UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-04367
Columbia Funds Series Trust I
(Exact name of registrant as specified in charter)
290 Congress Street
Boston, MA 02210
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: May 31
Date of reporting period: May 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/imgc0b734b91.jpg)
May 31, 2022
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43 | |
44 | |
44 | |
50 |
(Unaudited)
Average annual total returns (%) (for the period ended May 31, 2022) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class A | Excluding sales charges | 06/19/12 | -3.62 | 5.81 | 5.11 |
Including sales charges | -9.17 | 4.57 | 4.49 | ||
Advisor Class* | 10/01/14 | -3.36 | 6.06 | 5.31 | |
Class C | Excluding sales charges | 06/19/12 | -4.39 | 4.99 | 4.31 |
Including sales charges | -5.19 | 4.99 | 4.31 | ||
Institutional Class | 06/19/12 | -3.37 | 6.06 | 5.37 | |
Institutional 2 Class | 06/19/12 | -3.36 | 6.06 | 5.41 | |
Institutional 3 Class* | 10/01/14 | -3.40 | 6.10 | 5.37 | |
Class R | 06/19/12 | -3.91 | 5.53 | 4.85 | |
Modified Blended Benchmark | -9.29 | 5.61 | 6.17 | ||
New Blended Benchmark | -4.83 | 6.69 | 7.75 | ||
FTSE Three-Month U.S. Treasury Bill Index | 0.13 | 1.09 | 0.61 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class A shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 3 |
(Unaudited)
4 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
(Unaudited)
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Portfolio breakdown (%) (at May 31, 2022) | |
Alternative Strategies Funds | 3.8 |
Common Stocks | 1.8 |
Foreign Government Obligations | 17.8 |
Inflation-Indexed Bonds | 13.1 |
Money Market Funds(a) | 34.1 |
Multi-Asset/Tactical Strategies Funds | 0.2 |
Residential Mortgage-Backed Securities - Agency | 5.9 |
U.S. Treasury Obligations | 23.3 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
Market exposure by asset class categories (%)(a) (at May 31, 2022) | |
Equity Assets | 14.1 |
Inflation-Hedging Assets | 17.5 |
Spread Assets | 14.4 |
Interest Rate Assets | 67.0 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 5 |
(Unaudited)
• | The largest contributor to relative performance over the past year came from the adaptive market state classification design feature associated with the investment strategy. |
○ | The adaptive feature – where a market state is determined between either capital preservation, neutral, bullish, or highly bullish states – is estimated to have delivered over 1.5% of excess return for the strategy, versus a static neutral policy risk allocation. |
○ | The market state classification centered in the capital preservation market state for four out of the first five months of calendar year 2022, and the more conservative asset allocation positioning associated with this market state helped deliver a sizable portion of the excess relative returns witnessed over the period. |
• | Other notable contributors to relative performance during the period came from exposure to inflation-hedged assets. |
○ | In particular, exposure to both commodities and real estate related securities proved beneficial for investors during the period. |
○ | Furthermore, the Fund maintained a tactical overweight to commodities throughout a significant majority of the period. Over the past year, the Bloomberg Commodity Index (a broad-based proxy for commodity market performance) generated an eye-popping total return of 41.85%. |
• | Detractors from relative returns came from overweight allocation to global treasury inflation-protected securities (TIPS) and corporate credit. |
6 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
(Unaudited)
• | An underweight allocation to interest rate related fixed income served as a tactical contributor to relative returns but the overall exposure to interest rates (e.g. global government bonds) detracted noticeably from absolute returns. In fact, given the rising interest rate environment, especially over the course of the past several months, interest rate related fixed income allocations served as the single largest detractor from absolute performance over the period. Over the period, 10-year US Treasury Bond yields moved from a level near 1.62% (June ’21) to around 2.85% (May 31, 2022). This type of rise in yields puts downside pressure on bond prices with heavy interest rate sensitivity, thus the Bloomberg U.S. Treasury 7-10 Year Bond Index suffered a total return loss of -8.83% over the trailing 1-year period. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 7 |
(Unaudited)
December 1, 2021 — May 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 933.00 | 1,019.90 | 4.87 | 5.09 | 1.01 |
Advisor Class | 1,000.00 | 1,000.00 | 934.00 | 1,021.14 | 3.66 | 3.83 | 0.76 |
Class C | 1,000.00 | 1,000.00 | 928.80 | 1,016.16 | 8.46 | 8.85 | 1.76 |
Institutional Class | 1,000.00 | 1,000.00 | 933.90 | 1,021.14 | 3.66 | 3.83 | 0.76 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 934.10 | 1,021.09 | 3.71 | 3.88 | 0.77 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 933.80 | 1,021.29 | 3.52 | 3.68 | 0.73 |
Class R | 1,000.00 | 1,000.00 | 931.30 | 1,018.65 | 6.07 | 6.34 | 1.26 |
8 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Alternative Strategies Funds 4.0% | ||
Shares | Value ($) | |
Columbia Commodity Strategy Fund, Institutional 3 Class(a) | 7,126,467 | 164,977,710 |
Total Alternative Strategies Funds (Cost $131,697,109) | 164,977,710 | |
Common Stocks 1.8% | ||
Issuer | Shares | Value ($) |
Consumer Discretionary 0.0% | ||
Hotels, Restaurants & Leisure 0.0% | ||
Marriott International, Inc., Class A | 6,692 | 1,148,213 |
Total Consumer Discretionary | 1,148,213 | |
Real Estate 1.8% | ||
Equity Real Estate Investment Trusts (REITS) 1.8% | ||
Alexandria Real Estate Equities, Inc. | 20,930 | 3,473,333 |
American Homes 4 Rent, Class A | 26,862 | 992,820 |
American Tower Corp. | 13,191 | 3,378,611 |
Americold Realty Trust, Inc. | 56,197 | 1,556,095 |
AvalonBay Communities, Inc. | 15,855 | 3,297,206 |
Brixmor Property Group, Inc. | 104,915 | 2,557,828 |
Camden Property Trust | 12,458 | 1,787,598 |
Centerspace | 19,088 | 1,583,922 |
Duke Realty Corp. | 72,444 | 3,827,217 |
Equinix, Inc. | 6,814 | 4,681,831 |
Equity LifeStyle Properties, Inc. | 50,353 | 3,811,722 |
Extra Space Storage, Inc. | 14,852 | 2,646,626 |
Federal Realty Investment Trust | 27,805 | 3,196,741 |
First Industrial Realty Trust, Inc. | 44,259 | 2,352,366 |
Gaming and Leisure Properties, Inc. | 48,332 | 2,262,904 |
Healthpeak Properties, Inc. | 57,322 | 1,701,890 |
Highwoods Properties, Inc. | 16,887 | 663,490 |
Host Hotels & Resorts, Inc. | 129,470 | 2,588,105 |
Invitation Homes, Inc. | 93,029 | 3,509,054 |
Kilroy Realty Corp. | 29,826 | 1,810,438 |
Life Storage, Inc. | 28,931 | 3,377,984 |
Medical Properties Trust, Inc. | 109,196 | 2,028,862 |
National Storage Affiliates Trust | 25,358 | 1,330,027 |
Outfront Media, Inc. | 29,878 | 616,383 |
Prologis, Inc. | 32,393 | 4,129,460 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
SITE Centers Corp. | 58,018 | 912,043 |
STORE Capital Corp. | 76,034 | 2,097,778 |
Sun Communities, Inc. | 12,413 | 2,037,346 |
Tanger Factory Outlet Centers, Inc. | 76,241 | 1,334,980 |
Welltower, Inc. | 54,137 | 4,823,065 |
Total | 74,367,725 | |
Total Real Estate | 74,367,725 | |
Total Common Stocks (Cost $82,204,714) | 75,515,938 |
Foreign Government Obligations(b),(c) 18.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Austria 2.7% | ||||
Republic of Austria Government Bond(d) | ||||
10/20/2026 | 0.750% | EUR | 65,214,000 | 69,332,309 |
05/23/2034 | 2.400% | EUR | 13,773,000 | 15,853,836 |
Republic of Austria Government Bond(d),(e) | ||||
02/20/2030 | 0.000% | EUR | 26,752,000 | 25,658,989 |
Total | 110,845,134 | |||
Belgium 1.9% | ||||
Kingdom of Belgium Government Bond(d) | ||||
06/22/2031 | 1.000% | EUR | 27,296,000 | 27,976,097 |
04/22/2033 | 1.250% | EUR | 16,075,000 | 16,612,834 |
03/28/2035 | 5.000% | EUR | 24,349,000 | 35,483,265 |
Total | 80,072,196 | |||
China 0.3% | ||||
China Government Bond | ||||
11/21/2029 | 3.130% | CNY | 38,350,000 | 5,890,352 |
05/21/2030 | 2.680% | CNY | 52,200,000 | 7,755,820 |
Total | 13,646,172 | |||
France 2.1% | ||||
French Republic Government Bond OAT(d),(e) | ||||
11/25/2030 | 0.000% | EUR | 41,936,000 | 39,806,608 |
11/25/2031 | 0.000% | EUR | 9,799,000 | 9,077,798 |
French Republic Government Bond OAT(d) | ||||
05/25/2036 | 1.250% | EUR | 25,317,000 | 25,056,996 |
05/25/2045 | 3.250% | EUR | 9,583,464 | 12,478,664 |
Total | 86,420,066 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 9 |
May 31, 2022
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Italy 2.0% | ||||
Italy Buoni Poliennali Del Tesoro(d) | ||||
05/01/2031 | 6.000% | EUR | 39,808,000 | 53,142,670 |
02/01/2037 | 4.000% | EUR | 24,378,000 | 28,494,950 |
Total | 81,637,620 | |||
Japan 4.3% | ||||
Japan Government 10-Year Bond | ||||
06/20/2031 | 0.100% | JPY | 4,438,000,000 | 34,123,530 |
Japan Government 20-Year Bond | ||||
06/20/2041 | 0.400% | JPY | 3,894,000,000 | 28,463,951 |
09/20/2041 | 0.500% | JPY | 2,072,200,000 | 15,389,222 |
Japan Government 30-Year Bond | ||||
06/20/2050 | 0.600% | JPY | 2,118,000,000 | 14,868,872 |
06/20/2051 | 0.700% | JPY | 2,267,000,000 | 16,271,208 |
09/20/2051 | 0.700% | JPY | 1,454,400,000 | 10,418,482 |
12/20/2051 | 0.700% | JPY | 1,796,000,000 | 12,864,304 |
Japan Government Thirty-Year Bond | ||||
03/20/2052 | 1.000% | JPY | 2,450,650,000 | 18,942,821 |
Japan Government Twenty-Year Bond | ||||
03/20/2042 | 0.800% | JPY | 3,417,450,000 | 26,752,049 |
Total | 178,094,439 | |||
Netherlands 1.8% | ||||
Netherlands Government Bond(d) | ||||
07/15/2026 | 0.500% | EUR | 46,228,000 | 48,893,546 |
Netherlands Government Bond(d),(e) | ||||
07/15/2031 | 0.000% | EUR | 27,200,000 | 25,970,806 |
Total | 74,864,352 | |||
Spain 3.0% | ||||
Spain Government Bond(e) | ||||
01/31/2028 | 0.000% | EUR | 27,072,000 | 26,548,848 |
Spain Government Bond(d) | ||||
04/30/2030 | 0.500% | EUR | 35,595,000 | 34,406,856 |
10/31/2030 | 1.250% | EUR | 9,979,000 | 10,126,328 |
07/30/2035 | 1.850% | EUR | 18,340,000 | 18,385,831 |
07/30/2041 | 4.700% | EUR | 7,234,000 | 10,246,586 |
