subordinated Series 2019-3A Class C |
| 07/15/2025 | 4.940% | | 8,804,000 | 8,955,967 |
| Redding Ridge Asset Management Ltd.(a),(b) |
| Series 2018-4A Class A2 |
3-month USD LIBOR + 1.550%
04/15/2030 | 3.501% | | 26,500,000 | 26,256,200 |
| Series 2018-4A Class D |
3-month USD LIBOR + 5.850%
04/15/2030 | 7.751% | | 7,000,000 | 6,387,052 |
| RR 1 LLC(a),(b) |
| Series 2017-1A Class A2R |
3-month USD LIBOR + 1.700%
07/15/2029 | 3.701% | | 7,800,000 | 7,786,951 |
| RR 3 Ltd.(a),(b) |
| Series 2014-14A Class A2R2 |
3-month USD LIBOR + 1.400%
Floor 1.400%
01/15/2030 | 3.401% | | 6,500,000 | 6,407,999 |
| SoFi Consumer Loan Program Trust(a) |
| Series 2018-3 Class B |
| 08/25/2027 | 4.020% | | 8,450,000 | 8,733,030 |
| SoFi Professional Loan Program LLC(a),(c),(d),(e),(f) |
| Series 2015-D Class RC |
| 10/26/2037 | 0.000% | | 6 | 1,480,000 |
| Series 2016-A Class RIO |
| 01/25/2038 | 0.000% | | 9 | 1,170,000 |
| Series 2016-A Class RPO |
| 01/25/2038 | 0.000% | | 9 | 2,653,388 |
| SoFi Professional Loan Program LLC(a),(c),(d),(f) |
| Series 2017-A Class R |
| 03/26/2040 | 0.000% | | 53,124 | 2,153,381 |
| Sounds Point IV-R CLO Ltd.(a),(b) |
| Series 2013-3RA Class B |
3-month USD LIBOR + 1.750%
Floor 1.750%
04/18/2031 | 3.753% | | 10,000,000 | 9,735,780 |
Total Asset-Backed Securities — Non-Agency
(Cost $311,927,434) | 301,732,029 |
|
| Commercial Mortgage-Backed Securities - Agency 2.8% |
| | | | |
| Federal National Mortgage Association(g) |
| Series 2017-M15 Class ATS2 |
| 11/25/2027 | 3.196% | | 15,000,000 | 15,707,859 |
| Commercial Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal National Mortgage Association |
| Series 2017-T1 Class A |
| 06/25/2027 | 2.898% | | 17,966,513 | 18,627,194 |
| FRESB Mortgage Trust(g) |
| Series 2018-SB45 Class A10F |
| 11/25/2027 | 3.160% | | 13,568,832 | 14,007,517 |
| Government National Mortgage Association |
| Series 2017-190 Class AD |
| 03/16/2060 | 2.600% | | 7,658,369 | 7,698,476 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $54,121,670) | 56,041,046 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 9.6% |
| | | | |
| BBCMS Trust(a),(b) |
| Subordinated Series 2018-BXH Class E |
1-month USD LIBOR + 2.250%
Floor 2.250%
10/15/2037 | 4.171% | | 4,490,000 | 4,490,040 |
| BFLD(a),(b) |
| Subordinated Series 2019-DPLO Class E |
1-month USD LIBOR + 2.240%
Floor 2.240%
10/15/2034 | 4.154% | | 6,000,000 | 5,988,745 |
| Braemar Hotels & Resorts Trust(a),(b) |
| Series 2018-PRME Class D |
1-month USD LIBOR + 1.800%
Floor 1.925%
06/15/2035 | 3.565% | | 6,500,000 | 6,500,017 |
| BX Trust(a),(b) |
| Series 2018-GW Class E |
1-month USD LIBOR + 1.970%
Floor 1.970%
05/15/2035 | 3.735% | | 7,000,000 | 7,013,084 |
| CHT 2017-COSMO Mortgage Trust(a),(b) |
| Series 2017-CSMO Class B |
1-month USD LIBOR + 1.400%
Floor 1.200%
11/15/2036 | 3.165% | | 4,200,000 | 4,201,313 |
| Series 2017-CSMO Class D |
1-month USD LIBOR + 2.250%
Floor 2.100%
11/15/2036 | 4.015% | | 17,000,000 | 17,010,588 |
| Series 2017-CSMO Class E |
1-month USD LIBOR + 3.000%
Floor 3.000%
11/15/2036 | 4.765% | | 3,675,000 | 3,678,438 |
| Credit Suisse Mortgage Capital Certificates OA LLC(a) |
| Subordinated Series 2014-USA Class D |
| 09/15/2037 | 4.373% | | 11,560,000 | 11,442,027 |
| Subordinated Series 2014-USA Class E |
| 09/15/2037 | 4.373% | | 10,400,000 | 9,850,804 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 7 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated Series 2014-USA Class F |
| 09/15/2037 | 4.373% | | 5,800,000 | 5,306,104 |
| Hilton U.S.A. Trust(a),(g) |
| Series 2016-HHV Class D |
| 11/05/2038 | 4.333% | | 6,400,000 | 6,742,795 |
| Series 2016-HHV Class F |
| 11/05/2038 | 4.333% | | 15,500,000 | 15,573,430 |
| Hilton U.S.A. Trust(a) |
| Subordinated Series 2016-SFP Class F |
| 11/05/2035 | 6.155% | | 8,700,000 | 8,716,210 |
| Invitation Homes Trust(a),(b) |
| Series 2017-SFR2 Class E |
1-month USD LIBOR + 2.250%
Floor 2.250%
12/17/2036 | 4.016% | | 4,284,102 | 4,284,090 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a),(g) |
| Subordinated Series 2016-WIKI Class D |
| 10/05/2031 | 4.143% | | 5,000,000 | 5,084,057 |
| Morgan Stanley Capital I Trust(a) |
| Series 2019-MEAD Class D |
| 11/10/2036 | 3.177% | | 5,500,000 | 5,406,645 |
| Progress Residential Trust(a) |
| Series 2017-SFR1 Class E |
| 08/17/2034 | 4.261% | | 4,000,000 | 4,067,546 |
| Series 2018-SF3 Class B |
| 10/17/2035 | 4.079% | | 21,000,000 | 21,350,177 |
| Series 2019-SFR1 Class E |
| 08/17/2035 | 4.466% | | 5,470,000 | 5,599,871 |
| Series 2019-SFR4 Class E |
| 10/17/2036 | 3.435% | | 11,000,000 | 10,964,015 |
| Subordinated Series 2019-SFR2 Class E |
| 05/17/2036 | 4.142% | | 13,650,000 | 13,903,737 |
| RETL(a),(b) |
| Subordinated Series 2019-RVP Class C |
1-month USD LIBOR + 2.100%
Floor 2.100%
03/15/2036 | 3.865% | | 6,800,000 | 6,825,469 |
| UBS Commercial Mortgage Trust(a),(b) |
| Series 2018-NYCH Class D |
1-month USD LIBOR + 2.100%
Floor 2.100%
02/15/2032 | 3.865% | | 6,700,000 | 6,714,950 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $184,795,148) | 190,714,152 |
|
| Residential Mortgage-Backed Securities - Agency 73.7% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp. |
| 04/01/2022 | 6.500% | | 11,785 | 11,898 |
10/01/2024-
04/01/2040 | 5.000% | | 7,041,202 | 7,776,509 |
| 06/01/2030 | 5.500% | | 3,620,899 | 3,908,145 |
04/01/2041-
11/01/2045 | 4.000% | | 30,117,360 | 31,997,069 |
08/01/2041-
06/01/2048 | 4.500% | | 23,844,563 | 25,259,931 |
03/01/2042-
04/01/2047 | 3.500% | | 138,396,030 | 145,546,069 |
| 11/01/2043 | 3.000% | | 25,033,188 | 25,775,537 |
| Federal Home Loan Mortgage Corp.(b),(h) |
| CMO Series 264 Class S1 |
-1.0 x 1-month USD LIBOR + 5.950%
Cap 5.950%
07/15/2042 | 4.185% | | 9,794,635 | 1,639,743 |
| CMO Series 318 Class S1 |
-1.0 x 1-month USD LIBOR + 5.950%
Cap 5.950%
11/15/2043 | 4.185% | | 10,507,811 | 2,351,697 |
| CMO Series 3913 Class SW |
-1.0 x 1-month USD LIBOR + 6.600%
Cap 6.600%
09/15/2040 | 4.835% | | 1,692,452 | 134,750 |
| CMO Series 4174 Class SB |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
05/15/2039 | 4.435% | | 11,411,000 | 868,673 |
| CMO Series 4183 Class AS |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
04/15/2039 | 4.385% | | 3,591,849 | 298,427 |
| CMO Series 4223 Class DS |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
12/15/2038 | 4.335% | | 1,994,015 | 114,990 |
| CMO Series 4286 Class NS |
-1.0 x 1-month USD LIBOR + 5.900%
Cap 5.900%
12/15/2043 | 4.135% | | 4,379,599 | 909,463 |
| CMO Series 4594 Class SA |
-1.0 x 1-month USD LIBOR + 5.950%
Cap 5.950%
06/15/2046 | 4.185% | | 10,195,256 | 2,105,538 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Quality Income Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO STRIPS Series 309 Class S4 |
-1.0 x 1-month USD LIBOR + 5.970%
Cap 5.970%
08/15/2043 | 4.205% | | 11,373,777 | 2,018,554 |
| CMO STRIPS Series 326 Class S1 |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
03/15/2044 | 4.235% | | 4,859,638 | 857,710 |
| Federal Home Loan Mortgage Corp.(h) |
| CMO Series 304 Class C69 |
| 12/15/2042 | 4.000% | | 4,013,253 | 686,967 |
| CMO Series 3800 Class HI |
| 01/15/2040 | 4.500% | | 1,546,046 | 89,305 |
| CMO Series 4120 Class AI |
| 11/15/2039 | 3.500% | | 5,091,640 | 331,082 |
| CMO Series 4121 Class IA |
| 01/15/2041 | 3.500% | | 5,634,582 | 446,817 |
| CMO Series 4122 Class JI |
| 12/15/2040 | 4.000% | | 3,932,735 | 307,721 |
| CMO Series 4139 Class CI |
| 05/15/2042 | 3.500% | | 4,053,487 | 413,510 |
| CMO Series 4147 Class CI |
| 01/15/2041 | 3.500% | | 6,742,111 | 683,221 |
| CMO Series 4148 Class BI |
| 02/15/2041 | 4.000% | | 4,193,847 | 358,856 |
| CMO Series 4177 Class IY |
| 03/15/2043 | 4.000% | | 8,813,353 | 1,498,836 |
| CMO Series 4182 Class DI |
| 05/15/2039 | 3.500% | | 8,111,635 | 463,826 |
| CMO Series 4213 Class DI |
