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Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Class 1 | $ 23 | 0.46 % |
Fund net assets | $ 869,779,107 |
Total number of portfolio holdings | 299 |
Portfolio turnover for the reporting period | 151% |
Uniform Mortgage-Backed Security TBA 07/15/2054 3.500% | 5.9 % |
Government National Mortgage Association TBA 07/22/2054 4.500% | 4.4 % |
Uniform Mortgage-Backed Security TBA 07/15/2054 5.000% | 3.6 % |
Uniform Mortgage-Backed Security TBA 07/15/2054 6.000% | 2.9 % |
Uniform Mortgage-Backed Security TBA 07/15/2054 4.000% | 2.7 % |
Uniform Mortgage-Backed Security TBA 07/15/2054 4.500% | 2.5 % |
Federal National Mortgage Association 03/25/2028 3.129% | 2.5 % |
Uniform Mortgage-Backed Security TBA 07/15/2054 2.000% | 2.3 % |
Federal National Mortgage Association 12/01/2050 2.000% | 2.1 % |
Federal National Mortgage Association 08/01/2052 4.000% | 1.9 % |
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Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Class 2 | $ 35 | 0.71 % |
Fund net assets | $ 869,779,107 |
Total number of portfolio holdings | 299 |
Portfolio turnover for the reporting period | 151% |
Uniform Mortgage-Backed Security TBA 07/15/2054 3.500% | 5.9% |
Government National Mortgage Association TBA 07/22/2054 4.500% | 4.4% |
Uniform Mortgage-Backed Security TBA 07/15/2054 5.000% | 3.6% |
Uniform Mortgage-Backed Security TBA 07/15/2054 6.000% | 2.9% |
Uniform Mortgage-Backed Security TBA 07/15/2054 4.000% | 2.7% |
Uniform Mortgage-Backed Security TBA 07/15/2054 4.500% | 2.5% |
Federal National Mortgage Association 03/25/2028 3.129% | 2.5% |
Uniform Mortgage-Backed Security TBA 07/15/2054 2.000% | 2.3% |
Federal National Mortgage Association 12/01/2050 2.000% | 2.1% |
Federal National Mortgage Association 08/01/2052 4.000% | 1.9% |
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Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Class 3 | $ 29 | 0.58 % |
Fund net assets | $ 869,779,107 |
Total number of portfolio holdings | 299 |
Portfolio turnover for the reporting period | 151% |
Uniform Mortgage-Backed Security TBA 07/15/2054 3.500% | 5.9% |
Government National Mortgage Association TBA 07/22/2054 4.500% | 4.4% |
Uniform Mortgage-Backed Security TBA 07/15/2054 5.000% | 3.6% |
Uniform Mortgage-Backed Security TBA 07/15/2054 6.000% | 2.9% |
Uniform Mortgage-Backed Security TBA 07/15/2054 4.000% | 2.7% |
Uniform Mortgage-Backed Security TBA 07/15/2054 4.500% | 2.5% |
Federal National Mortgage Association 03/25/2028 3.129% | 2.5% |
Uniform Mortgage-Backed Security TBA 07/15/2054 2.000% | 2.3% |
Federal National Mortgage Association 12/01/2050 2.000% | 2.1% |
Federal National Mortgage Association 08/01/2052 4.000% | 1.9% |
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
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 7 of this Form N-CSR.
(b) Not applicable.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
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Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Asset-Backed Securities - Non-Agency 5.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACM Auto Trust(a) | ||||
Series 2023-2A Class A | ||||
06/20/2030 | 7.970% | 1,072,387 | 1,075,879 | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class B | ||||
3-month Term SOFR + 1.962% Floor 1.700% 01/20/2031 | 7.286% | 4,125,000 | 4,129,682 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class BR | ||||
3-month Term SOFR + 1.962% Floor 1.700% 10/15/2030 | 7.290% | 2,750,000 | 2,750,036 | |
Series 2013-4A Class BRR | ||||
3-month Term SOFR + 1.682% Floor 1.420% 01/15/2031 | 7.010% | 6,500,000 | 6,501,274 | |
Lendingpoint Asset Securitization Trust(a) | ||||
Series 2022-C Class A | ||||
02/15/2030 | 6.560% | 380,048 | 379,920 | |
Madison Park Funding XVIII Ltd.(a),(b) | ||||
Series 2015-18A Class CRR | ||||
3-month Term SOFR + 2.162% Floor 1.900% 10/21/2030 | 7.486% | 8,000,000 | 8,003,760 | |
Marlette Funding Trust(a) | ||||
Series 2023-2A Class A | ||||
06/15/2033 | 6.040% | 453,093 | 453,270 | |
OZLM XI Ltd.(a),(b) | ||||
Series 2015-11A Class A2R | ||||
3-month Term SOFR + 2.012% 10/30/2030 | 7.341% | 3,000,000 | 3,004,461 | |
Pagaya AI Debt Grantor Trust(a) | ||||
Subordinated Series 2024-5 Class C | ||||
10/15/2031 | 7.270% | 2,000,000 | 2,004,799 | |
Subordinated Series 2024-6 Class B | ||||
11/15/2031 | 6.589% | 2,900,000 | 2,903,984 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-5 Class A | ||||
06/17/2030 | 8.096% | 1,335,197 | 1,347,782 | |
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 1,999,735 | 1,971,078 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2021-4A Class B | ||||
3-month Term SOFR + 2.012% Floor 1.750% 10/15/2029 | 7.340% | 5,250,000 | 5,243,102 |
Asset-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RR 3 Ltd.(a),(b) | ||||
Series 2014-14A Class A2R2 | ||||
3-month Term SOFR + 1.662% Floor 1.400% 01/15/2030 | 6.990% | 3,750,000 | 3,754,316 | |
Sound Point IV-R CLO Ltd.(a),(b) | ||||
Series 2013-3RA Class B | ||||
3-month Term SOFR + 2.012% Floor 1.750% 04/18/2031 | 7.339% | 5,000,000 | 5,000,650 | |
Theorem Funding Trust(a) | ||||
Series 2022-3A Class A | ||||
04/15/2029 | 7.600% | 872,043 | 878,307 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST2 Class A | ||||
04/20/2027 | 2.500% | 215,796 | 213,220 | |
Upstart Securitization Trust(a) | ||||
Subordinated Series 2021-4 Class B | ||||
09/20/2031 | 1.840% | 1,118,296 | 1,103,992 | |