Spain Government Bond | ||||
07/30/2032 | 5.750% | EUR | 16,377,000 | 23,376,377 |
Total | 123,090,826 |
Foreign Government Obligations(b),(c) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Kingdom 0.4% | ||||
United Kingdom Gilt(d) | ||||
10/22/2028 | 1.625% | GBP | 10,885,000 | 13,609,227 |
01/22/2045 | 3.500% | GBP | 3,257,133 | 4,852,812 |
Total | 18,462,039 | |||
Total Foreign Government Obligations (Cost $905,511,001) | 767,132,844 | |||
Inflation-Indexed Bonds(b) 13.5% | ||||
Australia 0.4% | ||||
Australia Government Bond(d) | ||||
11/21/2027 | 0.750% | AUD | 4,377,922 | 3,210,383 |
08/21/2035 | 2.000% | AUD | 3,525,713 | 2,793,657 |
08/21/2040 | 1.250% | AUD | 2,162,065 | 1,526,156 |
Australia Government Index-Linked Bond(d) | ||||
09/20/2025 | 3.000% | AUD | 10,400,337 | 8,302,728 |
Total | 15,832,924 | |||
Canada 0.3% | ||||
Canadian Government Real Return Bond | ||||
12/01/2031 | 4.000% | CAD | 5,354,242 | 5,515,930 |
12/01/2036 | 3.000% | CAD | 3,711,240 | 3,725,773 |
12/01/2041 | 2.000% | CAD | 3,044,431 | 2,774,810 |
Total | 12,016,513 | |||
France 1.6% | ||||
France Government Bond OAT(d) | ||||
07/25/2030 | 0.700% | EUR | 19,679,589 | 24,483,696 |
07/25/2032 | 3.150% | EUR | 13,671,000 | 20,988,062 |
French Republic Government Bond OAT(d) | ||||
07/25/2024 | 0.250% | EUR | 8,348,044 | 9,676,125 |
07/25/2040 | 1.800% | EUR | 6,960,598 | 10,409,761 |
Total | 65,557,644 | |||
Germany 0.5% | ||||
Bundesrepublik Deutschland Bundesobligation Inflation-Linked Bond(d) | ||||
04/15/2030 | 0.500% | EUR | 18,371,976 | 22,966,530 |
Italy 1.3% | ||||
Italy Buoni Poliennali Del Tesoro(d) | ||||
09/15/2026 | 3.100% | EUR | 18,026,849 | 22,607,751 |
05/15/2028 | 1.300% | EUR | 14,456,233 | 16,665,493 |
09/15/2035 | 2.350% | EUR | 7,607,315 | 9,601,961 |
09/15/2041 | 2.550% | EUR | 6,004,399 | 8,011,693 |
Total | 56,886,898 |
10 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Inflation-Indexed Bonds(b) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Spain 0.5% | ||||
Spain Government Inflation-Linked Bond(d) | ||||
11/30/2030 | 1.000% | EUR | 6,585,604 | 7,912,051 |
11/30/2033 | 0.700% | EUR | 10,585,957 | 12,146,420 |
Total | 20,058,471 | |||
United Kingdom 3.7% | ||||
United Kingdom Gilt Inflation-Linked Bond(d) | ||||
03/22/2029 | 0.125% | GBP | 13,441,654 | 20,052,623 |
03/22/2034 | 0.750% | GBP | 13,155,681 | 22,130,110 |
11/22/2037 | 1.125% | GBP | 10,771,437 | 20,048,356 |
03/22/2044 | 0.125% | GBP | 12,434,405 | 21,048,944 |
11/22/2047 | 0.750% | GBP | 5,449,640 | 10,717,028 |
03/22/2052 | 0.250% | GBP | 14,503,698 | 26,575,143 |
11/22/2056 | 0.125% | GBP | 9,551,709 | 17,341,895 |
11/22/2065 | 0.125% | GBP | 5,311,586 | 10,625,945 |
03/22/2068 | 0.125% | GBP | 2,456,363 | 5,134,215 |
Total | 153,674,259 | |||
United States 5.2% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
01/15/2024 | 0.625% | 28,639,327 | 29,658,474 | |
07/15/2027 | 0.375% | 25,410,418 | 26,100,080 | |
01/15/2028 | 0.500% | 23,785,583 | 24,440,653 | |
07/15/2028 | 0.750% | 13,614,894 | 14,240,881 | |
01/15/2029 | 0.875% | 32,473,442 | 34,121,485 | |
07/15/2029 | 0.250% | 26,427,907 | 26,734,282 | |
07/15/2030 | 0.125% | 20,793,193 | 20,750,713 | |
04/15/2032 | 3.375% | 7,836,302 | 10,235,512 | |
02/15/2042 | 0.750% | 10,426,990 | 10,286,447 | |
02/15/2043 | 0.625% | 8,602,190 | 8,210,374 | |
02/15/2045 | 0.750% | 6,265,762 | 6,072,899 | |
02/15/2048 | 1.000% | 4,206,531 | 4,370,964 | |
Total | 215,222,764 | |||
Total Inflation-Indexed Bonds (Cost $608,715,504) | 562,216,003 |
Multi-Asset/Tactical Strategies Funds 0.2% | ||
Shares | Value ($) | |
Columbia Solutions Aggressive Portfolio(a) | 129,438 | 1,162,360 |
Columbia Solutions Conservative Portfolio(a) | 670,954 | 6,313,677 |
Total Multi-Asset/Tactical Strategies Funds (Cost $8,574,734) | 7,476,037 |
Residential Mortgage-Backed Securities - Agency 6.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association TBA(f) | ||||
06/22/2052 | 3.000% | 28,350,000 | 27,341,139 | |
06/22/2052 | 3.500% | 24,550,000 | 24,323,680 | |
06/22/2052 | 4.000% | 22,220,000 | 22,445,672 | |
Uniform Mortgage-Backed Security TBA(f) | ||||
06/16/2037 | 2.500% | 12,248,328 | 11,856,956 | |
06/16/2037- 06/13/2052 | 3.000% | 42,000,000 | 40,256,172 | |
06/13/2052 | 3.500% | 39,000,000 | 38,229,140 | |
06/13/2052 | 4.000% | 41,740,000 | 41,756,304 | |
06/13/2052 | 4.500% | 48,800,000 | 49,659,719 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $252,423,920) | 255,868,782 | |||
U.S. Treasury Obligations 24.2% | ||||
U.S. Treasury | ||||
10/31/2026 | 1.125% | 43,400,000 | 40,334,875 | |
02/28/2027 | 1.875% | 179,000,000 | 171,490,391 | |
06/30/2028 | 1.250% | 33,248,000 | 30,216,718 | |
09/30/2028 | 1.250% | 198,285,000 | 179,509,889 | |
10/31/2028 | 1.375% | 74,000,000 | 67,438,282 | |
11/30/2028 | 1.500% | 183,160,000 | 168,077,919 | |
04/30/2029 | 2.875% | 97,447,000 | 97,416,548 | |
05/15/2029 | 2.375% | 28,507,000 | 27,607,248 | |
08/15/2029 | 1.625% | 28,483,500 | 26,231,523 | |
08/15/2030 | 0.625% | 26,810,000 | 22,457,564 | |
02/15/2031 | 1.125% | 24,922,000 | 21,639,305 | |
08/15/2031 | 1.250% | 146,295,000 | 127,390,943 | |
11/15/2031 | 1.375% | 26,522,000 | 23,273,055 | |
Total U.S. Treasury Obligations (Cost $1,088,559,205) | 1,003,084,260 |
Money Market Funds 35.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.852%(a),(g) | 1,466,666,880 | 1,466,080,213 |
Total Money Market Funds (Cost $1,466,223,653) | 1,466,080,213 | |
Total Investments in Securities (Cost: $4,543,909,840) | 4,302,351,787 | |
Other Assets & Liabilities, Net | (158,572,715) | |
Net Assets | 4,143,779,072 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 11 |
May 31, 2022
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
30,381,000 CHF | 31,837,402 USD | Citi | 06/10/2022 | 149,136 | — |
4,501,000 CHF | 4,632,089 USD | Citi | 06/10/2022 | — | (62,584) |
68,622,000 CNY | 10,488,010 USD | Citi | 06/10/2022 | 184,836 | — |
786,259,300 EUR | 842,546,837 USD | Citi | 06/10/2022 | — | (1,919,238) |
23,526,000 HKD | 2,999,827 USD | Citi | 06/10/2022 | 1,120 | — |
57,992,000 SEK | 5,990,662 USD | Citi | 06/10/2022 | 50,789 | — |
4,321,611 USD | 4,145,000 CHF | Citi | 06/10/2022 | 1,744 | — |
42,151,219 USD | 39,652,000 EUR | Citi | 06/10/2022 | 436,218 | — |
121,383 USD | 2,489,000 MXN | Citi | 06/10/2022 | 4,874 | — |
2,182,512 USD | 21,980,000 SEK | Citi | 06/10/2022 | 68,806 | — |
56,816 USD | 550,000 SEK | Citi | 06/10/2022 | — | (482) |
28,868,298,000 IDR | 1,979,993 USD | Goldman Sachs International | 06/10/2022 | — | (1,238) |
10,396,000 NOK | 1,138,580 USD | Goldman Sachs International | 06/10/2022 | 29,312 | — |
2,001,269 USD | 28,868,298,000 IDR | Goldman Sachs International | 06/10/2022 | — | (20,037) |
8,789,187 USD | 82,399,000 NOK | Goldman Sachs International | 06/10/2022 | 2,907 | — |
12,597,761 USD | 115,026,000 NOK | Goldman Sachs International | 06/10/2022 | — | (324,319) |
4,589,000 EUR | 4,924,773 USD | HSBC | 06/10/2022 | — | (3,951) |
23,907,268,280 JPY | 187,154,961 USD | HSBC | 06/10/2022 | 1,382,290 | — |
6,547,279,000 JPY | 50,360,336 USD | HSBC | 06/10/2022 | — | (515,636) |
204,000 NZD | 134,497 USD | HSBC | 06/10/2022 | 1,587 | — |
5,376,000 SGD | 3,910,529 USD | HSBC | 06/10/2022 | — | (13,324) |
12,417,315 USD | 1,600,173,000 JPY | HSBC | 06/10/2022 | 16,913 | — |
13,870,000 ZAR | 876,418 USD | HSBC | 06/10/2022 | — | (9,235) |
28,211,000 CNY | 4,316,248 USD | Standard Chartered | 06/10/2022 | 80,540 | — |
40,917,000 AUD | 29,240,720 USD | UBS | 06/10/2022 | — | (127,402) |
39,354,000 CAD | 30,822,368 USD | UBS | 06/10/2022 | — | (289,891) |
18,171,000 DKK | 2,621,101 USD | UBS | 06/10/2022 | — | (2,205) |
180,723,097 GBP | 230,055,081 USD | UBS | 06/10/2022 | 2,316,268 | — |
18,891,000 NZD | 12,189,947 USD | UBS | 06/10/2022 | — | (117,918) |
3,241,995 USD | 4,517,000 AUD | UBS | 06/10/2022 | 75 | — |
39,435,439 USD | 50,403,000 CAD | UBS | 06/10/2022 | 411,875 | — |
19,423,205 USD | 15,461,000 GBP | UBS | 06/10/2022 | 60,026 | — |
12,454,666 USD | 18,891,000 NZD | UBS | 06/10/2022 | — | (146,801) |
Total | 5,199,316 | (3,554,261) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bobl | 99 | 06/2022 | EUR | 12,522,510 | — | (736,734) |
Euro-BTP | 562 | 06/2022 | EUR | 71,300,940 | — | (8,989,071) |
Euro-Bund | 705 | 06/2022 | EUR | 106,856,850 | — | (9,923,848) |
Euro-OAT | 596 | 06/2022 | EUR | 85,877,640 | — | (6,223,178) |
FTSE 100 Index | 439 | 06/2022 | GBP | 33,300,345 | 11,681 | — |
Long Gilt | 603 | 09/2022 | GBP | 69,929,910 | — | (1,429,352) |
MSCI EAFE Index | 1,014 | 06/2022 | USD | 103,275,900 | — | (1,633,258) |
MSCI Emerging Markets Index | 48 | 06/2022 | USD | 2,551,920 | 55,864 | — |
MSCI Emerging Markets Index | 839 | 06/2022 | USD | 44,605,435 | — | (621,363) |
S&P 500 Index E-mini | 1,430 | 06/2022 | USD | 295,384,375 | — | (7,750,052) |
S&P/TSX 60 Index | 67 | 06/2022 | CAD | 16,796,900 | — | (439,193) |
U.S. Treasury 10-Year Note | 775 | 09/2022 | USD | 92,576,172 | — | (491,903) |
U.S. Treasury 5-Year Note | 4,693 | 09/2022 | USD | 530,089,016 | — | (1,548,338) |
Total | 67,545 | (39,786,290) |
12 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX Emerging Markets Index, Series 37 | Morgan Stanley | 06/20/2027 | 1.000 | Quarterly | 2.723 | USD | 90,692,000 | (1,496,921) | — | — | — | (1,496,921) |
Markit CDX North America High Yield Index, Series 38 | Morgan Stanley | 06/20/2027 | 5.000 | Quarterly | 4.626 | USD | 164,576,000 | (3,232,646) | — | — | — | (3,232,646) |
Markit CDX North America Investment Grade Index, Series 38 | Morgan Stanley | 06/20/2027 | 1.000 | Quarterly | 0.801 | USD | 83,738,000 | 292,750 | — | — | 292,750 | — |
Total | (4,436,817) | — | — | 292,750 | (4,729,567) |
* | 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. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 13 |
May 31, 2022
(a) | 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 year ended May 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Capital gain distributions($) | Realized gain (loss)($) | Dividends — affiliated issuers ($) | End of period shares |
Columbia Commodity Strategy Fund, Institutional 3 Class | |||||||||
