Portfolio of Investments
Columbia Solutions Conservative Portfolio, June 30, 2021 (Unaudited)
Columbia Solutions Conservative Portfolio, June 30, 2021 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Foreign Government Obligations(a),(b) 5.8% | ||||
| Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
| Chile 1.3% | ||||
| Bonos de la Tesoreria de la Republica en pesos | ||||
| 03/01/2026 | 4.500% | CLP | 75,000,000 | 107,977 |
| Bonos de la Tesoreria de la Republica en pesos(c) | ||||
| 09/01/2030 | 4.700% | CLP | 40,000,000 | 55,999 |
| Total | 163,976 | |||
| China 0.9% | ||||
| China Government Bond | ||||
| 11/21/2029 | 3.130% | CNY | 260,000 | 40,206 |
| 05/21/2030 | 2.680% | CNY | 500,000 | 74,526 |
| Total | 114,732 | |||
| France 0.8% | ||||
| French Republic Government Bond OAT(c),(d) | ||||
| 11/25/2030 | 0.000% | EUR | 35,000 | 41,390 |
| 11/25/2031 | 0.000% | EUR | 47,000 | 55,013 |
| Total | 96,403 | |||
| Indonesia 0.3% | ||||
| Indonesia Treasury Bond | ||||
| 09/15/2030 | 7.000% | IDR | 600,000,000 | 42,768 |
| Italy 0.1% | ||||
| Italy Buoni Poliennali Del Tesoro(c) | ||||
| 09/01/2046 | 3.250% | EUR | 13,000 | 20,261 |
| Japan 0.6% | ||||
| Japan Government 20-Year Bond | ||||
| 06/20/2040 | 0.400% | JPY | 4,700,000 | 42,168 |
| Japan Government 30-Year Bond | ||||
| 06/20/2050 | 0.600% | JPY | 3,300,000 | 29,129 |
| Total | 71,297 | |||
| Mexico 1.2% | ||||
| Mexican Bonos | ||||
| 05/31/2029 | 8.500% | MXN | 1,452,900 | 80,219 |
| Foreign Government Obligations(a),(b) (continued) | ||||
| Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
| Mexico Government International Bond | ||||
| 05/29/2031 | 7.750% | MXN | 1,200,000 | 63,466 |
| Total | 143,685 | |||
| New Zealand 0.3% | ||||
| New Zealand Government Bond | ||||
| 05/15/2031 | 1.500% | NZD | 49,000 | 33,414 |
| United Kingdom 0.3% | ||||
| United Kingdom Gilt(c) | ||||
| 10/22/2028 | 1.625% | GBP | 22,000 | 32,792 |
| Total Foreign Government Obligations (Cost $713,552) | 719,328 | |||
| U.S. Treasury Obligations 6.2% | ||||
| U.S. Treasury | ||||
| 03/31/2028 | 1.250% | 239,000 | 239,971 | |
| 08/15/2030 | 0.625% | 189,000 | 176,124 | |
| 11/15/2030 | 0.875% | 182,000 | 173,099 | |
| 02/15/2031 | 1.125% | 176,000 | 170,913 | |
| Total U.S. Treasury Obligations (Cost $775,427) | 760,107 | |||
| Money Market Funds 62.7% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.051%(e),(f) | 7,744,024 | 7,743,250 |
| Total Money Market Funds (Cost $7,743,203) | 7,743,250 | |
| Total Investments in Securities (Cost: $9,232,182) | 9,222,685 | |
| Other Assets & Liabilities, Net | 3,118,511 | |
| Net Assets | 12,341,196 | |
At June 30, 2021, securities and/or cash totaling $371,563 were pledged as collateral.
| Columbia Solutions Conservative Portfolio | Quarterly Report 2021 | 1 |
Portfolio of Investments (continued)
Columbia Solutions Conservative Portfolio, June 30, 2021 (Unaudited)
Columbia Solutions Conservative Portfolio, June 30, 2021 (Unaudited)
Investments in derivatives
| Forward foreign currency exchange contracts | |||||
| Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
| 266,000 CNY | 41,492 USD | Citi | 07/14/2021 | 373 | — |
| 673,522,000 IDR | 47,139 USD | Citi | 07/14/2021 | 835 | — |
| 8,616,000 KRW | 7,727 USD | Citi | 07/14/2021 | 86 | — |
| 2,000 MXN | 101 USD | Citi | 07/14/2021 | 1 | — |
| 7,605 USD | 8,616,000 KRW | Citi | 07/14/2021 | 35 | — |
| 6,945 USD | 96,000 ZAR | Citi | 07/14/2021 | — | (233) |
| 96,000 ZAR | 7,049 USD | Citi | 07/14/2021 | 336 | — |
| 127,378,000 CLP | 177,543 USD | Goldman Sachs International | 07/14/2021 | 4,147 | — |
| 64,749,000 IDR | 4,527 USD | Goldman Sachs International | 07/14/2021 | 76 | — |
| 21,000 GBP | 29,673 USD | HSBC | 07/14/2021 | 623 | — |
| 73,000 GBP | 100,949 USD | HSBC | 07/14/2021 | — | (36) |
| 77,622,034 JPY | 706,891 USD | HSBC | 07/14/2021 | 8,121 | — |
| 4,478,000 MXN | 225,848 USD | HSBC | 07/14/2021 | 1,547 | — |
| 68,000 NOK | 8,245 USD | HSBC | 07/14/2021 | 347 | — |
| 196,000 NZD | 141,161 USD | HSBC | 07/14/2021 | 4,161 | — |
| 483,000 SEK | 57,256 USD | HSBC | 07/14/2021 | 812 | — |
| 9,000 SGD | 6,797 USD | HSBC | 07/14/2021 | 104 | — |
| 11,304 USD | 8,000 GBP | HSBC | 07/14/2021 | — | (237) |
| 280,504 USD | 31,163,000 JPY | HSBC | 07/14/2021 | 32 | — |