Total Asset-Backed Securities — Non-Agency (Cost $50,521,940) | 50,719,512 | |||
Commercial Mortgage-Backed Securities - Agency 3.3% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) | ||||
Series K063 Class A2 | ||||
01/25/2027 | 3.430% | 4,362,000 | 4,203,155 | |
Federal National Mortgage Association(c) | ||||
Series 2018-M7 Class A2 | ||||
03/25/2028 | 3.129% | 22,572,139 | 21,322,221 | |
Government National Mortgage Association(c),(d) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.835% | 6,556,931 | 327,753 | |
Series 2019-118 Class IO | ||||
06/16/2061 | 0.811% | 9,500,094 | 480,507 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.802% | 12,639,073 | 712,646 | |
Series 2019-134 Class IO | ||||
08/16/2061 | 0.651% | 8,453,049 | 364,365 | |
Series 2019-139 Class IO | ||||
11/16/2061 | 0.671% | 8,998,092 | 389,921 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 0.718% | 8,694,709 | 417,901 | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.615% | 9,655,914 | 393,187 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $35,829,301) | 28,611,656 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Subordinated Series 2018-PRME Class D | ||||
1-month Term SOFR + 1.847% Floor 1.925% 06/15/2035 | 7.244% | 3,500,000 | 3,443,943 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 3,700,000 | 2,099,099 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 1,000,000 | 100,112 | |
Hilton USA Trust(a),(e) | ||||
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 0.000% | 2,000,000 | 131,286 | |
Home Partners of America Trust(a) | ||||
Subordinated Series 2021-2 Class B | ||||
12/17/2026 | 2.302% | 8,649,105 | 7,947,258 | |
Morgan Stanley Capital I Trust(a),(c) | ||||
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.283% | 2,917,500 | 2,706,695 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR3 Class B | ||||
10/17/2027 | 1.495% | 3,000,000 | 2,850,442 | |
Series 2022-SFR1 Class A | ||||
02/17/2041 | 2.709% | 4,979,590 | 4,438,429 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Series 2021-555 Class A | ||||
1-month Term SOFR + 1.264% Floor 1.150% 05/15/2038 | 6.593% | 2,350,000 | 2,203,347 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-SMP Class D | ||||
1-month Term SOFR + 1.822% Floor 1.650% 12/15/2034 | 7.151% | 3,000,000 | 1,393,679 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $34,706,500) | 27,314,290 | |||
Residential Mortgage-Backed Securities - Agency 106.6% | ||||
Fannie Mae REMICS | ||||
CMO Series 2018-7 Class CD | ||||
02/25/2048 | 3.000% | 9,083,316 | 7,992,295 | |
Fannie Mae REMICS(b),(d) | ||||
CMO Series 2023-34 Class S | ||||
-1.0 x 30-day Average SOFR + 6.086% Cap 6.200% 10/25/2048 | 0.750% | 11,384,060 | 1,285,769 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
08/01/2035- 08/01/2051 | 2.000% | 31,782,675 | 26,478,226 | |
06/01/2039- 06/01/2053 | 5.000% | 8,904,763 | 8,630,669 | |
08/01/2041- 05/01/2053 | 4.500% | 14,240,863 | 13,525,772 | |
10/01/2041- 12/01/2052 | 4.000% | 37,411,614 | 34,816,750 | |
07/01/2042- 04/01/2047 | 3.500% | 27,278,469 | 24,874,310 | |
11/01/2042- 08/01/2052 | 3.000% | 54,887,857 | 47,664,586 | |
02/01/2051- 03/01/2052 | 2.500% | 38,322,625 | 31,744,524 | |
07/01/2053 | 5.500% | 7,515,337 | 7,416,656 | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month Term SOFR + 1.621% Cap 11.193% 01/01/2037 | 5.870% | 19,457 | 19,871 | |
12-month Term SOFR + 1.910% Cap 10.449% 09/01/2037 | 6.628% | 50,711 | 51,938 | |
Federal Home Loan Mortgage Corp.(b),(d) | ||||
CMO Series 264 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 07/15/2042 | 0.503% | 2,965,838 | 258,002 | |
CMO Series 318 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 11/15/2043 | 0.503% | 6,224,957 | 533,934 | |
CMO Series 4286 Class NS | ||||
-1.0 x 30-day Average SOFR + 5.786% Cap 5.900% 12/15/2043 | 0.453% | 2,089,525 | 222,343 | |
CMO Series 4594 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 06/15/2046 | 0.503% | 4,827,203 | 561,505 | |
CMO Series 4965 Class KS | ||||
-1.0 x 30-day Average SOFR + 5.736% Cap 5.850% 04/25/2050 | 0.400% | 2,853,738 | 276,246 | |
CMO Series 4987 Class KS | ||||
-1.0 x 30-day Average SOFR + 6.194% Cap 6.080% 06/25/2050 | 0.630% | 6,015,634 | 802,334 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4993 Class MS | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 07/25/2050 | 0.600% | 7,491,965 | 1,029,326 | |
CMO STRIPS Series 309 Class S4 | ||||
-1.0 x 30-day Average SOFR + 5.856% Cap 5.970% 08/15/2043 | 0.523% | 1,714,624 | 143,035 | |
CMO STRIPS Series 326 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 03/15/2044 | 0.553% | 715,168 | 61,549 | |
Federal Home Loan Mortgage Corp.(d) | ||||
CMO Series 266 | ||||
07/15/2042 | 4.000% | 1,796,536 | 295,651 | |
CMO Series 267 | ||||
08/15/2042 | 4.000% | 1,420,462 | 237,040 | |
CMO Series 4139 Class CI | ||||
05/15/2042 | 3.500% | 849,702 | 64,280 | |
CMO Series 4147 Class CI | ||||
01/15/2041 | 3.500% | 617,292 | 13,684 | |
CMO Series 4177 Class IY | ||||
03/15/2043 | 4.000% | 3,543,796 | 525,676 | |
Federal Home Loan Mortgage Corp.(c),(d) | ||||
CMO Series 4068 Class GI | ||||
09/15/2036 | 0.493% | 1,237,372 | 104,271 | |
Federal Home Loan Mortgage Corp. REMICS | ||||
CMO Series 204378 Class ZB | ||||
08/15/2044 | 3.000% | 6,713,160 | 5,908,909 | |
CMO Series 204763 Class ZW | ||||
08/15/2047 | 4.000% | 6,416,671 | 5,940,841 | |
Federal Home Loan Mortgage Corp. REMICS(b),(d) | ||||
