Consolidated Portfolio of Investments
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities — Non-Agency 7.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ares XLIII CLO Ltd.(a),(b) | ||||
Series 2017-43A Class ER | ||||
3-month USD LIBOR + 6.860% Floor 6.860% 07/15/2034 | 6.961% | 1,000,000 | 993,506 | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class DR | ||||
3-month USD LIBOR + 6.870% Floor 6.870% 04/15/2034 | 7.032% | 1,500,000 | 1,501,041 | |
ARES XLVII CLO Ltd.(a),(b) | ||||
Series 2018-47A Class B | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 04/15/2030 | 1.576% | 2,500,000 | 2,489,665 | |
Avant Loans Funding Trust(a) | ||||
Series 2019-B Class B | ||||
10/15/2026 | 3.150% | 826,196 | 829,093 | |
Series 2019-B Class C | ||||
10/15/2026 | 4.540% | 3,000,000 | 3,035,012 | |
Series 2020-REV1 Class B | ||||
05/15/2029 | 2.680% | 496,000 | 498,784 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2020-3A Class E | ||||
3-month USD LIBOR + 7.500% Floor 7.500% 10/23/2032 | 7.638% | 1,000,000 | 1,001,307 | |
Series 2020-4A Class E | ||||
3-month USD LIBOR + 7.950% Floor 7.950% 10/20/2033 | 8.084% | 900,000 | 896,429 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2020-2A Class C | ||||
3-month USD LIBOR + 3.770% Floor 3.770% 10/20/2031 | 3.979% | 500,000 | 500,356 | |
Series 2020-2A Class D | ||||
3-month USD LIBOR + 7.630% Floor 7.630% 10/20/2031 | 7.839% | 500,000 | 500,416 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2019-3A Class ER | ||||
3-month USD LIBOR + 6.700% Floor 6.700% 04/20/2031 | 6.834% | 750,000 | 750,037 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carlyle Global Market Strategies(a),(b) | ||||
Series 2021-5A Class E | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/20/2034 | 6.400% | 1,000,000 | 1,000,274 | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2016-4A Class A2R | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 10/20/2027 | 1.584% | 3,100,000 | 3,097,672 | |
Series 2020-2A Class D | ||||
3-month USD LIBOR + 7.400% Floor 7.400% 10/25/2031 | 7.574% | 990,000 | 990,065 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2019-B Class B | ||||
06/17/2024 | 3.620% | 88,023 | 88,038 | |
Consumer Loan Underlying Bond Credit Trust(a),(c),(d),(e) | ||||
Subordinated Series 2018-P1 Class CERT | ||||
07/15/2025 | 0.000% | 100,000 | 1,050,000 | |
Subordinated Series 2018-P2 Class CERT | ||||
10/15/2025 | 0.000% | 100,000 | 975,000 | |
Consumer Underlying Bond Securitization(a) | ||||
Series 2018-1 Class A | ||||
02/17/2026 | 4.790% | 241,701 | 244,561 | |
Dryden 86 CLO Ltd.(a),(b) | ||||
Series 2020-86A Class ER | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 07/17/2034 | 6.634% | 1,400,000 | 1,400,399 | |
ENVA LLC(a) | ||||
Series 2019-A Class B | ||||
06/22/2026 | 6.170% | 186,321 | 187,419 | |
Series 2019-A Class C | ||||
06/22/2026 | 7.620% | 500,000 | 516,457 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2020-3A Class E | ||||
08/17/2026 | 3.440% | 800,000 | 827,195 | |
Subordinated Series 2020-3A Class F | ||||
06/15/2027 | 5.560% | 500,000 | 525,515 | |
Exeter Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class E | ||||
07/17/2028 | 2.900% | 900,000 | 902,026 | |
Freed ABS Trust(a) | ||||
Subordinated Series 2021-1CP Class C | ||||
03/20/2028 | 2.830% | 700,000 | 708,819 |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 1 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LendingClub Receivables Trust(a) | ||||
Series 2019-3 Class A | ||||
10/15/2025 | 3.750% | 747,740 | 760,690 | |
Series 2019-5 Class A | ||||
12/15/2045 | 3.750% | 795,911 | 807,649 | |
Series 2019-7 Class A | ||||
01/15/2027 | 3.750% | 336,537 | 340,069 | |
Series 2020-T1 Class A | ||||
02/15/2046 | 3.500% | 418,825 | 419,969 | |
LendingClub Receivables Trust(a),(c),(d),(e) | ||||
Series 2020-2 Class R | ||||
02/15/2046 | 0.000% | 85,000 | 697,000 | |
LendingClub Receivables Trust(a),(d),(e) | ||||
Series 2020-JPSL Class R | ||||
02/15/2025 | 0.000% | 50,000 | 1,367,000 | |
Lendingpoint Asset Securitization Trust(a) | ||||
Subordinated Series 2019-2 Class C | ||||
11/10/2025 | 4.660% | 941,605 | 947,651 | |
Subordinated Series 2021-A Class C | ||||
12/15/2028 | 2.750% | 2,000,000 | 2,006,679 | |
LendingPoint Asset Securitization Trust(a),(c),(e) | ||||
Subordinated Series 2021-1 Class C | ||||
04/15/2027 | 4.935% | 1,150,000 | 1,154,370 | |
Subordinated Series 2021-1 Class D | ||||
04/15/2027 | 7.226% | 1,000,000 | 1,002,100 | |
Madison Park Funding XLVII Ltd.(a),(b) | ||||
Series 2020-47A Class E | ||||
3-month USD LIBOR + 7.460% Floor 7.460% 01/19/2034 | 7.706% | 500,000 | 503,073 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 1.884% | 7,000,000 | 7,001,029 | |
Marlette Funding Trust(a) | ||||
Series 2021-1A Class D | ||||
06/16/2031 | 2.470% | 100,000 | 101,166 | |
Octagon Investment Partners 47 Ltd.(a),(b) | ||||
Series 2020-1A Class ER | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/20/2034 | 6.384% | 750,000 | 736,326 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2019-3 Class B | ||||
11/16/2026 | 5.625% | 1,100,000 | 1,123,173 | |
Series 2021-2 Class NOTE | ||||
01/25/2029 | 3.000% | 970,558 | 970,484 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pagaya AI Debt Selection Trust(a),(e) | ||||
Series 2020-2 Class NOTE | ||||
12/15/2027 | 7.500% | 645,116 | 646,124 | |
Pagaya AI Debt Selection Trust(a),(c),(d),(e) | ||||
Series 2020-3 Class CERT | ||||
05/17/2027 | 0.000% | 3,200,000 | 3,024,000 | |
Series 2021-1 Class CERT | ||||
11/15/2027 | 0.000% | 1,846,200 | 3,000,075 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2020-4A Class D | ||||
3-month USD LIBOR + 7.050% Floor 7.050% 11/25/2028 | 7.179% | 1,000,000 | 1,001,766 | |
Prosper Pass-Through Trust(a),(e) | ||||
Series 2019-ST2 Class A | ||||
11/15/2025 | 3.750% | 698,368 | 701,860 | |
RR 16 Ltd.(a),(b) | ||||
Series 2021-16A Class D | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/15/2036 | 6.331% | 1,000,000 | 1,000,772 | |
SoFi Consumer Loan Program LLC(a),(c),(d),(e) | ||||
Series 2016-4 Class R | ||||
11/25/2025 | 0.000% | 100,000 | 1,025,372 | |
Theorem Funding Trust(a) | ||||
Series 2020-1A Class C | ||||
10/15/2026 | 6.250% | 2,300,000 | 2,390,468 | |
Subordinated Series 2021-1A Class B | ||||
12/15/2027 | 1.840% | 1,000,000 | 1,000,213 | |
Upgrade Receivables Trust(a) | ||||
Subordinated Series 2019-2A Class C | ||||
10/15/2025 | 4.450% | 1,696,363 | 1,709,619 | |
Upstart Pass-Through Trust(a),(e) | ||||
Series 2020-ST4 Class A | ||||
11/20/2026 | 3.250% | 729,439 | 729,439 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST1 Class A | ||||
02/20/2027 | 2.750% | 615,687 | 621,107 | |
Series 2021-ST7 Class A | ||||
09/20/2029 | 1.850% | 500,000 | 500,057 | |
Upstart Securitization Trust(a) | ||||
Subordinated Series 2019-1 Class C | ||||
04/20/2026 | 5.130% | 694,252 | 701,848 | |
US Auto Funding(a) | ||||
Subordinated Series 2021-1A Class D | ||||
03/15/2027 | 4.360% | 1,125,000 | 1,120,370 |
2 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Westlake Automobile Receivables Trust(a) | ||||
Series 2020-3A Class E | ||||
06/15/2026 | 3.340% | 750,000 | 775,382 | |
Total Asset-Backed Securities — Non-Agency (Cost $66,817,233) | 65,395,986 | |||
Commercial Mortgage-Backed Securities - Agency 0.1% | ||||
Government National Mortgage Association(f),(g) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.838% | 1,600,679 | 114,340 | |
Series 2019-109 Class IO | ||||
04/16/2060 | 0.809% | 3,581,673 | 256,072 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.891% | 3,644,885 | 246,484 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 0.835% | 2,202,333 | 180,302 | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.782% | 2,487,127 | 171,756 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $1,579,926) | 968,954 | |||
Commercial Mortgage-Backed Securities - Non-Agency 5.7% | ||||
BAMLL Commercial Mortgage Securities Trust(a),(f) | ||||
Subordinated Series 2013-WBRK Class E | ||||
03/10/2037 | 3.652% | 500,000 | 416,706 | |
BAMLL Commercial Mortgage Securities Trust(a),(b) | ||||
Subordinated Series 2018-DSNY Class D | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 09/15/2034 | 1.796% | 2,065,000 | 2,057,223 | |
Subordinated Series 2019-RLJ Class C | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 04/15/2036 | 1.696% | 1,250,000 | 1,240,819 | |
BBCMS Trust(a),(b) | ||||
Series 2018-BXH Class A | ||||
1-month USD LIBOR + 1.000% Floor 1.000% 10/15/2037 | 1.096% | 207,394 | 207,597 | |
Subordinated Series 2018-BXH Class F | ||||
1-month USD LIBOR + 2.950% Floor 2.950% 10/15/2037 | 3.046% | 1,500,000 | 1,440,999 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 2.636% | 300,000 | 294,869 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-DPLO Class G | ||||
1-month USD LIBOR + 3.190% Floor 3.190% 10/15/2034 | 3.286% | 1,000,000 | 972,229 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 2.496% | 1,000,000 | 963,079 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-MFM1 Class F | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 01/15/2034 | 3.096% | 500,000 | 503,124 | |
Subordinated Series 2021-MFM1 Class G | ||||
1-month USD LIBOR + 3.900% Floor 3.900% 01/15/2034 | 3.996% | 100,000 | 99,940 | |
BX Trust(a),(b) | ||||
Series 2018-GW Class F | ||||
1-month USD LIBOR + 2.420% Floor 2.420% 05/15/2035 | 2.516% | 500,000 | 498,908 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,000,000 | 1,086,834 | |
Series 2019-OC11 Class E | ||||
12/09/2041 | 4.076% | 1,350,000 | 1,412,621 | |
BX Trust(a),(f) | ||||
Subordinated Series 2019-OC11 Class D | ||||
12/09/2041 | 4.076% | 500,000 | 540,814 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.350% 11/15/2036 | 1.596% | 1,000,000 | 1,001,251 | |
Series 2017-CSMO Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.100% 11/15/2036 | 2.346% | 1,000,000 | 1,001,561 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 2.817% | 900,000 | 896,627 | |
Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 3.513% | 1,350,000 | 1,295,816 |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 3 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cold Storage Trust(a),(b) | ||||
Subordinated Series 2020-ICE5 Class F | ||||
1-month USD LIBOR + 3.493% Floor 3.333% 11/15/2023 | 3.588% | 638,944 | 642,937 | |
COMM Mortgage Trust(a),(f) | ||||
Series 2020-CBM Class D | ||||
02/10/2037 | 3.754% | 600,000 | 610,249 | |
Series 2020-CBM Class F | ||||
02/10/2037 | 3.754% | 2,200,000 | 2,139,980 | |
