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Columbia Multi Strategy Alternatives Fund
Third Quarter Report
February 29, 2024 (Unaudited)
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Consolidated Portfolio of InvestmentsColumbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities — Non-Agency 4.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACHV ABS Trust(a) | ||||
Subordinated Series 2023-1PL Class C | ||||
03/18/2030 | 7.420% | 200,000 | 201,893 | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class DR | ||||
3-month Term SOFR + 7.132% Floor 6.870% 04/15/2034 | 12.446% | 1,000,000 | 961,570 | |
CarMax Auto Owner Trust | ||||
Series 2024-1 Class A2A | ||||
03/15/2027 | 5.300% | 850,000 | 848,517 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2023-A Class A | ||||
01/17/2028 | 8.010% | 172,653 | 173,067 | |
Consumer Loan Underlying Bond Credit Trust(a),(c),(d) | ||||
Subordinated Series 2018-P1 Class CERT | ||||
07/15/2025 | 0.000% | 100,000 | 500 | |
Subordinated Series 2018-P2 Class CERT | ||||
10/15/2025 | 0.000% | 100,000 | 5,000 | |
CPS Auto Receivables Trust(a) | ||||
Series 2024-A Class A | ||||
09/15/2027 | 5.710% | 415,821 | 416,093 | |
Exeter Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class E | ||||
07/17/2028 | 2.900% | 900,000 | 838,459 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2022-1A-B Class B | ||||
05/15/2026 | 2.840% | 271,985 | 270,425 | |
LendingClub Receivables Trust(a),(c),(d) | ||||
Series 2020-2 Class R | ||||
02/15/2046 | 0.000% | 85,000 | 165,750 | |
Lendingpoint Asset Securitization Trust(a) | ||||
Series 2022-C Class A | ||||
02/15/2030 | 6.560% | 196,339 | 196,086 | |
LendingPoint Asset Securitization Trust(a),(d),(e) | ||||
Subordinated Series 2021-1 Class D | ||||
04/15/2027 | 7.226% | 985,786 | 954,241 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2021-A Class C | ||||
12/15/2028 | 2.750% | 803,481 | 799,213 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 127,463 | 126,773 | |
Subordinated Series 2022-2A Class C | ||||
05/15/2030 | 8.400% | 1,000,000 | 1,013,530 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LP LMS Asset Securitization Trust(a) | ||||
Series 2021-2A Class A | ||||
01/15/2029 | 1.750% | 14,412 | 14,381 | |
LP LMS Asset Securitization Trust(a),(d),(e) | ||||
Subordinated Series 2021-2A Class B | ||||
01/15/2029 | 2.330% | 500,000 | 475,000 | |
Marlette Funding Trust(a) | ||||
Series 2021-1A Class D | ||||
06/16/2031 | 2.470% | 100,000 | 97,139 | |
Subordinated Series 2022-3A Class B | ||||
11/15/2032 | 5.950% | 2,000,000 | 1,996,921 | |
Netcredit Combined Receivables LLC(a),(d),(e) | ||||
Series 2023-A Class A | ||||
12/20/2027 | 7.780% | 519,959 | 521,584 | |
Octagon Investment Partners 47 Ltd.(a),(b) | ||||
Series 2020-1A Class ER | ||||
3-month Term SOFR + 6.512% Floor 6.250% 07/20/2034 | 11.829% | 750,000 | 694,729 | |
Oportun Issuance Trust(a) | ||||
Series 2022-3 Class A | ||||
01/08/2030 | 7.451% | 107,236 | 107,269 | |
Series 2024-1A Class A | ||||
04/08/2031 | 6.334% | 750,000 | 750,466 | |
Pagaya AI Debt Selection Trust(a),(c),(d) | ||||
Series 2020-3 Class CERT | ||||
05/17/2027 | 0.000% | 3,200,000 | 256,000 | |
Series 2021-1 Class CERT | ||||
11/15/2027 | 0.000% | 696,200 | 1,740 | |
Subordinated Series 2021-5 Class | ||||
08/15/2029 | 0.000% | 865,000 | 34,600 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-2 Class NOTE | ||||
01/25/2029 | 3.000% | 159,525 | 155,466 | |
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 1,174 | 1,172 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 350,504 | 345,920 | |
Series 2024-1 Class A | ||||
07/15/2031 | 6.660% | 500,000 | 501,247 | |
Subordinated Series 2022-2 Class B | ||||
01/15/2030 | 6.630% | 399,976 | 397,172 | |
Subordinated Series 2022-3 Class B | ||||
03/15/2030 | 8.050% | 799,922 | 805,248 |
2
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2022-5 Class B | ||||
06/17/2030 | 10.310% | 439,984 | 437,351 | |
Subordinated Series 2023-1 Class B | ||||
07/15/2030 | 9.435% | 2,849,604 | 2,890,670 | |
Subordinated Series 2023-5 Class C | ||||
04/15/2031 | 9.099% | 849,993 | 869,206 | |
Subordinated Series 2023-6 Class C | ||||
06/16/2031 | 8.491% | 599,846 | 608,914 | |
Subordinated Series 2024-1 Class B | ||||
07/15/2031 | 7.109% | 400,000 | 400,419 | |
Subordinated Series 2024-1 Class C | ||||
07/15/2031 | 8.344% | 250,000 | 253,189 | |
Subordinated Series 2024-2 Class C | ||||
08/15/2031 | 7.573% | 350,000 | 350,591 | |
Pagaya AI Debt Trust(a),(f) | ||||
Series 2022-2 Class AB | ||||
01/15/2030 | 5.503% | 211,357 | 210,517 | |
Reach ABS Trust(a) | ||||
Series 2024-1A Class A | ||||
02/18/2031 | 6.300% | 500,000 | 500,717 | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 441,364 | 401,005 | |
RR 16 Ltd.(a),(b) | ||||
Series 2021-16A Class D | ||||
3-month Term SOFR + 6.512% Floor 6.250% 07/15/2036 | 11.826% | 266,667 | 253,692 | |
SAFCO Auto Receivables Trust(a) | ||||
Series 2024-1A Class A | ||||
03/20/2028 | 6.510% | 421,970 | 421,115 | |
Santander Drive Auto Receivables Trust | ||||
Series 2024-1 Class A2 | ||||
02/16/2027 | 5.710% | 792,000 | 792,271 | |
Theorem Funding Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
12/15/2027 | 1.840% | 288,116 | 287,668 | |
Subordinated Series 2022-1A Class B | ||||
02/15/2028 | 3.100% | 1,580,071 | 1,560,352 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST1 Class A | ||||
02/20/2027 | 2.750% | 104,250 | 102,772 | |
Series 2021-ST7 Class A | ||||
09/20/2029 | 1.850% | 11,255 | 11,228 | |
Upstart Securitization Trust(a) | ||||
Subordinated Series 2023-1 Class B | ||||
02/20/2033 | 8.350% | 1,500,000 | 1,501,019 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
US Auto Funding(a) | ||||
Subordinated Series 2021-1A Class D | ||||
03/15/2027 | 4.360% | 1,125,000 | 420,874 | |
Total Asset-Backed Securities — Non-Agency (Cost $29,608,264) | 26,400,741 | |||
Commercial Mortgage-Backed Securities - Agency 0.1% | ||||
Government National Mortgage Association(f),(g) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.835% | 1,319,643 | 67,778 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.802% | 2,649,957 | 138,515 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 0.718% | 1,611,370 | 79,294 | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.615% | 1,944,125 | 81,357 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $1,076,888) | 366,944 | |||
Commercial Mortgage-Backed Securities - Non-Agency 1.8% | ||||
BAMLL Commercial Mortgage Securities Trust(a),(f) | ||||
Subordinated Series 2013-WBRK Class E | ||||
03/10/2037 | 3.534% | 500,000 | 352,233 | |
BAMLL Commercial Mortgage Securities Trust(a),(b) | ||||
Subordinated Series 2019-RLJ Class C | ||||
1-month Term SOFR + 1.647% Floor 1.600% 04/15/2036 | 6.965% | 1,250,000 | 1,247,162 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class G | ||||
1-month Term SOFR + 3.304% Floor 3.190% 10/15/2034 | 8.622% | 1,000,000 | 987,426 | |
BXP Trust(a),(f) | ||||
Subordinated Series 2021-601L Class E | ||||
01/15/2044 | 2.776% | 1,500,000 | 834,841 | |
COMM Mortgage Trust(a),(f) | ||||
Subordinated Series 2020-CBM Class F | ||||
02/10/2037 | 3.633% | 2,200,000 | 2,035,521 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 4,600,000 | 2,440,181 | |
Hilton USA Trust(a),(h) | ||||
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 0.000% | 1,700,000 | 50,858 | |
Home Partners of America Trust(a) | ||||
Series 2019-2 Class F | ||||
10/19/2039 | 3.866% | 329,140 | 288,349 |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
3
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley Capital I Trust(a),(f) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 600,000 | 501,718 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 575,000 | 551,691 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/17/2037 | 6.152% | 500,000 | 493,164 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2017-SMP Class A | ||||
1-month Term SOFR + 1.047% Floor 0.875% 12/15/2034 | 6.365% | 1,000,000 | 951,636 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $14,583,330) | 10,734,780 | |||
Residential Mortgage-Backed Securities - Agency 40.6% | ||||
Fannie Mae REMICS(b),(g) | ||||
CMO Series 2017-81 Class SM | ||||
-1.0 x 30-day Average SOFR + 6.086% Cap 6.200% 10/25/2047 | 0.764% | 1,906,545 | 220,491 | |
CMO Series 2020-22 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.214% Cap 6.100% 04/25/2050 | 0.664% | 3,020,659 | 349,894 | |
Federal Home Loan Mortgage Corp. | ||||
09/01/2052 | 4.500% | 4,651,235 | 4,405,955 | |
09/01/2053 | 5.500% | 1,955,304 | 1,952,660 | |
Federal Home Loan Mortgage Corp.(i) | ||||
12/01/2052 | 5.000% | 1,712,668 | 1,698,120 | |
Federal Home Loan Mortgage Corp.(b),(g) | ||||
CMO Series 2013-101 Class HS | ||||
-1.0 x 30-day Average SOFR + 6.386% Cap 6.500% 10/25/2043 | 1.064% | 649,938 | 78,932 | |
CMO Series 4987 Class KS | ||||
-1.0 x 30-day Average SOFR + 6.194% Cap 6.080% 06/25/2050 | 0.644% | 1,221,950 | 167,412 | |
CMO Series 4993 Class MS | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 07/25/2050 | 0.614% | 1,815,428 | 256,140 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. REMICS(b),(g) | ||||
CMO Series 4606 Class SL | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 12/15/2044 | 0.561% | 3,340,934 | 330,738 | |
CMO Series 5138 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 09/25/2047 | 0.641% | 2,111,327 | 242,434 | |
Federal Home Loan Mortgage Corp. REMICS(g) | ||||
CMO Series 5105 Class ID | ||||
05/25/2051 | 3.000% | 2,643,734 | 491,306 | |
CMO Series 5183 Class IO | ||||
01/25/2052 | 3.000% | 4,424,384 | 690,854 | |
Federal National Mortgage Association | ||||
09/01/2052 | 5.000% | 1,841,466 | 1,798,711 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 2016-53 Class AS | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 08/25/2046 | 0.564% | 12,856,432 | 1,081,921 | |
CMO Series 2020-38 Class WS | ||||
-1.0 x 30-day Average SOFR + 4.886% Cap 5.000% 06/25/2050 | 0.000% | 2,868,429 | 213,621 | |
Federal National Mortgage Association REMICS(b),(g) | ||||
CMO Series 2020-34 Class S | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 06/25/2050 | 0.614% | 3,004,848 | 367,838 | |
CMO Series 2020-54 Class AS | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 08/25/2050 | 0.714% | 1,971,378 | 246,568 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2021-HQA2 Class B2 | ||||
30-day Average SOFR + 5.450% 12/25/2033 | 10.772% | 800,000 | 870,116 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2010-9 Class XD | ||||
-1.0 x 1-month Term SOFR + 6.486% Cap 6.600% 01/16/2040 | 1.164% | 1,521,545 | 168,720 |
4
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-103 Class SA | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 08/20/2049 | 0.616% | 1,978,393 | 219,796 | |
CMO Series 2019-120 Class CS | ||||
-1.0 x 1-month Term SOFR + 3.286% Cap 3.400% 09/20/2049 | 0.000% | 18,585,857 | 182,283 | |
CMO Series 2019-21 Class QS | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 10/20/2046 | 0.666% | 2,199,826 | 233,512 | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 07/20/2049 | 0.666% | 2,438,437 | 256,481 | |
CMO Series 2019-98 Class SB | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 08/20/2049 | 0.666% | 7,258,405 | 715,481 | |
CMO Series 2020-104 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 07/20/2050 | 0.766% | 1,270,023 | 138,226 | |
CMO Series 2020-133 Class DS | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2050 | 0.866% | 5,212,442 | 559,692 | |
CMO Series 2020-160 Class AS | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 10/20/2050 | 0.866% | 7,567,795 | 1,014,486 | |
CMO Series 2020-34 Class SA | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 03/20/2050 | 0.616% | 1,947,521 | 222,222 | |
CMO Series 2020-78 Class SD | ||||
-1.0 x 1-month Term SOFR + 6.036% Cap 6.150% 06/20/2050 | 0.716% | 2,181,919 | 237,951 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-117 Class HS | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 07/20/2051 | 0.866% | 2,197,584 | 265,642 | |