| 79,110 USD | 1,579,000 MXN | HSBC | 07/14/2021 | — | (19) |
| 726 USD | 6,000 SEK | HSBC | 07/14/2021 | — | (25) |
| 48,450 USD | 670,000 ZAR | HSBC | 07/14/2021 | — | (1,603) |
| 670,000 ZAR | 49,088 USD | HSBC | 07/14/2021 | 2,241 | — |
| 73,000 AUD | 56,463 USD | Morgan Stanley | 07/14/2021 | 1,713 | — |
| 70,000 AUD | 52,497 USD | Morgan Stanley | 07/14/2021 | — | (3) |
| 136,000 CHF | 149,440 USD | Morgan Stanley | 07/14/2021 | 2,404 | — |
| 242,000 DKK | 39,070 USD | Morgan Stanley | 07/14/2021 | 473 | — |
| 644,000 EUR | 777,677 USD | Morgan Stanley | 07/14/2021 | 13,858 | — |
| 91,000 GBP | 128,587 USD | Morgan Stanley | 07/14/2021 | 2,702 | — |
| 154,000 HKD | 19,847 USD | Morgan Stanley | 07/14/2021 | 12 | — |
| 199,000 HKD | 25,629 USD | Morgan Stanley | 07/14/2021 | — | (1) |
| 3,867 USD | 5,000 AUD | Morgan Stanley | 07/14/2021 | — | (117) |
| 24,505 USD | 30,000 CAD | Morgan Stanley | 07/14/2021 | — | (303) |
| 115,051 USD | 97,000 EUR | Morgan Stanley | 07/14/2021 | — | (3) |
| 94,472 USD | 1,305,000 ZAR | Morgan Stanley | 07/14/2021 | — | (3,226) |
| 1,305,000 ZAR | 95,673 USD | Morgan Stanley | 07/14/2021 | 4,426 | — |
| 487,000 CNY | 75,957 USD | Standard Chartered | 07/14/2021 | 676 | — |
| 85,836,000 KRW | 76,999 USD | Standard Chartered | 07/14/2021 | 885 | — |
| 75,780 USD | 85,836,000 KRW | Standard Chartered | 07/14/2021 | 334 | — |
| Total | 51,360 | (5,806) | |||
| Long futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| 10-Year Mini Japanese Government Bond | 1 | 09/2021 | JPY | 15,176,000 | 399 | — |
| Australian 10-Year Bond | 3 | 09/2021 | AUD | 423,567 | 1,798 | — |
| Canadian Government 10-Year Bond | 1 | 09/2021 | CAD | 145,520 | 1,168 | — |
| MSCI EAFE Index | 13 | 09/2021 | USD | 1,497,665 | — | (21,125) |
| MSCI Emerging Markets Index | 14 | 09/2021 | USD | 955,360 | — | (3,181) |
| S&P 500 Index E-mini | 17 | 09/2021 | USD | 3,645,310 | 23,249 | — |
| U.S. Treasury 10-Year Note | 8 | 09/2021 | USD | 1,060,000 | 7,233 | — |
| U.S. Treasury 5-Year Note | 6 | 09/2021 | USD | 740,578 | — | (1,278) |
| U.S. Ultra Bond 10-Year Note | 2 | 09/2021 | USD | 294,406 | 5,805 | — |
| Total | 39,652 | (25,584) | ||||
| 2 | Columbia Solutions Conservative Portfolio | Quarterly Report 2021 |
Portfolio of Investments (continued)
Columbia Solutions Conservative Portfolio, June 30, 2021 (Unaudited)
Columbia Solutions Conservative Portfolio, June 30, 2021 (Unaudited)
| Short futures contracts | ||||||
| Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
| Short Term Euro-BTP | (1) | 09/2021 | EUR | (113,160) | — | (28) |
| Cleared credit default swap contracts - sell protection | ||||||||||||
| Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | 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 | 1,672,000 | 27,003 | — | — | 27,003 | — |
| Markit CDX North America Investment Grade Index, Series 36 | Morgan Stanley | 06/20/2026 | 1.000 | Quarterly | 0.481 | USD | 1,205,000 | 3,592 | — | — | 3,592 | — |
| Total | 30,595 | — | — | 30,595 | — | |||||||
| * | 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 $205,455, which represents 1.66% of total net assets. |
| (d) | Zero coupon bond. |
| (e) | The rate shown is the seven-day current annualized yield at June 30, 2021. |
| (f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2021 are as follows: |
| Affiliated issuers | Beginning of period($) | 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% | ||||||||
| 7,364,420 | 2,764,096 | (2,385,207) | (59) | 7,743,250 | 59 | 990 | 7,744,024 | |
Currency Legend
| AUD | Australian Dollar |
| CAD | Canada Dollar |
| CHF | Swiss Franc |
| CLP | Chilean Peso |
| CNY | China Yuan Renminbi |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| IDR | Indonesian Rupiah |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| Columbia Solutions Conservative Portfolio | Quarterly Report 2021 | 3 |
Portfolio of Investments (continued)
Columbia Solutions Conservative Portfolio, June 30, 2021 (Unaudited)
Columbia Solutions Conservative Portfolio, June 30, 2021 (Unaudited)
Currency Legend (continued)
| 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 Conservative Portfolio | Quarterly Report 2021 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
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)