Cosmopolitan Hotel Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-CSMO Class F | ||||
1-month USD LIBOR + 3.741% Floor 3.741% 11/15/2036 | 3.837% | 2,550,000 | 2,554,101 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 645,000 | 614,177 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 4,600,000 | 4,150,712 | |
CSMC Trust(a),(f) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.393% | 600,000 | 532,342 | |
Hilton USA Trust(a),(f) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.333% | 3,000,000 | 3,050,719 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 2,500,000 | 2,524,980 | |
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 1,300,000 | 1,314,608 | |
Home Partners of America Trust(a) | ||||
Series 2019-2 Class F | ||||
10/19/2039 | 3.866% | 338,531 | 342,188 | |
KKR Industrial Portfolio Trust(a),(b) | ||||
Series 2020-AIP Class F | ||||
1-month USD LIBOR + 3.429% Floor 3.429% 03/15/2037 | 3.525% | 819,575 | 820,310 | |
Morgan Stanley Capital I Trust(a),(f) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.283% | 600,000 | 579,054 | |
Progress Residential Trust(a) | ||||
Series 2018-SF3 Class B | ||||
10/17/2035 | 4.079% | 2,000,000 | 2,004,364 | |
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 575,000 | 580,729 | |
Subordinated Series 2019-SFR3 Class E | ||||
09/17/2036 | 3.369% | 1,000,000 | 1,026,360 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2019-SFR3 Class F | ||||
09/17/2036 | 3.867% | 6,700,000 | 6,826,246 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/18/2037 | 6.152% | 500,000 | 529,617 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2017-SMP Class A | ||||
1-month USD LIBOR + 0.875% Floor 0.750% 12/15/2034 | 0.971% | 1,200,000 | 1,200,000 | |
Series 2020-SDAL Class E | ||||
1-month USD LIBOR + 2.740% Floor 2.740% 02/15/2037 | 2.836% | 500,000 | 482,531 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $46,255,443) | 48,457,221 | |||
Residential Mortgage-Backed Securities - Agency 14.7% | ||||
Federal Home Loan Mortgage Corp.(b),(g) | ||||
CMO Series 2013-101 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.500% Cap 6.500% 10/25/2043 | 6.416% | 1,018,868 | 221,631 | |
CMO Series 4987 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 5.996% | 1,595,234 | 365,795 | |
CMO Series 4993 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2050 | 5.966% | 2,239,329 | 589,495 | |
Federal Home Loan Mortgage Corp.(g) | ||||
CMO Series 5034 Class JI | ||||
11/25/2050 | 2.500% | 9,426,808 | 1,501,873 | |
Federal Home Loan Mortgage Corp. REMICS(b),(g) | ||||
CMO Series 4606 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 12/15/2044 | 5.905% | 5,339,138 | 1,112,651 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 2016-53 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 5.916% | 17,858,686 | 4,357,477 | |
CMO Series 2020-38 Class WS | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 06/25/2050 | 4.916% | 3,836,103 | 681,884 | |
Federal National Mortgage Association(g) | ||||
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 5,583,428 | 911,703 |
4 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-4 Class IO | ||||
02/25/2051 | 2.500% | 5,664,892 | 872,576 | |
Federal National Mortgage Association REMICS(g) | ||||
CMO Series 2021-22 Class LI | ||||
04/25/2051 | 3.000% | 3,407,673 | 542,333 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2021-HQA2 Class B2 | ||||
30-day Average SOFR + 5.450% 12/25/2033 | 5.500% | 600,000 | 626,252 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2019-103 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/20/2049 | 5.962% | 3,221,198 | 649,306 | |
CMO Series 2019-120 Class CS | ||||
-1.0 x 1-month USD LIBOR + 3.400% Cap 3.400% 09/20/2049 | 3.312% | 28,044,626 | 2,476,425 | |
CMO Series 2019-120 Class SA | ||||
-1.0 x 1-month USD LIBOR + 3.400% Cap 3.400% 09/20/2049 | 3.312% | 3,309,335 | 319,623 | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/20/2049 | 6.012% | 3,973,638 | 778,413 | |
CMO Series 2019-98 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 08/20/2049 | 6.012% | 12,065,734 | 1,846,112 | |
CMO Series 2020-104 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% 07/20/2050 | 6.112% | 2,073,032 | 395,428 | |
CMO Series 2021-96 Class US | ||||
-1.0 x 30-day Average SOFR + 3.250% Cap 3.250% 06/20/2051 | 3.200% | 3,984,260 | 438,293 | |
Government National Mortgage Association(g) | ||||
CMO Series 2019-129 Class AI | ||||
10/20/2049 | 3.500% | 2,725,883 | 302,245 | |
CMO Series 2020-104 Class IY | ||||
07/20/2050 | 3.000% | 3,344,388 | 469,915 | |
CMO Series 2020-129 Class GI | ||||
09/20/2050 | 3.000% | 3,186,613 | 474,401 | |
CMO Series 2020-129 Class YI | ||||
09/20/2050 | 2.500% | 4,057,034 | 530,215 | |
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 5,760,074 | 694,478 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-148 Class AI | ||||
10/20/2050 | 2.500% | 9,169,730 | 1,177,229 | |
CMO Series 2020-153 Class CI | ||||
10/20/2050 | 2.500% | 3,815,467 | 542,799 | |
CMO Series 2020-160 Class IA | ||||
10/20/2050 | 2.500% | 4,832,061 | 676,651 | |
CMO Series 2020-164 Class CI | ||||
11/20/2050 | 3.000% | 2,867,036 | 406,172 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 3,873,601 | 558,603 | |
CMO Series 2020-181 Class BI | ||||
12/20/2050 | 2.500% | 5,892,599 | 823,059 | |
CMO Series 2020-185 Class KI | ||||
12/20/2050 | 2.500% | 5,669,872 | 810,880 | |
CMO Series 2020-187 Class AI | ||||
12/20/2050 | 2.500% | 5,792,303 | 806,304 | |
CMO Series 2020-188 Class KI | ||||
12/20/2050 | 2.500% | 6,831,627 | 913,524 | |
CMO Series 2020-191 Class UC | ||||
12/20/2050 | 4.000% | 2,814,544 | 469,349 | |
CMO Series 2021-1 Class IT | ||||
01/20/2051 | 3.000% | 4,762,198 | 592,484 | |
CMO Series 2021-107 Class IW | ||||
06/20/2051 | 3.500% | 3,463,059 | 540,827 | |
CMO Series 2021-24 Class MI | ||||
02/20/2051 | 3.000% | 2,874,891 | 408,898 | |
CMO Series 2021-25 Class GI | ||||
02/20/2051 | 2.500% | 4,931,301 | 712,657 | |
CMO Series 2021-7 Class IT | ||||
01/16/2051 | 3.000% | 1,933,140 | 407,219 | |
CMO Series 2021-7 Class QI | ||||
01/20/2051 | 2.500% | 6,370,694 | 881,188 | |
CMO Series 2021-9 Class MI | ||||
01/20/2051 | 2.500% | 965,626 | 117,813 | |
CMO Series 2021-96 Class VI | ||||
06/20/2051 | 2.500% | 4,978,815 | 703,544 | |
Government National Mortgage Association(c),(e),(g) | ||||
CMO Series 2021-140 Class IJ | ||||
08/20/2051 | 3.000% | 6,000,000 | 843,750 | |
Government National Mortgage Association TBA(h) | ||||
09/21/2051 | 2.500% | 30,000,000 | 31,115,625 | |
Uniform Mortgage-Backed Security TBA(h) | ||||
09/14/2051 | 2.000% | 34,500,000 | 34,990,547 | |
09/14/2051 | 2.500% | 24,000,000 | 24,933,750 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $123,758,888) | 124,591,396 | |||
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 5 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency 14.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
510 Asset Backed Trust(a),(f) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 1,183,412 | 1,184,614 | |
Ajax Mortgage Loan Trust(a),(f) | ||||
CMO Series 2021-C Class A | ||||
01/25/2061 | 2.115% | 454,135 | 454,076 | |
Angel Oak Mortgage Trust(a),(f),(i) | ||||
CMO Series 2021-5 Class A3 | ||||
07/25/2066 | 1.311% | 650,000 | 649,989 | |
Angel Oak Mortgage Trust I LLC(a),(f) | ||||
Subordinated CMO Series 2019-2 Class B2 | ||||
03/25/2049 | 6.286% | 2,700,000 | 2,759,894 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 03/25/2029 | 1.834% | 1,500,000 | 1,505,241 | |
CMO Series 2019-4A Class M1C | ||||
1-month USD LIBOR + 2.500% Floor 2.500% 10/25/2029 | 2.584% | 200,000 | 200,000 | |
CMO Series 2020-2A Class M2 | ||||
1-month USD LIBOR + 6.000% Floor 6.000% 08/26/2030 | 6.084% | 1,700,000 | 1,802,594 | |
CMO Series 2020-3A Class M2 | ||||
1-month USD LIBOR + 4.850% Floor 4.850% 10/25/2030 | 4.934% | 650,000 | 694,814 | |
BRAVO Residential Funding Trust(a),(f) | ||||
CMO Series 2019-NQM1 Class B1 | ||||
07/25/2059 | 4.006% | 4,782,000 | 4,953,911 | |
CMO Series 2019-NQM1 Class M1 | ||||
07/25/2059 | 2.997% | 2,512,500 | 2,521,998 | |
CMO Series 2019-NQM2 Class B1 | ||||
11/25/2059 | 3.954% | 1,000,000 | 1,007,408 | |
CMO Series 2020-NQM1 Class B1 | ||||
05/25/2060 | 5.086% | 300,000 | 312,753 | |
CMO Series 2020-NQM1 Class B2 | ||||
05/25/2060 | 5.640% | 430,000 | 443,486 | |
Subordinated CMO Series 2021-NQM2 Class B1 | ||||
03/25/2060 | 3.044% | 200,000 | 200,380 | |
Subordinated CMO Series 2021-NQM2 Class B2 | ||||
03/25/2060 | 4.099% | 300,000 | 300,546 | |
BRAVO Residential Funding Trust(a),(b) | ||||
CMO Series 2021-HE2 Class B1 | ||||
30-day Average SOFR + 2.400% 11/25/2069 | 2.418% | 338,000 | 338,116 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2021-HE2 Class B2 | ||||
30-day Average SOFR + 3.400% 11/25/2069 | 3.418% | 353,000 | 353,119 | |
BVRT Financing Trust(a),(b),(e) | ||||
CMO Series 2020-CRT1 Class M3 | ||||
1-month USD LIBOR + 4.000% 07/10/2032 | 4.077% | 1,000,000 | 1,005,000 | |
CMO Series 2021-2F Class M2 | ||||
30-day Average SOFR + 2.500% Floor 2.500% 01/10/2032 | 2.538% | 1,000,000 | 1,000,000 | |
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 3.100% | 3,000,000 | 3,000,000 | |
BVRT Financing Trust(a),(b),(c),(e) | ||||
CMO Series 2021-CRT1 Class M4 | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 07/10/2032 | 3.600% | 1,875,000 | 1,910,156 | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 2.834% | 370,000 | 370,627 | |
Citigroup Mortgage Loan Trust, Inc.(a),(f) | ||||
CMO Series 2019-IMC1 Class M1 | ||||
07/25/2049 | 3.170% | 4,500,000 | 4,500,014 | |
COLT Mortgage Loan Trust(a),(f) | ||||
CMO Series 2020-2 Class M1 | ||||
03/25/2065 | 5.250% | 200,000 | 205,612 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-HRP1 Class B1 | ||||
1-month USD LIBOR + 9.250% 11/25/2039 | 9.334% | 1,600,000 | 1,695,027 | |
CMO Series 2019-HRP1 Class M2 | ||||
1-month USD LIBOR + 2.150% 11/25/2039 | 2.234% | 536,938 | 533,967 | |
CMO Series 2020-R01 Class 1M2 | ||||
1-month USD LIBOR + 2.050% Floor 2.050% 01/25/2040 | 2.134% | 2,703,321 | 2,716,508 | |
Subordinated CMO Series 2018-R07 Class 1B1 | ||||
1-month USD LIBOR + 4.350% 04/25/2031 | 4.434% | 450,000 | 466,186 | |
CSMC Trust(a),(f) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.430% | 1,774,469 | 1,833,368 | |
Deephaven Residential Mortgage Trust(a),(f) | ||||
CMO Series 2020-2 Class B2 | ||||
05/25/2065 | 5.893% | 600,000 | 610,665 |
6 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M1 | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 11/25/2028 | 1.784% | 1,825,512 | 1,826,684 | |