CMO Series 2021-119 Class SC | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 07/20/2051 | 0.866% | 3,056,798 | 352,620 | |
CMO Series 2021-122 Class SB | ||||
-1.0 x 1-month Term SOFR + 2.486% Cap 2.600% 07/20/2051 | 0.000% | 7,124,535 | 36,544 | |
CMO Series 2021-122 Class SG | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 07/20/2051 | 0.866% | 3,566,629 | 401,510 | |
CMO Series 2021-142 Class SL | ||||
-1.0 x 1-month Term SOFR + 0.114% Cap 6.300% 08/20/2051 | 0.866% | 4,717,308 | 577,674 | |
CMO Series 2021-156 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2051 | 0.866% | 3,537,929 | 431,360 | |
CMO Series 2021-160 Class S | ||||
-1.0 x 30-day Average SOFR + 2.650% Cap 2.650% 09/20/2051 | 0.000% | 5,632,184 | 27,981 | |
CMO Series 2021-161 Class SL | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2051 | 0.866% | 3,240,433 | 419,790 | |
CMO Series 2021-193 Class ES | ||||
30-day Average SOFR + 1.700% 11/20/2051 | 0.000% | 19,743,672 | 58,572 | |
CMO Series 2021-42 Class SD | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 11/20/2050 | 0.866% | 3,380,759 | 442,136 |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
5
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-42 Class SG | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 03/20/2051 | 0.866% | 2,624,582 | 301,324 | |
CMO Series 2021-96 Class US | ||||
-1.0 x 30-day Average SOFR + 3.250% Cap 3.250% 06/20/2051 | 0.000% | 3,335,428 | 34,461 | |
CMO Series 2021-97 Class CS | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 06/20/2051 | 0.866% | 3,231,655 | 379,532 | |
CMO Series 2022-168 Class ST | ||||
-1.0 x 30-day Average SOFR + 6.000% Cap 6.000% 09/20/2052 | 0.676% | 4,740,853 | 393,624 | |
CMO Series 2022-46 Class SE | ||||
-1.0 x 30-day Average SOFR + 3.450% Cap 3.450% 03/20/2052 | 0.000% | 3,007,154 | 44,171 | |
CMO Series 2022-90 Class SJ | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 01/20/2050 | 0.616% | 2,942,606 | 334,195 | |
CMO Series 2023-113 Class CS | ||||
-1.0 x 30-day Average SOFR + 5.730% Cap 5.730% 08/20/2053 | 0.406% | 1,491,605 | 90,148 | |
CMO Series 2023-113 Class HS | ||||
1-month Term SOFR + 5.936% Cap 6.050% 09/20/2049 | 0.616% | 4,365,099 | 428,729 | |
CMO Series 2023-115 Class SM | ||||
-1.0 x 30-day Average SOFR + 5.900% Cap 5.900% 08/20/2053 | 0.576% | 5,536,297 | 208,659 | |
CMO Series 2023-141 Class SQ | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 12/20/2049 | 0.616% | 2,885,932 | 296,103 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2023-173 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.650% Cap 5.650% 11/20/2053 | 0.326% | 5,504,201 | 328,318 | |
CMO Series 2023-47 Class AS | ||||
-1.0 x 30-day Average SOFR + 6.350% Cap 6.350% 03/20/2053 | 1.026% | 2,187,626 | 186,869 | |
CMO Series 2023-66 Class BS | ||||
-1.0 x 30-day Average SOFR + 6.150% Cap 6.150% 05/20/2053 | 0.826% | 1,915,187 | 181,120 | |
CMO Series 2023-66 Class SQ | ||||
-1.0 x 30-day Average SOFR + 5.400% Cap 5.400% 05/20/2053 | 0.076% | 5,645,790 | 237,424 | |
Government National Mortgage Association(g) | ||||
CMO Series 2020-104 Class IY | ||||
07/20/2050 | 3.000% | 2,333,128 | 371,119 | |
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 4,352,095 | 587,095 | |
CMO Series 2020-146 Class NI | ||||
10/20/2050 | 2.000% | 18,553,254 | 2,101,703 | |
CMO Series 2020-164 Class CI | ||||
11/20/2050 | 3.000% | 2,016,402 | 321,267 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 3,043,675 | 408,259 | |
CMO Series 2020-191 Class UC | ||||
12/20/2050 | 4.000% | 2,102,354 | 428,310 | |
CMO Series 2021-158 Class VI | ||||
09/20/2051 | 3.000% | 2,382,918 | 380,617 | |
CMO Series 2021-160 Class CI | ||||
09/20/2051 | 2.500% | 4,804,876 | 630,554 | |
CMO Series 2021-24 Class MI | ||||
02/20/2051 | 3.000% | 1,898,058 | 307,261 | |
CMO Series 2021-25 Class GI | ||||
02/20/2051 | 2.500% | 4,016,312 | 597,236 | |
CMO Series 2021-7 Class IT | ||||
01/16/2051 | 3.000% | 1,742,425 | 337,628 | |
Government National Mortgage Association TBA(j) | ||||
03/20/2054 | 4.500% | 20,000,000 | 19,097,744 |
6
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(j) | ||||
03/13/2054 | 3.000% | 34,000,000 | 29,077,376 | |
03/13/2054 | 3.500% | 34,595,420 | 30,774,761 | |
03/13/2054 | 4.000% | 37,500,000 | 34,499,067 | |
03/13/2054 | 4.500% | 54,000,000 | 51,112,488 | |
03/13/2054 | 5.000% | 21,000,000 | 20,363,448 | |
03/13/2054 | 6.000% | 25,000,000 | 25,104,270 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $255,130,694) | 242,371,270 | |||
Residential Mortgage-Backed Securities - Non-Agency 14.9% | ||||
510 Asset Backed Trust(a),(f) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 514,856 | 494,473 | |
A&D Mortgage Trust(a),(f) | ||||
CMO Series 2024-NQM1 Class A1 | ||||
02/25/2069 | 6.195% | 593,043 | 591,394 | |
Ajax Mortgage Loan Trust(a),(f) | ||||
CMO Series 2021-C Class A | ||||
01/25/2061 | 2.115% | 241,579 | 230,449 | |
Angel Oak Mortgage Trust(a),(f) | ||||
CMO Series 2021-5 Class A3 | ||||
07/25/2066 | 1.311% | 331,309 | 276,250 | |
Angel Oak Mortgage Trust I LLC(a),(f) | ||||
Subordinated CMO Series 2019-2 Class B2 | ||||
03/25/2049 | 6.286% | 2,700,000 | 2,728,305 | |
Arroyo Mortgage Trust(a) | ||||
CMO Series 2020-1 Class M1 | ||||
03/25/2055 | 4.277% | 1,870,000 | 1,544,006 | |
BRAVO Residential Funding Trust(a),(f) | ||||
CMO Series 2020-NQM1 Class B1 | ||||
05/25/2060 | 5.086% | 300,000 | 283,841 | |
CMO Series 2020-NQM1 Class B2 | ||||
05/25/2060 | 5.795% | 430,000 | 387,564 | |
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 1,836,518 | 1,808,177 | |
Subordinated CMO Series 2021-NQM2 Class B1 | ||||
03/25/2060 | 3.044% | 200,000 | 170,101 | |
Subordinated CMO Series 2021-NQM2 Class B2 | ||||
03/25/2060 | 4.099% | 300,000 | 240,666 | |
BRAVO Residential Funding Trust(a),(b) | ||||
CMO Series 2021-HE2 Class B1 | ||||
30-day Average SOFR + 2.400% 11/25/2069 | 7.722% | 338,000 | 334,760 | |
Subordinated CMO Series 2021-HE2 Class B2 | ||||
30-day Average SOFR + 3.400% 11/25/2069 | 8.722% | 353,000 | 354,244 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BVRT Financing Trust(a),(b),(d) | ||||
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 2,542,066 | 2,542,066 | |
CMO Series 2021-CRT1 Class M4 | ||||
30-day Average SOFR + 3.614% Floor 3.500% 07/10/2032 | 8.927% | 1,375,475 | 1,323,441 | |
CHNGE Mortgage Trust(a),(f) | ||||
CMO Series 2022-1 Class M1 | ||||
01/25/2067 | 3.990% | 350,000 | 286,042 | |
CMO Series 2023-3 Class M1 | ||||
07/25/2058 | 8.258% | 800,000 | 806,946 | |
Subordinated CMO Series 2022-1 Class B1 | ||||
01/25/2067 | 4.548% | 500,000 | 400,679 | |
Subordinated CMO Series 2023-1 Class B1 | ||||
03/25/2058 | 8.300% | 473,000 | 460,578 | |
Subordinated CMO Series 2023-1 Class B2 | ||||
03/25/2058 | 8.300% | 300,000 | 273,752 | |
Subordinated CMO Series 2023-2 Class B1 | ||||
06/25/2058 | 8.244% | 200,000 | 195,185 | |
Subordinated CMO Series 2023-3 Class B1 | ||||
07/25/2058 | 8.258% | 300,000 | 291,459 | |
CIM Trust(a),(f) | ||||
CMO Series 2021-NR1 Class A1 | ||||
07/25/2055 | 2.569% | 590,321 | 580,653 | |
CMO Series 2021-NR4 Class A1 | ||||
10/25/2061 | 2.816% | 388,043 | 377,096 | |
Citigroup Mortgage Loan Trust(a) | ||||
Subordinated CMO Series 2015-RP2 Class B5 | ||||
01/25/2053 | 4.250% | 996,816 | 717,800 | |
COLT Mortgage Loan Trust(a),(f) | ||||
CMO Series 2020-2 Class M1 | ||||
03/25/2065 | 5.250% | 200,000 | 192,833 | |
CMO Series 2021-3 Class A3 | ||||
09/27/2066 | 1.419% | 528,930 | 423,726 | |
Subordinated CMO Series 2021-4 Class B1 | ||||
10/25/2066 | 3.764% | 400,000 | 281,085 | |
Subordinated CMO Series 2022-4 Class B2 | ||||
03/25/2067 | 4.613% | 400,000 | 332,261 | |
Subordinated Series 2021-3 Class B1 | ||||
09/27/2066 | 3.059% | 200,000 | 118,962 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2023-R05 Class 1B1 | ||||
30-day Average SOFR + 4.750% Floor 4.750% 06/25/2043 | 10.072% | 390,000 | 420,010 |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
7
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2021-R03 Class 1B2 | ||||
30-day Average SOFR + 5.500% Floor 5.500% 12/25/2041 | 10.822% | 550,000 | 566,846 | |
Subordinated CMO Series 2022-R01 Class 1B2 | ||||
30-day Average SOFR + 6.000% 12/25/2041 | 11.322% | 1,900,000 | 1,977,987 | |
Credit Suisse Mortgage Trust(a),(f) | ||||
CMO Series 2022-JR1 Class A1 | ||||
10/25/2066 | 4.267% | 1,211,134 | 1,195,609 | |
CSMC Trust(a),(f) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.531% | 1,260,755 | 1,323,867 | |
CMO Series 2021-JR2 Class A1 | ||||
11/25/2061 | 2.215% | 252,321 | 244,789 | |
CMO Series 2022-RPL3 Class A1 | ||||
03/25/2061 | 3.613% | 804,125 | 793,832 | |
Fannie Mae Connecticut Avenue Securities(a),(b) | ||||
Subordinated CMO Series 2021-R02 Class 2B2 | ||||
30-day Average SOFR + 6.200% 11/25/2041 | 11.522% | 1,100,000 | 1,149,208 | |
Freddie Mac STACR(b) | ||||
CMO Series 2020-CS02 Class M4 | ||||
30-day Average SOFR + 0.000% 06/25/2033 | 4.617% | 1,744,415 | 1,677,381 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2022-HQA1 Class M2 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 10.572% | 800,000 | 858,548 | |
Subordinated CMO Series 2020-DNA6 Class B2 | ||||
30-day Average SOFR + 5.650% 12/25/2050 | 10.972% | 1,000,000 | 1,085,696 | |
Subordinated CMO Series 2020-HQA3 Class B1 | ||||
30-day Average SOFR + 5.864% 07/25/2050 | 11.186% | 826,116 | 916,984 | |
Subordinated CMO Series 2020-HQA4 Class B1 | ||||
30-day Average SOFR + 5.364% 09/25/2050 | 10.686% | 2,037,113 | 2,246,608 | |
Subordinated CMO Series 2021-DNA1 Class B2 | ||||
30-day Average SOFR + 4.750% 01/25/2051 | 10.072% | 1,050,000 | 1,091,244 | |
Subordinated CMO Series 2021-DNA5 Class B2 | ||||
30-day Average SOFR + 5.500% 01/25/2034 | 10.822% | 1,950,000 | 2,098,687 | |
Subordinated CMO Series 2021-DNA6 Class B2 | ||||
30-day Average SOFR + 7.500% 10/25/2041 | 12.822% | 550,000 | 587,564 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b),(d) | ||||
CMO Series 2019-CS02 Class M2 | ||||
1-month Term SOFR + 0.000% 02/25/2032 | 4.506% | 2,765,186 | 2,737,534 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
Subordinated CMO Series 2020-HQA5 Class B2 | ||||
30-day Average SOFR + 7.400% 11/25/2050 | 12.722% | 1,800,000 | 2,103,120 | |
Subordinated CMO Series 2021-DNA7 Class B2 | ||||
30-day Average SOFR + 7.800% 11/25/2041 | 13.145% | 1,450,000 | 1,554,557 | |
GCAT Trust(a),(f) | ||||
CMO Series 2019-NQM3 Class M1 | ||||
11/25/2059 | 3.450% | 600,000 | 488,120 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2021-3 Class M1B | ||||
30-day Average SOFR + 2.900% Floor 2.900% 02/25/2034 | 8.245% | 2,000,000 | 2,018,329 | |
Subordinated CMO Series 2021-3 Class B1 | ||||
30-day Average SOFR + 4.950% Floor 4.950% 02/25/2034 | 10.295% | 500,000 | 511,239 | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month Term SOFR + 3.114% 10/25/2028 | 8.435% | 234,673 | 236,060 | |
Homeward Opportunities Fund I Trust(a),(f) | ||||
Subordinated CMO Series 2020-2 Class B1 | ||||
05/25/2065 | 5.450% | 250,000 | 240,205 | |
Imperial Fund Mortgage Trust(a),(f) | ||||
Subordinated CMO Series 2021-NQM3 Class B1 | ||||
11/25/2056 | 4.147% | 500,000 | 376,356 | |
Subordinated CMO Series 2022-NQM3 Class B1 | ||||
05/25/2067 | 4.449% | 350,000 | 272,899 | |
Legacy Mortgage Asset Trust(a),(f) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 4.892% | 352,289 | 344,139 | |
CMO Series 2021-SL2 Class A | ||||
10/25/2068 | 1.875% | 566,456 | 544,827 | |
LHOME Mortgage Trust(a),(f) | ||||
CMO Series 2023-RTL3 Class A2 | ||||
08/25/2028 | 9.000% | 600,000 | 599,166 | |
CMO Series 2024-RTL1 Class A2 | ||||
01/25/2029 | 9.165% | 400,000 | 399,827 | |
CMO Series 2024-RTL1 Class M | ||||
01/25/2029 | 11.949% | 300,000 | 299,865 |
8
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
loanDepot GMSR Master Trust(a),(b) | ||||
Series 2018-GT1 Class A | ||||
1-month Term SOFR + 2.914% Floor 2.800% 10/16/2025 | 7.116% | 850,000 | 814,021 | |
New Residential Mortgage Loan Trust(a),(f) | ||||
CMO Series 2022-NQM2 Class A2 | ||||