| 06/15/2038 | 3.500% | | 5,762,346 | 311,158 |
| CMO Series 4215 Class IL |
| 07/15/2041 | 3.500% | | 6,283,365 | 454,822 |
| Federal Home Loan Mortgage Corp.(g),(h) |
| CMO Series 4068 Class GI |
| 09/15/2036 | 2.157% | | 6,943,880 | 427,353 |
| CMO Series 4107 Class KS |
| 06/15/2038 | 2.339% | | 6,086,740 | 344,265 |
| CMO Series 4620 Class AS |
| 11/15/2042 | 2.113% | | 10,362,513 | 550,691 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal National Mortgage Association |
09/01/2022-
09/01/2036 | 6.500% | | 2,881,197 | 3,315,466 |
11/01/2022-
07/01/2023 | 6.000% | | 124,290 | 129,496 |
04/01/2029-
09/01/2041 | 5.000% | | 33,335,617 | 36,801,654 |
04/01/2033-
04/01/2041 | 5.500% | | 2,105,525 | 2,390,338 |
11/01/2034-
09/01/2049 | 3.500% | | 208,664,598 | 217,319,866 |
03/01/2036-
08/01/2041 | 4.500% | | 22,333,807 | 24,203,522 |
02/01/2041-
01/01/2042 | 4.000% | | 11,335,129 | 12,103,675 |
10/01/2046-
01/01/2047 | 3.000% | | 110,008,965 | 113,267,251 |
| CMO Series 2017-72 Class B |
| 09/25/2047 | 3.000% | | 13,529,643 | 13,864,623 |
| Series 6008 Class GEO |
| 07/01/2049 | 3.500% | | 38,408,250 | 39,437,979 |
| Federal National Mortgage Association(i) |
12/17/2034-
12/12/2049 | 3.000% | | 221,620,000 | 225,082,688 |
| 12/12/2049 | 3.500% | | 88,500,000 | 90,850,781 |
| 12/12/2049 | 4.000% | | 120,000,000 | 124,504,687 |
| 12/12/2049 | 4.500% | | 30,000,000 | 31,518,750 |
| Federal National Mortgage Association(j) |
| 01/01/2042 | 4.000% | | 14,541,063 | 15,542,067 |
| Federal National Mortgage Association(b),(h) |
| CMO Series 2005-74 Class NI |
-1.0 x 1-month USD LIBOR + 6.080%
Cap 6.080%
05/25/2035 | 4.372% | | 9,518,715 | 1,263,170 |
| CMO Series 2007-54 Class DI |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
06/25/2037 | 4.392% | | 9,253,182 | 1,906,210 |
| CMO Series 2012-80 Class DS |
-1.0 x 1-month USD LIBOR + 6.650%
Cap 6.650%
06/25/2039 | 4.942% | | 3,100,093 | 202,434 |
| CMO Series 2013-97 Class SB |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
06/25/2032 | 4.392% | | 5,688,919 | 455,532 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 9 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2014-93 Class ES |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
01/25/2045 | 4.442% | | 15,909,274 | 2,291,817 |
| CMO Series 2016-101 Class SK |
-1.0 x 1-month USD LIBOR + 5.950%
Cap 5.950%
01/25/2047 | 4.242% | | 30,513,587 | 6,282,922 |
| CMO Series 2016-37 Class SA |
-1.0 x 1-month USD LIBOR + 5.850%
Cap 5.850%
06/25/2046 | 4.142% | | 18,345,417 | 3,740,966 |
| CMO Series 2016-42 Class SB |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
07/25/2046 | 4.292% | | 27,143,537 | 5,833,635 |
| CMO Series 2017-3 Class SA |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
02/25/2047 | 4.292% | | 22,952,244 | 4,668,544 |
| CMO Series 2017-51 Class SC |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/25/2047 | 4.442% | | 19,800,240 | 4,190,351 |
| CMO Series 2017-72 Class S |
-1.0 x 1-month USD LIBOR + 3.950%
Cap 2.750%
09/25/2047 | 2.242% | | 92,913,967 | 7,479,955 |
| CMO Series 2017-90 Class SP |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
11/25/2047 | 4.442% | | 13,852,373 | 2,959,191 |
| CMO Series 2019-33 Class SB |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
07/25/2049 | 4.342% | | 23,530,007 | 4,761,384 |
| Federal National Mortgage Association(g),(h),(k) |
| CMO Series 2006-5 Class N1 |
| 08/25/2034 | 0.000% | | 6,298,359 | 1 |
| Federal National Mortgage Association(h) |
| CMO Series 2012-118 Class BI |
| 12/25/2039 | 3.500% | | 15,177,994 | 1,167,221 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2012-121 Class GI |
| 08/25/2039 | 3.500% | | 4,207,988 | 263,879 |
| CMO Series 2012-129 Class IC |
| 01/25/2041 | 3.500% | | 8,346,156 | 893,993 |
| CMO Series 2012-133 Class EI |
| 07/25/2031 | 3.500% | | 2,893,595 | 211,932 |
| CMO Series 2012-134 Class AI |
| 07/25/2040 | 3.500% | | 12,923,000 | 1,212,687 |
| CMO Series 2012-144 Class HI |
| 07/25/2042 | 3.500% | | 3,656,988 | 381,242 |
| CMO Series 2013-1 Class AI |
| 02/25/2043 | 3.500% | | 4,122,674 | 761,507 |
| CMO Series 2013-1 Class BI |
| 02/25/2040 | 3.500% | | 2,432,626 | 176,619 |
| CMO Series 2013-16 |
| 01/25/2040 | 3.500% | | 8,917,272 | 716,148 |
| CMO Series 2013-41 Class IY |
| 05/25/2040 | 3.500% | | 9,529,085 | 704,319 |
| CMO Series 2013-6 Class MI |
| 02/25/2040 | 3.500% | | 7,708,710 | 644,767 |
| CMO Series 417 Class C4 |
| 02/25/2043 | 3.500% | | 13,484,323 | 2,101,103 |
| Government National Mortgage Association |
12/15/2031-
02/15/2032 | 6.500% | | 179,512 | 199,668 |
01/15/2039-
08/20/2040 | 5.000% | | 10,230,517 | 11,326,717 |
| 04/20/2048 | 4.500% | | 42,717,291 | 44,997,400 |
| Government National Mortgage Association(i) |
| 12/19/2049 | 3.000% | | 47,000,000 | 48,303,516 |
| 12/19/2049 | 3.500% | | 10,500,000 | 10,851,986 |
| Government National Mortgage Association(h) |
| CMO Series 2012-121 Class PI |
| 09/16/2042 | 4.500% | | 6,354,523 | 1,087,499 |
| CMO Series 2012-129 Class AI |
| 08/20/2037 | 3.000% | | 6,116,397 | 416,291 |
| CMO Series 2014-131 Class EI |
| 09/16/2039 | 4.000% | | 11,486,969 | 1,376,743 |
| CMO Series 2015-175 Class AI |
| 10/16/2038 | 3.500% | | 23,148,597 | 2,906,681 |
| Government National Mortgage Association(b),(h) |
| CMO Series 2014-131 Class BS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
09/16/2044 | 4.438% | | 15,296,677 | 4,109,569 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Quality Income Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2017-101 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
07/20/2047 | 4.476% | | 11,532,922 | 2,116,251 |
| CMO Series 2017-170 Class QS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
11/20/2047 | 4.476% | | 16,516,083 | 3,301,172 |
| CMO Series 2018-1 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
01/20/2048 | 4.476% | | 22,280,928 | 4,078,956 |
| CMO Series 2018-105 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
08/20/2048 | 4.476% | | 19,303,123 | 3,766,921 |
| CMO Series 2018-139 Class KS |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
10/20/2048 | 4.426% | | 9,128,570 | 1,919,937 |
| CMO Series 2018-155 Class LS |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
11/20/2048 | 4.426% | | 21,070,769 | 3,608,854 |
| CMO Series 2018-21 Class WS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
02/20/2048 | 4.476% | | 16,014,685 | 3,534,624 |
| CMO Series 2018-40 Class SC |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
03/20/2048 | 4.476% | | 11,944,873 | 2,412,389 |
| CMO Series 2018-63 Class HS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
04/20/2048 | 4.476% | | 11,423,143 | 2,378,936 |
| CMO Series 2018-94 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
05/20/2048 | 4.476% | | 17,286,286 | 3,656,786 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2018-97 Class MS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
07/20/2048 | 4.476% | | 16,809,616 | 3,414,505 |
| CMO Series 2019-119 Class GS |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
09/20/2049 | 4.376% | | 32,043,193 | 4,217,310 |
| CMO Series 2019-21 Class SH |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2049 | 4.326% | | 21,779,385 | 3,948,613 |
| CMO Series 2019-23 Class SQ |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2049 | 4.326% | | 20,179,041 | 3,835,120 |
| CMO Series 2019-23 Class VS |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
02/20/2049 | 4.426% | | 42,903,821 | 6,901,448 |
| CMO Series 2019-43 Class SE |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
04/20/2049 | 4.376% | | 30,152,750 | 5,252,796 |
| CMO Series 2019-45 Class SE |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
04/20/2049 | 4.276% | | 27,730,207 | 4,974,170 |
| CMO Series 2019-52 Class AS |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