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 1.884% | 481,252 | 481,252 | |
Fannie Mae Connecticut Avenue Securities(b) | ||||
CMO Series 14-C02 Class 1M2 | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 05/25/2024 | 2.684% | 1,322,393 | 1,333,994 | |
CMO Series 2014-C03 Class 1M2 | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 07/25/2024 | 3.084% | 1,347,235 | 1,364,074 | |
Freddie Mac STACR(a),(b) | ||||
Subordinated CMO Series 2019-HQA3 Class B1 | ||||
1-month USD LIBOR + 3.000% 09/25/2049 | 3.084% | 1,250,000 | 1,259,050 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2020-DNA4 Class B1 | ||||
1-month USD LIBOR + 6.000% 08/25/2050 | 6.084% | 1,600,000 | 1,698,355 | |
Subordinated CMO Series 2020-DNA6 Class B2 | ||||
30-day Average SOFR + 5.650% 12/25/2050 | 5.700% | 1,000,000 | 1,081,425 | |
Subordinated CMO Series 2020-HQA1 Class B1 | ||||
1-month USD LIBOR + 2.350% 01/25/2050 | 2.434% | 1,942,000 | 1,946,111 | |
Subordinated CMO Series 2020-HQA3 Class B1 | ||||
1-month USD LIBOR + 5.750% 07/25/2050 | 5.834% | 1,000,000 | 1,061,216 | |
Subordinated CMO Series 2020-HQA4 Class B1 | ||||
1-month USD LIBOR + 5.250% 09/25/2050 | 5.334% | 2,400,000 | 2,522,160 | |
Subordinated CMO Series 2021-DNA1 Class B2 | ||||
30-day Average SOFR + 4.750% 01/25/2051 | 4.800% | 1,200,000 | 1,210,380 | |
Freddie Mac STACR Trust(a),(b) | ||||
Subordinated CMO Series 2019-HQA2 Class B1 | ||||
1-month USD LIBOR + 4.100% 04/25/2049 | 4.184% | 1,500,000 | 1,547,803 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(b) | ||||
CMO Series 2014-DN1 Class M3 | ||||
1-month USD LIBOR + 4.500% 02/25/2024 | 4.584% | 461,049 | 474,304 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
Subordinated CMO Series 2020-DNA3 Class B1 | ||||
1-month USD LIBOR + 5.100% 06/25/2050 | 5.184% | 2,000,000 | 2,088,269 | |
Subordinated CMO Series 2020-HQA5 Class B2 | ||||
30-day Average SOFR + 7.400% 11/25/2050 | 7.450% | 1,800,000 | 2,106,019 | |
GCAT Trust(a),(f) | ||||
CMO Series 2019-NQM3 Class M1 | ||||
11/25/2059 | 3.450% | 600,000 | 611,047 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2019-1 Class M1 | ||||
1-month USD LIBOR + 1.900% Floor 1.900% 11/26/2029 | 1.984% | 125,545 | 125,549 | |
CMO Series 2021-1 Class M2 | ||||
1-month USD LIBOR + 3.900% Floor 3.900% 08/25/2033 | 3.984% | 250,000 | 250,609 | |
Genworth Mortgage Insurance Corp.(a),(b),(h) | ||||
CMO Series 2021-3 Class M1B | ||||
30-day Average SOFR + 2.900% Floor 2.900% 02/25/2034 | 2.950% | 2,000,000 | 2,000,000 | |
Subordinated CMO Series 2021-3 Class B1 | ||||
30-day Average SOFR + 4.950% Floor 4.950% 02/25/2034 | 5.000% | 500,000 | 500,000 | |
Glebe Funding Trust (The)(a),(e) | ||||
CMO Series 2021-1 Class PT | ||||
10/27/2023 | 3.000% | 1,098,597 | 1,098,597 | |
Headlands Residential LLC(a) | ||||
CMO Series 2019-RPL1 | ||||
06/25/2024 | 3.967% | 1,405,702 | 1,407,707 | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month USD LIBOR + 3.000% 10/25/2028 | 3.084% | 750,000 | 757,522 | |
CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 4.150% Floor 4.150% 10/25/2030 | 4.234% | 250,000 | 256,506 | |
CMO Series 2020-1 Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 5.334% | 1,200,000 | 1,236,935 | |
Homeward Opportunities Fund I Trust(a),(f) | ||||
Subordinated CMO Series 2020-2 Class B1 | ||||
05/25/2065 | 5.450% | 250,000 | 263,246 |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 7 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Homeward Opportunities Fund Trust(a),(f) | ||||
CMO Series 2020-BPL1 Class A2 | ||||
08/25/2025 | 5.438% | 1,493,537 | 1,532,190 | |
Legacy Mortgage Asset Trust(a),(f) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 470,311 | 472,604 | |
LVII Trust(a),(c),(e),(f) | ||||
Subordinated CMO Series 2020-1 Class B1 | ||||
05/25/2060 | 5.000% | 1,900,000 | 1,902,375 | |
Mortgage Acquisition Trust I LLC(a),(e) | ||||
CMO Series 2021-1 Class PT | ||||
11/29/2023 | 3.500% | 952,626 | 952,626 | |
New Residential Mortgage Loan Trust(a),(f) | ||||
CMO Series 2020-RPL2 Class A1 | ||||
08/25/2025 | 3.578% | 1,768,744 | 1,800,692 | |
Oaktown Re II Ltd.(a),(b) | ||||
Subordinated CMO Series 2018-1A Class B1 | ||||
1-month USD LIBOR + 4.050% 07/25/2028 | 4.134% | 450,000 | 463,371 | |
Subordinated CMO Series 2018-1A Class M2 | ||||
1-month USD LIBOR + 2.850% 07/25/2028 | 2.934% | 3,017,857 | 3,050,633 | |
Oaktown Re III Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M2 | ||||
1-month USD LIBOR + 2.550% Floor 2.550% 07/25/2029 | 2.634% | 1,000,000 | 1,006,091 | |
Oaktown Re V Ltd.(a),(b) | ||||
CMO Series 2020-2A Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 5.334% | 1,000,000 | 1,051,545 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M2 | ||||
30-day Average SOFR + 3.950% Floor 3.950% 10/25/2033 | 4.000% | 500,000 | 519,856 | |
OMSR(a) | ||||
CMO Series 2019-PLS1 Class A | ||||
11/25/2024 | 5.069% | 2,070,544 | 2,078,200 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
CMO Series 2019-1R Class A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024 | 2.088% | 880,220 | 872,106 | |
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 2.838% | 881,886 | 877,443 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-FT1 Class A | ||||
1-month USD LIBOR + 2.350% 04/25/2023 | 2.434% | 500,000 | 498,255 | |
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 2.934% | 2,750,000 | 2,762,518 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 2.734% | 4,250,000 | 4,243,978 | |
Preston Ridge Partners Mortgage(a),(f) | ||||
CMO Series 2021-2 Class A2 | ||||
03/25/2026 | 3.770% | 700,000 | 707,322 | |
CMO Series 2021-4 Class A2 | ||||
04/25/2026 | 3.474% | 400,000 | 401,543 | |
Preston Ridge Partners Mortgage LLC(a),(f) | ||||
CMO Series 2020-6 Class A2 | ||||
11/25/2025 | 4.703% | 200,000 | 198,640 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 939,994 | 939,881 | |
Preston Ridge Partners Mortgage Trust(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 939,525 | 939,997 | |
CMO Series 2021-1 Class A2 | ||||
01/25/2026 | 3.720% | 3,250,000 | 3,245,989 | |
CMO Series 2021-5 Class A2 | ||||
06/25/2026 | 3.721% | 700,000 | 701,840 | |
Preston Ridge Partners Mortgage Trust(a),(c),(e),(f),(h) | ||||
CMO Series 2021-7 Class A1 | ||||
08/25/2026 | 1.867% | 1,800,000 | 1,800,000 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2020-2 Class M2 | ||||
1-month USD LIBOR + 5.600% Floor 5.600% 10/25/2030 | 5.748% | 600,000 | 615,857 | |
RCO V Mortgage LLC(a),(f) | ||||
CMO Series 2020-1 Class A2 | ||||
09/25/2025 | 5.389% | 900,000 | 905,852 | |
Residential Mortgage Loan Trust(a),(f) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.257% | 700,000 | 711,347 | |
STACR Trust(a),(b) | ||||
Subordinated CMO Series 2018-HRP1 Class B1 | ||||
1-month USD LIBOR + 3.750% 04/25/2043 | 3.834% | 2,000,000 | 2,055,110 | |
Starwood Mortgage Residential Trust(a),(f) | ||||
CMO Series 2020-3 Class B1 | ||||
04/25/2065 | 4.750% | 250,000 | 258,073 |
8 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Stonnington Mortgage Trust(a),(c),(e),(f) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 5.500% | 1,245,038 | 1,245,038 | |
Toorak Mortgage Corp., Ltd.(a),(f) | ||||
CMO Series 2019-1 Class A1 | ||||
03/25/2022 | 4.458% | 459,183 | 460,128 | |
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 800,000 | 800,735 | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 10/25/2030 | 4.618% | 1,170,000 | 1,188,787 | |
CMO Series 2020-1 Class M2 | ||||
1-month USD LIBOR + 5.600% Floor 5.600% 10/25/2030 | 5.718% | 1,000,000 | 1,032,533 | |
CMO Series 2021-1 Class M1B | ||||
1-month USD LIBOR + 3.000% Floor 3.000% 08/25/2033 | 3.084% | 1,950,000 | 1,966,287 | |
Subordinated CMO Series 2021-1 Class B1 | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 08/25/2033 | 4.584% | 1,000,000 | 1,003,625 | |
Subordinated CMO Series 2021-2 Class B1 | ||||
1-month USD LIBOR + 7.500% Floor 7.500% 10/25/2033 | 7.584% | 650,000 | 668,918 | |
VCAT Asset Securitization LLC(a),(f) | ||||
CMO Series 2021-NPL3 Class A2 | ||||
05/25/2051 | 3.967% | 300,000 | 299,664 | |
Vericrest Opportunity Loan Transferee(a),(f) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 1,019,874 | 1,020,937 | |
Verus Securitization Trust(a) | ||||
CMO Series 2020-INV1 Class B1 | ||||
04/25/2060 | 5.750% | 150,000 | 156,360 | |
CMO Series 2020-INV1 Class M1 | ||||
04/25/2060 | 5.500% | 550,000 | 582,986 | |
Subordinated CMO Series 2020-INV1 Class B2 | ||||
04/25/2060 | 6.000% | 150,000 | 154,431 | |
Verus Securitization Trust(a),(f) | ||||
CMO Series 2020-NPL1 Class A2 | ||||
08/25/2050 | 5.682% | 1,250,000 | 1,258,849 | |
Subordinated CMO Series 2019-3 Class B1 | ||||
07/25/2059 | 4.043% | 2,289,000 | 2,319,150 | |
Subordinated CMO Series 2019-4 Class B1 | ||||
11/25/2059 | 3.860% | 500,000 | 503,660 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2020-4 Class B1 | ||||
05/25/2065 | 5.046% | 150,000 | 156,511 | |
Subordinated CMO Series 2020-4 Class B2 | ||||
06/25/2065 | 5.600% | 327,000 | 334,025 | |
Visio Trust(a),(f) | ||||
CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 102,346 | |
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 206,822 | |
Vista Point Securitization Trust(a),(f) | ||||
Subordinated CMO Series 2020-1 Class B1 | ||||
03/25/2065 | 5.375% | 800,000 | 834,038 | |
ZH Trust(a) | ||||
Subordinated CMO Series 2021-1 Class B | ||||
02/18/2027 | 3.262% | 1,000,000 | 1,000,776 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $120,997,561) | 124,901,423 | |||
Treasury Bills 17.7% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 17.7% | ||||
U.S. Treasury Bills | ||||
09/09/2021 | 0.060% | 83,000,000 | 82,998,720 | |
U.S. Treasury Bills(j) | ||||
02/24/2022 | 0.050% | 67,000,000 | 66,983,820 | |
Total | 149,982,540 | |||
Total Treasury Bills (Cost $149,978,822) | 149,982,540 |
Options Purchased Calls 0.1% | ||||
Value ($) | ||||
(Cost $855,000) | 487,979 | |||
Options Purchased Puts 0.3% | ||||
(Cost $2,183,700) | 2,601,181 |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 9 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Money Market Funds 42.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.061%(k),(l) | 357,800,231 | 357,764,451 |
Total Money Market Funds (Cost $357,766,804) | 357,764,451 | |
Total Investments in Securities (Cost: $870,193,377) | 875,151,131 | |
Other Assets & Liabilities, Net | (26,471,652) | |
Net Assets | 848,679,479 |
At August 31, 2021, securities and/or cash totaling $90,078,168 were pledged as collateral.