03/27/2062 | 3.699% | 2,570,000 | 1,954,293 | |
Subordinated CMO Series 2019-RPL3 Class B4 | ||||
07/25/2059 | 4.012% | 750,000 | 504,786 | |
Subordinated CMO Series 2022-NQM2 Class B1 | ||||
03/27/2062 | 3.871% | 200,000 | 132,403 | |
NYMT Loan Trust(a),(f) | ||||
CMO Series 2024-BPL1 Class A1 | ||||
02/25/2029 | 7.154% | 500,000 | 497,314 | |
Oaktown Re V Ltd.(a),(b) | ||||
CMO Series 2020-2A Class M2 | ||||
30-day Average SOFR + 5.364% Floor 5.250% 10/25/2030 | 10.686% | 486,762 | 500,665 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M2 | ||||
30-day Average SOFR + 3.950% Floor 3.950% 10/25/2033 | 9.272% | 500,000 | 514,474 | |
OBX Trust(a),(f) | ||||
CMO Series 2024-NQM3 Class A1 | ||||
12/25/2063 | 6.129% | 400,000 | 399,532 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
Series 2019-2R Class A | ||||
1-month Term SOFR + 3.864% Floor 3.750% 05/30/2025 | 9.193% | 621,675 | 622,396 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT2 Class A | ||||
1-month Term SOFR + 2.764% 08/25/2025 | 8.085% | 1,307,692 | 1,313,938 | |
Point Securitization Trust(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 790,344 | 742,971 | |
Preston Ridge Partners Mortgage(a),(f) | ||||
CMO Series 2021-2 Class A2 | ||||
03/25/2026 | 3.770% | 1,000,000 | 944,123 | |
CMO Series 2021-4 Class A2 | ||||
04/25/2026 | 3.474% | 400,000 | 380,517 | |
Preston Ridge Partners Mortgage LLC(a),(f) | ||||
CMO Series 2020-6 Class A2 | ||||
11/25/2025 | 4.703% | 204,675 | 198,695 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Preston Ridge Partners Mortgage Trust(a),(f) | ||||
CMO Series 2021-10 Class A1 | ||||
10/25/2026 | 2.487% | 751,710 | 731,397 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 474,425 | 457,868 | |
CMO Series 2021-5 Class A2 | ||||
06/25/2026 | 3.721% | 700,000 | 673,149 | |
CMO Series 2021-7 Class A1 | ||||
08/25/2026 | 1.867% | 1,024,353 | 997,502 | |
CMO Series 2023-RCF1 Class M2 | ||||
06/25/2053 | 4.000% | 700,000 | 569,391 | |
PRET LLC(a),(f) | ||||
CMO Series 2024-NPL1 Class A1 | ||||
01/25/2054 | 7.143% | 393,821 | 390,392 | |
CMO Series 2024-NPL1 Class A2 | ||||
01/25/2054 | 9.798% | 1,000,000 | 991,860 | |
PRET LLC(a),(d),(e),(f) | ||||
CMO Series 2024-NPL2 Class A2 | ||||
02/25/2054 | 10.037% | 500,000 | 500,000 | |
Pretium Mortgage Credit Partners(a),(f) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 572,638 | 566,047 | |
Pretium Mortgage Credit Partners LLC(a),(f) | ||||
CMO Series 2021-NPL6 Class A2 | ||||
07/25/2051 | 5.071% | 900,000 | 835,409 | |
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 352,083 | 337,176 | |
PRKCM Trust(a),(f) | ||||
CMO Series 2021-AFC1 Class M1 | ||||
08/25/2056 | 3.114% | 2,000,000 | 1,251,453 | |
CMO Series 2022-AFC1 Class A3 | ||||
04/25/2057 | 4.100% | 525,272 | 479,878 | |
PRPM LLC(a),(f) | ||||
CMO Series 2021-7 Class A2 | ||||
08/25/2026 | 3.671% | 400,000 | 386,799 | |
CMO Series 2024-RCF1 Class M1 | ||||
01/25/2054 | 4.000% | 150,000 | 132,300 | |
CMO Series 2024-RCF1 Class M2 | ||||
01/25/2054 | 4.000% | 750,000 | 589,368 | |
PRPM Trust(a),(f) | ||||
CMO Series 2023-NQM1 Class M1 | ||||
01/25/2068 | 6.393% | 1,780,000 | 1,753,497 | |
Subordinated CMO Series 2023-NQM1 Class B1 | ||||
01/25/2068 | 6.393% | 300,000 | 275,197 | |
Subordinated CMO Series 2023-NQM3 Class B2 | ||||
11/25/2068 | 7.432% | 150,000 | 138,277 |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
9
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RCO VII Mortgage LLC(a),(f) | ||||
CMO Series 2024-1 Class A2 | ||||
01/25/2029 | 9.575% | 1,150,000 | 1,108,065 | |
Residential Mortgage Loan Trust(a),(f) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.257% | 700,000 | 668,265 | |
Saluda Grade Alternative Mortgage Trust(d),(e),(f) | ||||
Subordinated CMO Series 2023-FIG3 Class CE | ||||
08/24/2053 | 4.221% | 729,458 | 904,528 | |
Stanwich Mortgage Loan Co. LLC(a),(f) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 1,398,937 | 1,304,378 | |
Starwood Mortgage Residential Trust(a),(f) | ||||
CMO Series 2020-3 Class B1 | ||||
04/25/2065 | 4.750% | 250,000 | 217,759 | |
CMO Series 2021-3 Class A1 | ||||
06/25/2056 | 1.127% | 308,050 | 249,394 | |
Toorak Mortgage Corp., Ltd.(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 3.240% | 390,611 | 386,816 | |
Toorak Mortgage Trust(a),(f) | ||||
CMO Series 2024-RRTL1 Class B1 | ||||
02/25/2039 | 9.768% | 250,000 | 240,323 | |
Triangle Re Ltd.(a),(b) | ||||
Subordinated CMO Series 2021-1 Class B1 | ||||
1-month Term SOFR + 4.614% Floor 4.500% 08/25/2033 | 9.935% | 1,500,000 | 1,505,911 | |
Subordinated CMO Series 2021-2 Class B1 | ||||
1-month Term SOFR + 7.614% Floor 7.500% 10/25/2033 | 12.935% | 650,000 | 699,176 | |
VCAT Asset Securitization LLC(a),(f) | ||||
CMO Series 2021-NPL3 Class A2 | ||||
05/25/2051 | 3.967% | 300,000 | 268,746 | |
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 768,309 | 743,202 | |
Vericrest Opportunity Loan Transferee(a),(f) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 459,041 | 446,605 | |
Verus Securitization Trust(a) | ||||
CMO Series 2020-INV1 Class M1 | ||||
03/25/2060 | 5.500% | 550,000 | 528,791 | |
CMO Series 2021-R2 Class M1 | ||||
02/25/2064 | 2.244% | 500,000 | 385,229 | |
Subordinated CMO Series 2020-INV1 Class B1 | ||||
03/25/2060 | 5.750% | 150,000 | 145,216 | |
Subordinated CMO Series 2020-INV1 Class B2 | ||||
03/25/2060 | 6.000% | 150,000 | 139,900 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verus Securitization Trust(a),(f) | ||||
CMO Series 2023-1 Class M1 | ||||
12/25/2067 | 6.961% | 2,500,000 | 2,470,231 | |
CMO Series 2023-INV1 Class M1 | ||||
02/25/2068 | 7.577% | 800,000 | 812,647 | |
Subordinated CMO Series 2019-4 Class B1 | ||||
11/25/2059 | 3.860% | 500,000 | 428,384 | |
Subordinated CMO Series 2020-4 Class B2 | ||||
05/25/2065 | 5.600% | 327,000 | 287,962 | |
Subordinated CMO Series 2023-1 Class B1 | ||||
12/25/2067 | 6.961% | 1,750,000 | 1,700,853 | |
Subordinated CMO Series 2023-INV1 Class B1 | ||||
02/25/2068 | 7.577% | 450,000 | 441,982 | |
Subordinated Series 2021-5 Class B1 | ||||
09/25/2066 | 3.037% | 300,000 | 194,085 | |
Subordinated Series 2021-5 Class B2 | ||||
09/25/2066 | 3.941% | 250,000 | 166,134 | |
Visio Trust(a),(f) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 172,368 | |
Subordinated CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 90,177 | |
Vista Point Securitization Trust(a),(f) | ||||
Subordinated CMO Series 2020-1 Class B1 | ||||
03/25/2065 | 5.367% | 800,000 | 754,165 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $88,278,132) | 89,048,277 | |||
Treasury Bills 16.2% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 16.2% | ||||
U.S. Treasury Bills(k) | ||||
04/11/2024 | 5.160% | 50,000,000 | 49,665,266 | |
U.S. Treasury Bills | ||||
05/23/2024 | 5.310% | 48,000,000 | 47,420,732 | |
Total | 97,085,998 | |||
Total Treasury Bills (Cost $97,083,293) | 97,085,998 |
Call Option Contracts Purchased 0.3% | ||||
Value ($) | ||||
(Cost $1,694,700) | 1,775,417 | |||
Put Option Contracts Purchased 0.1% | ||||
(Cost $528,000) | 753,876 |
10
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Money Market Funds 46.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(l),(m) | 275,946,763 | 275,891,574 |
Total Money Market Funds (Cost $275,867,680) | 275,891,574 | |
Total Investments in Securities (Cost: $763,850,981) | 744,428,877 | |
Other Assets & Liabilities, Net | (146,912,447 ) | |
Net Assets | 597,516,430 |
At February 29, 2024, securities and/or cash totaling $78,485,939 were pledged as collateral.
Investments in derivatives
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
34,729,000 EUR | 37,742,088 USD | Barclays | 04/10/2024 | 148,247 | — |
27,822,000 CHF | 31,666,287 USD | Citi | 03/06/2024 | 198,873 | — |
24,958,000 NZD | 15,218,874 USD | Citi | 03/06/2024 | 23,179 | — |
32,314,527 USD | 27,822,000 CHF | Citi | 03/06/2024 | — | (847,113 ) |
147,858,132 AUD | 97,857,603 USD | Citi | 03/20/2024 | 1,699,348 | — |
5,168,000 AUD | 3,342,619 USD | Citi | 03/20/2024 | — | (18,345 ) |
71,607,000 BRL | 14,462,410 USD | Citi | 03/20/2024 | 82,321 | — |
61,847,000 BRL | 12,387,419 USD | Citi | 03/20/2024 | — | (32,670 ) |
78,132,374 CAD | 57,917,562 USD | Citi | 03/20/2024 | 332,608 | — |
21,242,542 CAD | 15,639,506 USD | Citi | 03/20/2024 | — | (16,626 ) |
75,269,338 CHF | 87,641,284 USD | Citi | 03/20/2024 | 2,376,743 | — |
2,033,636 CHF | 2,301,057 USD | Citi | 03/20/2024 | — | (2,630 ) |
18,730,272,750 CLP | 20,506,988 USD | Citi | 03/20/2024 | 1,135,035 | — |
800,000,000 CLP | 822,065 USD | Citi | 03/20/2024 | — | (5,342 ) |
151,502,000 CNH | 21,202,236 USD | Citi | 03/20/2024 | 155,436 | — |
24,375,333,999 COP | 6,152,694 USD | Citi | 03/20/2024 | — | (40,152 ) |
856,954,505 CZK | 37,544,045 USD | Citi | 03/20/2024 | 999,694 | — |
168,000,000 CZK | 7,124,926 USD | Citi | 03/20/2024 | — | (39,341 ) |
134,457,150 EUR | 146,561,056 USD | Citi | 03/20/2024 | 1,142,242 | — |
26,216,257 EUR | 28,313,523 USD | Citi | 03/20/2024 | — | (40,023 ) |
53,781,329 GBP | 68,242,724 USD | Citi | 03/20/2024 | 347,669 | — |
18,129,482 GBP | 22,777,009 USD | Citi | 03/20/2024 | — | (110,156 ) |
11,677,795,053 HUF | 32,604,393 USD | Citi | 03/20/2024 | 499,635 | — |
370,000,000 HUF | 1,015,963 USD | Citi | 03/20/2024 | — | (1,247 ) |
158,088,802,698 IDR | 10,144,274 USD | Citi | 03/20/2024 | 87,455 | — |
5,303,732,434 IDR | 337,316 USD | Citi | 03/20/2024 | — | (81 ) |
54,087,000 ILS | 14,620,838 USD | Citi | 03/20/2024 | — | (524,989 ) |
2,078,081,548 INR | 25,053,410 USD | Citi | 03/20/2024 | 8,502 | — |
577,244,875 INR | 6,956,138 USD | Citi | 03/20/2024 | — | (781 ) |
21,384,799,749 KRW | 16,333,003 USD | Citi | 03/20/2024 | 281,871 | — |
15,057,600,125 KRW | 11,262,803 USD | Citi | 03/20/2024 | — | (39,220 ) |
655,578,537 MXN | 37,986,155 USD | Citi | 03/20/2024 | — | (376,031 ) |
410,750,050 NOK | 39,135,355 USD | Citi | 03/20/2024 | 447,085 | — |
117,750,000 NOK | 10,886,878 USD | Citi | 03/20/2024 | — | (203,916 ) |
111,449,169 NZD | 68,563,318 USD | Citi | 03/20/2024 | 706,897 | — |
345,250 PEN | 91,454 USD | Citi | 03/20/2024 | 195 | — |
1,035,750 PEN | 272,905 USD | Citi | 03/20/2024 | — | (870 ) |
1,074,448,000 PHP | 19,361,086 USD | Citi | 03/20/2024 | 240,728 | — |
20,000,000 PHP | 354,232 USD | Citi | 03/20/2024 | — | (1,678 ) |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
11
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
105,746,026 PLN | 26,659,585 USD | Citi | 03/20/2024 | 182,700 | — |
122,509,169 PLN | 30,482,814 USD | Citi | 03/20/2024 | — | (191,257 ) |
84,362,766 SEK | 8,245,576 USD | Citi | 03/20/2024 | 101,832 | — |
506,323,259 SEK | 48,626,909 USD | Citi | 03/20/2024 | — | (249,712 ) |
76,983,208 SGD | 57,826,380 USD | Citi | 03/20/2024 | 571,406 | — |
209,000 SGD | 155,376 USD | Citi | 03/20/2024 | — | (64 ) |
277,000,000 THB | 7,826,992 USD | Citi | 03/20/2024 | 93,338 | — |
22,000,000 THB | 609,589 USD | Citi | 03/20/2024 | — | (4,637 ) |
627,082,750 TWD | 20,185,814 USD | Citi | 03/20/2024 | 349,228 | — |
7,282,749 TWD | 229,696 USD | Citi | 03/20/2024 | — | (680 ) |
61,498,261 USD | 92,847,632 AUD | Citi | 03/20/2024 | — | (1,115,608 ) |
7,461,778 USD | 37,327,000 BRL | Citi | 03/20/2024 | 34,215 | — |
21,325,543 USD | 105,556,000 BRL | Citi | 03/20/2024 | — | (127,831 ) |
16,464,489 USD | 22,362,000 CAD | Citi | 03/20/2024 | 16,704 | — |
70,605,090 USD | 95,167,000 CAD | Citi | 03/20/2024 | — | (465,313 ) |
69,173,586 USD | 60,112,022 CHF | Citi | 03/20/2024 | — | (1,079,139 ) |
9,372,418 USD | 9,188,954,447 CLP | Citi | 03/20/2024 | 131,341 | — |
6,244,024 USD | 5,700,000,000 CLP | Citi | 03/20/2024 | — | (348,747 ) |
4,775,424 USD | 34,405,000 CNH | Citi | 03/20/2024 | 4,151 | — |
12,767,884 USD | 91,293,250 CNH | Citi | 03/20/2024 | — | (85,340 ) |
9,069,519 USD | 36,770,668,000 COP | Citi | 03/20/2024 | 272,511 | — |
305,346 USD | 1,200,000,000 COP | Citi | 03/20/2024 | — | (471 ) |
30,121,443 USD | 691,885,647 CZK | Citi | 03/20/2024 | — | (616,363 ) |
29,502,312 USD | 27,431,327 EUR | Citi | 03/20/2024 | 165,363 | — |