04/16/2049 | 4.288% | | 26,354,900 | 6,384,836 |
| CMO Series 2019-6 Class SA |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
01/20/2049 | 4.326% | | 26,666,580 | 4,277,975 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 11 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2019-92 Class SD |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
07/20/2049 | 4.376% | | 19,665,681 | 4,239,296 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $1,449,734,443) | 1,468,344,470 |
|
| Residential Mortgage-Backed Securities - Non-Agency 23.2% |
| | | | |
| Angel Oak Mortgage Trust I LLC(a) |
| CMO Series 2016-1 Class A1 |
| 07/25/2046 | 3.500% | | 4,434,720 | 4,485,312 |
| Angel Oak Mortgage Trust I LLC(a),(g) |
| CMO Series 2017-2 Class M1 |
| 07/25/2047 | 3.737% | | 9,583,000 | 9,670,183 |
| CMO Series 2018-2 Class M1 |
| 07/27/2048 | 4.343% | | 5,495,000 | 5,570,172 |
| CMO Series 2019-2 Class M1 |
| 03/25/2049 | 4.065% | | 10,500,000 | 10,790,149 |
| Angel Oak Mortgage Trust LLC(a),(g) |
| CMO Series 2017-1 Class M1 |
| 01/25/2047 | 4.629% | | 4,545,000 | 4,658,437 |
| CMO Series 2017-3 Class M1 |
| 11/25/2047 | 3.900% | | 4,500,000 | 4,559,032 |
| Arroyo Mortgage Trust(a) |
| CMO Series 2018-1 Class A2 |
| 04/25/2048 | 4.016% | | 3,671,929 | 3,728,913 |
| CMO Series 2018-1 Class A3 |
| 04/25/2048 | 4.218% | | 7,479,855 | 7,595,347 |
| ASG Resecuritization Trust(a),(g) |
| CMO Series 2013-2 Class 2A70 |
| 11/28/2035 | 3.800% | | 361,581 | 363,704 |
| Bayview Opportunity Master Fund IVb Trust(a) |
| Subordinated CMO Series 2016-SPL2 Class B3 |
| 06/28/2053 | 5.500% | | 6,983,050 | 7,546,910 |
| Bellemeade Re Ltd.(a),(b) |
| CMO Series 2018-2A Class M1B |
1-month USD LIBOR + 1.350%
08/25/2028 | 3.058% | | 12,730,000 | 12,751,915 |
| CMO Series 2018-2A Class M1C |
1-month USD LIBOR + 1.600%
08/25/2028 | 3.308% | | 8,250,000 | 8,287,467 |
| CMO Series 2018-3A Class M1B |
1-month USD LIBOR + 1.850%
Floor 1.850%
10/25/2027 | 4.254% | | 16,000,000 | 15,999,982 |
| CMO Series 2019-1A Class M1B |
1-month USD LIBOR + 1.750%
Floor 1.750%
03/25/2029 | 3.573% | | 10,000,000 | 9,953,964 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2019-3A Class M1B |
1-month USD LIBOR + 1.600%
Floor 1.600%
07/25/2029 | 3.308% | | 19,000,000 | 19,039,279 |
| CHL GMSR Issuer Trust(a),(b) |
| CMO Series 2018-GT1 Class A |
1-month USD LIBOR + 1.000%
05/25/2023 | 4.573% | | 7,000,000 | 7,020,668 |
| CIM Trust(a),(g) |
| CMO Series 2018-R4 Class A1 |
| 12/26/2057 | 4.070% | | 3,978,366 | 4,024,233 |
| Citigroup Mortgage Loan Trust, Inc.(a),(g) |
| CMO Series 2009-11 Class 1A2 |
| 02/25/2037 | 4.216% | | 710,197 | 702,756 |
| CMO Series 2014-A Class B2 |
| 01/25/2035 | 5.495% | | 1,721,476 | 1,851,416 |
| CMO Series 2014-C Class A |
| 02/25/2054 | 3.250% | | 450,890 | 451,435 |
| CMO Series 2015-A Class B3 |
| 06/25/2058 | 4.500% | | 3,139,368 | 3,131,590 |
| Citigroup Mortgage Loan Trust, Inc.(a) |
| CMO Series 2015-RP2 Class B2 |
| 01/25/2053 | 4.250% | | 5,179,636 | 5,143,060 |
| COLT Mortgage Loan Trust(a) |
| CMO Series 2018-1 Class A3 |
| 02/25/2048 | 3.084% | | 1,056,005 | 1,053,237 |
| COLT Mortgage Loan Trust(a),(g) |
| CMO Series 2018-2 Class M1 |
| 07/27/2048 | 4.189% | | 5,000,000 | 5,140,951 |
| Credit Suisse Mortgage Capital Certificates(a),(g) |
| CMO Series 2014-2R Class 17A2 |
| 04/27/2037 | 5.195% | | 1,341,026 | 1,341,026 |
| Deephaven Residential Mortgage Trust(a),(g) |
| CMO Series 2018-4A Class M1 |
| 10/25/2058 | 4.735% | | 12,000,000 | 12,372,790 |
| Subordinated CMO Series 2018-4A Class B1 |
| 10/25/2058 | 5.535% | | 5,205,000 | 5,398,399 |
| Deutsche Mortgage Securities, Inc. Mortgage Loan Trust |
| CMO Series 2003-1 Class 1A7 |
| 04/25/2033 | 5.500% | | 183,425 | 186,383 |
| Eagle RE Ltd.(a),(b) |
| CMO Series 2019-1 Class M1B |
1-month USD LIBOR + 1.800%
04/25/2029 | 3.623% | | 8,700,000 | 8,713,846 |
| Ellington Financial Mortgage Trust(a),(c),(e),(g) |
| CMO Series 2018-1 Class M1 |
| 10/25/2058 | 4.874% | | 2,990,000 | 3,122,158 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Quality Income Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| GCAT Trust(a),(g) |
| CMO Series 2019-NQM2 Class A3 |
| 09/25/2059 | 3.162% | | 3,854,238 | 3,856,052 |
| Genworth Mortgage Insurance Corp.(a),(b) |
| CMO Series 2019-1 Class M1 |
1-month USD LIBOR + 1.900%
Floor 1.900%
11/26/2029 | 3.674% | | 6,800,000 | 6,799,982 |
| Grand Avenue Mortgage Loan Trust(a) |
| CMO Series 2017-RPL1 Class A1 |
| 08/25/2064 | 3.250% | | 8,471,813 | 8,417,065 |
| Headlands Residential LLC(a) |
| CMO Series 2019-RPL1 |
| 06/25/2024 | 3.967% | | 8,000,000 | 8,064,010 |
| Homeward Opportunities Fund I Trust(a),(c) |
| CMO Series 2018-2 Class M1 |
| 11/25/2058 | 4.747% | | 13,570,000 | 14,044,950 |
| Homeward Opportunities Fund I Trust(a),(g) |
| CMO Series 2019-3 Class M1 |
| 11/25/2059 | 3.518% | | 6,172,000 | 6,171,987 |
| New Residential Mortgage LLC(a) |
| CMO Series 2018-FNT2 Class E |
| 07/25/2054 | 5.120% | | 3,484,879 | 3,482,701 |
| Subordinated CMO Series 2018-FNT1 Class D |
| 05/25/2023 | 4.690% | | 6,387,686 | 6,383,694 |
| Subordinated CMO Series 2018-FNT1 Class E |
| 05/25/2023 | 4.890% | | 2,622,313 | 2,652,791 |
| New Residential Mortgage Loan Trust(a),(g),(h) |
| CMO Series 2014-1A Class AIO |
| 01/25/2054 | 2.309% | | 20,365,139 | 821,098 |
| New Residential Mortgage Loan Trust(a),(g) |
| CMO Series 2019-RPL1 Class A1 |
| 02/26/2024 | 4.335% | | 5,578,338 | 5,623,587 |
| NRZ Excess Spread-Collateralized Notes(a) |
| Series 2018-PLS1 Class C |
| 01/25/2023 | 3.981% | | 4,276,782 | 4,296,424 |
| Subordinated CMO Series 2018-PLS2 Class B |
| 02/25/2023 | 3.709% | | 3,815,428 | 3,835,063 |
| Oaktown Re III Ltd.(a),(b) |
| CMO Series 2019-1A Class M1B |
1-month USD LIBOR + 1.950%
Floor 1.950%
07/25/2029 | 3.773% | | 5,500,000 | 5,502,015 |
| OMSR(a),(c),(e) |
| CMO Series 2019-PLS1 Class A |
| 11/25/2024 | 5.069% | | 10,000,000 | 9,999,978 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| PMT Credit Risk Transfer Trust(a),(b) |
| CMO Series 2019-1R Class A |
1-month USD LIBOR + 2.000%
Floor 2.000%
03/27/2024 | 3.805% | | 12,965,851 | 12,955,863 |
| Series 2019-2R Class A |
1-month USD LIBOR + 2.750%
Floor 2.750%
05/27/2023 | 4.555% | | 6,820,344 | 6,871,687 |
| PNMAC GMSR Issuer Trust(a),(b) |
| CMO Series 2018-GT1 Class A |
1-month USD LIBOR + 2.850%
Floor 2.850%
02/25/2023 | 4.558% | | 18,000,000 | 18,109,062 |
| CMO Series 2018-GT2 Class A |
1-month USD LIBOR + 2.650%
08/25/2025 | 4.473% | | 15,000,000 | 15,051,108 |
| Preston Ridge Partners Mortgage LLC(a),(g) |
| CMO Series 2017-3A Class A1 |
| 11/25/2022 | 3.470% | | 5,344,095 | 5,350,427 |
| CMO Series 2018-3A Class A1 |
| 10/25/2023 | 4.483% | | 9,874,027 | 9,985,034 |
| CMO Series 2019-1A Class A1 |
| 01/25/2024 | 4.500% | | 7,570,362 | 7,678,193 |
| Preston Ridge Partners Mortgage LLC(a) |
| CMO Series 2018-2A Class A1 |
| 08/25/2023 | 4.000% | | 6,414,369 | 6,418,735 |
| CMO Series 2018-2A Class A2 |
| 08/25/2023 | 5.000% | | 5,000,000 | 5,016,399 |
| Radnor Re Ltd.(a),(b) |
| CMO Series 2019-1 Class M1B |
1-month USD LIBOR + 1.950%
Floor 1.950%
02/25/2029 | 3.658% | | 3,600,000 | 3,597,844 |
| Radnor RE Ltd.(a),(b) |
| CMO Series 2019-2 Class M1B |
1-month USD LIBOR + 1.750%
Floor 1.750%
06/25/2029 | 3.458% | | 5,000,000 | 5,001,914 |
| RBSSP Resecuritization Trust(a),(g) |
| CMO Series 2012-1 Class 5A2 |
| 12/27/2035 | 3.951% | | 2,333,654 | 2,367,750 |
| RCO Trust(a),(g) |
| CMO Series 2018-VFS1 Class A3 |
| 12/26/2053 | 4.673% | | 12,442,824 | 12,661,966 |
| RCO V Mortgage LLC(a),(g) |
| CMO Series 2018-2 Class A1 |
| 10/25/2023 | 4.458% | | 3,190,807 | 3,204,310 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 13 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Residential Mortgage Loan Trust(a),(g) |
| CMO Series 2019-1 Class A3 |