373,852,606 | 746,611,216 | (900,758,231) | (54,727,881) | 164,977,710 | — | 76,397,769 | 107,622,216 | 7,126,467 | |
Columbia Short-Term Cash Fund, 0.852% | |||||||||
1,427,191,383 | 7,512,134,187 | (7,473,114,683) | (130,674) | 1,466,080,213 | — | (288,764) | 2,564,211 | 1,466,666,880 | |
Columbia Solutions Aggressive Portfolio | |||||||||
1,244,985 | 325,665 | — | (408,290) | 1,162,360 | 315,085 | — | 10,579 | 129,438 | |
Columbia Solutions Conservative Portfolio | |||||||||
6,754,982 | 421,163 | — | (862,468) | 6,313,677 | 353,941 | — | 67,223 | 670,954 | |
Total | 1,809,043,956 | (56,129,313) | 1,638,533,960 | 669,026 | 76,109,005 | 110,264,229 |
(b) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(c) | Principal and interest may not be guaranteed by a governmental entity. |
(d) | 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, 2022, the total value of these securities amounted to $860,443,734, which represents 20.76% of total net assets. |
(e) | Zero coupon bond. |
(f) | Represents a security purchased on a when-issued basis. |
(g) | The rate shown is the seven-day current annualized yield at May 31, 2022. |
TBA | To Be Announced |
AUD | Australian Dollar |
CAD | Canada Dollar |
CHF | Swiss Franc |
CNY | China Yuan Renminbi |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
ZAR | South African Rand |
14 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Investments in Securities | |||||
Alternative Strategies Funds | 164,977,710 | — | — | — | 164,977,710 |
Common Stocks | |||||
Consumer Discretionary | 1,148,213 | — | — | — | 1,148,213 |
Real Estate | 74,367,725 | — | — | — | 74,367,725 |
Total Common Stocks | 75,515,938 | — | — | — | 75,515,938 |
Foreign Government Obligations | — | 767,132,844 | — | — | 767,132,844 |
Inflation-Indexed Bonds | — | 562,216,003 | — | — | 562,216,003 |
Multi-Asset/Tactical Strategies Funds | — | — | — | 7,476,037 | 7,476,037 |
Residential Mortgage-Backed Securities - Agency | — | 255,868,782 | — | — | 255,868,782 |
U.S. Treasury Obligations | 1,003,084,260 | — | — | — | 1,003,084,260 |
Money Market Funds | 1,466,080,213 | — | — | — | 1,466,080,213 |
Total Investments in Securities | 2,709,658,121 | 1,585,217,629 | — | 7,476,037 | 4,302,351,787 |
Investments in Derivatives | |||||
Asset | |||||
Forward Foreign Currency Exchange Contracts | — | 5,199,316 | — | — | 5,199,316 |
Futures Contracts | 67,545 | — | — | — | 67,545 |
Swap Contracts | — | 292,750 | — | — | 292,750 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 15 |
May 31, 2022
Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) | |
Liability | |||||
Forward Foreign Currency Exchange Contracts | — | (3,554,261) | — | — | (3,554,261) |
Futures Contracts | (39,786,290) | — | — | — | (39,786,290) |
Swap Contracts | — | (4,729,567) | — | — | (4,729,567) |
Total | 2,669,939,376 | 1,582,425,867 | — | 7,476,037 | 4,259,841,280 |
16 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,937,414,344) | $2,663,817,827 |
Affiliated issuers (cost $1,606,495,496) | 1,638,533,960 |
Foreign currency (cost $6,498,491) | 6,537,407 |
Margin deposits on: | |
Futures contracts | 46,062,029 |
Swap contracts | 29,352,345 |
Unrealized appreciation on forward foreign currency exchange contracts | 5,199,316 |
Receivable for: | |
Investments sold | 10,000,000 |
Investments sold on a delayed delivery basis | 8,488,665 |
Capital shares sold | 5,635,001 |
Dividends | 918,954 |
Interest | 7,822,493 |
Foreign tax reclaims | 542,610 |
Variation margin for futures contracts | 669,908 |
Prepaid expenses | 30,541 |
Trustees’ deferred compensation plan | 147,054 |
Total assets | 4,423,758,110 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 3,554,261 |
Payable for: | |
Investments purchased on a delayed delivery basis | 261,291,746 |
Capital shares purchased | 5,106,863 |
Variation margin for futures contracts | 8,651,482 |
Variation margin for swap contracts | 585,075 |
Management services fees | 317,739 |
Distribution and/or service fees | 15,595 |
Transfer agent fees | 159,943 |
Compensation of board members | 36,061 |
Other expenses | 113,219 |
Trustees’ deferred compensation plan | 147,054 |
Total liabilities | 279,979,038 |
Net assets applicable to outstanding capital stock | $4,143,779,072 |
Represented by | |
Paid in capital | 4,544,573,226 |
Total distributable earnings (loss) | (400,794,154) |
Total - representing net assets applicable to outstanding capital stock | $4,143,779,072 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 17 |
May 31, 2022
Class A | |
Net assets | $185,112,388 |
Shares outstanding | 19,107,081 |
Net asset value per share | $9.69 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $10.28 |
Advisor Class | |
Net assets | $86,570,137 |
Shares outstanding | 8,915,122 |
Net asset value per share | $9.71 |
Class C | |
Net assets | $94,069,243 |
Shares outstanding | 10,241,766 |
Net asset value per share | $9.18 |
Institutional Class | |
Net assets | $3,693,808,535 |
Shares outstanding | 380,744,044 |
Net asset value per share | $9.70 |
Institutional 2 Class | |
Net assets | $63,728,731 |
Shares outstanding | 6,546,000 |
Net asset value per share | $9.74 |
Institutional 3 Class | |
Net assets | $19,579,460 |
Shares outstanding | 2,010,142 |
Net asset value per share | $9.74 |
Class R | |
Net assets | $910,578 |
Shares outstanding | 95,231 |
Net asset value per share | $9.56 |
18 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
Year Ended May 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $6,319,269 |
Dividends — affiliated issuers | 110,264,229 |
Interest | 52,732,013 |
Foreign taxes withheld | (74,135) |
Total income | 169,241,376 |
Expenses: | |
Management services fees | 29,704,707 |
Distribution and/or service fees | |
Class A | 470,177 |
Class C | 1,122,719 |
Class R | 4,031 |
Transfer agent fees | |
Class A | 88,406 |
Advisor Class | 37,494 |
Class C | 52,522 |
Institutional Class | 1,853,370 |
Institutional 2 Class | 37,774 |
Institutional 3 Class | 4,403 |
Class R | 380 |
Compensation of board members | 63,692 |
Custodian fees | 227,688 |
Printing and postage fees | 131,138 |
Registration fees | 277,411 |
Audit fees | 54,750 |
Legal fees | 51,257 |
Interest on collateral | 405,056 |
Compensation of chief compliance officer | 1,333 |
Other | 52,855 |
Total expenses | 34,641,163 |
Net investment income | 134,600,213 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 32,724,292 |
Investments — affiliated issuers | 76,109,005 |
Capital gain distributions from underlying affiliated funds | 669,026 |
Foreign currency translations | (576,234) |
Forward foreign currency exchange contracts | 149,563,905 |
Futures contracts | 39,555,895 |
Swap contracts | 3,830,017 |
Net realized gain | 301,875,906 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (395,177,361) |
Investments — affiliated issuers | (56,129,313) |
Foreign currency translations | (414,680) |
Forward foreign currency exchange contracts | 12,881,103 |
Futures contracts | (125,060,325) |
Swap contracts | (22,653,891) |
Net change in unrealized appreciation (depreciation) | (586,554,467) |
Net realized and unrealized loss | (284,678,561) |
Net decrease in net assets resulting from operations | $(150,078,348) |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 19 |
Year Ended May 31, 2022 | Year Ended May 31, 2021 | |
Operations | ||
Net investment income | $134,600,213 | $5,845,344 |
Net realized gain | 301,875,906 | 463,916,290 |
Net change in unrealized appreciation (depreciation) | (586,554,467) | 196,658,755 |
Net increase (decrease) in net assets resulting from operations | (150,078,348) | 666,420,389 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (32,135,555) | (1,548,063) |
Advisor Class | (15,402,896) | (1,159,036) |
Class C | (19,874,747) | (616,774) |
Institutional Class | (688,785,814) | (75,347,293) |
Institutional 2 Class | (10,298,112) | (1,180,953) |
Institutional 3 Class | (3,879,770) | (435,933) |
Class R | (143,242) | (2,542) |
Total distributions to shareholders | (770,520,136) | (80,290,594) |
Increase in net assets from capital stock activity | 796,520,568 | 505,297,035 |
Total increase (decrease) in net assets | (124,077,916) | 1,091,426,830 |
Net assets at beginning of year | 4,267,856,988 | 3,176,430,158 |
Net assets at end of year | $4,143,779,072 | $4,267,856,988 |
20 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
Year Ended | Year Ended | |||
May 31, 2022 | May 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 5,594,187 | 60,975,090 | 3,511,911 | 39,359,283 |
Distributions reinvested | 2,892,709 | 30,402,371 | 129,351 | 1,481,063 |
Redemptions | (3,845,595) | (41,535,809) | (2,932,206) | (33,082,610) |
Net increase | 4,641,301 | 49,841,652 | 709,056 | 7,757,736 |
Advisor Class | ||||
Subscriptions | 4,316,404 | 50,176,542 | 3,605,975 | 41,235,461 |
Distributions reinvested | 1,464,052 | 15,401,823 | 101,116 | 1,158,793 |
Redemptions | (1,956,212) | (21,388,286) | (2,600,008) | (29,970,824) |
Net increase | 3,824,244 | 44,190,079 | 1,107,083 | 12,423,430 |
Class C | ||||
Subscriptions | 1,315,151 | 14,422,781 | 1,740,304 | 18,919,109 |
Distributions reinvested | 1,938,855 | 19,369,165 | 54,694 | 601,087 |
Redemptions | (2,798,883) | (28,824,303) | (1,666,684) | (18,196,912) |
Net increase | 455,123 | 4,967,643 | 128,314 | 1,323,284 |
Institutional Class | ||||
Subscriptions | 81,121,176 | 911,145,226 | 99,516,165 | 1,122,158,944 |
Distributions reinvested | 63,639,272 | 668,848,747 | 6,403,075 | 73,315,210 |
Redemptions | (80,310,337) | (897,830,976) | (64,186,723) | (733,957,702) |
Net increase | 64,450,111 | 682,162,997 | 41,732,517 | 461,516,452 |
Institutional 2 Class | ||||
Subscriptions | 4,439,815 | 49,138,569 | 4,384,916 | 50,120,358 |
Distributions reinvested | 976,124 | 10,298,112 | 102,870 | 1,180,952 |
Redemptions | (4,172,968) | (47,429,487) | (2,922,457) | (33,482,213) |
Net increase | 1,242,971 | 12,007,194 | 1,565,329 | 17,819,097 |
Institutional 3 Class | ||||
Subscriptions | 142,545 | 1,630,519 | 481,381 | 5,302,208 |
Distributions reinvested | 367,700 | 3,879,234 | 37,934 | 435,867 |
Redemptions | (258,132) | (2,731,456) | (121,776) | (1,372,157) |
Net increase | 252,113 | 2,778,297 | 397,539 | 4,365,918 |
