Portfolio of Investments
Columbia Solutions Aggressive Portfolio, June 30, 2021 (Unaudited)
Columbia Solutions Aggressive Portfolio, June 30, 2021 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Foreign Government Obligations(a),(b) 13.6% | ||||
| Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
| Belgium 0.4% | ||||
| Kingdom of Belgium Government Bond(c) | ||||
| 03/28/2035 | 5.000% | EUR | 24,000 | 46,646 |
| Chile 1.6% | ||||
| Bonos de la Tesoreria de la Republica en pesos | ||||
| 03/01/2026 | 4.500% | CLP | 100,000,000 | 143,969 |
| Bonos de la Tesoreria de la Republica en pesos(c) | ||||
| 09/01/2030 | 4.700% | CLP | 20,000,000 | 28,000 |
| Total | 171,969 | |||
| China 1.2% | ||||
| China Government Bond | ||||
| 11/21/2029 | 3.130% | CNY | 250,000 | 38,659 |
| 05/21/2030 | 2.680% | CNY | 600,000 | 89,432 |
| Total | 128,091 | |||
| France 2.6% | ||||
| French Republic Government Bond OAT(c) | ||||
| 10/25/2027 | 2.750% | EUR | 44,000 | 62,375 |
| French Republic Government Bond OAT(c),(d) | ||||
| 11/25/2030 | 0.000% | EUR | 90,000 | 106,430 |
| 11/25/2031 | 0.000% | EUR | 100,000 | 117,050 |
| Total | 285,855 | |||
| Indonesia 0.4% | ||||
| Indonesia Treasury Bond | ||||
| 09/15/2030 | 7.000% | IDR | 587,000,000 | 41,841 |
| Italy 1.2% | ||||
| Italy Buoni Poliennali Del Tesoro(c) | ||||
| 09/01/2046 | 3.250% | EUR | 66,000 | 102,863 |
| 03/01/2047 | 2.700% | EUR | 17,000 | 24,205 |
| Total | 127,068 | |||
| Japan 1.2% | ||||
| Japan Government 20-Year Bond | ||||
| 06/20/2040 | 0.400% | JPY | 6,000,000 | 53,832 |
| Japan Government 30-Year Bond | ||||
| 06/20/2050 | 0.600% | JPY | 9,000,000 | 79,443 |
| Total | 133,275 | |||
| Mexico 2.5% | ||||
| Mexican Bonos | ||||
| 05/31/2029 | 8.500% | MXN | 4,857,900 | 268,217 |
| Foreign Government Obligations(a),(b) (continued) | ||||
| Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
| New Zealand 1.8% | ||||
| New Zealand Government Bond | ||||
| 05/15/2031 | 1.500% | NZD | 278,000 | 189,575 |
| Spain 0.2% | ||||
| Spain Government Bond(c) | ||||
| 04/30/2029 | 1.450% | EUR | 16,000 | 20,887 |
| United Kingdom 0.5% | ||||
| United Kingdom Gilt(c) | ||||
| 10/22/2028 | 1.625% | GBP | 35,000 | 52,169 |
| Total Foreign Government Obligations (Cost $1,448,693) | 1,465,593 | |||
| U.S. Treasury Obligations 18.9% | ||||
| U.S. Treasury | ||||
| 11/15/2027 | 2.250% | 155,000 | 165,801 | |
| 03/31/2028 | 1.250% | 365,000 | 366,483 | |
| 11/15/2028 | 3.125% | 132,000 | 149,325 | |
| 05/15/2029 | 2.375% | 128,000 | 138,140 | |
| 08/15/2029 | 1.625% | 129,000 | 131,943 | |
| 11/15/2029 | 1.750% | 124,000 | 128,011 | |
| 02/15/2030 | 1.500% | 123,000 | 124,230 | |
| 08/15/2030 | 0.625% | 329,000 | 306,587 | |
| 11/15/2030 | 0.875% | 279,000 | 265,355 | |
| 02/15/2031 | 1.125% | 269,000 | 261,224 | |
| Total U.S. Treasury Obligations (Cost $2,040,035) | 2,037,099 | |||
| Money Market Funds 35.0% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.051%(e),(f) | 3,779,465 | 3,779,087 |
| Total Money Market Funds (Cost $3,778,907) | 3,779,087 | |
| Total Investments in Securities (Cost: $7,267,635) | 7,281,779 | |
| Other Assets & Liabilities, Net | 3,500,210 | |
| Net Assets | 10,781,989 | |
At June 30, 2021, securities and/or cash totaling $821,150 were pledged as collateral.