142,046,669 USD | 130,119,080 EUR | Citi | 03/20/2024 | — | (1,319,588 ) |
9,355,901 USD | 7,432,501 GBP | Citi | 03/20/2024 | 27,096 | — |
88,375,323 USD | 69,567,944 GBP | Citi | 03/20/2024 | — | (550,803 ) |
37,050,450 USD | 13,080,554,803 HUF | Citi | 03/20/2024 | — | (1,089,206 ) |
333,617 USD | 5,250,000,000 IDR | Citi | 03/20/2024 | 362 | — |
9,544,639 USD | 148,250,000,000 IDR | Citi | 03/20/2024 | — | (113,715 ) |
11,129,560 USD | 40,628,500 ILS | Citi | 03/20/2024 | 247,523 | — |
49,721,166 USD | 4,147,959,000 INR | Citi | 03/20/2024 | 269,775 | — |
5,665,932 USD | 470,000,000 INR | Citi | 03/20/2024 | — | (1,522 ) |
1,332,269 USD | 1,775,000,000 KRW | Citi | 03/20/2024 | 21 | — |
25,457,656 USD | 33,399,999,999 KRW | Citi | 03/20/2024 | — | (388,083 ) |
46,195,355 USD | 804,157,075 MXN | Citi | 03/20/2024 | 861,133 | — |
2,404,039 USD | 41,000,000 MXN | Citi | 03/20/2024 | — | (4,861 ) |
37,355,377 USD | 401,539,000 NOK | Citi | 03/20/2024 | 465,311 | — |
22,811,143 USD | 236,383,278 NOK | Citi | 03/20/2024 | — | (546,362 ) |
2,005,385 USD | 3,305,000 NZD | Citi | 03/20/2024 | 6,882 | — |
47,318,853 USD | 76,672,669 NZD | Citi | 03/20/2024 | — | (636,289 ) |
728,091 USD | 2,762,000 PEN | Citi | 03/20/2024 | 1,976 | — |
1,775,003 USD | 100,000,000 PHP | Citi | 03/20/2024 | 4,548 | — |
11,837,780 USD | 662,224,000 PHP | Citi | 03/20/2024 | — | (53,162 ) |
41,350,451 USD | 166,253,860 PLN | Citi | 03/20/2024 | 276,497 | — |
30,941,730 USD | 122,930,390 PLN | Citi | 03/20/2024 | — | (162,193 ) |
11,524,503 USD | 119,791,253 SEK | Citi | 03/20/2024 | 39,239 | — |
28,615,960 USD | 294,827,772 SEK | Citi | 03/20/2024 | — | (155,515 ) |
34,844,697 USD | 46,608,103 SGD | Citi | 03/20/2024 | — | (180,700 ) |
4,995,265 USD | 179,400,000 THB | Citi | 03/20/2024 | 13,463 | — |
1,103,893 USD | 34,950,000 TWD | Citi | 03/20/2024 | 1,685 | — |
17,596,516 USD | 544,081,000 TWD | Citi | 03/20/2024 | — | (385,534 ) |
10,808,215 USD | 208,250,000 ZAR | Citi | 03/20/2024 | 34,437 | — |
22,040,287 USD | 413,475,000 ZAR | Citi | 03/20/2024 | — | (512,480 ) |
657,653,125 ZAR | 34,706,895 USD | Citi | 03/20/2024 | 465,818 | — |
39,571,875 ZAR | 2,057,151 USD | Citi | 03/20/2024 | — | (3,180 ) |
9,111,578,900 JPY | 63,136,397 USD | Citi | 03/21/2024 | 2,192,025 | — |
3,657,480,612 JPY | 24,393,091 USD | Citi | 03/21/2024 | — | (70,600 ) |
12
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
1,869,589 USD | 280,000,000 JPY | Citi | 03/21/2024 | 3,240 | — |
103,005,441 USD | 14,878,212,012 JPY | Citi | 03/21/2024 | — | (3,489,946 ) |
33,150,000 CHF | 37,836,117 USD | Citi | 04/10/2024 | 195,024 | — |
31,833,316 USD | 27,822,000 CHF | Citi | 04/24/2024 | — | (190,899 ) |
15,219,251 USD | 24,958,000 NZD | Citi | 04/24/2024 | — | (23,149 ) |
25,673,500 AUD | 16,885,395 USD | Citi | 06/20/2024 | 143,449 | — |
892,000 BRL | 178,266 USD | Citi | 06/20/2024 | 724 | — |
6,815,000 BRL | 1,355,550 USD | Citi | 06/20/2024 | — | (895 ) |
24,024,357 CHF | 27,655,506 USD | Citi | 06/20/2024 | 163,214 | — |
17,202,500 CNH | 2,405,225 USD | Citi | 06/20/2024 | 811 | — |
25,803,750 CNH | 3,603,289 USD | Citi | 06/20/2024 | — | (3,333 ) |
379,783,142 CZK | 16,240,164 USD | Citi | 06/20/2024 | 33,988 | — |
8,219,171 EUR | 8,936,808 USD | Citi | 06/20/2024 | 13,172 | — |
2,885,807 GBP | 3,660,099 USD | Citi | 06/20/2024 | 15,169 | — |
1,892,250,000 HUF | 5,230,377 USD | Citi | 06/20/2024 | 53,465 | — |
26,250,000,000 IDR | 1,673,630 USD | Citi | 06/20/2024 | 7,437 | — |
5,250,000,000 IDR | 332,830 USD | Citi | 06/20/2024 | — | (409 ) |
13,458,500 ILS | 3,745,790 USD | Citi | 06/20/2024 | — | (37,600 ) |
8,324,999,999 KRW | 6,288,493 USD | Citi | 06/20/2024 | 16,896 | — |
300,000,000 KRW | 225,884 USD | Citi | 06/20/2024 | — | (119 ) |
44,000,000 MXN | 2,534,938 USD | Citi | 06/20/2024 | — | (2,567 ) |
91,723,572 NOK | 8,746,566 USD | Citi | 06/20/2024 | 88,831 | — |
10,490,500 NZD | 6,412,894 USD | Citi | 06/20/2024 | 26,236 | — |
249,168,000 PHP | 4,448,851 USD | Citi | 06/20/2024 | 16,029 | — |
83,056,000 PHP | 1,477,182 USD | Citi | 06/20/2024 | — | (425 ) |
7,021,607 PLN | 1,766,702 USD | Citi | 06/20/2024 | 10,752 | — |
761,250 PLN | 190,255 USD | Citi | 06/20/2024 | — | (117 ) |
176,067,000 SEK | 17,123,154 USD | Citi | 06/20/2024 | 62,410 | — |
31,215,103 SGD | 23,342,979 USD | Citi | 06/20/2024 | 30,700 | — |
179,400,000 THB | 5,024,280 USD | Citi | 06/20/2024 | — | (23,889 ) |
62,950,000 TWD | 2,012,763 USD | Citi | 06/20/2024 | 6,739 | — |
34,950,000 TWD | 1,112,834 USD | Citi | 06/20/2024 | — | (916 ) |
5,521,248 USD | 27,863,000 BRL | Citi | 06/20/2024 | 24,551 | — |
3,759,380 USD | 18,858,000 BRL | Citi | 06/20/2024 | — | (5,919 ) |
6,689,487 USD | 9,077,042 CAD | Citi | 06/20/2024 | 9,646 | — |
39,321,305 USD | 53,015,874 CAD | Citi | 06/20/2024 | — | (193,975 ) |
4,413,766 USD | 3,842,405 CHF | Citi | 06/20/2024 | — | (16,707 ) |
3,660,609 USD | 14,675,333,999 COP | Citi | 06/20/2024 | 12,436 | — |
3,006,500 USD | 2,771,257 EUR | Citi | 06/20/2024 | 2,281 | — |
10,283,805 USD | 9,432,256 EUR | Citi | 06/20/2024 | — | (43,110 ) |
9,801,576 USD | 7,734,527 GBP | Citi | 06/20/2024 | — | (32,450 ) |
10,712,904 USD | 3,873,516,250 HUF | Citi | 06/20/2024 | — | (115,545 ) |
19,249 USD | 303,732,434 IDR | Citi | 06/20/2024 | 30 | — |
96,849 USD | 1,518,662,168 IDR | Citi | 06/20/2024 | — | (454 ) |
33,487,523 USD | 2,788,979,498 INR | Citi | 06/20/2024 | 13,813 | — |
4,161,415 USD | 346,346,925 INR | Citi | 06/20/2024 | — | (1,081 ) |
23,120,347 USD | 3,419,152,500 JPY | Citi | 06/20/2024 | 75,673 | — |
923,487 USD | 1,222,800,374 KRW | Citi | 06/20/2024 | — | (2,297 ) |
12,636,590 USD | 219,578,537 MXN | Citi | 06/20/2024 | 26,629 | — |
21,972,100 USD | 230,630,793 NOK | Citi | 06/20/2024 | — | (202,992 ) |
272,800 USD | 1,035,750 PEN | Citi | 06/20/2024 | 814 | — |
91,422 USD | 345,250 PEN | Citi | 06/20/2024 | — | (218 ) |
9,280,373 USD | 37,132,169 PLN | Citi | 06/20/2024 | 5,566 | — |
9,273,388 USD | 36,981,883 PLN | Citi | 06/20/2024 | — | (25,033 ) |
2,049,977 USD | 21,000,000 SEK | Citi | 06/20/2024 | — | (15,094 ) |
231,556 USD | 7,282,749 TWD | Citi | 06/20/2024 | 523 | — |
232,572 USD | 7,282,750 TWD | Citi | 06/20/2024 | — | (493 ) |
1,500,137 USD | 29,265,625 ZAR | Citi | 06/20/2024 | 11,416 | — |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
13
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
86,490 USD | 1,653,125 ZAR | Citi | 06/20/2024 | — | (1,107 ) |
39,250,000 ZAR | 2,053,910 USD | Citi | 06/20/2024 | 26,669 | — |
271,250,000 ZAR | 13,966,241 USD | Citi | 06/20/2024 | — | (43,671 ) |
6,688,954,447 CLP | 6,801,342 USD | Citi | 06/21/2024 | — | (101,900 ) |
4,601,141 USD | 4,500,000,000 CLP | Citi | 06/21/2024 | 43,021 | — |
14,908,154 USD | 2,245,168,000 JPY | HSBC | 03/06/2024 | 72,491 | — |
37,915,321 USD | 5,677,497,000 JPY | HSBC | 04/10/2024 | 184,863 | — |
2,245,168,000 JPY | 15,022,167 USD | HSBC | 04/24/2024 | — | (80,283 ) |
22,814,000 EUR | 24,688,458 USD | Morgan Stanley | 03/06/2024 | 29,018 | — |
24,746,599 USD | 22,814,000 EUR | Morgan Stanley | 03/06/2024 | — | (87,159 ) |
10,400,000 AUD | 6,856,439 USD | Morgan Stanley | 03/20/2024 | 92,889 | — |
59,830,000 BRL | 12,038,956 USD | Morgan Stanley | 03/20/2024 | 23,920 | — |
47,750,000 CAD | 35,346,764 USD | Morgan Stanley | 03/20/2024 | 154,162 | — |
25,700,000 CHF | 29,682,021 USD | Morgan Stanley | 03/20/2024 | 569,254 | — |
7,850,000 EUR | 8,523,483 USD | Morgan Stanley | 03/20/2024 | 33,509 | — |
9,750,000 GBP | 12,348,005 USD | Morgan Stanley | 03/20/2024 | 39,332 | — |
226,565,000 INR | 2,723,137 USD | Morgan Stanley | 03/20/2024 | — | (7,410 ) |
5,696,935,000 KRW | 4,396,366 USD | Morgan Stanley | 03/20/2024 | 120,326 | — |
4,458,270,000 KRW | 3,336,529 USD | Morgan Stanley | 03/20/2024 | — | (9,786 ) |
259,950,000 MXN | 15,126,692 USD | Morgan Stanley | 03/20/2024 | — | (84,682 ) |
89,500,000 NOK | 8,562,151 USD | Morgan Stanley | 03/20/2024 | 132,206 | — |
40,900,000 NZD | 25,428,849 USD | Morgan Stanley | 03/20/2024 | 526,666 | — |
4,770,000 PLN | 1,198,247 USD | Morgan Stanley | 03/20/2024 | 3,926 | — |
124,000,000 SEK | 12,271,812 USD | Morgan Stanley | 03/20/2024 | 301,790 | — |
25,750,000 SEK | 2,472,919 USD | Morgan Stanley | 03/20/2024 | — | (12,791 ) |
113,340,000 TRY | 3,585,461 USD | Morgan Stanley | 03/20/2024 | 23,233 | — |
124,865,000 TRY | 3,913,343 USD | Morgan Stanley | 03/20/2024 | — | (11,110 ) |
5,780,005 USD | 8,750,000 AUD | Morgan Stanley | 03/20/2024 | — | (89,518 ) |
32,021,118 USD | 42,650,000 CAD | Morgan Stanley | 03/20/2024 | — | (587,307 ) |
7,421,293 USD | 6,400,000 CHF | Morgan Stanley | 03/20/2024 | — | (171,421 ) |
23,916,092 USD | 22,050,000 EUR | Morgan Stanley | 03/20/2024 | — | (68,458 ) |
1,634,877 USD | 1,300,000 GBP | Morgan Stanley | 03/20/2024 | 6,279 | — |
3,449,191 USD | 289,025,000 INR | Morgan Stanley | 03/20/2024 | 34,120 | — |
7,276,099 USD | 603,225,000 INR | Morgan Stanley | 03/20/2024 | — | (6,069 ) |
11,110,289 USD | 195,280,000 MXN | Morgan Stanley | 03/20/2024 | 316,820 | — |
13,942,050 USD | 152,250,000 NOK | Morgan Stanley | 03/20/2024 | 398,275 | — |
8,583,880 USD | 88,500,000 NOK | Morgan Stanley | 03/20/2024 | — | (248,125 ) |
3,096,315 USD | 5,000,000 NZD | Morgan Stanley | 03/20/2024 | — | (52,038 ) |
9,353,124 USD | 37,585,000 PLN | Morgan Stanley | 03/20/2024 | 57,477 | — |
3,838,792 USD | 15,135,000 PLN | Morgan Stanley | 03/20/2024 | — | (49,262 ) |
17,696,250 USD | 184,000,000 SEK | Morgan Stanley | 03/20/2024 | 65,719 | — |
7,501,046 USD | 238,205,000 TRY | Morgan Stanley | 03/20/2024 | — | (14,365 ) |
9,352,136 USD | 175,435,000 ZAR | Morgan Stanley | 03/20/2024 | — | (218,015 ) |
97,975,000 ZAR | 5,124,870 USD | Morgan Stanley | 03/20/2024 | 23,747 | — |
770,000,000 JPY | 5,434,143 USD | Morgan Stanley | 03/21/2024 | 283,864 | — |
26,924,757 USD | 3,890,000,000 JPY | Morgan Stanley | 03/21/2024 | — | (905,819 ) |
37,740,114 USD | 397,026,000 NOK | Morgan Stanley | 04/10/2024 | — | (324,581 ) |
22,814,000 EUR | 24,795,649 USD | Morgan Stanley | 04/24/2024 | 84,574 | — |
14,367,000 CAD | 10,689,676 USD | UBS | 03/06/2024 | 103,199 | — |
10,582,989 USD | 14,367,000 CAD | UBS | 03/06/2024 | 3,489 | — |
29,700,000 GBP | 37,678,192 USD | UBS | 04/10/2024 | 179,160 | — |
14,367,000 CAD | 10,590,728 USD | UBS | 04/24/2024 | — | (3,601 ) |
2,245,168,000 JPY | 15,198,781 USD | Wells Fargo | 03/06/2024 | 218,135 | — |
181,019,000 NOK | 17,066,879 USD | Wells Fargo | 03/06/2024 | 22,982 | — |
17,099,849 USD | 181,019,000 NOK | Wells Fargo | 03/06/2024 | — | (55,951 ) |
15,128,067 USD | 24,958,000 NZD | Wells Fargo | 03/06/2024 | 67,628 | — |
14
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
37,675,613 USD | 50,899,000 CAD | Wells Fargo | 04/10/2024 | — | (150,204 ) |
181,019,000 NOK | 17,120,550 USD | Wells Fargo | 04/24/2024 | 55,563 | — |
Total | 23,114,313 | (20,574,431 ) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
10-Year Mini Japanese Government Bond | 3 | 03/2024 | JPY | 43,872,000 | — | (1,899 ) |
Australian 10-Year Bond | 556 | 03/2024 | AUD | 63,948,991 | 307,481 | — |
Australian 10-Year Bond | 141 | 03/2024 | AUD | 16,217,280 | 170,950 | — |
Australian 3-Year Bond | 48 | 03/2024 | AUD | 5,110,770 | 2,696 | — |
Bist 30 Index | 1,414 | 04/2024 | TRY | 145,203,660 | — | (65,034 ) |
Brent Crude | 18 | 03/2024 | USD | 1,474,380 | — | (1,033 ) |
Brent Crude | 40 | 05/2024 | USD | 3,221,200 | — | (5,230 ) |
Brent Crude | 41 | 07/2024 | USD | 3,249,660 | 122,880 | — |
Brent Crude | 82 | 09/2024 | USD | 6,410,760 | 106,591 | — |
CAC40 Index | 30 | 03/2024 | EUR | 2,382,300 | 89,714 | — |
Canadian Government 10-Year Bond | 23 | 06/2024 | CAD | 2,757,010 | 5,547 | — |
Cocoa | 168 | 05/2024 | USD | 10,162,320 | 1,237,736 | — |
Cocoa | 33 | 05/2024 | GBP | 1,703,460 | 389,013 | — |
Cocoa | 10 | 05/2024 | USD | 604,900 | 127,869 | — |
Coffee | 14 | 05/2024 | USD | 967,838 | — | (12,962 ) |
Coffee | 18 | 07/2024 | USD | 1,233,225 | 49,435 | — |
Coffee | 36 | 09/2024 | USD | 2,463,750 | 17,946 | — |
Coffee | 18 | 12/2024 | USD | 1,230,525 | — | (37,027 ) |