Class R | ||||
Subscriptions | 50,566 | 577,024 | 10,730 | 117,004 |
Distributions reinvested | 13,745 | 142,672 | 223 | 2,525 |
Redemptions | (13,213) | (146,990) | (2,663) | (28,411) |
Net increase | 51,098 | 572,706 | 8,290 | 91,118 |
Total net increase | 74,916,961 | 796,520,568 | 45,648,128 | 505,297,035 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 21 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class A | |||||||
Year Ended 5/31/2022 | $12.10 | 0.32 | (0.59) | (0.27) | (0.42) | (1.72) | (2.14) |
Year Ended 5/31/2021 | $10.25 | (0.01) | 1.97 | 1.96 | (0.04) | (0.07) | (0.11) |
Year Ended 5/31/2020 | $10.44 | 0.08 | 0.51 | 0.59 | (0.26) | (0.52) | (0.78) |
Year Ended 5/31/2019 | $10.81 | 0.20 | 0.01 | 0.21 | (0.35) | (0.23) | (0.58) |
Year Ended 5/31/2018 | $10.83 | 0.04 | 0.72 | 0.76 | — | (0.78) | (0.78) |
Advisor Class | |||||||
Year Ended 5/31/2022 | $12.12 | 0.38 | (0.62) | (0.24) | (0.44) | (1.73) | (2.17) |
Year Ended 5/31/2021 | $10.37 | 0.02 | 1.98 | 2.00 | (0.10) | (0.15) | (0.25) |
Year Ended 5/31/2020 | $10.55 | 0.10 | 0.53 | 0.63 | (0.29) | (0.52) | (0.81) |
Year Ended 5/31/2019 | $10.92 | 0.23 | 0.01 | 0.24 | (0.38) | (0.23) | (0.61) |
Year Ended 5/31/2018 | $10.92 | 0.07 | 0.71 | 0.78 | (0.00)(e) | (0.78) | (0.78) |
Class C | |||||||
Year Ended 5/31/2022 | $11.57 | 0.23 | (0.57) | (0.34) | (0.37) | (1.68) | (2.05) |
Year Ended 5/31/2021 | $9.85 | (0.09) | 1.87 | 1.78 | — | (0.06) | (0.06) |
Year Ended 5/31/2020 | $10.05 | 0.00(e) | 0.50 | 0.50 | (0.18) | (0.52) | (0.70) |
Year Ended 5/31/2019 | $10.42 | 0.11 | 0.02 | 0.13 | (0.27) | (0.23) | (0.50) |
Year Ended 5/31/2018 | $10.55 | (0.04) | 0.69 | 0.65 | — | (0.78) | (0.78) |
Institutional Class | |||||||
Year Ended 5/31/2022 | $12.11 | 0.35 | (0.59) | (0.24) | (0.44) | (1.73) | (2.17) |
Year Ended 5/31/2021 | $10.36 | 0.02 | 1.98 | 2.00 | (0.10) | (0.15) | (0.25) |
Year Ended 5/31/2020 | $10.55 | 0.11 | 0.51 | 0.62 | (0.29) | (0.52) | (0.81) |
Year Ended 5/31/2019 | $10.91 | 0.22 | 0.03 | 0.25 | (0.38) | (0.23) | (0.61) |
Year Ended 5/31/2018 | $10.91 | 0.06 | 0.72 | 0.78 | (0.00)(e) | (0.78) | (0.78) |
Institutional 2 Class | |||||||
Year Ended 5/31/2022 | $12.15 | 0.32 | (0.56) | (0.24) | (0.44) | (1.73) | (2.17) |
Year Ended 5/31/2021 | $10.39 | 0.02 | 1.98 | 2.00 | (0.10) | (0.14) | (0.24) |
Year Ended 5/31/2020 | $10.57 | 0.10 | 0.53 | 0.63 | (0.29) | (0.52) | (0.81) |
Year Ended 5/31/2019 | $10.93 | 0.22 | 0.03 | 0.25 | (0.38) | (0.23) | (0.61) |
Year Ended 5/31/2018 | $10.93 | 0.06 | 0.72 | 0.78 | (0.00)(e) | (0.78) | (0.78) |
22 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Year Ended 5/31/2022 | $9.69 | (3.62%) | 1.00%(c) | 1.00%(c) | 2.82% | 260% | $185,112 |
Year Ended 5/31/2021 | $12.10 | 19.17% | 1.00%(c) | 1.00%(c) | (0.06%) | 227% | $175,015 |
Year Ended 5/31/2020 | $10.25 | 5.41% | 1.01%(c) | 1.01%(c),(d) | 0.74% | 314% | $141,074 |
Year Ended 5/31/2019 | $10.44 | 2.33% | 1.00% | 1.00%(d) | 1.87% | 203% | $120,147 |
Year Ended 5/31/2018 | $10.81 | 7.07% | 0.99% | 0.99%(d) | 0.33% | 210% | $132,920 |
Advisor Class | |||||||
Year Ended 5/31/2022 | $9.71 | (3.36%) | 0.75%(c) | 0.75%(c) | 3.39% | 260% | $86,570 |
Year Ended 5/31/2021 | $12.12 | 19.38% | 0.75%(c) | 0.75%(c) | 0.20% | 227% | $61,716 |
Year Ended 5/31/2020 | $10.37 | 5.71% | 0.76%(c) | 0.76%(c),(d) | 0.98% | 314% | $41,312 |
Year Ended 5/31/2019 | $10.55 | 2.58% | 0.75% | 0.75%(d) | 2.14% | 203% | $30,420 |
Year Ended 5/31/2018 | $10.92 | 7.26% | 0.74% | 0.74%(d) | 0.59% | 210% | $19,764 |
Class C | |||||||
Year Ended 5/31/2022 | $9.18 | (4.39%) | 1.75%(c) | 1.75%(c) | 2.11% | 260% | $94,069 |
Year Ended 5/31/2021 | $11.57 | 18.14% | 1.75%(c) | 1.75%(c) | (0.80%) | 227% | $113,245 |
Year Ended 5/31/2020 | $9.85 | 4.73% | 1.76%(c) | 1.76%(c),(d) | 0.00% | 314% | $95,090 |
Year Ended 5/31/2019 | $10.05 | 1.56% | 1.75% | 1.75%(d) | 1.10% | 203% | $94,648 |
Year Ended 5/31/2018 | $10.42 | 6.19% | 1.74% | 1.74%(d) | (0.43%) | 210% | $109,335 |
Institutional Class | |||||||
Year Ended 5/31/2022 | $9.70 | (3.37%) | 0.75%(c) | 0.75%(c) | 3.08% | 260% | $3,693,809 |
Year Ended 5/31/2021 | $12.11 | 19.40% | 0.75%(c) | 0.75%(c) | 0.19% | 227% | $3,831,565 |
Year Ended 5/31/2020 | $10.36 | 5.62% | 0.76%(c) | 0.76%(c),(d) | 1.00% | 314% | $2,845,593 |
Year Ended 5/31/2019 | $10.55 | 2.67% | 0.75% | 0.75%(d) | 2.11% | 203% | $2,618,924 |
Year Ended 5/31/2018 | $10.91 | 7.26% | 0.74% | 0.74%(d) | 0.59% | 210% | $2,782,662 |
Institutional 2 Class | |||||||
Year Ended 5/31/2022 | $9.74 | (3.36%) | 0.76%(c) | 0.76%(c) | 2.78% | 260% | $63,729 |
Year Ended 5/31/2021 | $12.15 | 19.38% | 0.76%(c) | 0.76%(c) | 0.17% | 227% | $64,418 |
Year Ended 5/31/2020 | $10.39 | 5.69% | 0.77%(c) | 0.77%(c) | 0.95% | 314% | $38,829 |
Year Ended 5/31/2019 | $10.57 | 2.65% | 0.76% | 0.76% | 2.10% | 203% | $22,397 |
Year Ended 5/31/2018 | $10.93 | 7.24% | 0.75% | 0.75% | 0.57% | 210% | $16,033 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 23 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | |||||||
Year Ended 5/31/2022 | $12.16 | 0.36 | (0.61) | (0.25) | (0.44) | (1.73) | (2.17) |
Year Ended 5/31/2021 | $10.41 | 0.03 | 1.99 | 2.02 | (0.11) | (0.16) | (0.27) |
Year Ended 5/31/2020 | $10.59 | 0.11 | 0.52 | 0.63 | (0.29) | (0.52) | (0.81) |
Year Ended 5/31/2019 | $10.95 | 0.32 | (0.07)(f) | 0.25 | (0.38) | (0.23) | (0.61) |
Year Ended 5/31/2018 | $10.95 | 0.07 | 0.72 | 0.79 | (0.01) | (0.78) | (0.79) |
Class R | |||||||
Year Ended 5/31/2022 | $11.97 | 0.30 | (0.60) | (0.30) | (0.40) | (1.71) | (2.11) |
Year Ended 5/31/2021 | $10.13 | (0.03) | 1.93 | 1.90 | — | (0.06) | (0.06) |
Year Ended 5/31/2020 | $10.32 | 0.05 | 0.52 | 0.57 | (0.24) | (0.52) | (0.76) |
Year Ended 5/31/2019 | $10.69 | 0.16 | 0.02 | 0.18 | (0.32) | (0.23) | (0.55) |
Year Ended 5/31/2018 | $10.75 | (0.01) | 0.73 | 0.72 | — | (0.78) | (0.78) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 5/31/2022 | 5/31/2021 | 5/31/2020 |
Class A | 0.01% | less than 0.01% | less than 0.01% |
Advisor Class | 0.01% | less than 0.01% | less than 0.01% |
Class C | 0.01% | less than 0.01% | less than 0.01% |
Institutional Class | 0.01% | less than 0.01% | less than 0.01% |
Institutional 2 Class | 0.01% | less than 0.01% | less than 0.01% |
Institutional 3 Class | 0.01% | less than 0.01% | less than 0.01% |
Class R | 0.01% | less than 0.01% | less than 0.01% |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Rounds to zero. |
(f) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
24 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Year Ended 5/31/2022 | $9.74 | (3.40%) | 0.72%(c) | 0.72%(c) | 3.13% | 260% | $19,579 |
Year Ended 5/31/2021 | $12.16 | 19.53% | 0.71%(c) | 0.71%(c) | 0.23% | 227% | $21,369 |
Year Ended 5/31/2020 | $10.41 | 5.73% | 0.72%(c) | 0.72%(c) | 1.04% | 314% | $14,168 |
Year Ended 5/31/2019 | $10.59 | 2.67% | 0.71% | 0.71% | 3.02% | 203% | $13,063 |
Year Ended 5/31/2018 | $10.95 | 7.29% | 0.69% | 0.69% | 0.65% | 210% | $3 |
Class R | |||||||
Year Ended 5/31/2022 | $9.56 | (3.91%) | 1.25%(c) | 1.25%(c) | 2.69% | 260% | $911 |
Year Ended 5/31/2021 | $11.97 | 18.82% | 1.25%(c) | 1.25%(c) | (0.31%) | 227% | $528 |
Year Ended 5/31/2020 | $10.13 | 5.22% | 1.26%(c) | 1.26%(c),(d) | 0.51% | 314% | $363 |
Year Ended 5/31/2019 | $10.32 | 2.07% | 1.25% | 1.25%(d) | 1.54% | 203% | $424 |
Year Ended 5/31/2018 | $10.69 | 6.75% | 1.25% | 1.25%(d) | (0.08%) | 210% | $325 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 25 |
May 31, 2022
26 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 27 |
May 31, 2022
28 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 29 |
May 31, 2022
30 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 292,750* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 67,545* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 5,199,316 |
Total | 5,559,611 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 4,729,567* |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 10,443,866* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 3,554,261 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 29,342,424* |
Total | 48,070,118 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 31 |
May 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 1,295,307 | 1,295,307 |
Equity risk | — | 80,224,178 | ��� | 80,224,178 |
Foreign exchange risk | 149,563,905 | — | — | 149,563,905 |
Interest rate risk | — | (40,668,283) | 2,534,710 | (38,133,573) |
Total | 149,563,905 | 39,555,895 | 3,830,017 | 192,949,817 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (22,653,891) | (22,653,891) |
Equity risk | — | (94,390,218) | — | (94,390,218) |
Foreign exchange risk | 12,881,103 | — | — | 12,881,103 |
Interest rate risk | — | (30,670,107) | — | (30,670,107) |
Total | 12,881,103 | (125,060,325) | (22,653,891) | (134,833,113) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 2,262,415,510* |
Credit default swap contracts — buy protection | 7,275,228** |
Credit default swap contracts — sell protection | 1,029,964,961* |
Derivative instrument | Average unrealized appreciation ($) | Average unrealized depreciation ($) |
Forward foreign currency exchange contracts | 7,970,369* | (3,963,308)* |
Interest rate swap contracts | 376,818** | (40,970)** |
* | Based on the ending quarterly outstanding amounts for the year ended May 31, 2022. |
** | Based on the ending daily outstanding amounts for the year ended May 31, 2022. |
32 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Citi ($) | Goldman Sachs International ($) | HSBC ($) | Morgan Stanley ($) | Standard Chartered ($) | UBS ($) | Total ($) | |
Assets | |||||||
Forward foreign currency exchange contracts | 897,523 | 32,219 | 1,400,790 | - | 80,540 | 2,788,244 | 5,199,316 |
Liabilities | |||||||
Centrally cleared credit default swap contracts (a) | - | - | - | 585,075 | - | - | 585,075 |
Forward foreign currency exchange contracts | 1,982,304 | 345,594 | 542,146 | - | - | 684,217 | 3,554,261 |
Total liabilities | 1,982,304 | 345,594 | 542,146 | 585,075 | - | 684,217 | 4,139,336 |
Total financial and derivative net assets | (1,084,781) | (313,375) | 858,644 | (585,075) | 80,540 | 2,104,027 | 1,059,980 |
Total collateral received (pledged) (b) | - | - | - | (585,075) | - | - | (585,075) |