| Columbia Solutions Aggressive Portfolio | Quarterly Report 2021 | 1 |
Portfolio of Investments (continued)
Columbia Solutions Aggressive Portfolio, June 30, 2021 (Unaudited)
Columbia Solutions Aggressive Portfolio, June 30, 2021 (Unaudited)
Investments in derivatives
| Forward foreign currency exchange contracts | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 256,000 CNY | 39,932 USD | Citi | 07/14/2021 | 359 | — |
| 749,835,000 IDR | 52,480 USD | Citi | 07/14/2021 | 930 | — |
| 109,601,000 KRW | 98,288 USD | Citi | 07/14/2021 | 1,101 | — |
| 3,000 MXN | 151 USD | Citi | 07/14/2021 | 1 | — |
| 73,093 USD | 82,807,000 KRW | Citi | 07/14/2021 | 335 | — |
| 24,018 USD | 26,794,000 KRW | Citi | 07/14/2021 | — | (259) |
| 6,873 USD | 95,000 ZAR | Citi | 07/14/2021 | — | (230) |
| 95,000 ZAR | 6,975 USD | Citi | 07/14/2021 | 333 | — |
| 133,474,000 CLP | 186,039 USD | Goldman Sachs International | 07/14/2021 | 4,346 | — |
| 82,000 GBP | 115,867 USD | HSBC | 07/14/2021 | 2,432 | — |
| 65,000 GBP | 89,886 USD | HSBC | 07/14/2021 | — | (32) |
| 121,264,000 JPY | 1,105,941 USD | HSBC | 07/14/2021 | 14,295 | — |
| 5,645,000 MXN | 284,706 USD | HSBC | 07/14/2021 | 1,950 | — |
| 126,000 NOK | 15,278 USD | HSBC | 07/14/2021 | 643 | — |
| 272,000 NZD | 195,897 USD | HSBC | 07/14/2021 | 5,774 | — |
| 1,078,000 SEK | 129,477 USD | HSBC | 07/14/2021 | 3,500 | — |
| 43,000 SGD | 32,472 USD | HSBC | 07/14/2021 | 495 | — |
| 184,506 USD | 20,498,000 JPY | HSBC | 07/14/2021 | 21 | — |
| 243 USD | 2,000 NOK | HSBC | 07/14/2021 | — | (10) |
| 847 USD | 7,000 SEK | HSBC | 07/14/2021 | — | (29) |
| 89,380 USD | 1,236,000 ZAR | HSBC | 07/14/2021 | — | (2,958) |
| 1,236,000 ZAR | 90,556 USD | HSBC | 07/14/2021 | 4,133 | — |
| 309,000 AUD | 239,002 USD | Morgan Stanley | 07/14/2021 | 7,253 | — |
| 65,000 AUD | 48,747 USD | Morgan Stanley | 07/14/2021 | — | (2) |
| 304,000 CHF | 336,877 USD | Morgan Stanley | 07/14/2021 | 8,210 | — |
| 541,000 DKK | 88,249 USD | Morgan Stanley | 07/14/2021 | 1,962 | — |
| 1,539,043 EUR | 1,869,214 USD | Morgan Stanley | 07/14/2021 | 43,826 | — |
| 246,000 GBP | 347,609 USD | Morgan Stanley | 07/14/2021 | 7,304 | — |
| 728,000 HKD | 93,823 USD | Morgan Stanley | 07/14/2021 | 58 | — |
| 41,996 USD | 56,000 AUD | Morgan Stanley | 07/14/2021 | 4 | — |
| 17,360 USD | 21,000 CAD | Morgan Stanley | 07/14/2021 | — | (419) |
| 192,146 USD | 162,000 EUR | Morgan Stanley | 07/14/2021 | — | (5) |
| 79,342 USD | 1,096,000 ZAR | Morgan Stanley | 07/14/2021 | — | (2,709) |
| 1,096,000 ZAR | 80,351 USD | Morgan Stanley | 07/14/2021 | 3,717 | — |
| 584,000 CNY | 91,086 USD | Standard Chartered | 07/14/2021 | 810 | — |
| 55,233,000 KRW | 49,547 USD | Standard Chartered | 07/14/2021 | 569 | — |
| 48,762 USD | 55,233,000 KRW | Standard Chartered | 07/14/2021 | 215 | — |
| Total | 114,576 | (6,653) | |||
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| 10-Year Mini Japanese Government Bond | 4 | 09/2021 | JPY | 60,704,000 | 1,595 | — |
| Australian 10-Year Bond | 3 | 09/2021 | AUD | 423,567 | 1,798 | — |
| Canadian Government 10-Year Bond | 1 | 09/2021 | CAD | 145,520 | 1,168 | — |
| Euro-Bobl | 1 | 09/2021 | EUR | 134,150 | 111 | — |
| Long Gilt | 1 | 09/2021 | GBP | 128,100 | 1,017 | — |