Copper | 27 | 05/2024 | USD | 2,596,725 | — | (15,204 ) |
Copper | 23 | 07/2024 | USD | 2,223,525 | 51,730 | — |
Copper | 46 | 09/2024 | USD | 4,466,600 | 41,274 | — |
Copper | 23 | 12/2024 | USD | 2,241,925 | 55,818 | — |
Corn | 98 | 07/2024 | USD | 2,162,125 | — | (274,210 ) |
Corn | 191 | 09/2024 | USD | 4,299,888 | — | (332,804 ) |
Corn | 93 | 12/2024 | USD | 2,154,113 | — | (31,488 ) |
Cotton | 29 | 05/2024 | USD | 1,443,765 | 116,189 | — |
Cotton | 11 | 05/2024 | USD | 547,635 | 30,681 | — |
Cotton | 16 | 07/2024 | USD | 782,160 | 121,849 | — |
Cotton | 54 | 12/2024 | USD | 2,262,870 | 75,769 | — |
DJIA Index E-mini | 8 | 03/2024 | USD | 1,561,720 | 18,333 | — |
Euro STOXX 50 Index | 388 | 03/2024 | EUR | 18,988,720 | 1,080,342 | — |
Euro-BTP | 147 | 06/2024 | EUR | 17,268,090 | 74,275 | — |
Euro-Buxl 30-Year | 4 | 06/2024 | EUR | 533,120 | 6,448 | — |
Euro-OAT | 145 | 03/2024 | EUR | 18,515,050 | — | (268,331 ) |
Euro-OAT | 32 | 06/2024 | EUR | 4,077,760 | 20,294 | — |
Feeder Cattle | 3 | 05/2024 | USD | 384,188 | — | (1,118 ) |
FTSE 100 Index | 197 | 03/2024 | GBP | 15,024,205 | 201,707 | — |
FTSE Taiwan Index | 136 | 03/2024 | USD | 8,793,760 | 29,321 | — |
FTSE Taiwan Index | 75 | 03/2024 | USD | 4,849,500 | 12,116 | — |
FTSE Taiwan Index | 1 | 03/2024 | USD | 64,660 | — | (19 ) |
FTSE/JSE Top 40 Index | 10 | 03/2024 | ZAR | 6,622,300 | — | (10,418 ) |
FTSE/MIB Index | 89 | 03/2024 | EUR | 14,520,350 | 765,795 | — |
FTSE/MIB Index | 11 | 03/2024 | EUR | 1,794,650 | 82,670 | — |
Gas Oil | 40 | 04/2024 | USD | 3,225,000 | — | (121,554 ) |
Gas Oil | 15 | 07/2024 | USD | 1,158,750 | 22,499 | — |
Gas Oil | 31 | 09/2024 | USD | 2,369,950 | 105,713 | — |
Gas Oil | 16 | 11/2024 | USD | 1,210,000 | — | (22,169 ) |
Gold 100 oz. | 10 | 04/2024 | USD | 2,054,700 | 7,713 | — |
Hard Red Winter Wheat | 23 | 12/2024 | USD | 690,000 | — | (24,311 ) |
IBEX 35 Index | 105 | 03/2024 | EUR | 10,528,665 | 62,693 | — |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
15
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
IBEX 35 Index | 60 | 03/2024 | EUR | 6,016,380 | 25,973 | — |
IFSC Nifty 50 Index | 143 | 03/2024 | USD | 6,346,912 | — | (48,649 ) |
Japanese 10-Year Government Bond | 43 | 03/2024 | JPY | 6,289,180,000 | 273,535 | — |
Japanese 10-Year Government Bond | 10 | 03/2024 | JPY | 1,462,600,000 | 78,813 | — |
Lead | 193 | 05/2024 | USD | 9,918,704 | 2,934 | — |
Lead | 7 | 07/2024 | USD | 362,282 | — | (17,363 ) |
Lead | 14 | 09/2024 | USD | 729,113 | 1,179 | — |
Lead | 7 | 11/2024 | USD | 365,432 | 3,631 | — |
Lean Hogs | 18 | 04/2024 | USD | 623,700 | 13,188 | — |
Lean Hogs | 6 | 04/2024 | USD | 207,900 | 3,555 | — |
Lean Hogs | 23 | 06/2024 | USD | 921,840 | 52,321 | — |
Lean Hogs | 23 | 08/2024 | USD | 931,500 | 57,242 | — |
Lean Hogs | 54 | 10/2024 | USD | 1,845,180 | 53,723 | — |
Live Cattle | 49 | 04/2024 | USD | 3,632,860 | 64,475 | — |
Live Cattle | 17 | 04/2024 | USD | 1,260,380 | — | (10,757 ) |
Live Cattle | 21 | 06/2024 | USD | 1,522,290 | — | (10,993 ) |
Live Cattle | 21 | 08/2024 | USD | 1,517,880 | 77,163 | — |
Live Cattle | 42 | 10/2024 | USD | 3,094,980 | 44,496 | — |
Long Gilt | 252 | 06/2024 | GBP | 24,718,680 | — | (2,837 ) |
MSCI EAFE Index | 21 | 03/2024 | USD | 2,402,295 | 94,823 | — |
MSCI Emerging Markets Index | 232 | 03/2024 | USD | 11,794,880 | 267,956 | — |
NASDAQ 100 Index E-mini | 3 | 03/2024 | USD | 1,084,965 | 57,313 | — |
Natural Gas | 131 | 03/2024 | USD | 2,436,600 | 186,265 | — |
Natural Gas | 96 | 06/2024 | USD | 2,406,720 | — | (479,591 ) |
Natural Gas | 186 | 08/2024 | USD | 4,774,620 | — | (340,795 ) |
Natural Gas | 79 | 10/2024 | USD | 2,389,750 | 79,699 | — |
Nickel | 11 | 07/2024 | USD | 1,190,904 | 23,763 | — |
Nickel | 22 | 09/2024 | USD | 2,405,172 | 174,366 | — |
Nickel | 11 | 11/2024 | USD | 1,214,070 | 115,893 | — |
Nikkei 225 Index | 4 | 03/2024 | JPY | 157,040,000 | 85,592 | — |
NY Harbor ULSD Heat Oil | 35 | 03/2024 | USD | 3,895,353 | — | (52,663 ) |
NY Harbor ULSD Heat Oil | 10 | 03/2024 | USD | 1,112,958 | — | (64,476 ) |
NY Harbor ULSD Heat Oil | 69 | 04/2024 | USD | 7,521,469 | — | (107,109 ) |
NY Harbor ULSD Heat Oil | 8 | 06/2024 | USD | 853,742 | — | (7,907 ) |
NY Harbor ULSD Heat Oil | 17 | 08/2024 | USD | 1,806,134 | 61,166 | — |
NY Harbor ULSD Heat Oil | 8 | 10/2024 | USD | 845,914 | — | (25,398 ) |
OMXS30 Index | 353 | 03/2024 | SEK | 86,732,100 | 336,336 | — |
Primary Aluminum | 29 | 07/2024 | USD | 1,630,902 | — | (22,889 ) |
Primary Aluminum | 58 | 09/2024 | USD | 3,303,492 | 29,187 | — |
Primary Aluminum | 29 | 11/2024 | USD | 1,671,140 | 1,121 | — |
RBOB Gasoline | 21 | 03/2024 | USD | 2,276,442 | 49,001 | — |
RBOB Gasoline | 13 | 03/2024 | USD | 1,409,226 | 17,223 | — |
RBOB Gasoline | 99 | 04/2024 | USD | 10,690,634 | 101,376 | — |
RBOB Gasoline | 1 | 04/2024 | USD | 107,986 | — | (3,703 ) |
RBOB Gasoline | 10 | 06/2024 | USD | 1,048,068 | 62,859 | — |
RBOB Gasoline | 21 | 08/2024 | USD | 2,103,217 | 141,899 | — |
RBOB Gasoline | 12 | 10/2024 | USD | 1,063,390 | — | (9,943 ) |
Russell 2000 Index E-mini | 3 | 03/2024 | USD | 308,595 | 5,265 | — |
S&P 500 Index E-mini | 99 | 03/2024 | USD | 25,263,563 | 1,762,874 | — |
S&P 500 Index E-mini | 1 | 03/2024 | USD | 255,188 | 3,334 | — |
S&P Mid 400 Index E-mini | 5 | 03/2024 | USD | 1,446,300 | 63,913 | — |
Silver | 2 | 05/2024 | USD | 228,850 | — | (1,901 ) |
Soybean | 38 | 07/2024 | USD | 2,187,375 | — | (381,490 ) |
Soybean | 116 | 11/2024 | USD | 6,572,850 | — | (437,925 ) |
Soybean Meal | 39 | 07/2024 | USD | 1,291,680 | — | (283,882 ) |
Soybean Meal | 114 | 12/2024 | USD | 3,845,220 | — | (282,723 ) |
Soybean Oil | 69 | 05/2024 | USD | 1,871,694 | — | (29,594 ) |
Soybean Oil | 47 | 07/2024 | USD | 1,286,484 | — | (108,709 ) |
16
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Soybean Oil | 144 | 12/2024 | USD | 3,893,184 | — | (212,770 ) |
SPI 200 Index | 41 | 03/2024 | AUD | 7,851,500 | 146,847 | — |
Sugar #11 | 29 | 04/2024 | USD | 704,491 | — | (9,270 ) |
Sugar #11 | 48 | 06/2024 | USD | 1,157,453 | — | (145,381 ) |
Sugar #11 | 34 | 09/2024 | USD | 822,909 | 12,404 | — |
Sugar #11 | 111 | 09/2024 | USD | 2,686,555 | — | (41,460 ) |
TOPIX Index | 86 | 03/2024 | JPY | 2,305,660,000 | 1,626,273 | — |
TOPIX Index | 132 | 03/2024 | JPY | 3,538,920,000 | 1,477,409 | — |
U.S. Treasury 10-Year Note | 149 | 06/2024 | USD | 16,455,188 | 46,745 | — |
U.S. Treasury 10-Year Note | 245 | 06/2024 | USD | 27,057,188 | 5,216 | — |
U.S. Treasury 5-Year Note | 1,333 | 06/2024 | USD | 142,506,031 | 231,899 | — |
Wheat | 37 | 07/2024 | USD | 1,071,613 | — | (77,488 ) |
Wheat | 24 | 07/2024 | USD | 689,100 | — | (86,323 ) |
Wheat | 48 | 09/2024 | USD | 1,400,400 | — | (125,398 ) |
Wheat | 74 | 09/2024 | USD | 2,170,975 | — | (167,417 ) |
Wheat | 36 | 12/2024 | USD | 1,081,350 | — | (37,654 ) |
WTI Crude | 31 | 03/2024 | USD | 2,426,060 | 126,603 | — |
WTI Crude | 43 | 03/2024 | USD | 3,365,180 | 44,807 | — |
WTI Crude | 41 | 06/2024 | USD | 3,123,380 | 57,580 | — |
WTI Crude | 84 | 08/2024 | USD | 6,288,240 | 267,769 | — |
WTI Crude | 42 | 10/2024 | USD | 3,094,140 | 1,307 | — |
Yen Denominated Nikkei 225 Index | 1 | 03/2024 | JPY | 19,650,000 | 2,609 | — |
Zinc | 16 | 07/2024 | USD | 975,500 | — | (38,986 ) |
Zinc | 31 | 09/2024 | USD | 1,901,463 | — | (9,472 ) |
Zinc | 16 | 11/2024 | USD | 985,800 | 38,810 | — |
Total | 14,170,817 | (4,907,727 ) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Brent Crude | (214) | 03/2024 | USD | (17,528,740 ) | — | (237,560 ) |
CAC40 Index | (124) | 03/2024 | EUR | (9,846,840 ) | — | (346,531 ) |
Canadian Government 10-Year Bond | (164) | 06/2024 | CAD | (19,658,680 ) | — | (255 ) |
Canadian Government 10-Year Bond | (598) | 06/2024 | CAD | (71,682,260 ) | — | (129,032 ) |
Coffee | (133) | 05/2024 | USD | (9,194,456 ) | 123,726 | — |
Coffee | (29) | 05/2024 | USD | (2,004,806 ) | 52,351 | — |
Copper | (7) | 03/2024 | USD | (1,474,725 ) | — | (14,791 ) |
Copper | (26) | 05/2024 | USD | (2,500,550 ) | — | (1,217 ) |
Copper | (164) | 05/2024 | USD | (15,772,700 ) | — | (408,551 ) |
Copper | (13) | 06/2024 | USD | (2,765,588 ) | — | (6,676 ) |
Corn | (593) | 05/2024 | USD | (12,734,675 ) | 350,501 | — |
Corn | (163) | 05/2024 | USD | (3,500,425 ) | 123,027 | — |
Corn | (234) | 05/2024 | USD | (5,025,150 ) | 25,646 | — |
Cotton | (23) | 05/2024 | USD | (1,145,055 ) | — | (91,966 ) |
DAX Index | (13) | 03/2024 | EUR | (5,768,100 ) | — | (254,337 ) |
DAX Index | (22) | 03/2024 | EUR | (9,761,400 ) | — | (342,460 ) |
Euro STOXX 50 Index | (11) | 03/2024 | EUR | (538,340 ) | — | (42,750 ) |
Euro-Bobl | (8) | 06/2024 | EUR | (942,080 ) | — | (1,474 ) |
Euro-Bund | (174) | 03/2024 | EUR | (23,081,100 ) | 149,276 | — |
Euro-Bund | (58) | 03/2024 | EUR | (7,693,700 ) | 144,278 | — |
Euro-Bund | (316) | 06/2024 | EUR | (41,794,160 ) | — | (216,810 ) |
Euro-OAT | (61) | 03/2024 | EUR | (7,789,090 ) | 106,710 | — |
Euro-Schatz | (35) | 06/2024 | EUR | (3,698,800 ) | — | (3,690 ) |
FTSE 100 Index | (11) | 03/2024 | GBP | (838,915 ) | — | (318 ) |
FTSE 100 Index | (3) | 03/2024 | GBP | (228,795 ) | — | (4,657 ) |
FTSE China A50 Index | (311) | 03/2024 | USD | (3,692,192 ) | 39,981 | — |
Gas Oil | (48) | 05/2024 | USD | (3,792,000 ) | 162,299 | — |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
17
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Gold 100 oz. | (13) | 04/2024 | USD | (2,671,110 ) | — | (37,042 ) |
Hard Red Winter Wheat | (108) | 05/2024 | USD | (3,171,150 ) | 42,635 | — |
Hard Red Winter Wheat | (35) | 05/2024 | USD | (1,027,688 ) | 26,702 | — |
IFSC Nifty 50 Index | (121) | 03/2024 | USD | (5,370,464 ) | 26,554 | — |
Japanese 10-Year Government Bond | (5) | 03/2024 | JPY | (731,300,000 ) | 3,040 | — |
KLCI Index | (140) | 03/2024 | MYR | (10,776,500 ) | — | (4,012 ) |
KOSPI 200 Index | (30) | 03/2024 | KRW | (2,668,125,000 ) | — | (2,093 ) |
Lean Hogs | (51) | 04/2024 | USD | (1,767,150 ) | — | (137,534 ) |
Live Cattle | (134) | 04/2024 | USD | (9,934,760 ) | — | (61,393 ) |
Long Gilt | (53) | 06/2024 | GBP | (5,198,770 ) | — | (12,916 ) |
Long Gilt | (138) | 06/2024 | GBP | (13,536,420 ) | — | (76,677 ) |
Mexican Bolsa IPC Index | (189) | 03/2024 | MXN | (105,333,480 ) | 62,188 | — |
Mexican Bolsa IPC Index | (7) | 03/2024 | MXN | (3,901,240 ) | 4,336 | — |
MSCI Singapore Index | (427) | 03/2024 | SGD | (12,020,050 ) | 30,240 | — |
Natural Gas | (244) | 03/2024 | USD | (4,538,400 ) | — | (130,697 ) |
Natural Gas | (754) | 04/2024 | USD | (15,140,320 ) | — | (239,688 ) |
Nickel | (3) | 03/2024 | USD | (318,951 ) | — | (26,143 ) |
Nickel | (5) | 03/2024 | USD | (531,585 ) | — | (49,949 ) |
Nickel | (77) | 05/2024 | USD | (8,256,864 ) | — | (824,207 ) |
Nickel | (11) | 06/2024 | USD | (1,185,558 ) | — | (34,530 ) |
OMXS30 Index | (938) | 03/2024 | SEK | (230,466,600 ) | — | (779,601 ) |
Palladium | (5) | 06/2024 | USD | (473,400 ) | 11,809 | — |
Platinum | (31) | 04/2024 | USD | (1,370,200 ) | 76,662 | — |
Primary Aluminum | (17) | 03/2024 | USD | (933,819 ) | 19,311 | — |
Primary Aluminum | (12) | 03/2024 | USD | (659,166 ) | 598 | — |
Primary Aluminum | (191) | 05/2024 | USD | (10,608,665 ) | — | (1,475 ) |
Primary Aluminum | (52) | 06/2024 | USD | (2,908,126 ) | — | (48,650 ) |
S&P/TSX 60 Index | (22) | 03/2024 | CAD | (5,678,640 ) | — | (191,516 ) |
S&P/TSX 60 Index | (63) | 03/2024 | CAD | (16,261,560 ) | — | (222,418 ) |
S&P/TSX 60 Index | (105) | 03/2024 | CAD | (27,102,600 ) | — | (805,202 ) |
Silver | (34) | 05/2024 | USD | (3,890,450 ) | 63,343 | — |
Soybean | (190) | 05/2024 | USD | (10,837,125 ) | 477,625 | — |
Soybean | (145) | 05/2024 | USD | (8,270,438 ) | 418,649 | — |
Soybean | (55) | 05/2024 | USD | (3,137,063 ) | 116,053 | — |
Soybean Meal | (93) | 05/2024 | USD | (3,061,560 ) | 89,991 | — |
Soybean Meal | (50) | 05/2024 | USD | (1,646,000 ) | 76,869 | — |
Soybean Oil | (207) | 05/2024 | USD | (5,615,082 ) | 275,212 | — |
Soybean Oil | (50) | 05/2024 | USD | (1,356,300 ) | 64,957 | — |
SPI 200 Index | (168) | 03/2024 | AUD | (32,172,000 ) | — | (539,519 ) |
Sugar #11 | (288) | 04/2024 | USD | (6,996,326 ) | 163,335 | — |