Net amount (c) | (1,084,781) | (313,375) | 858,644 | - | 80,540 | 2,104,027 | 1,645,055 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 33 |
May 31, 2022
34 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 35 |
May 31, 2022
Effective rate (%) | |
Class A | 0.05 |
Advisor Class | 0.05 |
Class C | 0.05 |
Institutional Class | 0.05 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.02 |
Class R | 0.05 |
36 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 320,150 |
Class C | — | 1.00(b) | 8,206 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
Fee rate(s) contractual through September 30, 2022 | |
Class A | 1.25% |
Advisor Class | 1.00 |
Class C | 2.00 |
Institutional Class | 1.00 |
Institutional 2 Class | 1.01 |
Institutional 3 Class | 0.96 |
Class R | 1.50 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 37 |
May 31, 2022
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
135,050,731 | (139,829,475) | 4,778,744 |
Year Ended May 31, 2022 | Year Ended May 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
455,778,260 | 314,741,876 | 770,520,136 | 58,672,674 | 21,617,920 | 80,290,594 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
59,858,783 | — | — | (264,558,865) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
4,524,400,145 | 40,104,085 | (304,662,950) | (264,558,865) |
Late year ordinary losses ($) | Post-October capital losses ($) |
— | 195,817,778 |
38 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 39 |
May 31, 2022
40 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
May 31, 2022
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 41 |
May 31, 2022
42 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 43 |
Section 199A dividends | Capital gain dividend |
1.06% | $124,271,789 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
44 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer) since 2019 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 45 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation since 1997; former Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, CET I and CET II since 2021 | Independent business executive since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
46 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 174 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 176 | Director, Blue Cross Blue Shield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation since 1998 |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 47 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC since April 2015; President and Principal Executive Officer of the Columbia Funds since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since January 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
48 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President – Pricing and Corporate Actions, May 2010 - March 2017). |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Columbia Adaptive Risk Allocation Fund | Annual Report 2022 | 49 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
50 | Columbia Adaptive Risk Allocation Fund | Annual Report 2022 |
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img919b68a02.jpg)
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img4d6f47271.jpg)
May 31, 2022
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/imgb0a559252.jpg)
3 | |
5 | |
10 | |
11 | |
35 | |
37 | |
38 | |
40 | |
44 | |
66 | |
67 | |
72 |
(Unaudited)
Average annual total returns (%) (for the period ended May 31, 2022) | |||||
Inception | 1 Year | 5 Years | Life | ||
Class A | Excluding sales charges | 01/28/15 | -3.54 | -4.84 | -4.05 |
Including sales charges | -9.09 | -5.96 | -4.82 | ||
Advisor Class | 01/28/15 | -3.34 | -4.60 | -3.81 | |
Class C | Excluding sales charges | 01/28/15 | -4.29 | -5.55 | -4.76 |
Including sales charges | -5.23 | -5.55 | -4.76 | ||
Institutional Class | 01/28/15 | -3.32 | -4.61 | -3.83 | |
Institutional 2 Class | 01/28/15 | -3.29 | -4.52 | -3.74 | |
Institutional 3 Class | 01/28/15 | -3.21 | -4.48 | -3.68 | |
Class R | 01/28/15 | -3.83 | -5.08 | -4.29 | |
FTSE One-Month U.S. Treasury Bill Index | 0.09 | 1.03 | 0.76 | ||
HFRX Global Hedge Fund Index | -3.01 | 2.35 | 1.78 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 3 |
(Unaudited)
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img7919bfdc3.jpg)
Portfolio breakdown (%) (at May 31, 2022) | |
Asset-Backed Securities — Non-Agency | 5.8 |
Commercial Mortgage-Backed Securities - Agency | 0.1 |
Commercial Mortgage-Backed Securities - Non-Agency | 4.8 |
Money Market Funds | 40.5 |
Options Purchased Calls | 0.1 |
Options Purchased Puts | 0.1 |
Residential Mortgage-Backed Securities - Agency | 12.6 |
Residential Mortgage-Backed Securities - Non-Agency | 15.8 |
Treasury Bills | 20.2 |
Total | 100.0 |
Market exposure through derivatives investments (% of notional exposure) (at May 31, 2022)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 507.5 | (566.6) | (59.1) |
Commodities Derivative Contracts | 13.0 | (9.6) | 3.4 |
Equity Derivative Contracts | 88.2 | (103.2) | (15.0) |
Foreign Currency Derivative Contracts | 523.5 | (552.8) | (29.3) |
Total Notional Market Value of Derivative Contracts | 1,132.2 | (1,232.2) | (100.0) |
4 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
(Unaudited)
• | Short positions in foreign currencies in our G10 currency strategy contributed to performance during the period and offset some of the detraction from the strategy’s long positions. |
○ | Short positions in Japanese Yen (JPY) and Euro (EUR), along with long positions in the Canadian Dollar (CAD) and New Zealand Dollar (NZD), contributed positively during the period. |
• | Within the GTAA strategy, underweights (short positions) in U.S. equity helped equity performance. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 5 |
(Unaudited)
• | The most significant detractor from total returns during the period came from the Mortgage Opportunities non-traditional bond strategy held within our portion of the portfolio. |
○ | This sleeve tends to historically focus on exposures related to high-quality agency mortgage-backed securities, higher yielding non-agency residential and commercial mortgage-backed securities, and asset-backed securities. |
○ | In a volatile environment marked with a risk-off sentiment, concerns surrounding extension risk and a slowing housing market, the sleeve did experience some meaningful downside over the past year. |
○ | In response to the changing landscape, where volatility has increased across a large swath of the sleeve’s investable universe, its managers have shifted higher the sleeve’s overall credit quality. |
• | Negative performance in our G10 currency strategy during the period was driven by long positions in foreign currencies that detracted from returns. |
○ | During this period, the G10 foreign exchange (FX) strategy was generally positively correlated to risk assets and commodities, and negatively correlated to the U.S. Dollar. |
○ | On average, long positions in the Norwegian Krone (NOK), Swedish Krona (SEK), and British Pound (GBP) and short positions in the Australian Dollar (AUD) and Swiss Franc (CHF) contributed negatively to the overall performance. |
• | Finally, the GTAA strategy, which invests on a long/short basis across both equity and fixed-income markets, experienced another challenging year. Some of the key drivers of returns for the GTAA strategy over the period were as follows: |
○ | Both equity and fixed-income positioning hurt performance in our portion of the Fund during the 12-month period. |
○ | Relative overweights (long positions) in emerging market equity and European equity hurt performance in the period. |
○ | Relative short positions in Australian and European fixed-income-related markets detracted from returns. |
• | For systematic views, positions in commodities and equities contributed positively over the reporting period. |
• | Notable contributors among these asset classes include directional metals commodity market strategies and emerging market equity strategies. |
• | From a factor perspective, price momentum and fundamental momentum drove positive performance for our portion of the Fund. |
• | In emerging equities, the relative value and directional strategies both contributed positively to performance. |
6 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
(Unaudited)
• | In the relative value strategy, gains were driven by short exposure to Chinese H shares and long exposure to Taiwan equities. |
○ | Chinese equity markets have consistently underperformed the cross section of emerging markets over the last twelve months, beginning with a regulatory crackdown on large market-weight companies and more recently due to a sharp slowdown in growth as a result of virus-related activity curbs. |
○ | Taiwan has outperformed the cross-section as the heavy market weight of semiconductors companies in the index benefitted from strong global demand. |
• | Short exposure to Korean equities also drove positive performance in the directional strategy. Korean equities struggled over the period given the continued slowing in growth in China – the country’s main trading partner. |
• | In the metals directional strategy, long exposure to nickel drove gains. Nickel prices spiked with the Russian invasion of Ukraine, as the market expected that Russia’s position as a major nickel exporter would tighten global supplies. |
• | For discretionary views, positive performance was driven by fixed income with equities and commodities also adding to gains. |
○ | A directional short position in U.S. 5-year Treasury futures was the main contributor to fixed income outperformance. Bonds performed poorly over the period as inflation continued to accelerate and the Fed began its steepest rate hiking cycle in over twenty years. |
○ | A directional short position in the NASDAQ in 2022 has been the most profitable position in the discretionary equities strategies. Longer duration tech companies that came into the year with demanding multiples have underperformed with the rise in bond yields. |
• | At the country level, exposures to Brazil, Russia, and Japan were the top three contributors. |