| MSCI EAFE Index | 29 | 09/2021 | USD | 3,340,945 | — | (72,388) |
| MSCI Emerging Markets Index | 27 | 09/2021 | USD | 1,842,480 | — | (9,109) |
| Russell 2000 Index E-mini | 7 | 09/2021 | USD | 807,730 | — | (8,050) |
| S&P 500 Index E-mini | 33 | 09/2021 | USD | 7,076,190 | 64,809 | — |
| S&P/TSX 60 Index | 2 | 09/2021 | CAD | 481,080 | 882 | — |
| Short Term Euro-BTP | 1 | 09/2021 | EUR | 113,160 | 25 | — |
| U.S. Treasury 10-Year Note | 2 | 09/2021 | USD | 265,000 | 1,808 | — |
| 2 | Columbia Solutions Aggressive Portfolio | Quarterly Report 2021 |
Portfolio of Investments (continued)
Columbia Solutions Aggressive Portfolio, June 30, 2021 (Unaudited)
Columbia Solutions Aggressive Portfolio, June 30, 2021 (Unaudited)
| Long futures contracts (continued) | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| U.S. Treasury 5-Year Note | 3 | 09/2021 | USD | 370,289 | — | (639) |
| U.S. Ultra Bond 10-Year Note | 2 | 09/2021 | USD | 294,406 | 5,806 | — |
| Total | 79,019 | (90,186) | ||||
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Euro-BTP | (1) | 09/2021 | EUR | (151,410) | — | (1,165) |
| Cleared credit default swap contracts - sell protection | ||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
| Markit CDX North America High Yield Index, Series 36 | Morgan Stanley | 06/20/2026 | 5.000 | Quarterly | 2.745 | USD | 1,464,000 | 21,179 | — | — | 21,179 | — |
| Markit CDX North America Investment Grade Index, Series 36 | Morgan Stanley | 06/20/2026 | 1.000 | Quarterly | 0.481 | USD | 1,053,000 | 2,777 | — | — | 2,777 | — |
| Total | 23,956 | — | — | 23,956 | — | |||||||
| * | 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) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (b) | Principal and interest may not be guaranteed by a governmental entity. |
| (c) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2021, the total value of these securities amounted to $560,625, which represents 5.20% of total net assets. |
| (d) | Zero coupon bond. |
| (e) | The rate shown is the seven-day current annualized yield at June 30, 2021. |
| (f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
| Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
| Columbia Short-Term Cash Fund, 0.051% | ||||||||
| 3,521,256 | 5,111,399 | (4,853,536) | (32) | 3,779,087 | 31 | 482 | 3,779,465 | |
Currency Legend
| AUD | Australian Dollar |
| CAD | Canada Dollar |
| CHF | Swiss Franc |
| CLP | Chilean Peso |
| CNY | China Yuan Renminbi |
| DKK | Danish Krone |
| Columbia Solutions Aggressive Portfolio | Quarterly Report 2021 | 3 |
Portfolio of Investments (continued)
Columbia Solutions Aggressive Portfolio, June 30, 2021 (Unaudited)
Columbia Solutions Aggressive Portfolio, June 30, 2021 (Unaudited)
Currency Legend (continued)
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| IDR | Indonesian Rupiah |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| USD | US Dollar |
| ZAR | South African Rand |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
| 4 | Columbia Solutions Aggressive Portfolio | Quarterly Report 2021 |
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You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.
1QT296_03_L01_(08/21)