Sugar #11 | (6) | 04/2024 | USD | (145,757 ) | 9,936 | — |
Thai SET50 Index | (1,524) | 03/2024 | THB | (254,050,800 ) | 113,206 | — |
TOPIX Index | (14) | 03/2024 | JPY | (375,340,000 ) | — | (138,809 ) |
U.S. Long Bond | (179) | 06/2024 | USD | (21,345,750 ) | — | (56,786 ) |
U.S. Treasury 10-Year Note | (1,499) | 06/2024 | USD | (165,545,813 ) | — | (54,722 ) |
U.S. Treasury 2-Year Note | (61) | 06/2024 | USD | (12,489,750 ) | 114 | — |
U.S. Treasury 2-Year Note | (277) | 06/2024 | USD | (56,715,750 ) | — | (57,271 ) |
U.S. Treasury 5-Year Note | (118) | 06/2024 | USD | (12,614,938 ) | — | (26,345 ) |
U.S. Treasury Ultra Bond | (32) | 06/2024 | USD | (4,092,000 ) | — | (48,603 ) |
U.S. Treasury Ultra Bond | (75) | 06/2024 | USD | (9,590,625 ) | — | (70,374 ) |
Wheat | (246) | 05/2024 | USD | (7,087,875 ) | 249,418 | — |
Wheat | (148) | 05/2024 | USD | (4,264,250 ) | 17,546 | — |
Wheat | (6) | 05/2024 | USD | (172,875 ) | 6,896 | — |
WIG 20 Index | (486) | 03/2024 | PLN | (23,522,400 ) | — | (209,666 ) |
WTI Crude | (94) | 04/2024 | USD | (7,280,300 ) | — | (80,657 ) |
Zinc | (26) | 03/2024 | USD | (1,555,613 ) | 106,215 | — |
Zinc | (42) | 03/2024 | USD | (2,512,913 ) | 5,831 | — |
18
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Zinc | (35) | 05/2024 | USD | (2,119,031 ) | — | (75,418 ) |
Zinc | (27) | 06/2024 | USD | (1,642,106 ) | — | (4,469 ) |
Total | 3,837,066 | (7,151,457 ) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 7,000,000 | 7,000,000 | 3.75 | 11/18/2024 | 186,200 | 195,322 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 20,000,000 | 20,000,000 | 3.75 | 09/20/2024 | 600,000 | 474,732 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 25,000,000 | 25,000,000 | 4.00 | 11/06/2024 | 750,000 | 961,880 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 5,000,000 | 5,000,000 | 3.75 | 11/29/2024 | 158,500 | 143,483 |
Total | 1,694,700 | 1,775,417 |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
5-Year OTC interest rate swap with Morgan Stanley to receive SOFR and pay exercise rate | Morgan Stanley | USD | 60,000,000 | 60,000,000 | 3.90 | 07/17/2024 | 528,000 | 753,876 |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
3-Month NZD Bank Bill | Fixed rate of 5.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 03/11/2026 | NZD | 9,900,000 | 7,140 | — | — | 7,140 | — |
3-Month NZD Bank Bill | Fixed rate of 5.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 03/11/2026 | NZD | 800,000 | (877 ) | — | — | — | (877 ) |
3-Month NZD Bank Bill | Fixed rate of 5.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 03/11/2026 | NZD | 6,200,000 | (11,048 ) | — | — | — | (11,048 ) |
3-Month AUD BBSW | Fixed rate of 4.500% | Receives Quarterly, Pays Quarterly | JPMorgan | 03/12/2026 | AUD | 2,400,000 | 147,798 | — | — | 147,798 | — |
3-Month AUD BBSW | Fixed rate of 4.500% | Receives Quarterly, Pays Quarterly | JPMorgan | 03/12/2026 | AUD | 7,300,000 | (6,650 ) | — | — | — | (6,650 ) |
6-Month AUD BBSW | Fixed rate of 4.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 03/12/2026 | AUD | 20,200,000 | (8,883 ) | — | — | — | (8,883 ) |
6-Month NOK NIBOR | Fixed rate of 4.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 03/18/2026 | NOK | 552,000,000 | 59,469 | — | — | 59,469 | — |
Fixed rate of 1.000% | SARON | Receives Annually, Pays Annually | JPMorgan | 03/18/2026 | CHF | 163,600,000 | 49,184 | — | — | 49,184 | — |
SOFR | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 03/18/2026 | USD | 1,900,000 | 16,229 | — | — | 16,229 | — |
Fixed rate of 0.500% | TONA | Receives Annually, Pays Annually | JPMorgan | 03/18/2026 | JPY | 18,940,000,000 | (35,719 ) | — | — | — | (35,719 ) |
6-Month NOK NIBOR | Fixed rate of 5.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 03/18/2026 | NOK | 98,000,000 | (37,247 ) | — | — | — | (37,247 ) |
6-Month NOK NIBOR | Fixed rate of 4.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 03/18/2026 | NOK | 246,400,000 | (39,447 ) | — | — | — | (39,447 ) |
Fixed rate of 3.500% | CORRA | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 03/18/2026 | CAD | 33,800,000 | (113,211 ) | — | — | — | (113,211 ) |
3-Month SEK STIBOR | Fixed rate of 3.500% | Receives Quarterly, Pays Annually | JPMorgan | 03/18/2026 | SEK | 446,700,000 | (197,610 ) | — | — | — | (197,610 ) |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
19
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (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 ($) |
3-Month SEK STIBOR | Fixed rate of 4.000% | Receives Quarterly, Pays Annually | JPMorgan | 03/18/2026 | SEK | 543,000,000 | (496,648 ) | — | — | — | (496,648 ) |
3-Month NZD Bank Bill | Fixed rate of 4.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 06/10/2026 | NZD | 47,500,000 | 164,716 | — | — | 164,716 | — |
3-Month NZD Bank Bill | Fixed rate of 5.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 06/10/2026 | NZD | 21,300,000 | 82,273 | — | — | 82,273 | — |
3-Month NZD Bank Bill | Fixed rate of 5.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 06/10/2026 | NZD | 7,900,000 | (16,080 ) | — | — | — | (16,080 ) |
3-Month AUD BBSW | Fixed rate of 4.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/11/2026 | AUD | 180,000,000 | 176,481 | — | — | 176,481 | — |
6-Month AUD BBSW | Fixed rate of 4.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/11/2026 | AUD | 16,800,000 | 5,334 | — | — | 5,334 | — |
6-Month AUD BBSW | Fixed rate of 4.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/11/2026 | AUD | 1,500,000 | (1,289 ) | — | — | — | (1,289 ) |
3-Month AUD BBSW | Fixed rate of 4.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/11/2026 | AUD | 43,200,000 | (11,311 ) | — | — | — | (11,311 ) |
6-Month EURIBOR | Fixed rate of 2.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/17/2026 | EUR | 207,400,000 | 1,179,664 | — | — | 1,179,664 | — |
3-Month SEK STIBOR | Fixed rate of 2.500% | Receives Quarterly, Pays Annually | JPMorgan | 06/17/2026 | SEK | 664,000,000 | 234,073 | — | — | 234,073 | — |
3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 06/17/2026 | SEK | 306,000,000 | 170,073 | — | — | 170,073 | — |
Fixed rate of 1.000% | SARON | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | CHF | 283,100,000 | 120,996 | — | — | 120,996 | — |
6-Month NOK NIBOR | Fixed rate of 3.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/17/2026 | NOK | 58,000,000 | 59,160 | — | — | 59,160 | — |
6-Month NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/17/2026 | NOK | 99,000,000 | 47,810 | — | — | 47,810 | — |
SOFR | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | USD | 8,700,000 | 46,906 | — | — | 46,906 | — |
CORRA | Fixed rate of 3.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/17/2026 | CAD | 33,300,000 | 31,893 | — | — | 31,893 | — |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | GBP | 3,000,000 | 3,645 | — | — | 3,645 | — |
Fixed rate of 1.000% | SARON | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | CHF | 100,000 | (85 ) | — | — | — | (85 ) |
3-Month SEK STIBOR | Fixed rate of 3.500% | Receives Quarterly, Pays Annually | JPMorgan | 06/17/2026 | SEK | 1,000,000 | (257 ) | — | — | — | (257 ) |
SOFR | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | USD | 1,100,000 | (553 ) | — | — | — | (553 ) |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | GBP | 900,000 | (662 ) | — | — | — | (662 ) |
3-Month SEK STIBOR | Fixed rate of 2.500% | Receives Quarterly, Pays Annually | JPMorgan | 06/17/2026 | SEK | 26,000,000 | (2,525 ) | — | — | — | (2,525 ) |
Fixed rate of 0.500% | TONA | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | JPY | 28,601,600,000 | (72,762 ) | — | — | — | (72,762 ) |
Fixed rate of 4.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | USD | 25,200,000 | (146,456 ) | — | — | — | (146,456 ) |
3-Month AUD BBSW | Fixed rate of 4.000% | Receives Quarterly, Pays Quarterly | JPMorgan | 09/10/2026 | AUD | 63,400,000 | (44,492 ) | — | — | — | (44,492 ) |
6-Month EURIBOR | Fixed rate of 3.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/16/2026 | EUR | 65,900,000 | 59,487 | — | — | 59,487 | — |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | GBP | 90,600,000 | 46,659 | — | — | 46,659 | — |
Fixed rate of 1.000% | SARON | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | CHF | 15,300,000 | 9,452 | — | — | 9,452 | — |
20
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (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 NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/16/2026 | NOK | 47,000,000 | 1,743 | — | — | 1,743 | — |
6-Month NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/16/2026 | NOK | 3,000,000 | (155 ) | — | — | — | (155 ) |
3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 09/16/2026 | SEK | 2,000,000 | (253 ) | — | — | — | (253 ) |
CORRA | Fixed rate of 4.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/16/2026 | CAD | 3,900,000 | (1,430 ) | — | — | — | (1,430 ) |
TONA | Fixed rate of 0.500% | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | JPY | 1,150,000,000 | (3,339 ) | — | — | — | (3,339 ) |
SOFR | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | USD | 15,700,000 | (7,997 ) | — | — | — | (7,997 ) |
6-Month EURIBOR | Fixed rate of 3.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/16/2026 | EUR | 36,300,000 | (25,049 ) | — | — | — | (25,049 ) |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | GBP | 68,400,000 | (48,209 ) | — | — | — | (48,209 ) |
SONIA | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 03/21/2029 | GBP | 6,200,000 | 97,082 | — | — | 97,082 | — |
SOFR | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 03/21/2029 | USD | 1,100,000 | 13,264 | — | — | 13,264 | — |
Fixed rate of 1.000% | SARON | Receives Annually, Pays Annually | JPMorgan | 03/21/2029 | CHF | 500,000 | 823 | — | — | 823 | — |
Fixed rate of 4.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/07/2029 | AUD | 100,000 | (92 ) | — | — | — | (92 ) |
Fixed rate of 4.500% | 3-Month NZD Bank Bill | Receives SemiAnnually, Pays Quarterly | JPMorgan | 06/13/2029 | NZD | 100,000 | (528 ) | — | — | — | (528 ) |
Fixed rate of 4.000% | 3-Month NZD Bank Bill | Receives SemiAnnually, Pays Quarterly | JPMorgan | 06/13/2029 | NZD | 300,000 | (745 ) | — | — | — | (745 ) |
SONIA | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 06/20/2029 | GBP | 2,700,000 | 40,319 | — | — | 40,319 | — |
SOFR | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 06/20/2029 | USD | 1,500,000 | 17,180 | — | — | 17,180 | — |
CORRA | Fixed rate of 3.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/20/2029 | CAD | 700,000 | 2,006 | — | — | 2,006 | — |
6-Month NOK NIBOR | Fixed rate of 3.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/20/2029 | NOK | 1,100,000 | 1,894 | — | — | 1,894 | — |
Fixed rate of 1.000% | SARON | Receives Annually, Pays Annually | JPMorgan | 06/20/2029 | CHF | 500,000 | 946 | — | — | 946 | — |
TONA | Fixed rate of 0.500% | Receives Annually, Pays Annually | JPMorgan | 06/20/2029 | JPY | 50,600,000 | (458 ) | — | — | — | (458 ) |
Fixed rate of 2.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 06/20/2029 | EUR | 20,700,000 | (134,713 ) | — | — | — | (134,713 ) |
Fixed rate of 4.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/13/2029 | AUD | 200,000 | 321 | — | — | 321 | — |
Fixed rate of 2.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/19/2029 | EUR | 5,300,000 | 13,122 | — | — | 13,122 | — |
6-Month NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/19/2029 | NOK | 2,000,000 | 227 | — | — | 227 | — |
6-Month NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/19/2029 | NOK | 1,000,000 | (96 ) | — | — | — | (96 ) |
3-Month SEK STIBOR | Fixed rate of 2.500% | Receives Quarterly, Pays Annually | JPMorgan | 09/19/2029 | SEK | 1,000,000 | (221 ) | — | — | — | (221 ) |
TONA | Fixed rate of 0.500% | Receives Annually, Pays Annually | JPMorgan | 09/19/2029 | JPY | 40,000,000 | (353 ) | — | — | — | (353 ) |
CORRA | Fixed rate of 3.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/19/2029 | CAD | 200,000 | (354 ) | — | — | — | (354 ) |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