Investments in derivatives
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
77,672,000 AUD | 59,392,260 USD | Citi | 09/15/2021 | 2,566,597 | — |
33,525,999 AUD | 24,034,246 USD | Citi | 09/15/2021 | — | (493,733) |
20,522,542 BRL | 4,011,828 USD | Citi | 09/15/2021 | 50,102 | — |
150,484,247 BRL | 28,345,128 USD | Citi | 09/15/2021 | — | (704,749) |
131,390,750 CAD | 105,686,448 USD | Citi | 09/15/2021 | 1,546,597 | — |
12,870,500 CAD | 10,080,501 USD | Citi | 09/15/2021 | — | (120,613) |
109,120,000 CHF | 120,487,996 USD | Citi | 09/15/2021 | 1,287,077 | — |
14,930,000 CHF | 16,303,110 USD | Citi | 09/15/2021 | — | (6,180) |
12,055,049,500 CLP | 16,140,193 USD | Citi | 09/15/2021 | 570,350 | — |
3,365,869,500 CLP | 4,306,566 USD | Citi | 09/15/2021 | — | (40,663) |
15,081,000 CNH | 2,345,376 USD | Citi | 09/15/2021 | 11,722 | — |
128,778,624 CNH | 19,730,492 USD | Citi | 09/15/2021 | — | (196,878) |
39,801,773,750 COP | 10,692,074 USD | Citi | 09/15/2021 | 139,470 | — |
24,572,571,250 COP | 6,386,725 USD | Citi | 09/15/2021 | — | (128,176) |
361,477,000 CZK | 17,313,423 USD | Citi | 09/15/2021 | 525,448 | — |
587,128,000 CZK | 27,096,304 USD | Citi | 09/15/2021 | — | (171,516) |
94,308,500 EUR | 112,841,445 USD | Citi | 09/15/2021 | 1,456,033 | — |
32,435,000 EUR | 38,211,833 USD | Citi | 09/15/2021 | — | (96,334) |
38,365,000 GBP | 53,899,686 USD | Citi | 09/15/2021 | 1,151,571 | — |
13,776,000 GBP | 18,831,998 USD | Citi | 09/15/2021 | — | (108,652) |
364,070,000 HUF | 1,269,487 USD | Citi | 09/15/2021 | 38,235 | — |
1,943,897,500 HUF | 6,478,091 USD | Citi | 09/15/2021 | — | (95,993) |
35,300,000,000 IDR | 2,430,936 USD | Citi | 09/15/2021 | — | (44,758) |
820,651,000 INR | 10,973,981 USD | Citi | 09/15/2021 | — | (252,323) |
2,243,508,000 JPY | 20,563,609 USD | Citi | 09/15/2021 | 168,427 | — |
5,210,813,000 JPY | 47,150,237 USD | Citi | 09/15/2021 | — | (219,987) |
12,711,722,000 KRW | 11,243,872 USD | Citi | 09/15/2021 | 279,465 | — |
5,971,185,000 KRW | 5,082,945 USD | Citi | 09/15/2021 | — | (67,458) |
165,769,125 MXN | 8,256,699 USD | Citi | 09/15/2021 | 18,026 | — |
652,447,875 MXN | 32,105,532 USD | Citi | 09/15/2021 | — | (320,920) |
565,470,000 NOK | 67,920,887 USD | Citi | 09/15/2021 | 2,880,279 | — |
322,099,000 NOK | 36,333,007 USD | Citi | 09/15/2021 | — | (714,962) |
87,505,000 NZD | 63,300,601 USD | Citi | 09/15/2021 | 1,640,203 | — |
57,574,000 NZD | 39,791,316 USD | Citi | 09/15/2021 | — | (778,203) |
193,000,000 PHP | 3,991,946 USD | Citi | 09/15/2021 | 111,704 | — |
92,000,000 PHP | 1,827,371 USD | Citi | 09/15/2021 | — | (22,279) |
136,224,000 PLN | 36,609,542 USD | Citi | 09/15/2021 | 1,042,224 | — |
83,735,500 PLN | 21,787,052 USD | Citi | 09/15/2021 | — | (75,814) |
21,146,000 RUB | 288,704 USD | Citi | 09/15/2021 | 504 | — |
10 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
961,096,000 RUB | 12,965,825 USD | Citi | 09/15/2021 | — | (133,012) |
123,280,250 SEK | 14,347,471 USD | Citi | 09/15/2021 | 60,038 | — |
369,840,750 SEK | 42,207,641 USD | Citi | 09/15/2021 | — | (654,660) |
35,700,000 SGD | 26,906,920 USD | Citi | 09/15/2021 | 353,909 | — |
16,138,000 SGD | 11,894,604 USD | Citi | 09/15/2021 | — | (108,546) |
92,400,000 TWD | 3,334,042 USD | Citi | 09/15/2021 | — | (7,330) |
12,547,946 USD | 17,452,499 AUD | Citi | 09/15/2021 | 220,489 | — |
85,781,112 USD | 112,529,000 AUD | Citi | 09/15/2021 | — | (3,453,695) |
19,636,563 USD | 104,532,332 BRL | Citi | 09/15/2021 | 542,634 | — |
14,949,004 USD | 76,025,000 BRL | Citi | 09/15/2021 | — | (272,937) |
7,501,658 USD | 9,511,500 CAD | Citi | 09/15/2021 | 37,124 | — |
113,797,474 USD | 137,785,250 CAD | Citi | 09/15/2021 | — | (4,589,365) |
43,831,767 USD | 40,175,500 CHF | Citi | 09/15/2021 | 55,298 | — |
9,775,908 USD | 8,938,000 CHF | Citi | 09/15/2021 | — | (12,182) |
3,312,451 USD | 2,600,984,000 CLP | Citi | 09/15/2021 | 46,881 | — |
17,211,645 USD | 12,819,935,000 CLP | Citi | 09/15/2021 | — | (653,904) |
23,661,614 USD | 153,570,250 CNH | Citi | 09/15/2021 | 102,045 | — |
421,931 USD | 2,715,000 CNH | Citi | 09/15/2021 | — | (1,808) |
13,976,419 USD | 53,768,432,000 COP | Citi | 09/15/2021 | 279,152 | — |
1,685,225 USD | 6,205,913,000 COP | Citi | 09/15/2021 | — | (39,857) |
15,066,858 USD | 327,093,000 CZK | Citi | 09/15/2021 | 124,230 | — |
28,645,593 USD | 605,662,000 CZK | Citi | 09/15/2021 | — | (517,004) |
41,735,977 USD | 35,481,500 EUR | Citi | 09/15/2021 | 170,336 | — |
108,863,810 USD | 89,576,250 EUR | Citi | 09/15/2021 | — | (3,067,541) |
72,927,587 USD | 52,141,000 GBP | Citi | 09/15/2021 | — | (1,238,822) |
1,922,254 USD | 572,041,000 HUF | Citi | 09/15/2021 | 12,337 | — |
7,344,704 USD | 2,106,475,000 HUF | Citi | 09/15/2021 | — | (220,797) |
2,026,407 USD | 29,200,000,000 IDR | Citi | 09/15/2021 | 21,476 | — |
11,373,982 USD | 844,526,000 INR | Citi | 09/15/2021 | 178,926 | — |
31,585,430 USD | 3,475,811,001 JPY | Citi | 09/15/2021 | 12,316 | — |
36,256,610 USD | 3,978,509,999 JPY | Citi | 09/15/2021 | — | (88,951) |
503,448 USD | 589,087,000 KRW | Citi | 09/15/2021 | 4,665 | — |
18,711,135 USD | 21,047,534,000 KRW | Citi | 09/15/2021 | — | (556,732) |
16,025,273 USD | 324,433,000 MXN | Citi | 09/15/2021 | 98,944 | — |
24,689,615 USD | 493,784,000 MXN | Citi | 09/15/2021 | — | (148,708) |
122,210,928 USD | 1,080,120,999 NOK | Citi | 09/15/2021 | 2,025,064 | — |
44,088,384 USD | 378,699,000 NOK | Citi | 09/15/2021 | — | (530,259) |
154,053,913 USD | 220,222,000 NZD | Citi | 09/15/2021 | 1,125,519 | — |
19,831,862 USD | 27,413,000 NZD | Citi | 09/15/2021 | — | (515,292) |
4,261,748 USD | 213,750,000 PHP | Citi | 09/15/2021 | 35,671 | — |
32,334,293 USD | 125,380,000 PLN | Citi | 09/15/2021 | 401,717 | — |
25,172,065 USD | 92,586,000 PLN | Citi | 09/15/2021 | — | (998,383) |
11,796,234 USD | 878,492,000 RUB | Citi | 09/15/2021 | 176,789 | — |
4,041,757 USD | 295,000,000 RUB | Citi | 09/15/2021 | — | (21,183) |
678,363 USD | 5,878,000 SEK | Citi | 09/15/2021 | 2,861 | — |
58,019,757 USD | 487,243,000 SEK | Citi | 09/15/2021 | — | (1,551,247) |
28,346,430 USD | 38,450,500 SGD | Citi | 09/15/2021 | 252,352 | — |
3,319,384 USD | 4,462,500 SGD | Citi | 09/15/2021 | — | (258) |
808,966 USD | 22,500,000 TWD | Citi | 09/15/2021 | 4,680 | — |
1,725,667 USD | 47,400,000 TWD | Citi | 09/15/2021 | — | (11,586) |
2,550,921 USD | 38,070,999 ZAR | Citi | 09/15/2021 | 65,068 | — |
8,667,776 USD | 122,046,000 ZAR | Citi | 09/15/2021 | — | (281,576) |
89,058,000 ZAR | 6,215,322 USD | Citi | 09/15/2021 | 95,840 | — |
68,601,499 ZAR | 4,618,402 USD | Citi | 09/15/2021 | — | (95,443) |
27,900,000 ILS | 8,554,838 USD | Citi | 09/17/2021 | — | (143,389) |
8,646,744 USD | 27,900,000 ILS | Citi | 09/17/2021 | 51,484 | — |
43,382,499 AUD | 31,225,201 USD | Citi | 12/15/2021 | — | (527,916) |
5,337,000 BRL | 1,016,194 USD | Citi | 12/15/2021 | 1,302 | — |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 11 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
22,242,000 BRL | 4,117,320 USD | Citi | 12/15/2021 | — | (112,255) |
1,358,250 CAD | 1,078,078 USD | Citi | 12/15/2021 | 1,655 | — |
13,682,500 CAD | 10,706,771 USD | Citi | 12/15/2021 | — | (136,714) |
27,496,500 CHF | 30,094,112 USD | Citi | 12/15/2021 | — | (12,688) |
522,500,000 CLP | 674,571 USD | Citi | 12/15/2021 | 2,577 | — |
1,706,724,000 CLP | 2,166,167 USD | Citi | 12/15/2021 | — | (28,871) |
26,542,812 CNH | 4,050,840 USD | Citi | 12/15/2021 | — | (28,189) |
38,812,155,000 COP | 9,985,995 USD | Citi | 12/15/2021 | — | (248,654) |
47,550,000 CZK | 2,176,902 USD | Citi | 12/15/2021 | — | (26,912) |
2,831,250 EUR | 3,356,091 USD | Citi | 12/15/2021 | 6,039 | — |
27,626,500 EUR | 32,455,905 USD | Citi | 12/15/2021 | — | (232,912) |
8,172,000 GBP | 11,184,651 USD | Citi | 12/15/2021 | — | (52,804) |
18,300,000,000 IDR | 1,260,878 USD | Citi | 12/15/2021 | — | (12,528) |
27,900,000 ILS | 8,657,301 USD | Citi | 12/15/2021 | — | (50,596) |
36,000,000 INR | 479,029 USD | Citi | 12/15/2021 | — | (8,898) |
3,475,810,999 JPY | 31,693,546 USD | Citi | 12/15/2021 | 70,065 | — |
3,475,811,001 JPY | 31,609,106 USD | Citi | 12/15/2021 | — | (14,375) |
1,270,373,000 KRW | 1,080,732 USD | Citi | 12/15/2021 | — | (14,310) |
129,890,000 MXN | 6,307,069 USD | Citi | 12/15/2021 | — | (70,212) |
233,226,999 NOK | 25,910,484 USD | Citi | 12/15/2021 | — | (901,121) |
32,860,000 NZD | 22,711,031 USD | Citi | 12/15/2021 | — | (427,207) |
213,750,000 PHP | 4,229,606 USD | Citi | 12/15/2021 | — | (42,984) |
7,110,000 PLN | 1,822,544 USD | Citi | 12/15/2021 | — | (33,832) |
71,703,000 RUB | 948,910 USD | Citi | 12/15/2021 | — | (15,305) |
7,093,000 SEK | 826,000 USD | Citi | 12/15/2021 | 3,385 | — |
27,174,000 SEK | 3,146,909 USD | Citi | 12/15/2021 | — | (4,612) |
4,462,500 SGD | 3,318,870 USD | Citi | 12/15/2021 | 293 | — |
22,312,500 SGD | 16,470,735 USD | Citi | 12/15/2021 | — | (122,152) |
22,500,000 TWD | 813,086 USD | Citi | 12/15/2021 | — | (7,244) |
34,632,038 USD | 48,213,999 AUD | Citi | 12/15/2021 | 657,416 | — |
13,918,995 USD | 75,349,247 BRL | Citi | 12/15/2021 | 409,541 | — |