CMO Series 4983 Class SY | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 05/25/2050 | 0.650% | 14,364,682 | 1,521,991 | |
CMO Series 5345 Class SE | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 01/15/2048 | 0.553% | 19,297,651 | 1,878,069 | |
Federal Home Loan Mortgage Corp. REMICS(d) | ||||
CMO Series 5105 Class ID | ||||
05/25/2051 | 3.000% | 9,523,028 | 1,613,483 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
03/01/2027- 01/01/2052 | 2.500% | 82,755,116 | 70,219,473 | |
03/01/2027- 05/01/2052 | 3.500% | 57,277,653 | 52,128,472 | |
05/01/2027- 11/01/2050 | 3.000% | 64,727,567 | 56,575,400 | |
06/01/2036- 03/01/2052 | 2.000% | 60,078,492 | 48,477,743 | |
12/01/2037- 09/01/2053 | 5.000% | 15,744,273 | 15,326,554 | |
05/01/2039- 08/01/2047 | 4.500% | 2,783,563 | 2,691,449 | |
11/01/2043- 08/01/2052 | 4.000% | 38,409,323 | 35,794,751 | |
CMO Series 2017-72 Class B | ||||
09/25/2047 | 3.000% | 2,186,968 | 1,960,349 | |
Federal National Mortgage Association(b) | ||||
6-month Term SOFR + 1.383% Floor 1.383%, Cap 9.383% 02/01/2033 | 5.758% | 7,200 | 7,163 | |
12-month Term SOFR + 1.694% Floor 1.694%, Cap 8.944% 12/01/2033 | 6.069% | 927 | 942 | |
12-month Term SOFR + 1.585% Floor 1.585%, Cap 9.154% 06/01/2034 | 7.335% | 11,258 | 11,311 | |
Federal National Mortgage Association(f) | ||||
12/01/2050 | 2.000% | 22,861,916 | 18,032,385 | |
Federal National Mortgage Association(c) | ||||
CMO Series 2003-W11 Class A1 | ||||
06/25/2033 | 7.448% | 541 | 546 | |
Federal National Mortgage Association(c),(d) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 1,305,872 | 13 | |
Federal National Mortgage Association(d) | ||||
CMO Series 2012-129 Class IC | ||||
01/25/2041 | 3.500% | 504,154 | 15,720 | |
CMO Series 2012-144 Class HI | ||||
07/25/2042 | 3.500% | 794,502 | 71,967 | |
CMO Series 2012-40 Class IP | ||||
09/25/2040 | 4.000% | 1,610,579 | 80,594 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 853,847 | 122,553 | |
CMO Series 2013-10 Class AI | ||||
11/25/2041 | 3.500% | 2,378,721 | 114,490 | |
CMO Series 2013-16 | ||||
01/25/2040 | 3.500% | 330,949 | 5,100 | |
CMO Series 2020-55 Class MI | ||||
08/25/2050 | 2.500% | 10,283,894 | 1,675,265 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 37,186,983 | 6,195,760 | |
Federal National Mortgage Association(b),(d) | ||||
CMO Series 2012-99 Class SL | ||||
-1.0 x 30-day Average SOFR + 6.506% Cap 6.620% 09/25/2042 | 1.170% | 3,525,099 | 561,772 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 01/25/2045 | 0.700% | 2,106,629 | 243,341 | |
CMO Series 2016-37 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.736% Cap 5.850% 06/25/2046 | 0.400% | 2,873,925 | 357,850 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 07/25/2046 | 0.550% | 7,442,668 | 879,096 | |
CMO Series 2017-3 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 02/25/2047 | 0.550% | 5,246,299 | 546,425 | |
CMO Series 2017-51 Class SC | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 07/25/2047 | 0.700% | 5,604,839 | 672,814 | |
CMO Series 2017-72 Class S | ||||
-1.0 x 30-day Average SOFR + 3.836% Cap 2.750% 09/25/2047 | 0.000% | 12,902,277 | 399,954 | |
CMO Series 2017-90 Class SP | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 11/25/2047 | 0.700% | 2,947,585 | 341,693 | |
CMO Series 2019-33 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 07/25/2049 | 0.600% | 8,676,939 | 872,384 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-34 Class SM | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 07/25/2049 | 0.600% | 7,444,033 | 962,816 | |
CMO Series 2020-40 Class LS | ||||
-1.0 x 30-day Average SOFR + 5.966% Cap 6.080% 06/25/2050 | 0.630% | 8,641,876 | 1,198,015 | |
Federal National Mortgage Association REMICS(b),(d) | ||||
CMO Series 2016-1 Class SJ | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 02/25/2046 | 0.700% | 7,296,672 | 852,806 | |
Federal National Mortgage Association REMICS | ||||
CMO Series 2016-23 Class Z | ||||
04/25/2046 | 3.500% | 5,410,169 | 4,894,005 | |
Federal National Mortgage Association REMICS(d) | ||||
CMO Series 2021-13 Class IO | ||||
03/25/2051 | 3.000% | 6,653,321 | 1,128,268 | |
CMO Series 2021-54 Class LI | ||||
04/25/2049 | 2.500% | 10,221,675 | 1,397,568 | |
Freddie Mac REMICS | ||||
CMO Series 5104 Class LH | ||||
06/25/2049 | 2.000% | 2,898,299 | 2,356,064 | |
Freddie Mac REMICS(d) | ||||
CMO Series 5177 Class PI | ||||
12/25/2051 | 2.500% | 12,175,787 | 1,392,984 | |
Freddie Mac REMICS(b),(d) | ||||
CMO Series 5371 Class S | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 08/15/2048 | 0.603% | 12,499,796 | 1,270,523 | |
Government National Mortgage Association | ||||
08/20/2040 | 5.000% | 1,547,889 | 1,542,604 | |
07/20/2041 | 4.500% | 2,064,599 | 2,013,777 | |
04/20/2051- 05/20/2051 | 2.500% | 20,480,779 | 16,709,267 | |
08/20/2052 | 4.000% | 8,180,680 | 7,529,885 | |
CMO Series 2024-30 Class TQ | ||||
02/20/2064 | 5.000% | 10,924,028 | 10,737,292 | |
CMO Series 2024-80 Class DT | ||||
05/20/2064 | 3.000% | 7,612,279 | 6,489,794 | |
CMO Series 2024-80 Class PT | ||||
05/20/2064 | 3.500% | 10,764,929 | 9,459,270 | |
Government National Mortgage Association(f) | ||||
04/20/2048 | 4.500% | 3,618,319 | 3,488,395 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(d) | ||||
CMO Series 2012-121 Class PI | ||||
09/16/2042 | 4.500% | 1,255,432 | 172,548 | |
CMO Series 2014-131 Class EI | ||||
09/16/2039 | 4.000% | 1,751,886 | 126,735 | |
CMO Series 2020-138 Class IN | ||||