21
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (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 ($) |
SOFR | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 09/19/2029 | USD | 800,000 | (1,116 ) | — | — | — | (1,116 ) |
Fixed rate of 2.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/19/2029 | EUR | 5,500,000 | (4,771 ) | — | — | — | (4,771 ) |
Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 03/09/2034 | AUD | 4,900,000 | 30,809 | — | — | 30,809 | — |
Fixed rate of 5.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 03/09/2034 | AUD | 2,100,000 | 14,748 | — | — | 14,748 | — |
Fixed rate of 4.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 03/15/2034 | NOK | 196,000,000 | 300,340 | — | — | 300,340 | — |
Fixed rate of 3.500% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 03/15/2034 | SEK | 39,000,000 | 191,505 | — | — | 191,505 | — |
Fixed rate of 3.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 03/15/2034 | SEK | 80,000,000 | 176,199 | — | — | 176,199 | — |
SONIA | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 03/15/2034 | GBP | 6,600,000 | 75,689 | — | — | 75,689 | — |
Fixed rate of 5.000% | 3-Month NZD Bank Bill | Receives SemiAnnually, Pays Quarterly | JPMorgan | 03/15/2034 | NZD | 5,200,000 | 49,245 | — | — | 49,245 | — |
CORRA | Fixed rate of 3.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 03/15/2034 | CAD | 8,800,000 | 752 | — | — | 752 | — |
Fixed rate of 3.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 03/15/2034 | USD | 100,000 | 15 | — | — | 15 | — |
SONIA | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 03/15/2034 | GBP | 200,000 | (54 ) | — | — | — | (54 ) |
Fixed rate of 2.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 03/15/2034 | EUR | 100,000 | (443 ) | — | — | — | (443 ) |
TONA | Fixed rate of 1.000% | Receives Annually, Pays Annually | JPMorgan | 03/15/2034 | JPY | 4,270,000,000 | (155,974 ) | — | — | — | (155,974 ) |
SARON | Fixed rate of 1.000% | Receives Annually, Pays Annually | JPMorgan | 03/15/2034 | CHF | 21,600,000 | (162,709 ) | — | — | — | (162,709 ) |
Fixed rate of 5.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/08/2034 | AUD | 10,600,000 | 172,992 | — | — | 172,992 | — |
Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/08/2034 | AUD | 33,400,000 | 79,426 | — | — | 79,426 | — |
Fixed rate of 5.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/08/2034 | AUD | 100,000 | (1,553 ) | — | — | — | (1,553 ) |
Fixed rate of 4.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/08/2034 | AUD | 700,000 | (7,317 ) | — | — | — | (7,317 ) |
Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/08/2034 | AUD | 16,600,000 | (125,046 ) | — | — | — | (125,046 ) |
Fixed rate of 4.500% | 3-Month NZD Bank Bill | Receives SemiAnnually, Pays Quarterly | JPMorgan | 06/14/2034 | NZD | 6,600,000 | (83,457 ) | — | — | — | (83,457 ) |
Fixed rate of 4.000% | 3-Month NZD Bank Bill | Receives SemiAnnually, Pays Quarterly | JPMorgan | 06/14/2034 | NZD | 18,400,000 | (145,978 ) | — | — | — | (145,978 ) |
SOFR | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 06/21/2034 | USD | 300,000 | 3,190 | — | — | 3,190 | — |
CORRA | Fixed rate of 3.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/21/2034 | CAD | 1,500,000 | (308 ) | — | — | — | (308 ) |
SOFR | Fixed rate of 3.500% | Receives Annually, Pays Annually | JPMorgan | 06/21/2034 | USD | 2,700,000 | (8,987 ) | — | — | — | (8,987 ) |
Fixed rate of 3.500% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 06/21/2034 | NOK | 4,900,000 | (24,458 ) | — | — | — | (24,458 ) |
Fixed rate of 3.500% | SONIA | Receives Annually, Pays Annually | JPMorgan | 06/21/2034 | GBP | 2,300,000 | (41,157 ) | — | — | — | (41,157 ) |
Fixed rate of 3.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 06/21/2034 | SEK | 51,000,000 | (43,398 ) | — | — | — | (43,398 ) |
22
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (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 2.500% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 06/21/2034 | SEK | 110,000,000 | (197,782 ) | — | — | — | (197,782 ) |
Fixed rate of 2.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 06/21/2034 | EUR | 48,900,000 | (216,962 ) | — | — | — | (216,962 ) |
TONA | Fixed rate of 1.000% | Receives Annually, Pays Annually | JPMorgan | 06/21/2034 | JPY | 6,978,000,000 | (268,779 ) | — | — | — | (268,779 ) |
SARON | Fixed rate of 1.000% | Receives Annually, Pays Annually | JPMorgan | 06/21/2034 | CHF | 41,800,000 | (324,599 ) | — | — | — | (324,599 ) |
Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/07/2034 | AUD | 15,100,000 | 37,650 | — | — | 37,650 | — |
Fixed rate of 2.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/20/2034 | EUR | 19,700,000 | 51,829 | — | — | 51,829 | — |
SONIA | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 09/20/2034 | GBP | 100,000 | 379 | — | — | 379 | — |
3-Month SEK STIBOR | Fixed rate of 2.500% | Receives Quarterly, Pays Annually | JPMorgan | 09/20/2034 | SEK | 1,000,000 | (481 ) | — | — | — | (481 ) |
6-Month NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/20/2034 | NOK | 5,000,000 | (532 ) | — | — | — | (532 ) |
CORRA | Fixed rate of 3.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/20/2034 | CAD | 200,000 | (830 ) | — | — | — | (830 ) |
SOFR | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 09/20/2034 | USD | 2,200,000 | (1,935 ) | — | — | — | (1,935 ) |
Fixed rate of 2.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/20/2034 | EUR | 3,200,000 | (3,771 ) | — | — | — | (3,771 ) |
SONIA | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 09/20/2034 | GBP | 30,900,000 | (193,585 ) | — | — | — | (193,585 ) |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 03/18/2054 | GBP | 5,000,000 | 10,302 | — | — | 10,302 | — |
Fixed rate of 3.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 03/18/2054 | USD | 600,000 | 1,351 | — | — | 1,351 | — |
Fixed rate of 3.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 06/17/2054 | USD | 1,500,000 | 4,298 | — | — | 4,298 | — |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 06/17/2054 | GBP | 700,000 | 1,680 | — | — | 1,680 | — |
6-Month EURIBOR | Fixed rate of 2.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/17/2054 | EUR | 4,200,000 | (51,724 ) | — | — | — | (51,724 ) |
Fixed rate of 3.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/16/2054 | USD | 100,000 | 655 | — | — | 655 | — |
6-Month EURIBOR | Fixed rate of 2.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/16/2054 | EUR | 2,300,000 | (20,909 ) | — | — | — | (20,909 ) |
Fixed rate of 4.320% | 3-Month NZD Bank Bill | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 02/05/2034 | NZD | 32,000,000 | (407,176 ) | — | — | — | (407,176 ) |
Total | 146,828 | — | — | 4,110,423 | (3,963,595 ) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 41 | Morgan Stanley | 12/20/2028 | 5.000 | Quarterly | USD | 11,880,000 | (180,905 ) | — | — | — | (180,905 ) |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
23
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 12.186 | USD | 1,200,000 | (230,764 ) | 500 | — | (266,254 ) | 35,990 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 12.186 | USD | 500,000 | (96,151 ) | 208 | — | (94,681 ) | — | (1,262 ) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 12.186 | USD | 2,000,000 | (384,606 ) | 833 | — | (301,637 ) | — | (82,136 ) |
Total | (711,521 ) | 1,541 | — | (662,572 ) | 35,990 | (83,398 ) |
* Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Total return swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on MSCI Italy Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 8,557,523 | 157,325 | (7,716 ) | — | — | 149,609 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 1,999,044 | 27,739 | 1,147 | — | — | 28,886 | — |
Total return on MSCI Italy Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 552,005 | 10,148 | (259 ) | — | — | 9,889 | — |
1-Month ZAR JIBAR minus 0.002% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 03/20/2024 | ZAR | 15,158,689 | 6,062 | 1,426 | — | — | 7,488 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 389,923 | 5,411 | 229 | — | — | 5,640 | — |
SARON minus 0.005% | Total return on MSCI Switzerland Net Return CHF Index | Monthly | JPMorgan | 03/20/2024 | CHF | 1,047,280 | 4,909 | 340 | — | — | 5,249 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 362,464 | 5,030 | 208 | — | — | 5,238 | — |
24
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 362,464 | 5,030 | 208 | — | — | 5,238 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 307,545 | 4,267 | 177 | — | — | 4,444 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 302,053 | 4,192 | 173 | — | — | 4,365 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 280,086 | 3,886 | 161 | — | — | 4,047 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 03/20/2024 | MXN | 2,078,661 | 3,524 | 301 | — | — | 3,825 | — |
SARON minus 0.005% | Total return on MSCI Switzerland Net Return CHF Index | Monthly | JPMorgan | 03/20/2024 | CHF | 715,039 | 3,352 | 232 | — | — | 3,584 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 03/20/2024 | MXN | 1,870,104 | 3,172 | 270 | — | — | 3,442 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 03/20/2024 | MXN | 1,843,862 | 3,126 | 267 | — | — | 3,393 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 225,167 | 3,125 | 129 | — | — | 3,254 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 03/20/2024 | MXN | 1,759,611 | 2,984 | 254 | — | — | 3,238 | — |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 517,500 | 2,854 | 170 | — | — | 3,024 | — |
SARON minus 0.005% | Total return on MSCI Switzerland Net Return CHF Index | Monthly | JPMorgan | 03/20/2024 | CHF | 552,530 | 2,590 | 179 | — | — | 2,769 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 186,724 | 2,591 | 107 | — | — | 2,698 | — |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
25
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
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 ($) |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 186,724 | 2,591 | 107 | — | — | 2,698 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 413,100 | 2,609 | 89 | — | — | 2,698 | — |
1-Month ZAR JIBAR minus 0.002% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 03/20/2024 | ZAR | 3,140,070 | 2,490 | — | — | — | 2,490 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 164,756 | 2,286 | 95 | — | — | 2,381 | — |
Total return on MSCI Italy Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 104,828 | 1,927 | (94 ) | — | — | 1,833 | — |
1-Month ZAR JIBAR minus 0.002% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 03/20/2024 | ZAR | 3,018,287 | 1,207 | 284 | — | — | 1,491 | — |
1-Month ZAR JIBAR minus 0.002% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 03/20/2024 | ZAR | 3,005,307 | 1,202 | 283 | — | — | 1,485 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 03/20/2024 | MXN | 1,811,960 | 1,412 | 34 | — | — | 1,446 | — |
1-Month ZAR JIBAR minus 0.002% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 03/20/2024 | ZAR | 3,038,346 | 1,215 | 143 | — | — | 1,358 | — |
1-Month ZAR JIBAR minus 0.002% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 03/20/2024 | ZAR | 3,090,203 | 1,294 | 36 | — | — | 1,330 | — |
1-Month ZAR JIBAR minus 0.002% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 03/20/2024 | ZAR | 2,415,337 | 966 | 227 | — | — | 1,193 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 400,302 | 1,108 | 29 | — | — | 1,137 | — |
26
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
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 ($) |
SARON minus 0.005% | Total return on MSCI Switzerland Net Return CHF Index | Monthly | JPMorgan | 03/20/2024 | CHF | 162,509 | 762 | 53 | — | — | 815 | — |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 372,962 | 815 | — | — | — | 815 | — |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 186,765 | 507 | 62 | — | — | 569 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 03/20/2024 | MXN | 1,927,441 | 4 | — | — | — | 4 | — |