1,828,228 USD | 9,550,542 BRL | Citi | 12/15/2021 | — | (12,081) |
5,986,468 USD | 7,640,500 CAD | Citi | 12/15/2021 | 68,687 | — |
2,686,451 USD | 3,382,750 CAD | Citi | 12/15/2021 | — | (5,596) |
6,414,333 USD | 5,862,000 CHF | Citi | 12/15/2021 | 4,159 | — |
1,951,881 USD | 1,782,000 CHF | Citi | 12/15/2021 | — | (712) |
3,503,801 USD | 2,755,258,500 CLP | Citi | 12/15/2021 | 39,770 | — |
655,477 USD | 508,419,500 CLP | Citi | 12/15/2021 | — | (1,593) |
4,276,498 USD | 28,007,624 CNH | Citi | 12/15/2021 | 27,639 | — |
2,049,455 USD | 7,999,916,000 COP | Citi | 12/15/2021 | 60,099 | — |
12,371,292 USD | 10,532,000 EUR | Citi | 12/15/2021 | 90,606 | — |
1,456,187 USD | 1,228,500 EUR | Citi | 12/15/2021 | — | (2,575) |
17,014,824 USD | 12,441,000 GBP | Citi | 12/15/2021 | 93,005 | — |
6,820,640 USD | 2,043,393,500 HUF | Citi | 12/15/2021 | 71,072 | — |
2,834,013 USD | 212,562,000 INR | Citi | 12/15/2021 | 46,952 | — |
2,284,264 USD | 251,272,000 JPY | Citi | 12/15/2021 | 1,848 | — |
8,603,779 USD | 943,912,000 JPY | Citi | 12/15/2021 | — | (15,917) |
3,469,752 USD | 4,073,476,000 KRW | Citi | 12/15/2021 | 41,524 | — |
25,557,972 USD | 526,455,375 MXN | Citi | 12/15/2021 | 289,701 | — |
3,570,686 USD | 72,707,625 MXN | Citi | 12/15/2021 | — | (919) |
19,675,019 USD | 176,645,000 NOK | Citi | 12/15/2021 | 631,961 | — |
1,279,458 USD | 1,872,000 NZD | Citi | 12/15/2021 | 38,703 | — |
1,193,518 USD | 4,656,500 PLN | Citi | 12/15/2021 | 22,265 | — |
13,611,930 USD | 1,023,154,000 RUB | Citi | 12/15/2021 | 146,774 | — |
42,235,958 USD | 369,840,750 SEK | Citi | 12/15/2021 | 656,541 | — |
14,356,867 USD | 123,280,250 SEK | Citi | 12/15/2021 | — | (59,368) |
5,295,734 USD | 7,220,000 SGD | Citi | 12/15/2021 | 73,483 | — |
2,579,753 USD | 39,426,499 ZAR | Citi | 12/15/2021 | 97,670 | — |
12 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
19,240,999 ZAR | 1,247,600 USD | Citi | 12/15/2021 | — | (59,041) |
66,646,000 EUR | 78,539,384 USD | Goldman Sachs International | 09/15/2021 | — | (174,541) |
8,626,798,000 JPY | 78,980,245 USD | Goldman Sachs International | 09/15/2021 | 556,138 | — |
6,717,081 USD | 5,724,000 EUR | Goldman Sachs International | 09/15/2021 | 43,393 | — |
6,647,738 USD | 730,160,000 JPY | Goldman Sachs International | 09/15/2021 | — | (10,033) |
416,035,000 SEK | 48,242,391 USD | HSBC | 09/15/2021 | 26,456 | — |
9,800,000 AUD | 7,574,337 USD | Morgan Stanley | 09/15/2021 | 404,552 | — |
12,850,000 AUD | 9,384,936 USD | Morgan Stanley | 09/15/2021 | — | (16,261) |
34,680,000 BRL | 6,768,433 USD | Morgan Stanley | 09/15/2021 | 73,714 | — |
30,905,000 BRL | 5,929,586 USD | Morgan Stanley | 09/15/2021 | — | (36,397) |
47,600,000 CAD | 38,755,272 USD | Morgan Stanley | 09/15/2021 | 1,027,678 | — |
42,950,000 CAD | 34,032,612 USD | Morgan Stanley | 09/15/2021 | — | (9,409) |
14,400,000 CHF | 16,030,402 USD | Morgan Stanley | 09/15/2021 | 300,076 | — |
19,350,000 CHF | 21,009,788 USD | Morgan Stanley | 09/15/2021 | — | (127,838) |
12,400,000 EUR | 14,658,784 USD | Morgan Stanley | 09/15/2021 | 13,454 | — |
3,100,000 EUR | 3,646,552 USD | Morgan Stanley | 09/15/2021 | — | (14,780) |
11,650,000 GBP | 16,534,880 USD | Morgan Stanley | 09/15/2021 | 517,272 | — |
20,700,000 GBP | 28,097,602 USD | Morgan Stanley | 09/15/2021 | — | (362,869) |
1,441,585,000 INR | 19,250,808 USD | Morgan Stanley | 09/15/2021 | — | (469,720) |
3,830,000,000 JPY | 34,873,708 USD | Morgan Stanley | 09/15/2021 | 56,116 | — |
520,000,000 JPY | 4,691,701 USD | Morgan Stanley | 09/15/2021 | — | (35,492) |
21,400,170,000 KRW | 18,988,575 USD | Morgan Stanley | 09/15/2021 | 530,008 | — |
432,015,000 MXN | 21,317,678 USD | Morgan Stanley | 09/15/2021 | — | (153,330) |
158,750,000 NOK | 18,876,920 USD | Morgan Stanley | 09/15/2021 | 617,425 | — |
45,100,000 NZD | 32,453,329 USD | Morgan Stanley | 09/15/2021 | 673,614 | — |
3,150,000 NZD | 2,186,132 USD | Morgan Stanley | 09/15/2021 | — | (33,515) |
79,155,000 PLN | 21,588,467 USD | Morgan Stanley | 09/15/2021 | 921,543 | — |
24,850,000 PLN | 6,380,793 USD | Morgan Stanley | 09/15/2021 | — | (107,401) |
403,000,000 SEK | 46,922,861 USD | Morgan Stanley | 09/15/2021 | 217,603 | — |
55,238,000 SEK | 6,324,550 USD | Morgan Stanley | 09/15/2021 | — | (77,200) |
83,970,000 TRY | 10,003,574 USD | Morgan Stanley | 09/15/2021 | — | (26,836) |
15,957,694 USD | 21,900,000 AUD | Morgan Stanley | 09/15/2021 | 64,580 | — |
568,478 USD | 750,000 AUD | Morgan Stanley | 09/15/2021 | — | (19,770) |
12,491,667 USD | 65,585,000 BRL | Morgan Stanley | 09/15/2021 | 169,035 | — |
35,424,113 USD | 45,250,000 CAD | Morgan Stanley | 09/15/2021 | 440,880 | — |
36,712,875 USD | 45,300,000 CAD | Morgan Stanley | 09/15/2021 | — | (808,252) |
36,892,813 USD | 33,750,000 CHF | Morgan Stanley | 09/15/2021 | — | (24,860) |
18,776,092 USD | 15,500,000 EUR | Morgan Stanley | 09/15/2021 | — | (469,430) |
44,683,753 USD | 32,350,000 GBP | Morgan Stanley | 09/15/2021 | — | (205,673) |
6,553,320 USD | 482,285,000 INR | Morgan Stanley | 09/15/2021 | 44,221 | — |
13,145,057 USD | 959,300,000 INR | Morgan Stanley | 09/15/2021 | — | (22,069) |
39,727,372 USD | 4,350,000,000 JPY | Morgan Stanley | 09/15/2021 | — | (182,588) |
18,491,351 USD | 21,400,170,000 KRW | Morgan Stanley | 09/15/2021 | — | (32,784) |
21,354,646 USD | 432,015,000 MXN | Morgan Stanley | 09/15/2021 | 116,362 | — |
3,442,532 USD | 31,000,000 NOK | Morgan Stanley | 09/15/2021 | 123,102 | — |
15,044,114 USD | 127,750,000 NOK | Morgan Stanley | 09/15/2021 | — | (350,253) |
33,977,095 USD | 48,250,000 NZD | Morgan Stanley | 09/15/2021 | 22,267 | — |
20,494,163 USD | 79,155,000 PLN | Morgan Stanley | 09/15/2021 | 172,761 | — |
6,492,065 USD | 24,850,000 PLN | Morgan Stanley | 09/15/2021 | — | (3,870) |
90,845,854 USD | 786,405,000 SEK | Morgan Stanley | 09/15/2021 | 293,719 | — |
35,305,230 USD | 292,250,000 SEK | Morgan Stanley | 09/15/2021 | — | (1,435,227) |
9,449,072 USD | 83,970,000 TRY | Morgan Stanley | 09/15/2021 | 581,338 | — |
4,950,505 USD | 74,265,000 ZAR | Morgan Stanley | 09/15/2021 | 152,498 | — |
15,832,894 USD | 226,995,000 ZAR | Morgan Stanley | 09/15/2021 | — | (235,287) |
301,260,000 ZAR | 20,636,225 USD | Morgan Stanley | 09/15/2021 | — | (64,385) |
13,700,000 AUD | 10,020,865 USD | Morgan Stanley | 12/15/2021 | — | (6,628) |
22,400,000 CAD | 17,751,292 USD | Morgan Stanley | 12/15/2021 | — | (878) |
25,200,000 GBP | 34,678,224 USD | Morgan Stanley | 12/15/2021 | 25,278 | — |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 13 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
959,300,000 INR | 13,002,521 USD | Morgan Stanley | 12/15/2021 | 625 | — |
21,400,170,000 KRW | 18,448,073 USD | Morgan Stanley | 12/15/2021 | 1,447 | — |
46,900,000 NZD | 33,019,007 USD | Morgan Stanley | 12/15/2021 | — | (5,440) |
24,850,000 PLN | 6,492,149 USD | Morgan Stanley | 12/15/2021 | 3,972 | — |
203,674 USD | 1,070,000 BRL | Morgan Stanley | 12/15/2021 | — | (201) |
1,537,971 USD | 1,400,000 CHF | Morgan Stanley | 12/15/2021 | — | (5,066) |
14,687,304 USD | 12,400,000 EUR | Morgan Stanley | 12/15/2021 | — | (15,111) |
26,430,915 USD | 2,900,000,000 JPY | Morgan Stanley | 12/15/2021 | — | (46,254) |
6,748,818 USD | 137,740,000 MXN | Morgan Stanley | 12/15/2021 | 13,880 | — |
4,774,121 USD | 41,500,000 NOK | Morgan Stanley | 12/15/2021 | — | (3,311) |
42,529,177 USD | 365,500,000 SEK | Morgan Stanley | 12/15/2021 | — | (140,099) |
9,619,548 USD | 83,970,000 TRY | Morgan Stanley | 12/15/2021 | — | (40,948) |
20,405,592 USD | 301,260,000 ZAR | Morgan Stanley | 12/15/2021 | 52,736 | — |
Total | 33,954,354 | (33,639,757) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Amsterdam Index | 5 | 09/2021 | EUR | 787,400 | 20,241 | — |
Australian 10-Year Bond | 358 | 09/2021 | AUD | 52,199,611 | 1,383,419 | — |
Australian 10-Year Bond | 406 | 09/2021 | AUD | 59,198,442 | 1,066,316 | — |
Bist 30 Index | 3,115 | 10/2021 | TRY | 50,587,600 | — | (4,686) |
Brent Crude | 70 | 09/2021 | USD | 5,014,100 | 125,137 | — |
CAC40 Index | 261 | 09/2021 | EUR | 17,429,580 | — | (390,678) |
Canadian Government 10-Year Bond | 112 | 12/2021 | CAD | 16,366,560 | — | (30,773) |
Canadian Government 10-Year Bond | 78 | 12/2021 | CAD | 11,398,140 | — | (42,672) |
Copper | 1 | 09/2021 | USD | 238,131 | — | (1,671) |
Copper | 12 | 12/2021 | USD | 2,856,375 | 42,402 | — |
Copper | 60 | 12/2021 | USD | 6,562,500 | 184,453 | — |
Corn | 198 | 12/2021 | USD | 5,289,075 | — | (106,999) |
Corn | 77 | 12/2021 | USD | 2,056,863 | — | (134,944) |
Cotton | 79 | 12/2021 | USD | 3,654,935 | — | (80,344) |
DAX Index | 32 | 09/2021 | EUR | 12,640,000 | 68,819 | — |
EURO STOXX 50 Index | 304 | 09/2021 | EUR | 12,711,760 | 237,217 | — |
EURO STOXX 50 Index | 22 | 09/2021 | EUR | 919,930 | 6,252 | — |
EURO STOXX 50 Index | 609 | 09/2021 | EUR | 25,465,335 | — | (61,857) |
Euro-Bund | 352 | 09/2021 | EUR | 61,758,400 | 1,646,062 | — |
FTSE China A50 Index | 27 | 09/2021 | USD | 398,358 | — | (5,272) |
FTSE/JSE Top 40 Index | 6 | 09/2021 | ZAR | 3,626,040 | — | (5,225) |