09/20/2050 | 2.500% | 6,126,240 | 826,179 | |
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 15,481,079 | 2,148,924 | |
CMO Series 2020-142 Class GI | ||||
09/20/2050 | 3.000% | 3,334,943 | 519,255 | |
CMO Series 2020-191 Class UC | ||||
12/20/2050 | 4.000% | 10,065,976 | 2,036,369 | |
CMO Series 2021-1 Class IB | ||||
01/20/2051 | 2.500% | 10,197,031 | 1,442,625 | |
CMO Series 2021-1 Class QI | ||||
01/20/2051 | 2.500% | 11,969,023 | 1,657,221 | |
CMO Series 2021-122 Class HI | ||||
11/20/2050 | 2.500% | 8,191,188 | 1,031,122 | |
CMO Series 2021-142 Class IX | ||||
08/20/2051 | 2.500% | 11,528,141 | 1,572,610 | |
CMO Series 2021-146 Class IK | ||||
08/20/2051 | 3.500% | 10,034,554 | 1,964,761 | |
CMO Series 2021-158 Class VI | ||||
09/20/2051 | 3.000% | 8,434,609 | 1,337,977 | |
CMO Series 2021-159 Class IP | ||||
09/20/2051 | 3.000% | 6,345,560 | 999,700 | |
CMO Series 2021-175 Class IJ | ||||
10/20/2051 | 3.000% | 10,665,891 | 1,821,776 | |
CMO Series 2021-228 Class IJ | ||||
12/20/2051 | 2.500% | 12,650,332 | 1,901,824 | |
CMO Series 2021-27 Class IN | ||||
02/20/2051 | 2.500% | 6,886,284 | 972,514 | |
CMO Series 2021-67 Class GI | ||||
04/20/2051 | 3.000% | 10,099,092 | 1,713,221 | |
CMO Series 2021-8 Class BI | ||||
01/20/2051 | 2.500% | 11,107,385 | 1,602,699 | |
CMO Series 2021-8 Class IO | ||||
01/20/2051 | 3.000% | 18,268,582 | 3,029,729 | |
Government National Mortgage Association(b),(d) | ||||
CMO Series 2014-131 Class BS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 09/16/2044 | 0.757% | 1,833,359 | 208,046 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-170 Class QS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 11/20/2047 | 0.747% | 2,839,796 | 277,539 | |
CMO Series 2018-1 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 01/20/2048 | 0.747% | 2,030,409 | 206,108 | |
CMO Series 2018-105 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 08/20/2048 | 0.747% | 2,502,760 | 222,487 | |
CMO Series 2018-139 Class KS | ||||
-1.0 x 1-month Term SOFR + 6.036% Cap 6.150% 10/20/2048 | 0.697% | 4,267,250 | 403,556 | |
CMO Series 2018-147 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 10/20/2048 | 0.747% | 5,277,074 | 525,587 | |
CMO Series 2018-155 Class LS | ||||
-1.0 x 1-month Term SOFR + 6.036% Cap 6.150% 11/20/2048 | 0.697% | 3,564,446 | 342,338 | |
CMO Series 2018-21 Class WS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 02/20/2048 | 0.747% | 3,306,938 | 383,555 | |
CMO Series 2018-36 Class SG | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 03/20/2048 | 0.747% | 16,606,286 | 1,906,926 | |
CMO Series 2018-40 Class SC | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 03/20/2048 | 0.747% | 1,734,811 | 165,710 | |
CMO Series 2018-63 Class HS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 04/20/2048 | 0.747% | 2,518,089 | 237,520 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-94 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 05/20/2048 | 0.747% | 3,349,536 | 387,876 | |
CMO Series 2018-97 Class MS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 07/20/2048 | 0.747% | 2,865,878 | 251,318 | |
CMO Series 2019-117 Class SA | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 09/20/2049 | 0.647% | 7,321,905 | 843,308 | |
CMO Series 2019-23 Class SQ | ||||
1-month Term SOFR + 6.164% Cap 6.050% 02/20/2049 | 0.597% | 3,168,988 | 365,173 | |
CMO Series 2019-43 Class SE | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 04/20/2049 | 0.647% | 5,816,668 | 547,150 | |
CMO Series 2019-52 Class AS | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 04/16/2049 | 0.607% | 7,463,666 | 1,035,060 | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 07/20/2049 | 0.647% | 14,404,830 | 1,525,029 | |
CMO Series 2020-104 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 07/20/2050 | 0.747% | 6,113,938 | 665,884 | |
CMO Series 2020-125 Class SD | ||||
-1.0 x 1-month Term SOFR + 6.136% Cap 6.250% 08/20/2050 | 0.797% | 7,540,592 | 859,435 | |
CMO Series 2020-133 Class SK | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2050 | 0.847% | 13,619,694 | 1,675,698 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-77 Class GS | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 05/20/2049 | 0.597% | 7,389,616 | 652,431 | |
CMO Series 2020-79 Class S | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 06/20/2050 | 0.647% | 6,598,820 | 796,338 | |
CMO Series 2021-161 Class SM | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2051 | 0.847% | 12,437,150 | 1,507,483 | |
CMO Series 2021-193 Class ES | ||||
30-day Average SOFR + 1.700% 11/20/2051 | 0.000% | 70,279,964 | 178,314 | |
CMO Series 2021-46 Class SE | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 03/20/2051 | 0.847% | 12,507,953 | 1,443,169 | |
CMO Series 2022-126 Class SN | ||||
-1.0 x 30-day Average SOFR + 5.970% Cap 5.970% 07/20/2052 | 0.637% | 13,001,276 | 1,123,139 | |
CMO Series 2022-128 Class SD | ||||
-1.0 x 30-day Average SOFR + 5.980% Cap 5.980% 07/20/2052 | 0.647% | 12,138,529 | 1,021,999 | |
CMO Series 2022-135 Class SC | ||||
-1.0 x 30-day Average SOFR + 6.050% Cap 6.050% 08/20/2052 | 0.717% | 11,646,705 | 1,115,031 | |
CMO Series 2022-152 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.050% Cap 6.050% 09/20/2052 | 0.717% | 19,895,254 | 1,672,891 | |
CMO Series 2022-190 Class CS | ||||
-1.0 x 30-day Average SOFR + 6.050% Cap 6.050% 11/20/2049 | 0.597% | 14,120,938 | 1,304,056 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2023-100 Class KS | ||||