| 10/25/2058 | 4.242% | | 3,460,281 | 3,503,476 |
| Starwood Mortgage Residential Trust(a),(g) |
| CMO Series 2018-IMC1 Class M1 |
| 03/25/2048 | 4.589% | | 4,000,000 | 4,074,068 |
| Toorak Mortgage Corp., Ltd.(g) |
| CMO Series 2019-2 Class A1 |
| 09/25/2022 | 3.721% | | 11,000,000 | 10,986,127 |
| Vendee Mortgage Trust(g),(h) |
| CMO Series 1998-1 Class 2IO |
| 03/15/2028 | 0.193% | | 979,732 | 4,670 |
| CMO Series 1998-3 Class IO |
| 03/15/2029 | 0.002% | | 1,137,470 | 90 |
| Vericrest Opportunity Loan Transferee LXXII LLC(a) |
| CMO Series 2018-NPL8 Class A1A |
| 10/26/2048 | 4.213% | | 2,218,932 | 2,220,298 |
| CMO Series 2018-NPL8 Class A1B |
| 10/26/2048 | 4.655% | | 18,000,000 | 18,105,498 |
| Vericrest Opportunity Loan Trust(a),(g) |
| CMO Series 2019-NPL5 Class A1A |
| 09/25/2049 | 3.352% | | 6,658,577 | 6,650,295 |
| CMO Series 2019-NPL8 Class A1B |
| 11/25/2049 | 4.090% | | 7,500,000 | 7,504,658 |
| Subordinated CMO Series 2019-NPL7 Class A1B |
| 10/25/2049 | 3.967% | | 8,000,000 | 7,983,812 |
| Verus Securitization Trust(a),(g) |
| CMO Series 2018-INV1 Class A2 |
| 03/25/2058 | 3.857% | | 1,669,558 | 1,670,536 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2018-INV1 Class A3 |
| 03/25/2058 | 4.059% | | 2,195,159 | 2,203,489 |
| CMO Series 2019-3 Class M1 |
| 07/25/2059 | 3.139% | | 4,495,000 | 4,515,359 |
| CMO Series 2019-INV3 Class A3 |
| 11/25/2059 | 3.100% | | 3,900,000 | 3,896,063 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $456,279,343) | 462,194,842 |
| Options Purchased Calls 0.1% |
| | | | | Value ($) |
| (Cost $2,812,500) | 1,747,545 |
| Money Market Funds 2.0% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.745%(l),(m) | 39,083,221 | 39,083,221 |
Total Money Market Funds
(Cost $39,083,155) | 39,083,221 |
Total Investments in Securities
(Cost: $2,498,753,693) | 2,519,857,305 |
| Other Assets & Liabilities, Net | | (528,481,785) |
| Net Assets | 1,991,375,520 |
At November 30, 2019, securities and/or cash totaling $2,984,939 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Treasury 5-Year Note | 856 | 03/2020 | USD | 101,837,250 | — | (14,748) |
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Long Bond | (20) | 03/2020 | USD | (3,179,375) | 2,305 | — |
| U.S. Treasury 10-Year Note | (1,324) | 03/2020 | USD | (171,271,813) | 195,204 | — |
| Total | | | | | 197,509 | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Quality Income Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
| Call option contracts purchased |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Cost ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 150,000,000 | 150,000,000 | 1.50 | 03/16/2020 | 1,807,500 | 884,040 |
| 10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA | Morgan Stanley | USD | 150,000,000 | 150,000,000 | 1.75 | 12/06/2019 | 1,005,000 | 863,505 |
| Total | | | | | | | 2,812,500 | 1,747,545 |
| Credit default swap contracts - buy protection |
Reference
entity | Counterparty | Maturity
date | Pay
fixed
rate
(%) | Payment
frequency | Notional
currency | Notional
amount | Value
($) | Periodic
payments
receivable
(payable)
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 6,500,000 | 97,865 | (2,708) | 282,497 | — | — | (187,340) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 7,000,000 | 105,395 | (2,917) | 380,068 | — | — | (277,590) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | USD | 6,000,000 | 90,337 | (2,500) | 375,205 | — | — | (287,368) |
| Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 5,000,000 | 140,499 | (2,083) | 247,368 | — | — | (108,952) |
| Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 7,000,000 | 196,701 | (2,917) | 455,523 | — | — | (261,739) |
| Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 10,000,000 | 281,000 | (4,166) | 566,999 | — | — | (290,165) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | USD | 6,000,000 | 90,338 | (2,500) | 378,672 | — | — | (290,834) |
| Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | USD | 15,000,000 | 421,500 | (6,250) | 794,848 | — | — | (379,598) |
| Total | | | | | | | 1,423,635 | (26,041) | 3,481,180 | — | — | (2,083,586) |
| Cleared credit default swap contracts - buy protection |
Reference
entity | Counterparty | Maturity
date | Pay
fixed
rate
(%) | Payment
frequency | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CDX North America High Yield Index, Series 32 | Morgan Stanley | 06/20/2024 | 5.000 | Quarterly | USD | 39,600,000 | (1,021,520) | — | — | — | (1,021,520) |
| 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 7 BBB- | Morgan Stanley | 01/17/2047 | 3.000 | Monthly | 3.030 | USD | 5,000,000 | (5,404) | 2,083 | — | (301,575) | 298,254 | — |
| * | 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. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 15 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Notes to Portfolio of Investments
| (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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At November 30, 2019, the total value of these securities amounted to $943,463,753, which represents 47.38% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of November 30, 2019. |
| (c) | Valuation based on significant unobservable inputs. |
| (d) | Represents shares owned in the residual interest of an asset-backed securitization. |
| (e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2019, the total value of these securities amounted to $18,425,524, which represents 0.93% of total net assets. |
| (f) | Zero coupon bond. |
| (g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of November 30, 2019. |
| (h) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (i) | Represents a security purchased on a when-issued basis. |
| (j) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (k) | Negligible market value. |
| (l) | The rate shown is the seven-day current annualized yield at November 30, 2019. |
| (m) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended November 30, 2019 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) —
affiliated
issuers ($) | Net change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($) | Dividends —
affiliated
issuers ($) | Value —
affiliated
issuers
at end of
period ($) |
| Columbia Short-Term Cash Fund, 1.745% |
| | 61,821,110 | 372,942,473 | (395,680,362) | 39,083,221 | 7,282 | 66 | 590,069 | 39,083,221 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the 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.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Quality Income Fund | Semiannual Report 2019 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at November 30, 2019:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Asset-Backed Securities — Non-Agency | — | 290,937,481 | 10,794,548 | 301,732,029 |
| Commercial Mortgage-Backed Securities - Agency | — | 56,041,046 | — | 56,041,046 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 190,714,152 | — | 190,714,152 |
| Residential Mortgage-Backed Securities - Agency | — | 1,468,344,470 | — | 1,468,344,470 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 435,027,756 | 27,167,086 | 462,194,842 |
| Options Purchased Calls | — | 1,747,545 | — | 1,747,545 |
| Money Market Funds | 39,083,221 | — | — | 39,083,221 |
| Total Investments in Securities | 39,083,221 | 2,442,812,450 | 37,961,634 | 2,519,857,305 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Futures Contracts | 197,509 | — | — | 197,509 |
| Swap Contracts | — | 298,254 | — | 298,254 |
| Liability | | | | |
| Futures Contracts | (14,748) | — | — | (14,748) |
| Swap Contracts | — | (3,105,106) | — | (3,105,106) |
| Total | 39,265,982 | 2,440,005,598 | 37,961,634 | 2,517,233,214 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Futures contracts and swap contracts are valued at unrealized appreciation (depreciation).