Total return on MSCI Italy Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 170 | 3 | — | — | — | 3 | — |
Total return on MSCI Spain Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 247 | (4 ) | — | — | — | — | (4 ) |
Total return on MSCI Spain Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 495 | (7 ) | — | — | — | — | (7 ) |
Total return on MSCI Italy Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 100,771 | (224 ) | — | — | — | — | (224 ) |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 120,691 | (282 ) | 27 | — | — | — | (255 ) |
1-Month PLN WIBOR minus 0.005% | Total return on MSCI Poland Net Return PLN Index | Monthly | JPMorgan | 03/20/2024 | PLN | 1,212,517 | (596 ) | 335 | — | — | — | (261 ) |
SORA minus 0.003% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 03/20/2024 | SGD | 387,127 | (673 ) | — | — | — | — | (673 ) |
Total return on MSCI United Kingdom Net Return GBP Index | SONIA plus 0.002% | Monthly | JPMorgan | 03/20/2024 | GBP | 429,796 | (457 ) | (633 ) | — | — | — | (1,090 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 500,088 | (1,130 ) | (61 ) | — | — | — | (1,191 ) |
Total return on MSCI Spain Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 93,285 | (1,271 ) | (84 ) | — | — | — | (1,355 ) |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
27
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
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 ($) |
1-Month SEK STIBOR minus 0.003% | Total return on MSCI Sweden Net Return SEK Index | Monthly | JPMorgan | 03/20/2024 | SEK | 1,147,848 | (1,788 ) | 80 | — | — | — | (1,708 ) |
1-Month AUD BBSW plus 0.001% | Total return on MSCI Australia Net Return AUD Index | Monthly | JPMorgan | 03/20/2024 | AUD | 189,750 | (1,920 ) | 116 | — | — | — | (1,804 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 576,820 | (1,568 ) | (300 ) | — | — | — | (1,868 ) |
1-Month AUD BBSW plus 0.001% | Total return on MSCI Australia Net Return AUD Index | Monthly | JPMorgan | 03/20/2024 | AUD | 234,929 | (2,377 ) | 144 | — | — | — | (2,233 ) |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 143,902 | (3,244 ) | 126 | — | — | — | (3,118 ) |
1-Month SEK STIBOR minus 0.003% | Total return on MSCI Sweden Net Return SEK Index | Monthly | JPMorgan | 03/20/2024 | SEK | 2,359,466 | (3,674 ) | 163 | — | — | — | (3,511 ) |
1-Month SEK STIBOR minus 0.003% | Total return on MSCI Sweden Net Return SEK Index | Monthly | JPMorgan | 03/20/2024 | SEK | 2,359,466 | (3,674 ) | 163 | — | — | — | (3,511 ) |
1-Month SEK STIBOR minus 0.003% | Total return on MSCI Sweden Net Return SEK Index | Monthly | JPMorgan | 03/20/2024 | SEK | 2,614,543 | (4,072 ) | 181 | — | — | — | (3,891 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 1,582,400 | (4,301 ) | (789 ) | — | — | — | (5,090 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 1,670,311 | (4,540 ) | (833 ) | — | — | — | (5,373 ) |
1-Month SEK STIBOR minus 0.003% | Total return on MSCI Sweden Net Return SEK Index | Monthly | JPMorgan | 03/20/2024 | SEK | 3,762,392 | (5,859 ) | 260 | — | — | — | (5,599 ) |
Total return on MSCI Spain Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 435,989 | (5,942 ) | (393 ) | — | — | — | (6,335 ) |
Total return on MSCI Spain Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 437,721 | (5,965 ) | (395 ) | — | — | — | (6,360 ) |
1-Month AUD BBSW plus 0.001% | Total return on MSCI Australia Net Return AUD Index | Monthly | JPMorgan | 03/20/2024 | AUD | 786,109 | (7,953 ) | 481 | — | — | — | (7,472 ) |
28
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
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 ($) |
1-Month AUD BBSW plus 0.001% | Total return on MSCI Australia Net Return AUD Index | Monthly | JPMorgan | 03/20/2024 | AUD | 939,716 | (9,508 ) | 574 | — | — | — | (8,934 ) |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 425,351 | (9,590 ) | 373 | — | — | — | (9,217 ) |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 451,680 | (10,184 ) | 396 | — | — | — | (9,788 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 3,298,980 | (8,967 ) | (1,645 ) | — | — | — | (10,612 ) |
1-Month CAD Canada Bankers’ Acceptances minus 0.009% | Total return on MSCI Canada Net Return CAD Index | Monthly | JPMorgan | 03/20/2024 | CAD | 1,244,820 | (11,686 ) | 867 | — | — | — | (10,819 ) |
Total return on MSCI Spain Net Return EUR Index | ESTR plus 0.000% | Monthly | JPMorgan | 03/20/2024 | EUR | 780,673 | (10,639 ) | (704 ) | — | — | — | (11,343 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 3,858,835 | (10,489 ) | (1,924 ) | — | — | — | (12,413 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 3,894,308 | (10,585 ) | (1,942 ) | — | — | — | (12,527 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 3,912,815 | (10,635 ) | (1,919 ) | — | — | — | (12,554 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 3,925,154 | (10,669 ) | (1,957 ) | — | — | — | (12,626 ) |
1-Month CAD Canada Bankers’ Acceptances minus 0.009% | Total return on MSCI Canada Net Return CAD Index | Monthly | JPMorgan | 03/20/2024 | CAD | 1,457,115 | (13,679 ) | 1,015 | — | — | — | (12,664 ) |
1-Month CAD Canada Bankers’ Acceptances minus 0.009% | Total return on MSCI Canada Net Return CAD Index | Monthly | JPMorgan | 03/20/2024 | CAD | 1,534,313 | (14,404 ) | 1,069 | — | — | — | (13,335 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 4,182,718 | (11,369 ) | (2,051 ) | — | — | — | (13,420 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 4,207,394 | (11,436 ) | (2,098 ) | — | — | — | (13,534 ) |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
29
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
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 Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 4,555,954 | (12,384 ) | (2,234 ) | — | — | — | (14,618 ) |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 699,537 | (15,772 ) | 614 | — | — | — | (15,158 ) |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 743,116 | (16,755 ) | 652 | — | — | — | (16,103 ) |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 1,011,855 | (22,814 ) | 888 | — | — | — | (21,926 ) |
1-Month SEK STIBOR minus 0.003% | Total return on MSCI Sweden Net Return SEK Index | Monthly | JPMorgan | 03/20/2024 | SEK | 14,985,797 | (23,337 ) | 1,037 | — | — | — | (22,300 ) |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 1,100,375 | (24,810 ) | 966 | — | — | — | (23,844 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 7,373,736 | (20,043 ) | (3,824 ) | — | — | — | (23,867 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 03/20/2024 | BRL | 7,659,062 | (20,818 ) | (3,972 ) | — | — | — | (24,790 ) |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 1,686,424 | (38,024 ) | 1,480 | — | — | — | (36,544 ) |
ESTR minus 0.002% | Total return on MSCI Netherlands Net Return EUR Index | Monthly | JPMorgan | 03/20/2024 | EUR | 3,393,730 | (76,518 ) | 2,978 | — | — | — | (73,540 ) |
Total return on MSCI Japan Net Return JPY Index | TONA plus 0.002% | Monthly | JPMorgan | 03/21/2024 | JPY | 517,564,005 | 69,297 | (109 ) | — | — | 69,188 | — |
Total return on MSCI Japan Net Return JPY Index | TONA plus 0.002% | Monthly | JPMorgan | 03/21/2024 | JPY | 60,305,233 | 8,075 | (13 ) | — | — | 8,062 | — |
Total return on MSCI Japan Net Return JPY Index | TONA plus 0.002% | Monthly | JPMorgan | 03/21/2024 | JPY | 31,453 | 4 | — | — | — | 4 | — |
30
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
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 ($) |
Total return on MSCI Japan Net Return JPY Index | TONA plus 0.002% | Monthly | JPMorgan | 03/21/2024 | JPY | 17,474 | 2 | — | — | — | 2 | — |
Total return on MSCI Japan Net Return JPY Index | TONA plus 0.002% | Monthly | JPMorgan | 03/21/2024 | JPY | 10,484 | 1 | — | — | — | 1 | — |
Total | (125,542 ) | (13,544 ) | — | — | 360,323 | (499,409 ) |
Total return swap contracts on futures | ||||||||
Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
DTOP Index Mar 24 | Goldman Sachs International | 03/2024 | ZAR | (742,560 ) | — | — | 244 | — |
TAIEX Index Mar 24 | Goldman Sachs International | 03/2024 | TWD | 68,259,600 | — | — | 34,937 | — |
WIG 20 Index Mar 24 | Goldman Sachs International | 03/2024 | PLN | 1,597,200 | — | — | — | (90 ) |
Ibovespa Index Apr 24 | Morgan Stanley International | 04/2024 | BRL | 115,092,078 | — | — | — | (6,150 ) |
KOSPI 200 Index Mar 24 | Morgan Stanley International | 03/2024 | KRW | 2,312,375,000 | — | — | 72,638 | — |
KOSPI 200 Index Mar 24 | Morgan Stanley International | 03/2024 | KRW | (7,826,500,000 ) | — | — | — | (56,527 ) |
Swiss Market Index Mar 24 | Morgan Stanley International | 03/2024 | CHF | (35,345,150 ) | — | — | — | (336,299 ) |
Total | — | — | 107,819 | (399,066 ) |
* | 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 AUD BBSW | Bank Bill Swap Rate | 4.247% |
1-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 5.071% |
1-Month PLN WIBOR | Warsaw Interbank Offer Rate | 5.830% |
1-Month SEK STIBOR | Stockholm Interbank Offered Rate | 4.014% |
1-Month ZAR JIBAR | Johannesburg Interbank Average Rate | 8.258% |
3-Month AUD BBSW | Bank Bill Swap Rate | 4.335% |
3-Month NZD Bank Bill | Bank Bill Rate | 5.650% |
3-Month SEK STIBOR | Stockholm Interbank Offered Rate | 4.066% |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 11.494% |
6-Month AUD BBSW | Bank Bill Swap Rate | 4.485% |
6-Month EURIBOR | Euro Interbank Offered Rate | 3.908% |
6-Month NOK NIBOR | Norwegian Interbank Offered Rate | 4.850% |
ESTR | Euro Short Term Rate | 3.906% |
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
31
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Reference index and values for swap contracts as of period end (continued) | ||
Reference index | Reference rate | |
CORRA | Canadian Overnight Repo Rate Average | 5.010% |
Overnight BRL CDI | Interbank Certificate of Deposit | 11.150% |
SARON | Swiss Average Rate Overnight | 1.695% |
SOFR | Secured Overnight Financing Rate | 5.310% |
SONIA | Sterling Overnight Index Average | 5.188% |
SORA | Singapore Overnight Rate Average | 3.784% |
TONA | Tokyo Overnight Average Rate | (0.006%) |
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 February 29, 2024, the total value of these securities amounted to $122,831,217, which represents 20.56% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of February 29, 2024. |
(c) | 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 February 29, 2024 and is not reflective of the cash flow payments. |
(d) | Valuation based on significant unobservable inputs. |
(e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 29, 2024, the total value of these securities amounted to $3,355,353, which represents 0.56% of total net assets. |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of February 29, 2024. |
(g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(h) | Represents a security in default. |
(i) | Represents a security purchased on a forward commitment basis. |
(j) | Represents a security purchased on a when-issued basis. |
(k) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(l) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(m) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
305,372,644 | 481,352,219 | (510,907,680 ) | 74,391 | 275,891,574 | 16,429 | 11,646,786 | 275,946,763 |
Abbreviation Legend
CMO | Collateralized Mortgage Obligation |
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 |
32
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
Consolidated Portfolio of Investments (continued)Columbia Multi Strategy Alternatives Fund, February 29, 2024 (Unaudited)
Currency Legend (continued)
CNH | Yuan Offshore Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
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 |
PEN | Peruvian New Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai 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.
Columbia Multi Strategy Alternatives Fund | Third Quarter Report 2024
33