-1.0 x 30-day Average SOFR + 6.850% Cap 6.850% 07/20/2053 | 1.517% | 16,641,286 | 1,557,361 | |
CMO Series 2023-100 Class SC | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 09/20/2049 | 0.597% | 18,115,380 | 1,710,586 | |
CMO Series 2023-113 Class HS | ||||
1-month Term SOFR + 5.936% Cap 6.050% 09/20/2049 | 0.597% | 20,128,319 | 2,016,854 | |
CMO Series 2023-115 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.820% Cap 5.820% 08/20/2053 | 0.487% | 9,408,486 | 316,945 | |
CMO Series 2023-115 Class SG | ||||
-1.0 x 30-day Average SOFR + 5.700% Cap 5.700% 08/20/2053 | 0.367% | 22,232,869 | 958,337 | |
CMO Series 2023-133 Class HS | ||||
-1.0 x 30-day Average SOFR + 6.500% Cap 6.500% 09/20/2053 | 1.167% | 31,296,091 | 1,808,589 | |
CMO Series 2023-140 Class LS | ||||
-1.0 x 30-day Average SOFR + 6.450% Cap 6.450% 09/20/2053 | 1.117% | 14,565,264 | 750,557 | |
CMO Series 2023-140 Class SJ | ||||
-1.0 x 30-day Average SOFR + 6.500% Cap 6.500% 09/20/2053 | 1.167% | 9,751,686 | 634,918 | |
CMO Series 2023-141 Class SQ | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 12/20/2049 | 0.597% | 12,947,575 | 1,352,272 | |
CMO Series 2023-17 Class NS | ||||
-1.0 x 30-day Average SOFR + 6.150% Cap 6.150% 02/20/2053 | 0.817% | 15,220,126 | 1,246,548 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2023-17 Class SY | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 05/20/2050 | 0.597% | 14,562,661 | 1,471,352 | |
CMO Series 2023-47 Class AS | ||||
-1.0 x 30-day Average SOFR + 6.350% Cap 6.350% 03/20/2053 | 1.017% | 10,026,030 | 870,271 | |
CMO Series 2023-65 Class HS | ||||
-1.0 x 30-day Average SOFR + 6.150% Cap 6.150% 05/20/2053 | 0.817% | 19,388,140 | 1,474,693 | |
CMO Series 2023-81 Class SB | ||||
-1.0 x 30-day Average SOFR + 6.050% Cap 6.050% 06/20/2053 | 0.717% | 8,496,632 | 580,446 | |
CMO Series 2024-64 Class DS | ||||
-1.0 x 30-day Average SOFR + 5.400% Cap 5.400% 04/20/2054 | 0.067% | 20,788,627 | 1,179,680 | |
CMO Series 2024-79 Class SH | ||||
-1.0 x 30-day Average SOFR + 7.250% Cap 7.250% 05/20/2054 | 1.917% | 8,825,001 | 1,265,861 | |
Government National Mortgage Association(b) | ||||
CMO Series 2023-140 Class JS | ||||
-2.5 x 30-day Average SOFR + 16.050% Cap 16.050% 09/20/2053 | 2.780% | 1,633,171 | 1,479,126 | |
Government National Mortgage Association TBA(g) | ||||
07/22/2054 | 3.000% | 17,000,000 | 14,809,922 | |
07/22/2054 | 4.000% | 10,000,000 | 9,240,234 | |
07/22/2054 | 4.500% | 40,000,000 | 38,024,784 | |
Uniform Mortgage-Backed Security TBA(g) | ||||
07/15/2054 | 2.000% | 25,000,000 | 19,548,828 | |
07/15/2054 | 3.500% | 58,256,536 | 51,557,034 | |
07/15/2054 | 4.000% | 26,000,000 | 23,788,984 | |
07/15/2054 | 4.500% | 23,000,000 | 21,681,992 | |
07/15/2054 | 5.000% | 32,000,000 | 30,925,000 | |
07/15/2054 | 5.500% | 7,000,000 | 6,903,477 | |
07/15/2054 | 6.000% | 25,000,000 | 25,069,336 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,030,168,196) | 927,252,127 | |||
Residential Mortgage-Backed Securities - Non-Agency 4.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Arroyo Mortgage Trust(a),(c) | ||||
CMO Series 2019-3 Class M1 | ||||
10/25/2048 | 4.204% | 1,740,000 | 1,472,741 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 1.750% Floor 1.750% 01/26/2032 | 7.085% | 1,032,258 | 1,033,006 | |
CHNGE Mortgage Trust(a),(c) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 3.007% | 2,991,539 | 2,731,225 | |
CMO Series 2022-2 Class A1 | ||||
03/25/2067 | 3.757% | 3,307,080 | 3,080,912 | |
CMO Series 2023-3 Class A1 | ||||
07/25/2058 | 7.100% | 3,606,407 | 3,616,700 | |
Citigroup Mortgage Loan Trust, Inc.(a),(c) | ||||
CMO Series 2014-A Class B2 | ||||
01/25/2035 | 5.460% | 621,205 | 606,690 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
CMO Series 2015-RP2 Class B2 | ||||
01/25/2053 | 4.250% | 1,692,180 | 1,613,906 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2021-NQM1 Class A2 | ||||
05/25/2065 | 0.994% | 943,810 | 817,004 | |
Ellington Financial Mortgage Trust(a),(c) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2059 | 3.469% | 1,200,000 | 1,067,010 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b),(h) | ||||
CMO Series 2019-CS02 Class M2 | ||||
1-month Term SOFR + 0.000% 02/25/2032 | 4.506% | 1,123,523 | 1,119,661 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2022-DNA2 Class M1B | ||||
30-day Average SOFR + 2.400% 02/25/2042 | 7.735% | 3,500,000 | 3,588,047 | |
GCAT LLC(a),(c) | ||||
CMO Series 2021-CM1 Class A1 | ||||
04/25/2065 | 2.469% | 708,702 | 656,987 | |
GCAT Trust(a),(c) | ||||
CMO Series 2022-NQM2 Class A3 | ||||
02/25/2067 | 4.210% | 2,762,878 | 2,518,548 | |
Home Re Ltd.(a),(b) | ||||
Subordinated CMO Series 2022-1 Class M1A | ||||
30-day Average SOFR + 2.850% 10/25/2034 | 8.185% | 1,056,064 | 1,060,578 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Legacy Mortgage Asset Trust(a),(c) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 4.892% | 3,418,780 | 3,367,437 | |
Mello Mortgage Capital Acceptance(a),(c) | ||||
CMO Series 2024-SD1 Class M1 | ||||
04/25/2054 | 4.000% | 1,600,000 | 1,397,889 | |
New Residential Mortgage Loan Trust(a),(c),(d) | ||||
CMO Series 2014-1A Class AIO | ||||
01/25/2054 | 2.222% | 7,774,090 | 388,914 | |
Pretium Mortgage Credit Partners(a),(c) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 1,519,347 | 1,489,301 | |
SG Residential Mortgage Trust(a),(c) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.526% | 2,200,000 | 2,078,874 | |