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| | Balance
as of
05/31/2019
($) | 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
($) | Balance
as of
11/30/2019
($) |
| Asset-Backed Securities — Non-Agency | 14,847,098 | 90,897 | — | (2,514,941) | — | (1,628,506) | — | — | 10,794,548 |
| Residential Mortgage-Backed Securities — Non-Agency | 16,872,297 | — | — | 294,811 | 9,999,978 | — | — | — | 27,167,086 |
| Total | 31,719,395 | 90,897 | — | (2,220,130) | 9,999,978 | (1,628,506) | — | — | 37,961,634 |
(a) Change in unrealized appreciation (depreciation) relating to securities held at November 30, 2019 was $(2,220,130), which is comprised of Asset-Backed Securities - Non-Agency of $(2,514,941) and Residential Mortgage-Backed Securities — Non-Agency of $294,811.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 17 |
Portfolio of Investments (continued)
November 30, 2019 (Unaudited)
Fair value measurements (continued)
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential and asset backed securities classified as Level 3 are valued using the market approach and utilize single market quotations from broker dealers which may have included, but not limited to, the distressed nature of the security and observable transactions for similar assets in the market. Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value measurement.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Quality Income Fund | Semiannual Report 2019 |
Statement of Assets and Liabilities
November 30, 2019 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,456,858,038) | $2,479,026,539 |
| Affiliated issuers (cost $39,083,155) | 39,083,221 |
| Options purchased (cost $2,812,500) | 1,747,545 |
| Margin deposits on: | |
| Swap contracts | 1,409,411 |
| Unrealized appreciation on swap contracts | 298,254 |
| Upfront payments on swap contracts | 3,481,180 |
| Receivable for: | |
| Investments sold | 24,742 |
| Capital shares sold | 4,083,714 |
| Dividends | 87,947 |
| Interest | 6,761,684 |
| Variation margin for futures contracts | 179,062 |
| Expense reimbursement due from Investment Manager | 1,363 |
| Prepaid expenses | 6,457 |
| Other assets | 4,765 |
| Total assets | 2,536,195,884 |
| Liabilities | |
| Due to custodian | 58,590 |
| Unrealized depreciation on swap contracts | 2,083,586 |
| Upfront receipts on swap contracts | 301,575 |
| Payable for: | |
| Investments purchased | 6,193,096 |
| Investments purchased on a delayed delivery basis | 530,814,790 |
| Capital shares purchased | 978,903 |
| Distributions to shareholders | 3,905,533 |
| Variation margin for swap contracts | 1,636 |
| Management services fees | 53,243 |
| Distribution and/or service fees | 7,385 |
| Transfer agent fees | 181,237 |
| Compensation of board members | 148,866 |
| Compensation of chief compliance officer | 209 |
| Other expenses | 91,715 |
| Total liabilities | 544,820,364 |
| Net assets applicable to outstanding capital stock | $1,991,375,520 |
| Represented by | |
| Paid in capital | 1,997,368,497 |
| Total distributable earnings (loss) | (5,992,977) |
| Total - representing net assets applicable to outstanding capital stock | $1,991,375,520 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 19 |
Statement of Assets and Liabilities (continued)
November 30, 2019 (Unaudited)
| Class A | |
| Net assets | $447,611,795 |
| Shares outstanding | 80,289,996 |
| Net asset value per share | $5.57 |
| 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) | $5.74 |
| Advisor Class | |
| Net assets | $113,236,101 |
| Shares outstanding | 20,322,145 |
| Net asset value per share | $5.57 |
| Class C | |
| Net assets | $21,863,389 |
| Shares outstanding | 3,915,408 |
| Net asset value per share | $5.58 |
| Institutional Class | |
| Net assets | $631,818,470 |
| Shares outstanding | 113,416,110 |
| Net asset value per share | $5.57 |
| Institutional 2 Class | |
| Net assets | $33,826,871 |
| Shares outstanding | 6,070,818 |
| Net asset value per share | $5.57 |
| Institutional 3 Class | |
| Net assets | $740,911,612 |
| Shares outstanding | 133,534,371 |
| Net asset value per share | $5.55 |
| Class R | |
| Net assets | $2,107,282 |
| Shares outstanding | 378,364 |
| Net asset value per share | $5.57 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Quality Income Fund | Semiannual Report 2019 |
Statement of Operations
Six Months Ended November 30, 2019 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $2,165,994 |
| Dividends — affiliated issuers | 590,069 |
| Interest | 31,923,434 |
| Total income | 34,679,497 |
| Expenses: | |
| Management services fees | 4,741,339 |
| Distribution and/or service fees | |
| Class A | 566,460 |
| Class C | 112,093 |
| Class R | 4,392 |
| Transfer agent fees | |
| Class A | 355,146 |
| Advisor Class | 79,182 |
| Class C | 17,568 |
| Institutional Class | 481,198 |
| Institutional 2 Class | 10,962 |
| Institutional 3 Class | 27,308 |
| Class R | 1,376 |
| Compensation of board members | 21,341 |
| Custodian fees | 25,512 |
| Printing and postage fees | 45,116 |
| Registration fees | 71,865 |
| Audit fees | 22,623 |
| Legal fees | 14,337 |
| Interest on collateral | 76,703 |
| Compensation of chief compliance officer | 209 |
| Other | 21,406 |
| Total expenses | 6,696,136 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (193,333) |
| Fees waived by transfer agent | |
| Institutional 2 Class | (432) |
| Expense reduction | (4,505) |
| Total net expenses | 6,497,866 |
| Net investment income | 28,181,631 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 10,001,039 |
| Investments — affiliated issuers | 7,282 |
| Futures contracts | 6,679,216 |
| Options purchased | 16,643,753 |
| Options contracts written | (21,714,392) |
| Swap contracts | (38,262) |
| Net realized gain | 11,578,636 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 10,173,845 |
| Investments — affiliated issuers | 66 |
| Futures contracts | (3,769,825) |
| Options purchased | (12,888,370) |
| Options contracts written | 15,144,400 |
| Swap contracts | (3,410,676) |
| Net change in unrealized appreciation (depreciation) | 5,249,440 |
| Net realized and unrealized gain | 16,828,076 |
| Net increase in net assets resulting from operations | $45,009,707 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 21 |
Statement of Changes in Net Assets
| | Six Months Ended
November 30, 2019
(Unaudited) | Year Ended
May 31, 2019 |
| Operations | | |
| Net investment income | $28,181,631 | $59,289,077 |
| Net realized gain (loss) | 11,578,636 | (5,487,893) |
| Net change in unrealized appreciation (depreciation) | 5,249,440 | 58,834,083 |
| Net increase in net assets resulting from operations | 45,009,707 | 112,635,267 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class A | (5,974,758) | (11,231,073) |
| Advisor Class | (1,452,785) | (2,306,445) |
| Class C | (210,961) | (408,780) |
| Institutional Class | (8,856,110) | (14,727,707) |
| Institutional 2 Class | (570,475) | (937,450) |
| Institutional 3 Class | (10,752,769) | (20,378,856) |
| Class R | (20,767) | (24,671) |
| Class T | — | (2,577) |
| Total distributions to shareholders | (27,838,625) | (50,017,559) |
| Increase (decrease) in net assets from capital stock activity | 72,216,556 | (105,974,940) |
| Total increase (decrease) in net assets | 89,387,638 | (43,357,232) |
| Net assets at beginning of period | 1,901,987,882 | 1,945,345,114 |
| Net assets at end of period | $1,991,375,520 | $1,901,987,882 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Columbia Quality Income Fund | Semiannual Report 2019 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | November 30, 2019 (Unaudited) | May 31, 2019 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class A | | | | |
| Subscriptions | 7,370,994 | 40,974,146 | 11,970,932 | 64,242,270 |
| Distributions reinvested | 767,763 | 4,275,465 | 1,471,294 | 7,916,664 |
| Redemptions | (9,982,094) | (55,504,963) | (23,955,366) | (127,921,903) |
| Net decrease | (1,843,337) | (10,255,352) | (10,513,140) | (55,762,969) |
| Advisor Class | | | | |
| Subscriptions | 6,063,517 | 33,727,471 | 6,934,542 | 37,226,888 |
| Distributions reinvested | 181,083 | 1,007,700 | 287,982 | 1,548,840 |
| Redemptions | (2,345,152) | (13,048,509) | (6,861,203) | (36,641,228) |