FTSE/MIB Index | 96 | 09/2021 | EUR | 12,484,800 | 178,439 | — |
FTSE/MIB Index | 119 | 09/2021 | EUR | 15,475,950 | 106,604 | — |
Gold 100 oz. | 15 | 12/2021 | USD | 2,727,150 | — | (11,736) |
Hang Seng Index | 76 | 09/2021 | HKD | 97,865,200 | 184,233 | — |
IBEX 35 Index | 106 | 09/2021 | EUR | 9,356,620 | — | (48,744) |
KLCI Index | 10 | 09/2021 | MYR | 794,250 | 3,955 | — |
KOSPI 200 Index | 146 | 09/2021 | KRW | 15,311,750,000 | — | (196) |
Lead | 6 | 12/2021 | USD | 337,875 | — | (2,828) |
Live Cattle | 1 | 10/2021 | USD | 50,760 | — | (236) |
Mexican Bolsa IPC Index | 9 | 09/2021 | MXN | 4,791,600 | 13,286 | — |
MSCI EAFE Index | 1 | 09/2021 | USD | 117,575 | 139 | — |
MSCI Emerging Markets Index | 484 | 09/2021 | USD | 31,440,640 | — | (1,778,990) |
NASDAQ 100 Index E-mini | 7 | 09/2021 | USD | 2,181,550 | 63,257 | — |
Natural Gas | 53 | 09/2021 | USD | 2,319,810 | 165,473 | — |
Nickel | 15 | 09/2021 | USD | 1,761,075 | 69,580 | — |
Nickel | 16 | 12/2021 | USD | 1,876,416 | 49,309 | — |
Nikkei 225 Index | 21 | 09/2021 | JPY | 591,780,000 | — | (81,187) |
NY Harbor ULSD Heat Oil | 32 | 09/2021 | USD | 2,862,989 | 82,683 | — |
14 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
NY Harbor ULSD Heat Oil | 4 | 09/2021 | USD | 357,874 | 9,978 | — |
OMXS30 Index | 271 | 09/2021 | SEK | 63,786,625 | — | (68,547) |
Primary Aluminum | 31 | 09/2021 | USD | 2,102,575 | 161,321 | — |
Primary Aluminum | 49 | 12/2021 | USD | 3,328,019 | 66,855 | — |
RBOB Gasoline | 11 | 09/2021 | USD | 989,558 | 40,050 | — |
RBOB Gasoline | 3 | 09/2021 | USD | 269,879 | 3,299 | — |
S&P 500 Index E-mini | 76 | 09/2021 | USD | 17,177,900 | 680,692 | — |
S&P Mid 400 Index E-mini | 3 | 09/2021 | USD | 825,600 | 6,834 | — |
SGX Nifty Index | 110 | 09/2021 | USD | 3,767,610 | 114,290 | — |
SGX Nifty Index | 1 | 09/2021 | USD | 34,251 | 786 | — |
Soybean | 113 | 11/2021 | USD | 7,302,625 | — | (222,090) |
Soybean Meal | 2 | 12/2021 | USD | 69,120 | — | (3,774) |
Soybean Oil | 238 | 10/2021 | USD | 8,409,492 | — | (246,306) |
Soybean Oil | 2 | 12/2021 | USD | 70,500 | 2 | — |
SPI 200 Index | 144 | 09/2021 | AUD | 26,917,200 | 337,016 | — |
TOPIX Index | 189 | 09/2021 | JPY | 3,712,905,000 | 202,004 | — |
TOPIX Index | 46 | 09/2021 | JPY | 903,670,000 | 137,331 | — |
U.S. Treasury 10-Year Note | 1,574 | 12/2021 | USD | 210,055,219 | 259,986 | — |
U.S. Treasury 10-Year Note | 396 | 12/2021 | USD | 52,847,438 | 16,332 | — |
U.S. Ultra Treasury Bond | 52 | 12/2021 | USD | 10,258,625 | 74,638 | — |
WIG 20 Index | 374 | 09/2021 | PLN | 17,525,640 | 161,285 | — |
WTI Crude | 155 | 09/2021 | USD | 10,617,500 | 194,028 | — |
WTI Crude | 31 | 09/2021 | USD | 2,123,500 | 39,639 | — |
Zinc | 38 | 12/2021 | USD | 2,855,463 | — | (6,862) |
Total | 8,203,642 | (3,336,617) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
10-Year Mini Japanese Government Bond | (1) | 09/2021 | JPY | (15,216,000) | — | (612) |
CAC40 Index | (23) | 09/2021 | EUR | (1,535,940) | 34,339 | — |
Coffee | (109) | 12/2021 | USD | (8,007,413) | — | (547,789) |
DAX Index | (29) | 09/2021 | EUR | (11,455,000) | — | (281,203) |
DJIA Index E-mini | (12) | 09/2021 | USD | (2,120,400) | — | (39,636) |
Euro Buxl | (3) | 09/2021 | EUR | (637,560) | — | (24,260) |
Euro-Bobl | (53) | 09/2021 | EUR | (7,153,410) | — | (58,548) |
Euro-Bobl | (38) | 12/2021 | EUR | (5,158,500) | 9,116 | — |
Euro-BTP | (16) | 09/2021 | EUR | (2,452,640) | — | (63,691) |
Euro-Bund | (156) | 09/2021 | EUR | (27,370,200) | — | (138,260) |
Euro-Bund | (374) | 09/2021 | EUR | (65,618,300) | — | (179,691) |
Euro-Bund | (304) | 12/2021 | EUR | (52,452,160) | 70,454 | — |
Euro-OAT | (28) | 09/2021 | EUR | (4,513,040) | — | (48,966) |
Euro-Schatz | (222) | 09/2021 | EUR | (24,926,160) | — | (30,716) |
FTSE 100 Index | (564) | 09/2021 | GBP | (40,024,260) | 79,082 | — |
FTSE 100 Index | (69) | 09/2021 | GBP | (4,896,585) | 32,036 | — |
FTSE 100 Index | (246) | 09/2021 | GBP | (17,457,390) | — | (21,758) |
FTSE China A50 Index | (799) | 09/2021 | USD | (11,788,446) | 346,288 | — |
FTSE Taiwan Index | (12) | 09/2021 | USD | (728,760) | — | (18,704) |
FTSE Taiwan Index | (22) | 09/2021 | USD | (1,336,060) | — | (41,625) |
FTSE/JSE Top 40 Index | (33) | 09/2021 | ZAR | (19,943,220) | 25,206 | — |
Gold 100 oz. | (2) | 12/2021 | USD | (363,620) | — | (1,234) |
Hang Seng Index | (9) | 09/2021 | HKD | (11,589,300) | — | (11,347) |
H-Shares Index | (21) | 09/2021 | HKD | (9,602,250) | — | (29,733) |
IBEX 35 Index | (206) | 09/2021 | EUR | (18,183,620) | 124,476 | — |
Japanese 10-Year Government Bond | (4) | 09/2021 | JPY | (608,640,000) | — | (24,775) |
Japanese 10-Year Government Bond | (58) | 09/2021 | JPY | (8,825,280,000) | — | (179,061) |
Lean Hogs | (182) | 10/2021 | USD | (6,464,640) | 93,358 | — |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 15 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Long Gilt | (224) | 12/2021 | GBP | (28,725,760) | 206,161 | — |
Long Gilt | (78) | 12/2021 | GBP | (10,002,720) | 64,323 | — |
Mexican Bolsa IPC Index | (346) | 09/2021 | MXN | (184,210,400) | — | (197,556) |
MSCI Emerging Markets Index | (11) | 09/2021 | USD | (714,560) | — | (14,236) |
MSCI Singapore Index | (10) | 09/2021 | SGD | (352,150) | 3,286 | — |
Natural Gas | (53) | 09/2021 | USD | (2,319,810) | — | (276,037) |
OMXS30 Index | (67) | 09/2021 | SEK | (15,770,125) | 13,023 | — |
Primary Aluminum | (30) | 09/2021 | USD | (2,034,750) | — | (116,507) |
Russell 2000 Index E-mini | (1) | 09/2021 | USD | (113,560) | — | (4,316) |
S&P 500 Index E-mini | (101) | 09/2021 | USD | (22,828,525) | — | (417,327) |
S&P/TSX 60 Index | (28) | 09/2021 | CAD | (6,887,440) | — | (66,085) |
S&P/TSX 60 Index | (56) | 09/2021 | CAD | (13,774,880) | — | (97,164) |
S&P/TSX 60 Index | (113) | 09/2021 | CAD | (27,795,740) | — | (258,594) |
SGX Nifty Index | (268) | 09/2021 | USD | (9,179,268) | — | (224,087) |
Silver | (7) | 12/2021 | USD | (840,210) | 3,978 | — |
Silver | (34) | 12/2021 | USD | (4,081,020) | — | (15,892) |
Soybean | (16) | 11/2021 | USD | (1,034,000) | 42,589 | — |
SPI 200 Index | (35) | 09/2021 | AUD | (6,542,375) | — | (193,742) |
SPI 200 Index | (159) | 09/2021 | AUD | (29,721,075) | — | (515,738) |
Sugar #11 | (218) | 09/2021 | USD | (4,844,134) | — | (684,291) |
Thai SET50 Index | (688) | 09/2021 | THB | (135,508,480) | — | (194,861) |
U.S. Long Bond | (30) | 12/2021 | USD | (4,889,063) | — | (22,563) |
U.S. Treasury 2-Year Note | (406) | 12/2021 | USD | (89,453,219) | — | (65,018) |
U.S. Treasury 5-Year Note | (1,214) | 12/2021 | USD | (150,194,563) | — | (335,963) |
U.S. Ultra Treasury Bond | (57) | 12/2021 | USD | (11,245,031) | 42,656 | — |
Wheat | (176) | 12/2021 | USD | (6,355,800) | 87,490 | — |
Wheat | (61) | 12/2021 | USD | (2,202,863) | 21,202 | — |
Zinc | (17) | 09/2021 | USD | (1,274,575) | — | (10,346) |
Total | 1,299,063 | (5,451,932) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 18,000,000 | 18,000,000 | 1.00 | 09/30/2021 | 313,200 | 589,941 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 70,000,000 | 70,000,000 | 1.25 | 11/16/2021 | 980,000 | 1,282,050 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 17,000,000 | 17,000,000 | 1.25 | 12/03/2021 | 263,500 | 343,097 |
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate | Citi | USD | 15,000,000 | 15,000,000 | 1.75 | 07/15/2022 | 259,500 | 227,858 |
5-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | 35,000,000 | 35,000,000 | 1.50 | 05/20/2022 | 367,500 | 158,235 |
Total | 2,183,700 | 2,601,181 |
16 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 17,200,000 | 17,200,000 | 1.00 | 01/21/2022 | 146,200 | 75,147 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 14,500,000 | 14,500,000 | 1.10 | 01/24/2022 | 133,400 | 93,489 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 17,500,000 | 17,500,000 | 1.00 | 07/08/2022 | 178,500 | 137,870 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA | Morgan Stanley | USD | 42,000,000 | 42,000,000 | 1.00 | 01/20/2022 | 396,900 | 181,473 |
Total | 855,000 | 487,979 |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (15,000,000) | (15,000,000) | 2.20 | 03/17/2022 | (280,500) | (43,839) |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA | Morgan Stanley | USD | (70,000,000) | (70,000,000) | 1.55 | 02/11/2022 | (1,141,000) | (875,427) |
Total | (1,421,500) | (919,266) |
Call option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate | Morgan Stanley | USD | (30,000,000) | (30,000,000) | 1.70 | 10/01/2021 | (414,750) | (1,067,859) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 0.750% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 09/13/2023 | CAD | 37,400,000 | 28,263 | — | — | 28,263 | — |
Fixed rate of 0.750% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 09/13/2023 | CAD | 29,100,000 | (6,001) | — | — | — | (6,001) |
3-Month AUD BBSW | Fixed rate of 0.500% | Receives Quarterly, Pays Quarterly | Credit Suisse | 12/07/2023 | AUD | 28,700,000 | (16,424) | — | — | — | (16,424) |