Stanwich Mortgage Loan Co. LLC(a),(c) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 1,280,029 | 1,250,140 | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
12/26/2050 | 5.289% | 1,117,319 | 1,109,361 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $36,788,327) | 36,064,931 |
Call Option Contracts Purchased 0.1% | ||||
Value ($) | ||||
(Cost $522,500) | 551,472 | |||
Put Option Contracts Purchased 0.0% | ||||
(Cost $592,250) | 283,595 |
Money Market Funds 4.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.547%(i),(j) | 39,315,296 | 39,303,501 |
Total Money Market Funds (Cost $39,303,900) | 39,303,501 | |
Total Investments in Securities (Cost: $1,228,432,914) | 1,110,101,084 | |
Other Assets & Liabilities, Net | (240,321,977 ) | |
Net Assets | 869,779,107 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | 151 | 09/2024 | USD | 30,837,031 | 81,127 | — |
U.S. Treasury 5-Year Note | 972 | 09/2024 | USD | 103,593,938 | 682,310 | — |
Total | 763,437 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | (149) | 09/2024 | USD | (17,628,563 ) | — | (201,711 ) |
U.S. Treasury 10-Year Note | (2,161) | 09/2024 | USD | (237,676,234 ) | — | (1,943,983 ) |
U.S. Treasury Ultra Bond | (26) | 09/2024 | USD | (3,258,938 ) | — | (35,481 ) |
Total | — | (2,181,175 ) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
5-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 25,000,000 | 25,000,000 | 4.00 | 05/07/2025 | 522,500 | 551,472 |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Goldman Sachs International to receive SOFR and pay exercise rate | Goldman Sachs International | USD | 20,000,000 | 20,000,000 | 4.50 | 04/16/2025 | 471,000 | 228,702 |
5-Year OTC interest rate swap with Morgan Stanley to receive SOFR and pay exercise rate | Morgan Stanley | USD | 25,000,000 | 25,000,000 | 4.50 | 10/02/2024 | 121,250 | 54,893 |
Total | 592,250 | 283,595 |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | 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 | 28.225 | USD | 1,171,662 | (199,918 ) | 391 | — | (58,739 ) | — | (140,788 ) |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2024, the total value of these securities amounted to $114,098,733, which represents 13.12% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2024. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2024. |
(d) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(e) | Represents a security in default. |
(f) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(g) | Represents a security purchased on a when-issued basis. |
(h) | Valuation based on significant unobservable inputs. |
(i) | The rate shown is the seven-day current annualized yield at June 30, 2024. |
(j) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.547% | ||||||||
29,956,017 | 116,509,595 | (107,160,597 ) | (1,514 ) | 39,303,501 | (1,323 ) | 876,673 | 39,315,296 |
CMO | Collateralized Mortgage Obligation |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
USD | US Dollar |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities - Non-Agency | — | 50,719,512 | — | 50,719,512 |
Commercial Mortgage-Backed Securities - Agency | — | 28,611,656 | — | 28,611,656 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 27,314,290 | — | 27,314,290 |
Residential Mortgage-Backed Securities - Agency | — | 927,252,127 | — | 927,252,127 |
Residential Mortgage-Backed Securities - Non-Agency | — | 34,945,270 | 1,119,661 | 36,064,931 |
Call Option Contracts Purchased | — | 551,472 | — | 551,472 |
Put Option Contracts Purchased | — | 283,595 | — | 283,595 |
Money Market Funds | 39,303,501 | — | — | 39,303,501 |
Total Investments in Securities | 39,303,501 | 1,069,677,922 | 1,119,661 | 1,110,101,084 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 763,437 | — | — | 763,437 |
Liability | ||||
Futures Contracts | (2,181,175 ) | — | — | (2,181,175 ) |
Swap Contracts | — | (140,788 ) | — | (140,788 ) |
Total | 37,885,763 | 1,069,537,134 | 1,119,661 | 1,108,542,558 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,188,014,264) | $1,069,962,516 |
Affiliated issuers (cost $39,303,900) | 39,303,501 |
Option contracts purchased (cost $1,114,750) | 835,067 |
Cash | 315 |
Receivable for: | |
Investments sold | 399 |
Investments sold on a delayed delivery basis | 8,599,167 |
Capital shares sold | 8,180 |
Dividends | 158,877 |
Interest | 3,672,221 |
Interfund lending | 300,000 |
Variation margin for futures contracts | 766,078 |
Prepaid expenses | 5,309 |
Total assets | 1,123,611,630 |
Liabilities | |
Unrealized depreciation on swap contracts | 140,788 |
Upfront receipts on swap contracts | 58,739 |
Payable for: | |
Investments purchased | 1,281,128 |
Investments purchased on a delayed delivery basis | 251,679,634 |
Capital shares redeemed | 352,702 |
Variation margin for futures contracts | 109,852 |
Management services fees | 10,229 |
Distribution and/or service fees | 354 |
Service fees | 5,635 |
Compensation of chief compliance officer | 78 |
Compensation of board members | 2,399 |
Other expenses | 36,283 |
Deferred compensation of board members | 154,702 |
Total liabilities | 253,832,523 |
Net assets applicable to outstanding capital stock | $869,779,107 |
Represented by | |
Paid in capital | 1,024,342,273 |
Total distributable earnings (loss) | (154,563,166 ) |
Total - representing net assets applicable to outstanding capital stock | $869,779,107 |
Class 1 | |
Net assets | $789,455,892 |