○ | Short exposure to Brazilian equity markets added to returns in the fourth quarter of 2021 as markets began to worry that the government would breach their fiscal spending limit ahead of the election. This led to higher bond yields and weighed on the relative attractiveness of equities for domestic investors. |
○ | Short positions in the Russian ruble contributed to returns in the first quarter of 2022 as the invasion of Ukraine weighed broadly on Russian assets. |
○ | Relative long positions in Japanese bonds have proven profitable throughout the reporting period, but particularly in 2022 as the Bank of Japan has committed to its accommodative policy stance while other central banks tighten policy. |
• | For systematic views, positions in currencies were the largest detractor with fixed income also detracting. |
○ | Notable detractors among these asset classes include developed currency strategies, yield curve, and developed interest rates relative value strategies. |
○ | From a factor perspective, carry (notably in fixed income) and value (mostly in equity and commodity strategies) detracted. |
• | Within developed currency strategies, long exposure to the Swedish Krona was the main detractor over the period. While many central banks were moving towards more hawkish rhetoric and starting to raise interest rates, the Riksbank remained dovish, only hiking their policy rate for the first time this cycle at their April 2022 meeting. |
• | Within yield curve strategies, relative positioning of 2s10s UK steepeners and Euro flatteners in the second half of 2021 was the main detractor over the period. (A steepener is a type of interest rate swap that seeks to benefit from rising yield differences as a result of an increase in the yield curve of two T-bonds of different maturities, in this case the difference between the yield on the 10-year Gilt and the 2-year Gilt.) |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 7 |
(Unaudited)
○ | The Bank of England became one of the first developed market central banks to raise rates, surprising markets with a 15 basis point rate hike at its December 2021 meeting, and leading to the pricing-in of more rate increases. (A basis point is 1/100 of a percent.) |
○ | The European Central Bank (ECB), on the other hand, pushed back against market expectations of interest rate hikes, and continued its asset purchase programs despite well-above-target inflation. |
• | Within developed interest rate relative value strategies, long exposure to New Zealand 2-year interest rate swaps and short Euro 2-year interest rate swaps was the main detractor over the period. |
○ | Long positions in New Zealand weighed on returns in mid-2021 as the Reserve Bank of New Zealand increased hawkish rhetoric before raising interest rates at its October meeting. |
○ | Relative long positions in the Euro area underperformed on continued ECB dovishness despite high inflation in the second half of 2021. |
• | Our portion of the Fund benefited from relative value positioning in commodity futures, including net long positioning in the energy sector. |
○ | Our strategy gained from overweights in heating oil, nickel and WTI (West Texas Intermediate) crude oil. |
○ | The strategy benefited from the strong factor performance across the board, particularly sentiment and risk factors. |
• | Our directional strategies, which take views across asset classes, contributed during the period, primarily driven by our overweight in commodities markets, underweight in global equities, and net long U.S. Dollar positioning. |
• | Opportunistic strategies also contributed, mainly coming from positioning in the slope of the U.S. Treasury yield curve and in U.S. Equities. |
• | The top performing country allocation in our portion of the Fund was short positioning in the New Zealand Dollar followed by positioning in the British Pound and UK Gilts. |
○ | We were short the New Zealand Dollar for the majority of the period, flipping from a short to a small long in December 2021 and turning short again in February 2022. The New Zealand Dollar was generally down over the reporting period. Our positioning was mainly driven by carry and growth factors. |
○ | We were short the British Pound for the full period based on negative readings of the growth environment and risk sentiment. The Pound depreciated versus the U.S. Dollar over the reporting period due to diverging monetary policies and deterioration in risk appetite |
○ | We were short UK Gilts over almost the full reporting period. We flipped from short to neutral at the end of May 2022. UK Gilts were down over the full period, due to rising rates driven by inflation concerns and anticipated monetary policy tightening. |
8 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
(Unaudited)
• | Positioning in our currency and sovereign bond relative value strategies detracted from performance in our portion of the Fund during the period. |
• | The largest detractor was our relative value global currency sub-strategy. The losses were mainly driven by overweights in the Swedish Krona, Norwegian Krone and Japanese Yen. Carry and value factors were the main drivers of underperformance. |
• | Our relative value global government bond sub-strategy also detracted, primarily driven by long positioning in Australian, French, and Canadian government bonds. In this case our carry and growth factors were the main detractors. |
• | The largest detracting international country positions over the period were Australian bonds, the Swedish Krona and the Norwegian Krone. |
○ | We were long Australian bonds for the full period on the back of favorable carry and growth factors and trimmed the position in April 2022. Australian bonds lost value due to inflationary concerns and monetary policy tightening. |
○ | We were long the Swedish Krona for the majority of the reporting period. We trimmed our long exposure in March 2022 and flipped to a short position in April 2022. The Swedish Krona depreciated versus the U.S. Dollar over the full period, with the majority of the losses coming in 2021 due to diverging monetary policies. |
○ | We began the period with a short position in the Norwegian Krone, reduced our exposure to roughly flat in June 2021 and flipped to a long position in September 2021. The Norwegian Krone depreciated versus the U.S. Dollar over the period due to diverging monetary policies and deterioration in risk appetite, and losses were overall equally distributed in 2021 and in 2022. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 9 |
(Unaudited)
December 1, 2021 — May 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,013.10 | 1,018.35 | 6.63 | 6.64 | 1.32 |
Advisor Class | 1,000.00 | 1,000.00 | 1,014.30 | 1,019.60 | 5.37 | 5.39 | 1.07 |
Class C | 1,000.00 | 1,000.00 | 1,009.40 | 1,014.66 | 10.32 | 10.35 | 2.06 |
Institutional Class | 1,000.00 | 1,000.00 | 1,014.20 | 1,019.60 | 5.37 | 5.39 | 1.07 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,014.60 | 1,019.80 | 5.17 | 5.19 | 1.03 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,014.90 | 1,020.04 | 4.92 | 4.94 | 0.98 |
Class R | 1,000.00 | 1,000.00 | 1,011.80 | 1,017.10 | 7.87 | 7.90 | 1.57 |
10 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Asset-Backed Securities — Non-Agency 5.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class DR | ||||
3-month USD LIBOR + 6.870% Floor 6.870% 04/15/2034 | 7.914% | 1,500,000 | 1,417,211 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2020-4A Class E | ||||
3-month USD LIBOR + 7.950% Floor 7.950% 10/20/2033 | 9.013% | 900,000 | 861,728 | |
Carlyle Global Market Strategies(a),(b) | ||||
Series 2021-5A Class E | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/20/2034 | 7.313% | 1,000,000 | 904,644 | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2016-4A Class A2R | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 10/20/2027 | 2.513% | 3,100,000 | 2,994,073 | |
Consumer Loan Underlying Bond Credit Trust(a),(c),(d) | ||||
Subordinated Series 2018-P1 Class CERT | ||||
07/15/2025 | 0.000% | 100,000 | 1,085,000 | |
Subordinated Series 2018-P2 Class CERT | ||||
10/15/2025 | 0.000% | 100,000 | 980,000 | |
Consumer Underlying Bond Securitization(a) | ||||
Series 2018-1 Class A | ||||
02/17/2026 | 4.790% | 32,915 | 32,915 | |
Dryden 86 CLO Ltd.(a),(b) | ||||
Series 2020-86A Class ER | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 07/17/2034 | 7.544% | 1,400,000 | 1,299,327 | |
ENVA LLC(a) | ||||
Series 2019-A Class C | ||||
06/22/2026 | 7.620% | 214,407 | 214,874 | |
Exeter Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class E | ||||
07/17/2028 | 2.900% | 900,000 | 843,060 | |
Freed ABS Trust(a) | ||||
Subordinated Series 2021-1CP Class C | ||||
03/20/2028 | 2.830% | 700,000 | 690,168 | |
LendingClub Receivables Trust(a),(c),(d) | ||||
Series 2020-2 Class R | ||||
02/15/2046 | 0.000% | 85,000 | 323,000 | |
LendingClub Receivables Trust(a),(c),(d),(e) | ||||
Series 2020-JPSL Class R | ||||
02/15/2025 | 0.000% | 50,000 | 1,234,000 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LendingPoint Asset Securitization Trust(a),(d) | ||||
Subordinated Series 2021-1 Class C | ||||
04/15/2027 | 4.935% | 1,150,000 | 1,131,313 | |
Subordinated Series 2021-1 Class D | ||||
04/15/2027 | 7.226% | 1,000,000 | 980,000 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2021-A Class C | ||||
12/15/2028 | 2.750% | 2,000,000 | 1,934,608 | |
Subordinated Series 2022-A Class D | ||||
06/15/2029 | 4.540% | 1,700,000 | 1,642,138 | |
LP LMS Asset Securitization Trust(a) | ||||
Series 2021-2A Class A | ||||
01/15/2029 | 1.750% | 844,985 | 832,728 | |
LP LMS Asset Securitization Trust(a),(d) | ||||
Subordinated Series 2021-2A Class B | ||||
01/15/2029 | 2.330% | 500,000 | 478,750 | |
Madison Park Funding XLVII Ltd.(a),(b) | ||||
Series 2020-47A Class E | ||||
3-month USD LIBOR + 7.460% Floor 7.460% 01/19/2034 | 8.504% | 500,000 | 476,469 | |
Madison Park Funding XXIV Ltd.(a),(b) | ||||
Series 2016-24A Class BR | ||||
3-month USD LIBOR + 1.750% 10/20/2029 | 2.813% | 7,000,000 | 6,880,685 | |
Marlette Funding Trust(a) | ||||
Series 2021-1A Class D | ||||