| Net increase | 3,899,448 | 21,686,662 | 361,321 | 2,134,500 |
| Class C | | | | |
| Subscriptions | 392,332 | 2,183,807 | 555,406 | 2,994,174 |
| Distributions reinvested | 35,708 | 199,012 | 70,923 | 382,433 |
| Redemptions | (631,002) | (3,512,602) | (2,090,248) | (11,172,441) |
| Net decrease | (202,962) | (1,129,783) | (1,463,919) | (7,795,834) |
| Institutional Class | | | | |
| Subscriptions | 17,750,961 | 98,667,089 | 46,831,622 | 250,777,561 |
| Distributions reinvested | 1,191,000 | 6,626,845 | 1,949,794 | 10,496,985 |
| Redemptions | (14,752,905) | (81,979,482) | (39,834,104) | (212,981,235) |
| Net increase | 4,189,056 | 23,314,452 | 8,947,312 | 48,293,311 |
| Institutional 2 Class | | | | |
| Subscriptions | 1,052,037 | 5,848,259 | 3,962,690 | 21,217,275 |
| Distributions reinvested | 102,313 | 569,277 | 174,084 | 937,101 |
| Redemptions | (1,890,331) | (10,508,532) | (3,738,737) | (19,969,399) |
| Net increase (decrease) | (735,981) | (4,090,996) | 398,037 | 2,184,977 |
| Institutional 3 Class | | | | |
| Subscriptions | 16,261,298 | 90,063,199 | 29,217,804 | 156,038,543 |
| Distributions reinvested | 1,938,617 | 10,747,972 | 3,791,818 | 20,297,507 |
| Redemptions | (10,604,668) | (58,758,590) | (51,061,851) | (271,798,342) |
| Net increase (decrease) | 7,595,247 | 42,052,581 | (18,052,229) | (95,462,292) |
| Class R | | | | |
| Subscriptions | 143,102 | 795,604 | 193,955 | 1,040,207 |
| Distributions reinvested | 3,706 | 20,621 | 4,534 | 24,452 |
| Redemptions | (31,840) | (177,233) | (72,870) | (392,144) |
| Net increase | 114,968 | 638,992 | 125,619 | 672,515 |
| Class T | | | | |
| Subscriptions | — | — | 15 | 116 |
| Distributions reinvested | — | — | 421 | 2,239 |
| Redemptions | — | — | (45,229) | (241,503) |
| Net decrease | — | — | (44,793) | (239,148) |
| Total net increase (decrease) | 13,016,439 | 72,216,556 | (20,241,792) | (105,974,940) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 23 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | Net asset value,
beginning of
period | Net
investment
income | 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 11/30/2019 (Unaudited) | $5.53 | 0.07 | 0.04 | 0.11 | (0.07) | — | (0.07) |
| Year Ended 5/31/2019 | $5.34 | 0.16 | 0.16 | 0.32 | (0.13) | — | (0.13) |
| Year Ended 5/31/2018 | $5.48 | 0.14 | (0.13) | 0.01 | (0.15) | — | (0.15) |
| Year Ended 5/31/2017 | $5.48 | 0.13 | 0.01 | 0.14 | (0.11) | (0.03) | (0.14) |
| Year Ended 5/31/2016 | $5.55 | 0.13 | (0.05) | 0.08 | (0.13) | (0.02) | (0.15) |
| Year Ended 5/31/2015 | $5.48 | 0.13 | 0.08 | 0.21 | (0.14) | — | (0.14) |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $5.52 | 0.08 | 0.05 | 0.13 | (0.08) | — | (0.08) |
| Year Ended 5/31/2019 | $5.34 | 0.17 | 0.16 | 0.33 | (0.15) | — | (0.15) |
| Year Ended 5/31/2018 | $5.48 | 0.15 | (0.12) | 0.03 | (0.17) | — | (0.17) |
| Year Ended 5/31/2017 | $5.47 | 0.14 | 0.02 | 0.16 | (0.12) | (0.03) | (0.15) |
| Year Ended 5/31/2016 | $5.55 | 0.14 | (0.06) | 0.08 | (0.14) | (0.02) | (0.16) |
| Year Ended 5/31/2015 | $5.48 | 0.15 | 0.07 | 0.22 | (0.15) | — | (0.15) |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $5.53 | 0.05 | 0.05 | 0.10 | (0.05) | — | (0.05) |
| Year Ended 5/31/2019 | $5.35 | 0.12 | 0.15 | 0.27 | (0.09) | — | (0.09) |
| Year Ended 5/31/2018 | $5.49 | 0.10 | (0.13) | (0.03) | (0.11) | — | (0.11) |
| Year Ended 5/31/2017 | $5.49 | 0.09 | 0.01 | 0.10 | (0.07) | (0.03) | (0.10) |
| Year Ended 5/31/2016 | $5.56 | 0.09 | (0.05) | 0.04 | (0.09) | (0.02) | (0.11) |
| Year Ended 5/31/2015 | $5.49 | 0.09 | 0.08 | 0.17 | (0.10) | — | (0.10) |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $5.52 | 0.08 | 0.05 | 0.13 | (0.08) | — | (0.08) |
| Year Ended 5/31/2019 | $5.33 | 0.17 | 0.17 | 0.34 | (0.15) | — | (0.15) |
| Year Ended 5/31/2018 | $5.48 | 0.15 | (0.13) | 0.02 | (0.17) | — | (0.17) |
| Year Ended 5/31/2017 | $5.47 | 0.14 | 0.02 | 0.16 | (0.12) | (0.03) | (0.15) |
| Year Ended 5/31/2016 | $5.55 | 0.14 | (0.06) | 0.08 | (0.14) | (0.02) | (0.16) |
| Year Ended 5/31/2015 | $5.48 | 0.14 | 0.08 | 0.22 | (0.15) | — | (0.15) |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $5.52 | 0.08 | 0.05 | 0.13 | (0.08) | — | (0.08) |
| Year Ended 5/31/2019 | $5.34 | 0.18 | 0.15 | 0.33 | (0.15) | — | (0.15) |
| Year Ended 5/31/2018 | $5.48 | 0.16 | (0.13) | 0.03 | (0.17) | — | (0.17) |
| Year Ended 5/31/2017 | $5.48 | 0.15 | 0.01 | 0.16 | (0.13) | (0.03) | (0.16) |
| Year Ended 5/31/2016 | $5.55 | 0.15 | (0.05) | 0.10 | (0.15) | (0.02) | (0.17) |
| Year Ended 5/31/2015 | $5.48 | 0.15 | 0.07 | 0.22 | (0.15) | — | (0.15) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Columbia Quality Income Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $5.57 | 2.05% | 0.93%(c),(d) | 0.91%(c),(d),(e) | 2.68%(c) | 156% | $447,612 |
| Year Ended 5/31/2019 | $5.53 | 6.12% | 0.93%(d) | 0.92%(d),(e) | 2.96% | 302% | $453,821 |
| Year Ended 5/31/2018 | $5.34 | 0.22% | 0.93% | 0.91%(e) | 2.58% | 311% | $494,616 |
| Year Ended 5/31/2017 | $5.48 | 2.56% | 0.91%(f) | 0.88%(e),(f) | 2.32% | 338% | $559,807 |
| Year Ended 5/31/2016 | $5.48 | 1.45% | 0.97% | 0.89%(e) | 2.39% | 328% | $670,575 |
| Year Ended 5/31/2015 | $5.55 | 3.80% | 0.97% | 0.87%(e) | 2.34% | 358% | $575,613 |
| Advisor Class |
| Six Months Ended 11/30/2019 (Unaudited) | $5.57 | 2.36% | 0.68%(c),(d) | 0.66%(c),(d),(e) | 2.93%(c) | 156% | $113,236 |
| Year Ended 5/31/2019 | $5.52 | 6.21% | 0.68%(d) | 0.67%(d),(e) | 3.22% | 302% | $90,690 |
| Year Ended 5/31/2018 | $5.34 | 0.48% | 0.67% | 0.67%(e) | 2.83% | 311% | $85,695 |
| Year Ended 5/31/2017 | $5.48 | 3.01% | 0.66%(f) | 0.63%(e),(f) | 2.64% | 338% | $80,482 |
| Year Ended 5/31/2016 | $5.47 | 1.51% | 0.72% | 0.65%(e) | 2.64% | 328% | $51,857 |
| Year Ended 5/31/2015 | $5.55 | 4.07% | 0.72% | 0.63%(e) | 2.67% | 358% | $21,401 |
| Class C |
| Six Months Ended 11/30/2019 (Unaudited) | $5.58 | 1.86% | 1.68%(c),(d) | 1.66%(c),(d),(e) | 1.92%(c) | 156% | $21,863 |
| Year Ended 5/31/2019 | $5.53 | 5.14% | 1.68%(d) | 1.67%(d),(e) | 2.20% | 302% | $22,792 |
| Year Ended 5/31/2018 | $5.35 | (0.53%) | 1.67% | 1.66%(e) | 1.84% | 311% | $29,850 |
| Year Ended 5/31/2017 | $5.49 | 1.80% | 1.66%(f) | 1.63%(e),(f) | 1.58% | 338% | $45,314 |
| Year Ended 5/31/2016 | $5.49 | 0.68% | 1.72% | 1.64%(e) | 1.63% | 328% | $47,429 |
| Year Ended 5/31/2015 | $5.56 | 3.04% | 1.71% | 1.62%(e) | 1.58% | 358% | $36,855 |
| Institutional Class |
| Six Months Ended 11/30/2019 (Unaudited) | $5.57 | 2.36% | 0.68%(c),(d) | 0.66%(c),(d),(e) | 2.93%(c) | 156% | $631,818 |
| Year Ended 5/31/2019 | $5.52 | 6.41% | 0.68%(d) | 0.67%(d),(e) | 3.23% | 302% | $603,089 |
| Year Ended 5/31/2018 | $5.33 | 0.29% | 0.67% | 0.66%(e) | 2.83% | 311% | $534,970 |
| Year Ended 5/31/2017 | $5.48 | 3.01% | 0.66%(f) | 0.63%(e),(f) | 2.60% | 338% | $619,001 |
| Year Ended 5/31/2016 | $5.47 | 1.51% | 0.72% | 0.64%(e) | 2.63% | 328% | $545,140 |
| Year Ended 5/31/2015 | $5.55 | 4.07% | 0.71% | 0.62%(e) | 2.58% | 358% | $447,990 |
| Institutional 2 Class |
| Six Months Ended 11/30/2019 (Unaudited) | $5.57 | 2.42% | 0.58%(c),(d) | 0.56%(c),(d) | 3.02%(c) | 156% | $33,827 |
| Year Ended 5/31/2019 | $5.52 | 6.32% | 0.58%(d) | 0.56%(d) | 3.34% | 302% | $37,589 |
| Year Ended 5/31/2018 | $5.34 | 0.58% | 0.57% | 0.57% | 2.91% | 311% | $34,203 |
| Year Ended 5/31/2017 | $5.48 | 2.90% | 0.55%(f) | 0.54%(f) | 2.70% | 338% | $25,782 |
| Year Ended 5/31/2016 | $5.48 | 1.82% | 0.57% | 0.54% | 2.74% | 328% | $22,770 |
| Year Ended 5/31/2015 | $5.55 | 4.15% | 0.57% | 0.54% | 2.71% | 358% | $11,921 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 25 |
Financial Highlights (continued)
| | Net asset value,
beginning of
period | Net
investment
income | 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 11/30/2019 (Unaudited) | $5.50 | 0.08 | 0.05 | 0.13 | (0.08) | — | (0.08) |
| Year Ended 5/31/2019 | $5.31 | 0.18 | 0.16 | 0.34 | (0.15) | — | (0.15) |
| Year Ended 5/31/2018 | $5.46 | 0.16 | (0.14) | 0.02 | (0.17) | — | (0.17) |
| Year Ended 5/31/2017 | $5.45 | 0.17 | 0.00(g) | 0.17 | (0.13) | (0.03) | (0.16) |
| Year Ended 5/31/2016 | $5.52 | 0.15 | (0.05) | 0.10 | (0.15) | (0.02) | (0.17) |
| Year Ended 5/31/2015(h) | $5.44 | 0.10 | 0.08 | 0.18 | (0.10) | — | (0.10) |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $5.52 | 0.07 | 0.05 | 0.12 | (0.07) | — | (0.07) |