Shares outstanding | 89,309,178 |
Net asset value per share | $8.84 |
Class 2 | |
Net assets | $22,187,654 |
Shares outstanding | 2,519,724 |
Net asset value per share | $8.81 |
Class 3 | |
Net assets | $58,135,561 |
Shares outstanding | 6,579,309 |
Net asset value per share | $8.84 |
Net investment income | |
Income: | |
Dividends — affiliated issuers | $876,673 |
Interest | 15,734,117 |
Interfund lending | 2,283 |
Total income | 16,613,073 |
Expenses: | |
Management services fees | 1,846,042 |
Distribution and/or service fees | |
Class 2 | 28,450 |
Class 3 | 36,976 |
Service fees | 33,308 |
Custodian fees | 14,724 |
Printing and postage fees | 10,904 |
Accounting services fees | 20,524 |
Legal fees | 10,265 |
Interest on collateral | 5,586 |
Compensation of chief compliance officer | 77 |
Compensation of board members | 10,114 |
Deferred compensation of board members | 20,891 |
Other | 9,045 |
Total expenses | 2,046,906 |
Net investment income | 14,566,167 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,389,626 ) |
Investments — affiliated issuers | (1,323 ) |
Foreign currency translations | 24 |
Futures contracts | (242,050 ) |
Option contracts purchased | (654,500 ) |
Option contracts written | (1,085 ) |
Swap contracts | 33,980 |
Net realized loss | (3,254,580 ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (24,836,131 ) |
Investments — affiliated issuers | (1,514 ) |
Futures contracts | 3,410,736 |
Option contracts purchased | 400,125 |
Option contracts written | 415,283 |
Swap contracts | 53,601 |
Net change in unrealized appreciation (depreciation) | (20,557,900 ) |
Net realized and unrealized loss | (23,812,480 ) |
Net decrease in net assets resulting from operations | $(9,246,313 ) |
Six Months Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | |
Operations | ||
Net investment income | $14,566,167 | $28,988,504 |
Net realized loss | (3,254,580 ) | (13,361,343 ) |
Net change in unrealized appreciation (depreciation) | (20,557,900 ) | 32,291,067 |
Net increase (decrease) in net assets resulting from operations | (9,246,313 ) | 47,918,228 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class 1 | — | (22,037,982 ) |
Class 2 | — | (582,574 ) |
Class 3 | — | (1,701,033 ) |
Total distributions to shareholders | — | (24,321,589 ) |
Decrease in net assets from capital stock activity | (10,347,070 ) | (19,541,827 ) |
Total increase (decrease) in net assets | (19,593,383 ) | 4,054,812 |
Net assets at beginning of period | 889,372,490 | 885,317,678 |
Net assets at end of period | $869,779,107 | $889,372,490 |
Six Months Ended | Year Ended | |||
June 30, 2024 (Unaudited) | December 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class 1 | ||||
Shares sold | 253,279 | 2,224,129 | 339,411 | 2,953,510 |
Distributions reinvested | — | — | 2,571,526 | 22,037,982 |
Shares redeemed | (935,311 ) | (8,254,025 ) | (4,378,732 ) | (37,666,990 ) |
Net decrease | (682,032 ) | (6,029,896 ) | (1,467,795 ) | (12,675,498 ) |
Class 2 | ||||
Shares sold | 545,618 | 4,688,868 | 288,074 | 2,512,830 |
Distributions reinvested | — | — | 68,058 | 582,574 |
Shares redeemed | (583,757 ) | (5,099,009 ) | (547,216 ) | (4,741,712 ) |
Net decrease | (38,139 ) | (410,141 ) | (191,084 ) | (1,646,308 ) |
Class 3 | ||||
Shares sold | 60,276 | 526,038 | 255,179 | 2,243,125 |
Distributions reinvested | — | — | 198,256 | 1,701,033 |
Shares redeemed | (504,411 ) | (4,433,071 ) | (1,060,954 ) | (9,164,179 ) |
Net decrease | (444,135 ) | (3,907,033 ) | (607,519 ) | (5,220,021 ) |
Total net decrease | (1,164,306 ) | (10,347,070 ) | (2,266,398 ) | (19,541,827 ) |
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 1 | |||||||
Six Months Ended 6/30/2024 (Unaudited) | $8.93 | 0.15 | (0.24 ) | (0.09 ) | — | — | — |
Year Ended 12/31/2023 | $8.69 | 0.29 | 0.20 | 0.49 | (0.25 ) | — | (0.25 ) |
Year Ended 12/31/2022 | $10.34 | 0.24 | (1.69 ) | (1.45 ) | (0.20 ) | — | (0.20 ) |
Year Ended 12/31/2021 | $10.83 | 0.20 | (0.30 ) | (0.10 ) | (0.22 ) | (0.17 ) | (0.39 ) |
Year Ended 12/31/2020 | $10.62 | 0.25 | 0.29 | 0.54 | (0.29 ) | (0.04 ) | (0.33 ) |
Year Ended 12/31/2019 | $10.23 | 0.30 | 0.38 | 0.68 | (0.29 ) | — | (0.29 ) |
Class 2 | |||||||
Six Months Ended 6/30/2024 (Unaudited) | $8.91 | 0.14 | (0.24 ) | (0.10 ) | — | — | — |
Year Ended 12/31/2023 | $8.67 | 0.27 | 0.19 | 0.46 | (0.22 ) | — | (0.22 ) |
Year Ended 12/31/2022 | $10.31 | 0.21 | (1.67 ) | (1.46 ) | (0.18 ) | — | (0.18 ) |
Year Ended 12/31/2021 | $10.80 | 0.17 | (0.29 ) | (0.12 ) | (0.20 ) | (0.17 ) | (0.37 ) |
Year Ended 12/31/2020 | $10.59 | 0.22 | 0.29 | 0.51 | (0.26 ) | (0.04 ) | (0.30 ) |
Year Ended 12/31/2019 | $10.20 | 0.27 | 0.39 | 0.66 | (0.27 ) | — | (0.27 ) |
Class 3 | |||||||
Six Months Ended 6/30/2024 (Unaudited) | $8.93 | 0.14 | (0.23 ) | (0.09 ) | — | — | — |
Year Ended 12/31/2023 | $8.69 | 0.28 | 0.19 | 0.47 | (0.23 ) | — | (0.23 ) |
Year Ended 12/31/2022 | $10.34 | 0.22 | (1.68 ) | (1.46 ) | (0.19 ) | — | (0.19 ) |
Year Ended 12/31/2021 | $10.83 | 0.19 | (0.30 ) | (0.11 ) | (0.21 ) | (0.17 ) | (0.38 ) |
Year Ended 12/31/2020 | $10.62 | 0.24 | 0.28 | 0.52 | (0.27 ) | (0.04 ) | (0.31 ) |
Year Ended 12/31/2019 | $10.23 | 0.28 | 0.39 | 0.67 | (0.28 ) | — | (0.28 ) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 6/30/2024 | 12/31/2023 | 12/31/2022 | 12/31/2021 | 12/31/2020 | 12/31/2019 |
Class 1 | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% |
Class 2 | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% |
