Portfolio of Investments
Multisector Bond SMA Completion Portfolio, May 31, 2021 (Unaudited)
Multisector Bond SMA Completion Portfolio, May 31, 2021 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Non-Agency 17.2% | ||||
| Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
| DT Auto Owner Trust(a) | ||||
| Series 2019-3A Class C | ||||
| 04/15/2025 | 2.740% | 190,000 | 192,563 | |
| Exeter Automobile Receivables Trust(a) | ||||
| Series 2019-2A Class C | ||||
| 03/15/2024 | 3.300% | 192,817 | 195,194 | |
| Total Asset-Backed Securities — Non-Agency (Cost $385,886) | 387,757 | |||
| Money Market Funds 73.9% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.042%(b),(c) | 1,661,092 | 1,660,926 |
| Total Money Market Funds (Cost $1,660,852) | 1,660,926 | |
| Total Investments in Securities (Cost: $2,046,738) | 2,048,683 | |
| Other Assets & Liabilities, Net | 200,222 | |
| Net Assets | 2,248,905 | |
At May 31, 2021, securities and/or cash totaling $200,705 were pledged as collateral.
Investments in derivatives
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 5-Year Note | 1 | 09/2021 | USD | 123,852 | 235 | — |
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Long Bond | (1) | 09/2021 | USD | (156,531) | — | (862) |
| U.S. Ultra Treasury Bond | (2) | 09/2021 | USD | (370,500) | — | (3,911) |
| Total | — | (4,773) | ||||
| Cleared credit default swap contracts - sell protection | ||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CDX Emerging Markets Index, Series 35 | Morgan Stanley | 06/20/2026 | 1.000 | Quarterly | 1.601 | USD | 600,000 | 2,937 | — | — | 2,937 | — |
| Markit CDX North America High Yield Index, Series 36 | Morgan Stanley | 06/20/2026 | 5.000 | Quarterly | 2.869 | USD | 1,200,000 | 29,477 | — | — | 29,477 | — |
| Total | 32,414 | — | — | 32,414 | — | |||||||
| * | 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. |
| Multisector Bond SMA Completion Portfolio | Quarterly Report 2021 | 1 |
Portfolio of Investments (continued)
Multisector Bond SMA Completion Portfolio, May 31, 2021 (Unaudited)
Multisector Bond SMA Completion Portfolio, May 31, 2021 (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. At May 31, 2021, the total value of these securities amounted to $387,757, which represents 17.24% of total net assets. |
| (b) | The rate shown is the seven-day current annualized yield at May 31, 2021. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended May 31, 2021 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
| Columbia Short-Term Cash Fund, 0.042% | ||||||||
| 1,456,677 | 822,760 | (618,382) | (129) | 1,660,926 | (14) | 1,139 | 1,661,092 | |
Currency Legend
| USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
| 2 | Multisector Bond SMA Completion Portfolio | Quarterly Report 2021 |
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3QT308_08_L01_(07/21)