| Year Ended 5/31/2019 | $5.33 | 0.15 | 0.16 | 0.31 | (0.12) | — | (0.12) |
| Year Ended 5/31/2018 | $5.48 | 0.13 | (0.14) | (0.01) | (0.14) | — | (0.14) |
| Year Ended 5/31/2017 | $5.47 | 0.14 | (0.01)(i) | 0.13 | (0.09) | (0.03) | (0.12) |
| Year Ended 5/31/2016(j) | $5.43 | 0.03 | 0.03(i) | 0.06 | (0.02) | — | (0.02) |
| 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 | 11/30/2019 | 5/31/2019 |
| Class A | 0.01% | less than 0.01% |
| Advisor Class | 0.01% | less than 0.01% |
| Class C | 0.01% | less than 0.01% |
| Institutional Class | 0.01% | less than 0.01% |
| Institutional 2 Class | 0.01% | less than 0.01% |
| Institutional 3 Class | 0.01% | less than 0.01% |
| Class R | 0.01% | less than 0.01% |
| (e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (f) | Expenses have been reduced due to a reimbursement of expenses overbilled by a third party. If the reimbursement had been excluded, the expense ratios would have been higher by the percentages shown for each class in the table below. All fee waivers and expense reimbursements by the Investment Manager and its affiliates were applied before giving effect to this third party reimbursement. |
| Year Ended | Class A | Advisor
Class | Class C | Institutional
Class | Institutional 2
Class | Institutional 3
Class | Class R |
| 05/31/2017 | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% | 0.01% | 0.01% |
| (g) | Rounds to zero. |
| (h) | Institutional 3 Class shares commenced operations on October 1, 2014. Per share data and total return reflect activity from that date. |
| (i) | 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. |
| (j) | Class R shares commenced operations on March 1, 2016. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | Columbia Quality Income Fund | Semiannual Report 2019 |
Financial Highlights (continued)
| | 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 11/30/2019 (Unaudited) | $5.55 | 2.44% | 0.53%(c),(d) | 0.51%(c),(d) | 3.08%(c) | 156% | $740,912 |
| Year Ended 5/31/2019 | $5.50 | 6.58% | 0.52%(d) | 0.51%(d) | 3.37% | 302% | $692,552 |
| Year Ended 5/31/2018 | $5.31 | 0.43% | 0.52% | 0.52% | 2.98% | 311% | $765,037 |
| Year Ended 5/31/2017 | $5.46 | 3.16% | 0.51%(f) | 0.51%(f) | 3.13% | 338% | $784,343 |
| Year Ended 5/31/2016 | $5.45 | 1.84% | 0.52% | 0.49% | 2.75% | 328% | $48,156 |
| Year Ended 5/31/2015(h) | $5.52 | 3.41% | 0.52%(c) | 0.50%(c) | 2.81%(c) | 358% | $1,228 |
| Class R |
| Six Months Ended 11/30/2019 (Unaudited) | $5.57 | 2.11% | 1.18%(c),(d) | 1.16%(c),(d),(e) | 2.43%(c) | 156% | $2,107 |
| Year Ended 5/31/2019 | $5.52 | 5.87% | 1.19%(d) | 1.17%(d),(e) | 2.76% | 302% | $1,454 |
| Year Ended 5/31/2018 | $5.33 | (0.21%) | 1.17% | 1.16%(e) | 2.34% | 311% | $735 |
| Year Ended 5/31/2017 | $5.48 | 2.50% | 1.17%(f) | 1.14%(e),(f) | 2.58% | 338% | $984 |
| Year Ended 5/31/2016(j) | $5.47 | 1.20% | 1.20%(c) | 1.15%(c) | 1.95%(c) | 328% | $10 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Quality Income Fund | Semiannual Report 2019
| 27 |
Notes to Financial Statements
November 30, 2019 (Unaudited)
Note 1. Organization
Columbia Quality Income Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have different minimum initial investment amounts and pay different distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the Fund’s prospectus.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Asset- and mortgage-backed securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data, including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage, prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or exchange bid quote from an approved independent broker-dealer.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
| 28 | Columbia Quality Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Option contracts are valued at the mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using mid-market evaluations from independent third-party vendors.
Swap transactions are valued through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
Columbia Quality Income Fund | Semiannual Report 2019
| 29 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown on the Statement of Operations. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and wrote option contracts to manage exposure to fluctuations in interest rates and to manage interest rate risk. These instruments
| 30 | Columbia Quality Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Cash collateral may be collected or posted by the Fund to secure certain over-the-counter option contract trades. Cash collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund will realize a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption agreement will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
When the Fund writes an interest rate swaption contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the interest rate swaption contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the expiration date as realized gains from options written in the Statement of Operations. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also recorded as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts are reflected as net realized gain (loss) on options written in the Statement of Operations.
Swap contracts
Swap contracts are negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. Unlike a bilateral swap contract, for centrally cleared swap contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are
Columbia Quality Income Fund | Semiannual Report 2019
| 31 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities.
Entering into these contracts involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit default swap contracts to increase or decrease its credit exposure to an index and to manage credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are agreements in which one party pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront payments or receipts by the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging risk, correlation risk and liquidity risk.
| 32 | Columbia Quality Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at November 30, 2019:
| | 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 | 298,254* |
| Credit risk | Upfront payments on swap contracts | 3,481,180 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 197,509* |
| Interest rate risk | Investments, at value — Options purchased | 1,747,545 |
| Total | | 5,724,488 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 3,105,106* |
| Credit risk | Upfront receipts on swap contracts | 301,575 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 14,748* |
| Total | | 3,421,429 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day��s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended November 30, 2019:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | (38,262) | (38,262) |
| Interest rate risk | 6,679,216 | (21,714,392) | 16,643,753 | — | 1,608,577 |
| Total | 6,679,216 | (21,714,392) | 16,643,753 | (38,262) | 1,570,315 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | (3,410,676) | (3,410,676) |
| Interest rate risk | (3,769,825) | 15,144,400 | (12,888,370) | — | (1,513,795) |
| Total | (3,769,825) | 15,144,400 | (12,888,370) | (3,410,676) | (4,924,471) |
Columbia Quality Income Fund | Semiannual Report 2019
| 33 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended November 30, 2019:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 238,652,450 |
| Futures contracts — short | 88,878,094 |
| Credit default swap contracts — buy protection | 84,700,000 |
| Credit default swap contracts — sell protection | 5,000,000 |
| Derivative instrument | Average
value ($)* |
| Options contracts — purchased | 3,806,370 |
| Options contracts — written | (6,265,461) |
| * | Based on the ending quarterly outstanding amounts for the six months ended November 30, 2019. |
Asset- and mortgage-backed securities
The Fund may invest in asset-backed and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion, of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage “dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type, coupon and maturity) on a specified future date. During the roll period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price.