Class 3 | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% |
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 1 | |||||||
Six Months Ended 6/30/2024 (Unaudited) | $8.84 | (1.01% ) | 0.46% (c) | 0.46% (c) | 3.39% | 151% | $789,456 |
Year Ended 12/31/2023 | $8.93 | 5.70% | 0.46% (c) | 0.46% (c) | 3.33% | 321% | $803,833 |
Year Ended 12/31/2022 | $8.69 | (14.14% ) | 0.45% (c) | 0.45% (c) | 2.54% | 301% | $795,136 |
Year Ended 12/31/2021 | $10.34 | (0.95% ) | 0.45% (c) | 0.45% (c) | 1.88% | 302% | $989,683 |
Year Ended 12/31/2020 | $10.83 | 5.09% | 0.46% (c) | 0.46% (c) | 2.32% | 332% | $905,531 |
Year Ended 12/31/2019 | $10.62 | 6.73% | 0.46% (c) | 0.46% (c) | 2.83% | 335% | $888,047 |
Class 2 | |||||||
Six Months Ended 6/30/2024 (Unaudited) | $8.81 | (1.12% ) | 0.71% (c) | 0.71% (c) | 3.14% | 151% | $22,188 |
Year Ended 12/31/2023 | $8.91 | 5.43% | 0.71% (c) | 0.71% (c) | 3.07% | 321% | $22,788 |
Year Ended 12/31/2022 | $8.67 | (14.32% ) | 0.70% (c) | 0.70% (c) | 2.29% | 301% | $23,834 |
Year Ended 12/31/2021 | $10.31 | (1.20% ) | 0.70% (c) | 0.70% (c) | 1.62% | 302% | $29,150 |
Year Ended 12/31/2020 | $10.80 | 4.85% | 0.71% (c) | 0.71% (c) | 2.07% | 332% | $28,163 |
Year Ended 12/31/2019 | $10.59 | 6.50% | 0.71% (c) | 0.71% (c) | 2.57% | 335% | $25,616 |
Class 3 | |||||||
Six Months Ended 6/30/2024 (Unaudited) | $8.84 | (1.01% ) | 0.58% (c) | 0.58% (c) | 3.27% | 151% | $58,136 |
Year Ended 12/31/2023 | $8.93 | 5.55% | 0.59% (c) | 0.59% (c) | 3.20% | 321% | $62,751 |
Year Ended 12/31/2022 | $8.69 | (14.26% ) | 0.58% (c) | 0.58% (c) | 2.41% | 301% | $66,348 |
Year Ended 12/31/2021 | $10.34 | (1.07% ) | 0.58% (c) | 0.58% (c) | 1.74% | 302% | $88,027 |
Year Ended 12/31/2020 | $10.83 | 4.96% | 0.58% (c) | 0.58% (c) | 2.20% | 332% | $97,082 |
Year Ended 12/31/2019 | $10.62 | 6.61% | 0.59% (c) | 0.59% (c) | 2.71% | 335% | $94,876 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 763,437 * |
Interest rate risk | Investments, at value — Option contracts purchased | 835,067 |
Total | 1,598,504 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 140,788 * |
Credit risk | Upfront receipts on swap contracts | 58,739 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,181,175 * |
Total | 2,380,702 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 33,980 | 33,980 |
Interest rate risk | (242,050 ) | (654,500 ) | (1,085 ) | — | (897,635 ) |
Total | (242,050 ) | (654,500 ) | (1,085 ) | 33,980 | (863,655 ) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 53,601 | 53,601 |
Interest rate risk | 3,410,736 | 400,125 | 415,283 | — | 4,226,144 |
Total | 3,410,736 | 400,125 | 415,283 | 53,601 | 4,279,745 |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 144,686,161 |
Futures contracts — short | 254,794,119 |
Credit default swap contracts — sell protection | 1,291,868 |
Derivative instrument | Average value ($) |
Option contracts purchased | 349,501 |
Option contracts written | (36,936 ) |
Goldman Sachs International ($) | Morgan Stanley ($) | Total ($) | |||
Assets | |||||
Call option contracts purchased | - | 551,472 | 551,472 | ||
Put option contracts purchased | 228,702 | 54,893 | 283,595 | ||
Total assets | 228,702 | 606,365 | 835,067 | ||
Liabilities | |||||
OTC credit default swap contracts (a) | - | 199,527 | 199,527 | ||
Total financial and derivative net assets | 228,702 | 406,838 | 635,540 | ||
Total collateral received (pledged) (b) | 228,702 | 406,838 | 635,540 | ||
Net amount (c) | - | - | - |
(a) | 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. |
(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. |
Fee rate(s) contractual through April 30, 2025 (%) | |
Class 1 | 0.51 |
Class 2 | 0.76 |
Class 3 | 0.635 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
1,228,374,000 | 10,954,000 | (130,844,000 ) | (119,890,000 ) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(34,526,931 ) | (34,285,866 ) | (68,812,797 ) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,171,429 | 5.87 | 7 |
Terms of the Management Agreement;
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Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies is included in Item 7 of this Form N-CSR.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Statement regarding basis for approval of Investment Advisory Contract is included in Item 7 of this Form N-CSR.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15. 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 implemented since the registrant last provided disclosure as to such procedures in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K or Item 15 of Form N-CSR.
Item 16. 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 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
(a)(1) Not applicable.
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 Variable Series Trust II |
By (Signature and Title) | /s/ Daniel J. Beckman |
Daniel J. Beckman, President and Principal Executive Officer | |
Date | August 22, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Daniel J. Beckman |
Daniel J. Beckman, President and Principal Executive Officer | |
Date | August 22, 2024 |
By (Signature and Title) | /s/ Michael G. Clarke |
Michael G. Clarke, Chief Financial Officer, | |
Principal Financial Officer and Senior Vice President | |
Date | August 22, 2024 |
By (Signature and Title) | /s/ Charles H. Chiesa |
Charles H. Chiesa, Treasurer, Chief Accounting | |
Officer and Principal Financial Officer | |
Date | August 22, 2024 |