06/16/2031 | 2.470% | 100,000 | 95,889 | |
Octagon Investment Partners 47 Ltd.(a),(b) | ||||
Series 2020-1A Class ER | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/20/2034 | 7.313% | 750,000 | 662,367 | |
Pagaya AI Debt Selection Trust(a),(d) | ||||
Series 2020-2 Class NOTE | ||||
12/15/2027 | 7.500% | 325,187 | 322,748 | |
Pagaya AI Debt Selection Trust(a),(c),(d) | ||||
Series 2020-3 Class CERT | ||||
05/17/2027 | 0.000% | 3,200,000 | 896,106 | |
Series 2021-1 Class CERT | ||||
11/15/2027 | 0.000% | 1,846,200 | 1,384,650 | |
Subordinated Series 2021-5 Class | ||||
08/15/2029 | 0.000% | 865,000 | 968,800 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-2 Class NOTE | ||||
01/25/2029 | 3.000% | 678,581 | 659,659 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 11 |
May 31, 2022
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 373,324 | 363,397 | |
Subordinated Series 2021-3 Class C | ||||
05/15/2029 | 3.270% | 1,064,942 | 986,751 | |
Subordinated Series 2021-5 Class C | ||||
08/15/2029 | 3.930% | 1,500,000 | 1,361,115 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2020-4A Class D | ||||
3-month USD LIBOR + 7.050% Floor 7.050% 11/25/2028 | 8.574% | 1,000,000 | 951,310 | |
Prosper Pass-Through Trust(a),(d) | ||||
Series 2019-ST2 Class A | ||||
11/15/2025 | 3.750% | 316,564 | 319,730 | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 941,089 | 901,349 | |
RR 16 Ltd.(a),(b) | ||||
Series 2021-16A Class D | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/15/2036 | 7.294% | 1,000,000 | 914,779 | |
SoFi Consumer Loan Program LLC(a),(c),(d),(e) | ||||
Series 2016-4 Class R | ||||
11/25/2025 | 0.000% | 100,000 | 729,985 | |
Theorem Funding Trust(a) | ||||
Series 2020-1A Class C | ||||
10/15/2026 | 6.250% | 2,300,000 | 2,305,226 | |
Subordinated Series 2021-1A Class B | ||||
12/15/2027 | 1.840% | 1,000,000 | 921,812 | |
Upstart Pass-Through Trust(a),(d) | ||||
Series 2020-ST4 Class A | ||||
11/20/2026 | 3.250% | 454,588 | 449,545 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST1 Class A | ||||
02/20/2027 | 2.750% | 394,309 | 384,240 | |
Series 2021-ST7 Class A | ||||
09/20/2029 | 1.850% | 357,255 | 342,149 | |
Upstart Securitization Trust(a) | ||||
Subordinated Series 2021-3 Class C | ||||
07/20/2031 | 3.280% | 1,200,000 | 1,140,640 | |
Subordinated Series 2021-5 Class C | ||||
11/20/2031 | 4.150% | 1,200,000 | 1,135,142 | |
US Auto Funding(a) | ||||
Subordinated Series 2021-1A Class D | ||||
03/15/2027 | 4.360% | 1,125,000 | 1,045,208 | |
Total Asset-Backed Securities — Non-Agency (Cost $49,365,135) | 46,479,288 | |||
Commercial Mortgage-Backed Securities - Agency 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(f),(g) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.828% | 1,380,831 | 87,906 | |
Series 2019-109 Class IO | ||||
04/16/2060 | 0.805% | 2,472,762 | 155,238 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.802% | 2,734,939 | 167,627 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 0.699% | 1,803,828 | 108,677 | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.627% | 2,056,555 | 112,512 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $1,509,518) | 631,960 | |||
Commercial Mortgage-Backed Securities - Non-Agency 4.7% | ||||
BAMLL Commercial Mortgage Securities Trust(a),(f) | ||||
Subordinated Series 2013-WBRK Class E | ||||
03/10/2037 | 3.534% | 500,000 | 431,691 | |
BAMLL Commercial Mortgage Securities Trust(a),(b) | ||||
Subordinated Series 2018-DSNY Class D | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 09/15/2034 | 2.575% | 2,065,000 | 1,977,047 | |
Subordinated Series 2019-RLJ Class C | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 04/15/2036 | 2.475% | 1,250,000 | 1,211,827 | |
BBCMS Trust(a),(b) | ||||
Series 2018-BXH Class A | ||||
1-month USD LIBOR + 1.000% Floor 1.000% 10/15/2037 | 1.875% | 207,394 | 200,213 | |
BFLD Trust(a),(b) | ||||
Series 2019-DPLO Class F | ||||
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034 | 3.415% | 300,000 | 284,958 | |
Series 2019-DPLO Class G | ||||
1-month USD LIBOR + 3.190% Floor 3.190% 10/15/2034 | 4.065% | 1,000,000 | 964,147 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 3.275% | 1,000,000 | 937,268 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-MFM1 Class G | ||||
1-month USD LIBOR + 3.900% Floor 3.900% 01/15/2034 | 4.775% | 100,000 | 93,319 |
12 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,000,000 | 904,624 | |
Series 2019-OC11 Class E | ||||
12/09/2041 | 4.076% | 300,000 | 249,184 | |
BXP Trust(a),(f) | ||||
Subordinated Series 2021-601L Class E | ||||
01/15/2044 | 2.776% | 1,500,000 | 997,155 | |
CHT Mortgage Trust(a),(b) | ||||
Series 2017-CSMO Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.350% 11/15/2036 | 2.375% | 1,000,000 | 1,000,000 | |
Series 2017-CSMO Class D | ||||
1-month USD LIBOR + 2.250% Floor 2.100% 11/15/2036 | 3.125% | 1,000,000 | 1,000,000 | |
CLNY Trust(a),(b) | ||||
Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 3.596% | 900,000 | 832,612 | |
Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 4.292% | 1,350,000 | 1,228,702 | |
Cold Storage Trust(a),(b) | ||||
Subordinated Series 2020-ICE5 Class F | ||||
1-month USD LIBOR + 3.492% Floor 3.333% 11/15/2037 | 4.367% | 638,944 | 608,636 | |
COMM Mortgage Trust(a),(f) | ||||
Series 2020-CBM Class F | ||||
02/10/2037 | 3.633% | 2,200,000 | 1,928,560 | |
Cosmopolitan Hotel Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-CSMO Class F | ||||
1-month USD LIBOR + 3.741% Floor 3.741% 11/15/2036 | 4.616% | 2,550,000 | 2,455,210 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class D | ||||
09/15/2037 | 4.373% | 645,000 | 547,661 | |
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 4,600,000 | 3,702,207 | |
CSMC Trust(a),(f) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.283% | 600,000 | 456,987 | |
Hilton USA Trust(a),(f) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 3,000,000 | 2,627,200 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 6.155% | 1,700,000 | 1,640,700 | |
Home Partners of America Trust(a) | ||||
Series 2019-2 Class F | ||||
10/19/2039 | 3.866% | 333,682 | 299,050 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(b) | ||||
Subordinated Series 2021-HTL5 Class E | ||||
1-month USD LIBOR + 3.515% Floor 3.515% 11/15/2038 | 4.390% | 650,000 | 613,497 | |
Subordinated Series 2021-HTL5 Class F | ||||
1-month USD LIBOR + 4.265% Floor 4.265% 11/15/2038 | 5.140% | 550,000 | 517,054 | |
Morgan Stanley Capital I Trust(a),(f) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 600,000 | 537,816 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 575,000 | 536,529 | |
Subordinated Series 2019-SFR3 Class E | ||||
09/17/2036 | 3.369% | 1,000,000 | 966,369 | |
Subordinated Series 2019-SFR3 Class F | ||||
09/17/2036 | 3.867% | 6,700,000 | 6,513,428 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/18/2037 | 6.152% | 500,000 | 480,827 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2017-SMP Class A | ||||
1-month USD LIBOR + 0.875% Floor 0.875% 12/15/2034 | 1.750% | 1,000,000 | 987,736 | |
Series 2020-SDAL Class E | ||||
1-month USD LIBOR + 2.740% Floor 2.740%, Cap 4.500% 02/15/2037 | 3.627% | 500,000 | 466,105 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $39,532,861) | 38,198,319 | |||
Residential Mortgage-Backed Securities - Agency(h) 12.6% | ||||
Federal Home Loan Mortgage Corp. | ||||
05/01/2052 | 3.000% | 3,500,000 | 3,349,053 | |
Federal Home Loan Mortgage Corp.(b),(g) | ||||
CMO Series 2013-101 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.500% Cap 6.500% 10/25/2043 | 5.494% | 826,184 | 135,157 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 13 |
May 31, 2022
Residential Mortgage-Backed Securities - Agency(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4987 Class KS | ||||
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050 | 5.074% | 1,406,851 | 279,260 | |
CMO Series 4993 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2050 | 5.044% | 2,004,451 | 410,679 | |
Federal Home Loan Mortgage Corp. REMICS(b),(g) | ||||
CMO Series 4606 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 12/15/2044 | 5.125% | 4,296,296 | 617,863 | |
Federal Home Loan Mortgage Corp. REMICS(g) | ||||
CMO Series 5105 Class ID | ||||
05/25/2051 | 3.000% | 2,943,197 | 587,126 | |
CMO Series 5125 Class IT | ||||
09/25/2048 | 2.500% | 6,063,521 | 828,699 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 2016-53 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046 | 4.994% | 15,755,093 | 3,253,112 | |
CMO Series 2020-38 Class WS | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 06/25/2050 | 3.994% | 3,288,627 | 435,480 | |
Federal National Mortgage Association(g) | ||||
CMO Series 2021-3 Class TI | ||||
02/25/2051 | 2.500% | 5,323,379 | 947,627 | |
CMO Series 2021-4 Class IO | ||||
02/25/2051 | 2.500% | 5,389,542 | 925,278 | |
Federal National Mortgage Association REMICS(g) | ||||
CMO Series 2021-22 Class LI | ||||
04/25/2051 | 3.000% | 2,987,413 | 539,007 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
Subordinated CMO Series 2021-HQA2 Class B2 | ||||
30-day Average SOFR + 5.450% 12/25/2033 | 6.035% | 800,000 | 668,663 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2019-103 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/20/2049 | 5.123% | 2,464,536 | 337,299 |
Residential Mortgage-Backed Securities - Agency(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-120 Class CS | ||||
-1.0 x 1-month USD LIBOR + 3.400% Cap 3.400% 09/20/2049 | 2.473% | 21,696,164 | 1,227,363 | |
CMO Series 2019-120 Class SA | ||||
-1.0 x 1-month USD LIBOR + 3.400% Cap 3.400% 09/20/2049 | 2.473% | 2,540,889 | 143,702 | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/20/2049 | 5.173% | 3,081,394 | 395,322 | |
CMO Series 2019-98 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 08/20/2049 | 5.173% | 9,063,142 | 1,111,646 | |
CMO Series 2020-104 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% 07/20/2050 | 5.273% | 1,611,616 | 204,594 | |
CMO Series 2020-133 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2050 | 5.373% | 6,338,099 | 1,023,406 | |
CMO Series 2021-122 Class SB | ||||
