Multisector Bond SMA Completion Portfolio
Third Quarter Report
May 31, 2024 (Unaudited)
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Portfolio of InvestmentsMultisector Bond SMA Completion Portfolio, May 31, 2024 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Corporate Bonds & Notes 27.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banking 5.1% | ||||
Bank of America Corp.(a) | ||||
09/15/2029 | 5.819% | 130,000 | 132,197 | |
Life Insurance 5.8% | ||||
Metropolitan Life Global Funding I(b) | ||||
08/25/2025 | 4.050% | 150,000 | 147,665 | |
Pharmaceuticals 5.4% | ||||
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2026 | 4.450% | 140,000 | 138,110 | |
Retailers 5.0% | ||||
Amazon.com, Inc. | ||||
12/01/2025 | 4.600% | 130,000 | 129,159 | |
Technology 5.7% | ||||
Microsoft Corp. | ||||
11/03/2025 | 3.125% | 150,000 | 146,017 | |
Total Corporate Bonds & Notes (Cost $694,181) | 693,148 | |||
Residential Mortgage-Backed Securities - Agency 77.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
06/13/2054 | 3.500% | 400,000 | 350,680 | |
06/13/2054 | 4.000% | 750,000 | 680,590 | |
06/13/2054 | 4.500% | 500,000 | 468,171 | |
06/13/2054 | 5.000% | 500,000 | 481,182 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,981,521) | 1,980,623 |
Money Market Funds 64.2% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.547%(d),(e) | 1,649,633 | 1,649,303 |
Total Money Market Funds (Cost $1,648,754) | 1,649,303 | |
Total Investments in Securities (Cost: $4,324,456) | 4,323,074 | |
Other Assets & Liabilities, Net | (1,756,498 ) | |
Net Assets | 2,566,576 |
At May 31, 2024, securities and/or cash totaling $237,600 were pledged as collateral.
Investments in derivatives
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 5-Year Note | 6 | 09/2024 | USD | 634,781 | — | (476 ) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (4) | 09/2024 | USD | (435,188 ) | 929 | — |
U.S. Treasury Ultra Bond | (2) | 09/2024 | USD | (244,875 ) | 3,083 | — |
Total | 4,012 | — |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX Emerging Markets Index, Series 41 | Morgan Stanley | 06/20/2029 | 1.000 | Quarterly | 1.633 | USD | 1,000,000 | 6,401 | — | — | 6,401 | — |
Markit CDX North America High Yield Index, Series 42 | Morgan Stanley | 06/20/2029 | 5.000 | Quarterly | 3.348 | USD | 1,500,000 | 15,637 | — | — | 15,637 | — |
Total | 22,038 | — | — | 22,038 | — |
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Multisector Bond SMA Completion Portfolio | 2024
Portfolio of Investments (continued)Multisector Bond SMA Completion Portfolio, May 31, 2024 (Unaudited)
* Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Notes to Portfolio of Investments
(a) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of May 31, 2024. |
(b) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2024, the total value of these securities amounted to $147,665, which represents 5.75% of total net assets. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at May 31, 2024. |
(e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended May 31, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.547% | ||||||||
1,158,101 | 1,735,288 | (1,244,242 ) | 156 | 1,649,303 | (23 ) | 68,405 | 1,649,633 |
Abbreviation Legend
TBA | To Be Announced |
Currency Legend
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
Multisector Bond SMA Completion Portfolio | 2024
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