| 34 | Columbia Quality Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
For financial reporting and tax purposes, the Fund treats “to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may increase the Fund’s portfolio turnover rate. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
Interest only and principal only securities
The Fund may invest in Interest Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income on the Statement of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statement of Operations. POs are stripped securities entitled to receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of November 30, 2019:
| | Citi ($) (a) | Citi ($) (a) | Morgan
Stanley ($) (a) | Morgan
Stanley ($) (a) | Total ($) |
| Assets | | | | | |
| Options purchased calls | 884,040 | - | 863,505 | - | 1,747,545 |
| OTC credit default swap contracts (b) | - | 894,506 | 503,088 | - | 1,397,594 |
| Total assets | 884,040 | 894,506 | 1,366,593 | - | 3,145,139 |
| Liabilities | | | | | |
| Centrally cleared credit default swap contracts (c) | - | - | - | 1,636 | 1,636 |
| OTC credit default swap contracts (b) | - | - | 3,321 | - | 3,321 |
| Total liabilities | - | - | 3,321 | 1,636 | 4,957 |
| Total financial and derivative net assets | 884,040 | 894,506 | 1,363,272 | (1,636) | 3,140,182 |
| Total collateral received (pledged) (d) | 884,040 | 767,000 | 1,363,272 | (1,636) | 3,012,676 |
| Net amount (e) | - | 127,506 | - | - | 127,506 |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | 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. |
| (c) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (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. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Columbia Quality Income Fund | Semiannual Report 2019
| 35 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Dividend income is recorded on the ex-dividend date.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to shareholders
Distributions from net investment income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. The standard is effective for annual periods beginning after December 15, 2019 and interim periods within those fiscal years, with early adoption permitted. After evaluation, management determined to adopt the ASU effective for the period ended July 31, 2019 and all subsequent periods. To comply with the ASU, management implemented disclosure changes which include removal of the
| 36 | Columbia Quality Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, removal of the policy for the timing of transfers between levels, removal of the description of the Level 3 valuation processes, as well as modifications to the measurement uncertainty disclosure.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.50% to 0.34% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended November 30, 2019 was 0.49% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class. In addition, effective October 1, 2019 through September 30, 2020, Institutional 2 Class shares are subject to a contractual transfer agency fee annual limitation of not more than 0.05% of the average daily net assets attributable to Institutional 2 Class shares.
Columbia Quality Income Fund | Semiannual Report 2019
| 37 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
For the six months ended November 30, 2019, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| | Effective rate (%) |
| Class A | 0.16 |
| Advisor Class | 0.16 |
| Class C | 0.16 |
| Institutional Class | 0.16 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
| Class R | 0.16 |
An annual minimum account balance fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended November 30, 2019, these minimum account balance fees reduced total expenses of the Fund by $4,505.
Distribution and service fees
The Fund has entered into an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. Under a Plan and Agreement of Distribution, the Fund pays a fee at the maximum annual rates of up to 0.25%, 1.00% and 0.50% of the Fund’s average daily net assets attributable to Class A, Class C and Class R shares, respectively. For Class C shares, of the 1.00% fee, up to 0.75% can be reimbursed for distribution expenses and up to an additional 0.25% can be reimbursed for shareholder servicing expenses. For Class R shares, of the 0.50% fee, up to 0.25% can be reimbursed for shareholder servicing expenses.
The amount of distribution and shareholder services expenses incurred by the Distributor and not yet reimbursed (unreimbursed expense) was approximately $323,000 for Class C shares. This amount is based on the most recent information available as of September 30, 2019, and may be recovered from future payments under the distribution plan or contingent deferred sales charges (CDSCs). To the extent the unreimbursed expense has been fully recovered, the distribution and/or shareholder services fee is reduced.
Sales charges
Sales charges, including front-end charges and CDSCs, received by the Distributor for distributing Fund shares for the six months ended November 30, 2019, if any, are listed below:
| | Front End (%) | CDSC (%) | Amount ($) |
| Class A | 3.00 | 0.50 - 1.00(a) | 43,336 |
| Class C | — | 1.00(b) | 193 |
| (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. |
The Fund’s other share classes are not subject to sales charges.
| 38 | Columbia Quality Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | October 1, 2019
through
September 30, 2020 | Prior to
October 1, 2019 |
| Class A | 0.91% | 0.91% |
| Advisor Class | 0.66 | 0.66 |
| Class C | 1.66 | 1.66 |
| Institutional Class | 0.66 | 0.66 |
| Institutional 2 Class | 0.55 | 0.55 |
| Institutional 3 Class | 0.51 | 0.50 |
| Class R | 1.16 | 1.16 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. In addition to the contractual agreement, the Investment Manager and certain of its affiliates have voluntarily agreed to waive fees and/or reimburse Fund expenses (excluding certain fees and expenses described above) so that Fund level expenses (expenses directly attributable to the Fund and not to a specific share class) are waived proportionately across all share classes, but the Fund’s net operating expenses shall not exceed the contractual annual rates listed in the table above. This arrangement may be revised or discontinued at any time. Reflected in the contractual cap commitment, effective October 1, 2019 through September 30, 2020, is the Transfer Agent’s contractual agreement to limit total transfer agency fees to an annual rate of not more than 0.05% for Institutional 2 Class of the average daily net assets attributable to Institutional 2 Class, unless sooner terminated at the sole discretion of the Board of Trustees. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At November 30, 2019, the approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 2,502,235,000 | 52,012,000 | (33,533,000) | 18,479,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Columbia Quality Income Fund | Semiannual Report 2019
| 39 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
The following capital loss carryforwards, determined at May 31, 2019, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| — | 32,192,326 | 32,192,326 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $3,898,134,689 and $3,731,288,813, respectively, for the six months ended November 30, 2019, of which $3,638,310,258 and $3,582,092,044, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended November 30, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The
| 40 | Columbia Quality Income Fund | Semiannual Report 2019 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in December unless extended or renewed.
The Fund had no borrowings during the six months ended November 30, 2019.
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
LIBOR replacement risk
The elimination of London Inter-Bank Offered Rate (LIBOR) may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. The U.K. Financial Conduct Authority has announced that it intends to stop compelling or inducing banks to submit LIBOR rates after 2021. However, it remains unclear if LIBOR will continue to exist in its current, or a modified, form. Alternatives to LIBOR are established or in development in most major currencies including the Secured Overnight Financing Rate (SOFR), that is intended to replace U.S. dollar LIBOR. Markets are slowly developing in response to these new reference rates. Questions around liquidity impacted by these rates, and how to appropriately adjust these rates at the time of transition, remain a concern for the Fund. The effect of any changes to, or discontinuation of, LIBOR on the Fund will vary, and it is difficult to predict the full impact of the transition away from LIBOR on the Fund until new reference rates and fallbacks for both legacy and new products, instruments and contracts are commercially accepted and market practices become settled.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements; or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities issued by
Columbia Quality Income Fund | Semiannual Report 2019
| 41 |
Notes to Financial Statements (continued)
November 30, 2019 (Unaudited)
non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more sensitive to changes in interest rates.
Shareholder concentration risk
At November 30, 2019, one unaffiliated shareholder of record owned 14.8% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of record owned 49.1% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 42 | Columbia Quality Income Fund | Semiannual Report 2019 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Quality Income Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in November 2018 and January, March, April and June 2019, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board (who is an Independent Trustee) and the Chair of the Contracts Committee (who is an Independent Trustee), and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 17-19, 2019 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as its history, reputation, expertise, resources and capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by Columbia Threadneedle, including, in particular, the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2019 initiatives. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2018 in the performance of administrative services, and noted the various enhancements anticipated for 2019. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its relatively strong cash position and solid balance sheet.
Columbia Quality Income Fund | Semiannual Report 2019
| 43 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds under the Management Agreement. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods (including since manager inception): the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group, the product score of the Fund (taking into account performance relative to peers and benchmarks) and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of Columbia Threadneedle’s profitability, particularly in comparison to industry competitors, the reasonableness of the Funds’ fee rates, and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the primary objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2018 the Board had concluded that 2017 profitability was reasonable and that the 2019 information shows that the profitability generated by Columbia Threadneedle in 2018 only slightly increased from 2017 levels. The Board also noted JDL’s report and its conclusion that 2018 Columbia Threadneedle profitability relative to industry competitors was reasonable. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 44 | Columbia Quality Income Fund | Semiannual Report 2019 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by the Fund as its net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 19, 2019, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Quality Income Fund | Semiannual Report 2019
| 45 |
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Quality Income Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
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.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(b)Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940
(17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
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 II | |
By (Signature and Title) | /s/ Christopher O. Petersen |
| | | Christopher O. Petersen, President and Principal Executive Officer |
Date | | January 22, 2020 |
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/ Christopher O. Petersen | |
| | Christopher O. Petersen, President and Principal Executive Officer |
Date | | January 22, 2020 | |
By (Signature and Title) | /s/ Michael G. Clarke | |
| | Michael G. Clarke, Chief Financial Officer, Principal Financial Officer |
| | and Senior Vice President |
Date | | January 22, 2020 | |
By (Signature and Title) | /s/ Joseph Beranek | |
| | Joseph Beranek, Treasurer, Chief Accounting Officer and Principal Financial |
| | Officer |
Date | | January 22, 2020 | |