Fixed rate of 1.000% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 12/13/2023 | CAD | 210,400,000 | 169,960 | — | — | 169,960 | — |
3-Month NZD LIBOR | Fixed rate of 0.010% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 12/13/2023 | NZD | 19,700,000 | 27,776 | — | — | 27,776 | — |
3-Month USD LIBOR | Fixed rate of 0.500% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 12/15/2023 | USD | 281,700,000 | 83,956 | — | — | 83,956 | — |
6-Month EURIBOR | Fixed rate of -0.500% | Receives SemiAnnually, Pays Annually | Credit Suisse | 12/15/2023 | EUR | 50,000,000 | 16,924 | — | — | 16,924 | — |
3-Month USD LIBOR | Fixed rate of 0.500% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 12/15/2023 | USD | 101,500,000 | (13,868) | — | — | — | (13,868) |
SONIA | Fixed rate of 0.250% | Receives Annually, Pays Annually | Credit Suisse | 12/15/2023 | GBP | 377,400,000 | (215,744) | — | — | — | (215,744) |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 17 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
6-Month EURIBOR | Fixed rate of -0.500% | Receives SemiAnnually, Pays Annually | Credit Suisse | 12/15/2023 | EUR | 272,600,000 | (219,657) | — | — | — | (219,657) |
6-Month JPY BBA LIBOR | Fixed rate of 0.000% | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 12/20/2023 | JPY | 31,333,500,000 | 47,453 | — | — | 47,453 | — |
Fixed rate of 1.500% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 12/20/2023 | NOK | 244,800,000 | 33,354 | — | — | 33,354 | — |
Fixed rate of 1.500% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 12/20/2023 | NOK | 74,100,000 | (2,560) | — | — | — | (2,560) |
Fixed rate of 0.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | Credit Suisse | 12/20/2023 | SEK | 83,100,000 | (5,931) | — | — | — | (5,931) |
Fixed rate of 1.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 12/20/2023 | NOK | 661,500,000 | (114,880) | — | — | — | (114,880) |
6-Month CHF LIBOR | Fixed rate of -0.500% | Receives SemiAnnually, Pays Annually | Credit Suisse | 12/20/2023 | CHF | 113,700,000 | (120,182) | — | — | — | (120,182) |
3-Month AUD BBSW | Fixed rate of 0.500% | Receives Quarterly, Pays Quarterly | Credit Suisse | 03/07/2024 | AUD | 4,000,000 | 187 | — | — | 187 | — |
3-Month NZD LIBOR | Fixed rate of 0.015% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 03/13/2024 | NZD | 22,900,000 | 32,075 | — | — | 32,075 | — |
Fixed rate of 1.000% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 03/14/2024 | CAD | 22,200,000 | 16,010 | — | — | 16,010 | — |
6-Month EURIBOR | Fixed rate of -0.500% | Receives SemiAnnually, Pays Annually | Credit Suisse | 03/16/2024 | EUR | 302,000,000 | 49,419 | — | — | 49,419 | — |
3-Month USD LIBOR | Fixed rate of 0.500% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 03/16/2024 | USD | 87,500,000 | (50,049) | — | — | — | (50,049) |
3-Month SEK STIBOR | Fixed rate of 0.000% | Receives Quarterly, Pays Annually | Credit Suisse | 03/20/2024 | SEK | 772,000,000 | 31,712 | — | — | 31,712 | — |
6-Month CHF LIBOR | Fixed rate of -0.500% | Receives SemiAnnually, Pays Annually | Credit Suisse | 03/20/2024 | CHF | 17,100,000 | (888) | — | — | — | (888) |
6-Month JPY BBA LIBOR | Fixed rate of 0.000% | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 03/20/2024 | JPY | 22,945,300,000 | (5,512) | — | — | — | (5,512) |
Fixed rate of 1.500% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 03/20/2024 | NOK | 800,700,000 | (26,839) | — | — | — | (26,839) |
Fixed rate of 2.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 12/10/2031 | NZD | 4,200,000 | (11,986) | — | — | — | (11,986) |
Fixed rate of 2.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 12/11/2031 | AUD | 5,500,000 | 146,842 | — | — | 146,842 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.000% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 12/13/2031 | CAD | 15,800,000 | (258,746) | — | — | — | (258,746) |
Fixed rate of 0.000% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 12/15/2031 | EUR | 45,700,000 | 849,956 | — | — | 849,956 | — |
SONIA | Fixed rate of 0.750% | Receives Annually, Pays Annually | Credit Suisse | 12/15/2031 | GBP | 53,700,000 | 472,134 | — | — | 472,134 | — |
Fixed rate of 1.750% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Credit Suisse | 12/15/2031 | USD | 9,800,000 | 317,319 | — | — | 317,319 | — |
Fixed rate of 0.000% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 12/15/2031 | EUR | 10,500,000 | (54,380) | — | — | — | (54,380) |
Fixed rate of 0.000% | 6-Month CHF LIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 12/17/2031 | CHF | 3,900,000 | 64,536 | — | — | 64,536 | — |
3-Month SEK STIBOR | Fixed rate of 1.000% | Receives Quarterly, Pays Annually | Credit Suisse | 12/17/2031 | SEK | 39,800,000 | 33,286 | — | — | 33,286 | — |
Fixed rate of 0.000% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 12/17/2031 | JPY | 1,452,000,000 | (632) | — | — | — | (632) |
18 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 0.015% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 12/17/2031 | NOK | 47,000,000 | (28,646) | — | — | — | (28,646) |
Fixed rate of 0.000% | 6-Month CHF LIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 12/17/2031 | CHF | 5,500,000 | (43,541) | — | — | — | (43,541) |
Fixed rate of 1.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 03/11/2032 | AUD | 900,000 | (1,764) | — | — | — | (1,764) |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.000% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 03/14/2032 | CAD | 13,800,000 | 28,130 | — | — | 28,130 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.000% | Receives Quarterly, Pays SemiAnnually | Credit Suisse | 03/14/2032 | CAD | 6,800,000 | (6,342) | — | — | — | (6,342) |
Fixed rate of 0.250% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 03/16/2032 | EUR | 26,100,000 | (60,989) | — | — | — | (60,989) |
Fixed rate of 0.000% | 6-Month CHF LIBOR | Receives Annually, Pays SemiAnnually | Credit Suisse | 03/17/2032 | CHF | 1,300,000 | (637) | — | — | — | (637) |
Fixed rate of 0.000% | 6-Month JPY BBA LIBOR | Receives SemiAnnually, Pays SemiAnnually | Credit Suisse | 03/17/2032 | JPY | 1,906,500,000 | (10,541) | — | — | — | (10,541) |
6-Month EURIBOR | Fixed rate of -0.226% | Receives SemiAnnually, Pays Annually | Morgan Stanley | 08/05/2030 | EUR | 18,523,000 | 250,388 | — | — | 250,388 | — |
6-Month EURIBOR | Fixed rate of -0.148% | Receives SemiAnnually, Pays Annually | Morgan Stanley | 09/03/2030 | EUR | 11,608,000 | 53,754 | — | — | 53,754 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.066% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 09/03/2030 | JPY | 3,752,713,000 | (121,787) | — | — | — | (121,787) |
Fixed rate of -0.283% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Morgan Stanley | 01/06/2031 | EUR | 6,820,000 | (170,779) | — | — | — | (170,779) |
Fixed rate of 1.382% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 02/01/2031 | CAD | 24,535,000 | (507,426) | — | — | — | (507,426) |
3-Month SEK STIBOR | Fixed rate of 0.450% | Receives Quarterly, Pays Annually | Morgan Stanley | 02/03/2031 | SEK | 241,363,000 | 309,019 | — | — | 309,019 | — |
6-Month JPY BBA LIBOR | Fixed rate of 0.070% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 02/03/2031 | JPY | 2,454,600,000 | (59,990) | — | — | — | (59,990) |
Fixed rate of 1.751% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 04/07/2031 | USD | 8,119,000 | 390,869 | — | — | 390,869 | — |
Fixed rate of 1.952% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 05/03/2031 | CAD | 9,400,000 | 208,726 | — | — | 208,726 | — |
Fixed rate of 1.627% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 06/03/2031 | USD | 9,376,000 | 297,684 | — | — | 297,684 | — |
Fixed rate of 1.960% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 06/03/2031 | NZD | 8,430,000 | 13,622 | — | — | 13,622 | — |
3-Month SEK STIBOR | Fixed rate of 0.755% | Receives Quarterly, Pays Annually | Morgan Stanley | 07/05/2031 | SEK | 283,245,000 | (471,579) | — | — | — | (471,579) |
Fixed rate of 0.543% | SONIA | Receives Annually, Pays Annually | Morgan Stanley | 08/02/2031 | GBP | 4,490,000 | (54,600) | — | — | — | (54,600) |
Fixed rate of 1.578% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 08/03/2031 | CAD | 21,590,000 | (207,873) | — | — | — | (207,873) |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 19 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
6-Month AUD BBSW | Fixed rate of 1.250% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 08/04/2031 | AUD | 18,274,000 | 108,139 | — | — | 108,139 | — |
Fixed rate of 1.259% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 08/04/2031 | USD | 13,739,000 | (92,493) | — | — | — | (92,493) |
Total | 1,118,227 | — | — | 4,081,493 | (2,963,266) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.009 | USD | 5,000,000 | (448,437) | 2,916 | — | (983,057) | 537,536 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.009 | USD | 3,000,000 | (269,062) | 1,749 | — | (690,967) | 423,654 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.009 | USD | 3,500,000 | (313,906) | 2,042 | — | (671,177) | 359,313 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.009 | USD | 2,500,000 | (224,219) | 1,458 | — | (506,505) | 283,744 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.009 | USD | 2,000,000 | (179,375) | 1,167 | — | (446,436) | 268,228 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.009 | USD | 1,200,000 | (107,625) | 700 | — | (284,870) | 177,945 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.009 | USD | 2,000,000 | (179,375) | 1,166 | — | (322,727) | 144,518 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.009 | USD | 5,000,000 | (448,437) | 2,916 | — | (586,456) | 140,935 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 5.009 | USD | 750,000 | (67,266) | 438 | — | (125,238) | 58,410 | — |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | 3.839 | USD | 4,000,000 | (178,750) | 2,333 | — | (782,420) | 606,003 | — |
Markit CMBX North America Index, Series 12 BBB- | Morgan Stanley | 08/17/2061 | 3.000 | Monthly | 3.835 | USD | 3,000,000 | (148,707) | 1,749 | — | (441,637) | 294,679 | — |
Total | (2,565,159) | 18,634 | — | (5,841,490) | 3,294,965 | — |
* | 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. |
20 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Total return swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on MSCI Netherlands Net Return EUR Index | 1-Month EURIBOR plus 0.001% | Monthly | JPMorgan | 09/15/2021 | EUR | 2,337,384 | 107,637 | 504 | — | — | 108,141 | — |
1-Month EURIBOR minus 0.009% | Total return on MSCI Spain Net Return EUR Index | Monthly | JPMorgan | 09/15/2021 | EUR | 1,463,470 | 21,664 | (913) | — | — | 20,751 | — |
1-Month SGD SOR | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 09/15/2021 | SGD | 893,538 | 15,972 | 62 | — | — | 16,034 | — |
1-Month EURIBOR minus 0.009% | Total return on MSCI Spain Net Return EUR Index | Monthly | JPMorgan | 09/15/2021 | EUR | 640,505 | 9,481 | (399) | — | — | 9,082 | — |
1-Month EURIBOR minus 0.009% | Total return on MSCI Spain Net Return EUR Index | Monthly | JPMorgan | 09/15/2021 | EUR | 627,743 | 9,293 | (392) | — | — | 8,901 | — |
1-Month EURIBOR minus 0.009% | Total return on MSCI Spain Net Return EUR Index | Monthly | JPMorgan | 09/15/2021 | EUR | 625,350 | 9,257 | (390) | — | — | 8,867 | — |
1-Month EURIBOR minus 0.009% | Total return on MSCI Spain Net Return EUR Index | Monthly | JPMorgan | 09/15/2021 | EUR | 624,951 | 9,251 | (390) | — | — | 8,861 | — |
1-Month EURIBOR minus 0.009% | Total return on MSCI Spain Net Return EUR Index | Monthly | JPMorgan | 09/15/2021 | EUR | 612,986 | 9,074 | (382) | — | — | 8,692 | — |
1-Month GBP LIBOR plus 0.002% | Total return on MSCI United Kingdom Net Return GBP Index | Monthly | JPMorgan | 09/15/2021 | GBP | 196,310 | (136) | — | — | — | — | (136) |
Total return on MSCI Hong Kong Net Return HKD Index | 1-Month HKD HIBOR plus 0.002% | Monthly | JPMorgan | 09/15/2021 | HKD | 1,294,756 | (1,914) | (16) | — | — | — | (1,930) |
Total return on MSCI Italy Net Return EUR Index | 1-Month EURIBOR minus 0.002% | Monthly | JPMorgan | 09/15/2021 | EUR | 303,111 | (6,221) | 72 | — | — | — | (6,149) |
Overnight BRL CDI minus 0.004% | Total return on MSCI Brazil Net Return BRL Index | Monthly | JPMorgan | 09/15/2021 | BRL | 6,222,125 | (11,096) | 2,242 | — | — | — | (8,854) |
Total | 172,262 | (2) | — | — | 189,329 | (17,069) |
Total return swap contracts on futures | ||||||||
Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
KOSPI 200 Index Sep 21 | Citi | 09/2021 | KRW | 104,875,000 | — | — | — | (2,971) |
Soybean Oil Dec 21 | Citi | 12/2021 | USD | 528,750 | — | — | — | (56,576) |
Bist 30 Index Oct 21 | Goldman Sachs | 10/2021 | TRY | 2,744,560 | — | — | 895 | — |
DTOP Index Sep 21 | Goldman Sachs | 09/2021 | ZAR | (119,980) | — | — | — | (8) |
WIG 20 Index Sep 21 | Goldman Sachs | 09/2021 | PLN | 7,497,600 | — | — | 73,278 | — |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 21 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Total return swap contracts on futures (continued) | ||||||||
Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
KOSPI 200 Index Sep 21 | JPMorgan | 09/2021 | KRW | 209,750,000 | — | — | — | (5,640) |
TAIEX Index Sep 21 | JPMorgan | 09/2021 | TWD | 76,802,000 | — | — | 115,876 | — |
Bist 30 Index Oct 21 | Morgan Stanley | 10/2021 | TRY | 1,948,800 | — | — | 749 | — |
Hang Seng Index Sep 21 | Morgan Stanley | 09/2021 | HKD | 34,767,900 | — | — | 63,049 | — |
H-Shares Index Sep 21 | Morgan Stanley | 09/2021 | HKD | 13,717,500 | — | — | 34,186 | — |
Ibovespa Index Oct 21 | Morgan Stanley | 10/2021 | BRL | (47,604,400) | — | — | 167,896 | — |
Ibovespa Index Oct 21 | Morgan Stanley | 10/2021 | BRL | 54,150,005 | — | — | — | (126,310) |
KOSPI 200 Index Sep 21 | Morgan Stanley | 09/2021 | KRW | 13,319,125,000 | — | — | — | (60,713) |
Swiss Market Index Sep 21 | Morgan Stanley | 09/2021 | CHF | 11,542,230 | — | — | — | (129,426) |
Swiss Market Index Sep 21 | Morgan Stanley | 09/2021 | CHF | (13,652,100) | — | — | — | (630,157) |
TAIEX Index Sep 21 | Morgan Stanley | 09/2021 | TWD | 41,892,000 | — | — | 64,753 | — |
Total | — | — | 520,682 | (1,011,801) |
* | If the notional amount of the swap contract is long and the swap contract’s value is positive (negative), the Fund will receive (pay) the total return. If the notional amount of the swap contract is short and the swap contract’s value is positive (negative), the Fund will pay (receive) the total return. Receipts and payments occur upon termination of the contract. |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
1-Month GBP LIBOR | London Interbank Offered Rate | 0.051% |
1-Month HKD HIBOR | Hong Kong Interbank Offered Rate | 0.065% |
3-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 0.219% |
3-Month NZD LIBOR | London Interbank Offered Rate | 0.460% |
3-Month SEK STIBOR | Stockholm Interbank Offered Rate | 0.003% |
3-Month USD LIBOR | London Interbank Offered Rate | 0.120% |
6-Month AUD BBSW | Bank Bill Swap Rate | 0.030% |
6-Month EURIBOR | Euro Interbank Offered Rate | (0.522%) |
6-Month JPY BBA LIBOR | London Interbank Offered Rate | (0.081%) |
SONIA | Sterling Overnight Index Average | 0.050% |
1-Month EURIBOR | Euro Interbank Offered Rate | (0.554%) |
3-Month AUD BBSW | Bank Bill Swap Rate | 0.012% |
6-Month CHF LIBOR | London Interbank Offered Rate | (0.727%) |
6-Month NOK NIBOR | Norwegian Interbank Offered Rate | 0.610% |
1-Month SGD SOR | Swap Offer Rate | 0.161% |
Overnight BRL CDI | Interbank Certificate of Deposit | 0.020% |
Notes to Consolidated 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 August 31, 2021, the total value of these securities amounted to $234,855,800, which represents 27.67% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of August 31, 2021. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At August 31, 2021, the total value of these securities amounted to $19,629,236, which represents 2.31% of total net assets. |
(d) | Security represents a pool of loans that generate cash payments generally over fixed periods of time. Such securities entitle the security holders to receive distributions (i.e. principal and interest, net of fees and expenses) that are tied to the payments made by the borrower on the underlying loans. Due to the structure of the security the cash payments received are not known until the time of payment. The interest rate shown is the stated coupon rate as of August 31, 2021 and is not reflective of the cash flow payments. |
(e) | Valuation based on significant unobservable inputs. |
22 | Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Notes to Consolidated Portfolio of Investments (continued)
(f) | 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 August 31, 2021. |
(g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(h) | Represents a security purchased on a when-issued basis. |
(i) | Represents a security purchased on a forward commitment basis. |
(j) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(k) | The rate shown is the seven-day current annualized yield at August 31, 2021. |
(l) | 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 August 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, 0.061% | ||||||||
308,299,190 | 178,228,323 | (128,766,896) | 3,834 | 357,764,451 | (3,833) | 46,647 | 357,800,231 |
Abbreviation Legend
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
Currency Legend
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Yuan Offshore Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021 | 23 |
Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)
Currency Legend (continued)
SGD | Singapore Dollar |
THB | Thailand Baht |
TRY | Turkish Lira |
TWD | New Taiwan Dollar |
USD | US Dollar |
ZAR | South African Rand |
Investments are valued using policies described in the Notes to Consolidated Financial Statements in the most recent shareholder report.
24 | Columbia Multi Strategy Alternatives Fund | 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.
1QT259_05_L01_(10/21)