-1.0 x 30-day Average SOFR + 2.600% Cap 2.600% 07/20/2051 | 2.101% | 8,281,116 | 415,690 | |
CMO Series 2021-122 Class SG | ||||
1-month USD LIBOR + 6.300% Cap 6.300% 07/20/2051 | 5.373% | 4,342,588 | 684,295 | |
CMO Series 2021-156 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2051 | 5.373% | 4,187,102 | 748,892 | |
CMO Series 2021-160 Class S | ||||
-1.0 x 30-day Average SOFR + 2.650% Cap 2.650% 09/20/2051 | 2.151% | 6,343,205 | 340,047 | |
CMO Series 2021-193 Class ES | ||||
30-day Average SOFR + 1.700% 11/20/2051 | 1.201% | 23,091,118 | 181,614 |
14 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Residential Mortgage-Backed Securities - Agency(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-96 Class US | ||||
-1.0 x 30-day Average SOFR + 3.250% Cap 3.250% 06/20/2051 | 2.751% | 3,816,884 | 275,805 | |
CMO Series 2021-97 Class CS | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 06/20/2051 | 5.373% | 3,985,417 | 642,143 | |
Government National Mortgage Association(g) | ||||
CMO Series 2019-129 Class AI | ||||
10/20/2049 | 3.500% | 1,958,961 | 320,523 | |
CMO Series 2020-104 Class IY | ||||
07/20/2050 | 3.000% | 2,873,170 | 478,620 | |
CMO Series 2020-129 Class GI | ||||
09/20/2050 | 3.000% | 2,816,097 | 457,106 | |
CMO Series 2020-129 Class YI | ||||
09/20/2050 | 2.500% | 3,555,453 | 501,238 | |
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 5,245,047 | 776,112 | |
CMO Series 2020-148 Class AI | ||||
10/20/2050 | 2.500% | 8,028,095 | 1,016,293 | |
CMO Series 2020-153 Class CI | ||||
10/20/2050 | 2.500% | 3,462,587 | 512,955 | |
CMO Series 2020-160 Class IA | ||||
10/20/2050 | 2.500% | 4,433,878 | 659,440 | |
CMO Series 2020-164 Class CI | ||||
11/20/2050 | 3.000% | 2,492,967 | 377,465 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 3,595,062 | 538,112 | |
CMO Series 2020-181 Class BI | ||||
12/20/2050 | 2.500% | 5,288,331 | 676,722 | |
CMO Series 2020-185 Class KI | ||||
12/20/2050 | 2.500% | 5,027,394 | 657,790 | |
CMO Series 2020-187 Class AI | ||||
12/20/2050 | 2.500% | 5,076,210 | 650,072 | |
CMO Series 2020-188 Class KI | ||||
12/20/2050 | 2.500% | 6,272,965 | 923,844 | |
CMO Series 2020-191 Class UC | ||||
12/20/2050 | 4.000% | 2,491,899 | 400,523 | |
CMO Series 2021-1 Class IT | ||||
01/20/2051 | 3.000% | 3,949,709 | 591,183 | |
CMO Series 2021-107 Class IW | ||||
06/20/2051 | 3.500% | 3,179,428 | 561,396 | |
CMO Series 2021-158 Class VI | ||||
09/20/2051 | 3.000% | 2,673,378 | 436,903 |
Residential Mortgage-Backed Securities - Agency(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-160 Class CI | ||||
09/20/2051 | 2.500% | 5,364,772 | 798,421 | |
CMO Series 2021-160 Class IA | ||||
09/20/2051 | 3.000% | 2,021,564 | 324,217 | |
CMO Series 2021-161 Class UI | ||||
09/20/2051 | 3.000% | 3,546,372 | 564,499 | |
CMO Series 2021-188 Class IN | ||||
10/20/2051 | 2.500% | 2,950,444 | 481,307 | |
CMO Series 2021-24 Class MI | ||||
02/20/2051 | 3.000% | 2,382,975 | 369,243 | |
CMO Series 2021-25 Class GI | ||||
02/20/2051 | 2.500% | 4,692,928 | 715,012 | |
CMO Series 2021-7 Class IT | ||||
01/16/2051 | 3.000% | 1,886,991 | 402,095 | |
CMO Series 2021-9 Class MI | ||||
01/20/2051 | 2.500% | 851,459 | 116,528 | |
Uniform Mortgage-Backed Security TBA(i) | ||||
06/13/2052 | 3.500% | 17,000,000 | 16,663,984 | |
06/13/2052 | 4.000% | 50,000,000 | 50,019,531 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $103,374,745) | 101,699,956 | |||
Residential Mortgage-Backed Securities - Non-Agency 15.8% | ||||
510 Asset Backed Trust(a),(f) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 914,958 | 874,903 | |
Ajax Mortgage Loan Trust(a),(f) | ||||
CMO Series 2021-C Class A | ||||
01/25/2061 | 2.115% | 369,794 | 362,486 | |
Angel Oak Mortgage Trust(a),(f) | ||||
CMO Series 2021-5 Class A3 | ||||
07/25/2066 | 1.311% | 452,665 | 414,338 | |
Angel Oak Mortgage Trust I LLC(a),(f) | ||||
Subordinated CMO Series 2019-2 Class B2 | ||||
03/25/2049 | 6.286% | 2,700,000 | 2,557,584 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 03/25/2029 | 2.756% | 241,476 | 240,908 | |
CMO Series 2019-4A Class M1C | ||||
1-month USD LIBOR + 2.500% Floor 2.500% 10/25/2029 | 3.506% | 200,000 | 196,912 | |
CMO Series 2020-2A Class M2 | ||||
1-month USD LIBOR + 6.000% Floor 6.000% 08/26/2030 | 7.006% | 1,700,000 | 1,752,662 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 15 |
May 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-3A Class M2 | ||||
1-month USD LIBOR + 4.850% Floor 4.850% 10/25/2030 | 5.856% | 650,000 | 660,650 | |
CMO Series 2020-4A Class M2B | ||||
1-month USD LIBOR + 3.600% Floor 3.600% 06/25/2030 | 4.606% | 344,969 | 346,962 | |
Subordinated CMO Series 2018-1A Class B1 | ||||
1-month USD LIBOR + 4.250% 04/25/2028 | 4.918% | 400,000 | 394,412 | |
Subordinated CMO Series 2019-4A Class B1 | ||||
1-month USD LIBOR + 3.850% Floor 3.850% 10/25/2029 | 4.856% | 950,000 | 905,924 | |
BRAVO Residential Funding Trust(a),(f) | ||||
CMO Series 2019-NQM2 Class B1 | ||||
11/25/2059 | 3.954% | 1,000,000 | 925,088 | |
CMO Series 2020-NQM1 Class B1 | ||||
05/25/2060 | 5.086% | 300,000 | 294,361 | |
CMO Series 2020-NQM1 Class B2 | ||||
05/25/2060 | 5.583% | 430,000 | 420,224 | |
Subordinated CMO Series 2021-NQM2 Class B1 | ||||
03/25/2060 | 3.044% | 200,000 | 184,142 | |
Subordinated CMO Series 2021-NQM2 Class B2 | ||||
03/25/2060 | 4.099% | 300,000 | 281,667 | |
BRAVO Residential Funding Trust(a),(b) | ||||
CMO Series 2021-HE2 Class B1 | ||||
30-day Average SOFR + 2.400% 11/25/2069 | 2.689% | 338,000 | 332,340 | |
Subordinated CMO Series 2021-HE2 Class B2 | ||||
30-day Average SOFR + 3.400% 11/25/2069 | 3.133% | 353,000 | 346,145 | |
BVRT Financing Trust(a),(b),(d) | ||||
CMO Series 2020-CRT1 Class M3 | ||||
1-month USD LIBOR + 4.000% 07/10/2032 | 4.077% | 321,456 | 323,063 | |
CMO Series 2021-2F Class M2 | ||||
30-day Average SOFR + 2.500% Floor 2.500% 01/10/2032 | 2.717% | 561,229 | 563,806 | |
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 3.126% | 3,000,000 | 3,000,000 | |
BVRT Financing Trust(a),(b),(d),(e) | ||||
CMO Series 2021-CRT1 Class M4 | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 07/10/2032 | 3.589% | 1,875,000 | 1,835,297 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CHL GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 1.000% 05/25/2023 | 3.756% | 370,000 | 366,351 | |
CIM Trust(a),(f) | ||||
CMO Series 2021-NR4 Class A1 | ||||
10/25/2061 | 2.816% | 569,108 | 537,895 | |
COLT Mortgage Loan Trust(a),(f) | ||||
CMO Series 2020-2 Class M1 | ||||
03/25/2065 | 5.250% | 200,000 | 197,602 | |
CMO Series 2021-3 Class A3 | ||||
09/27/2066 | 1.419% | 627,199 | 564,255 | |
Subordinated CMO Series 2021-4 Class B1 | ||||
10/25/2066 | 3.764% | 400,000 | 305,221 | |
Subordinated Series 2021-3 Class B1 | ||||
09/27/2066 | 3.059% | 200,000 | 161,694 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-HRP1 Class M2 | ||||
1-month USD LIBOR + 2.150% 11/25/2039 | 3.156% | 456,369 | 449,605 | |
Subordinated CMO Series 2018-R07 Class 1B1 | ||||
1-month USD LIBOR + 4.350% 04/25/2031 | 5.356% | 450,000 | 452,640 | |
Subordinated CMO Series 2019-R01 Class 2B1 | ||||
1-month USD LIBOR + 4.350% Floor 4.350% 07/25/2031 | 5.356% | 950,000 | 948,159 | |
Subordinated CMO Series 2021-R03 Class 1B2 | ||||
30-day Average SOFR + 5.500% Floor 5.500% 12/25/2041 | 6.085% | 1,200,000 | 1,000,673 | |
Subordinated CMO Series 2022-R01 Class 1B2 | ||||
30-day Average SOFR + 6.000% 12/25/2041 | 6.585% | 3,500,000 | 2,993,369 | |
Subordinated CMO Series 2022-R02 Class 2B2 | ||||
30-day Average SOFR + 7.650% 01/25/2042 | 8.235% | 2,600,000 | 2,376,043 | |
Subordinated CMO Series 2022-R03 Class 1B1 | ||||
30-day Average SOFR + 6.250% 03/25/2042 | 6.835% | 200,000 | 197,234 | |
Subordinated CMO Series 2022-R04 Class 1B1 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 5.835% | 900,000 | 858,806 | |
Subordinated CMO Series 2022-R04 Class 1B2 | ||||
30-day Average SOFR + 9.500% 03/25/2042 | 10.085% | 950,000 | 930,354 | |
Credit Suisse Mortgage Trust(a),(f) | ||||
CMO Series 2022-JR1 Class A1 | ||||
10/25/2066 | 4.267% | 2,271,383 | 2,258,882 |
16 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSMC Trust(a),(f) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.418% | 1,537,842 | 1,487,672 | |
CMO Series 2021-JR2 Class A1 | ||||
11/25/2061 | 2.215% | 540,915 | 521,022 | |
Deephaven Residential Mortgage Trust(a),(f) | ||||
CMO Series 2020-2 Class B2 | ||||
05/25/2065 | 5.838% | 600,000 | 601,906 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M1 | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 11/25/2028 | 2.706% | 1,825,512 | 1,819,128 | |
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 2.806% | 481,252 | 477,343 | |
CMO Series 2019-1 Class M2 | ||||
1-month USD LIBOR + 3.300% 04/25/2029 | 4.306% | 1,500,000 | 1,488,542 | |
Fannie Mae Connecticut Avenue Securities(a),(b) | ||||
Subordinated CMO Series 2021-R02 Class 2B2 | ||||
30-day Average SOFR + 6.200% 11/25/2041 | 6.785% | 1,100,000 | 920,941 | |
Freddie Mac STACR(a),(b) | ||||
Subordinated CMO Series 2019-HQA3 Class B1 | ||||
1-month USD LIBOR + 3.000% 09/25/2049 | 4.006% | 1,250,000 | 1,170,680 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2022-HQA1 Class M2 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 5.835% | 800,000 | 773,002 | |
Subordinated CMO Series 2020-DNA4 Class B1 | ||||
1-month USD LIBOR + 6.000% 08/25/2050 | 7.006% | 1,600,000 | 1,682,247 | |
Subordinated CMO Series 2020-DNA6 Class B2 | ||||
30-day Average SOFR + 5.650% 12/25/2050 | 6.235% | 1,000,000 | 916,558 | |
Subordinated CMO Series 2020-HQA1 Class B1 | ||||
1-month USD LIBOR + 2.350% 01/25/2050 | 3.356% | 1,942,000 | 1,832,665 | |
Subordinated CMO Series 2020-HQA3 Class B1 | ||||
1-month USD LIBOR + 5.750% 07/25/2050 | 6.756% | 1,000,000 | 1,043,390 | |
Subordinated CMO Series 2020-HQA4 Class B1 | ||||
1-month USD LIBOR + 5.250% 09/25/2050 | 6.256% | 2,400,000 | 2,451,319 | |
Subordinated CMO Series 2021-DNA1 Class B2 | ||||
30-day Average SOFR + 4.750% 01/25/2051 | 5.335% | 1,750,000 | 1,385,371 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2021-DNA5 Class B2 | ||||
30-day Average SOFR + 5.500% 01/25/2034 | 6.085% | 3,250,000 | 2,642,184 | |
Subordinated CMO Series 2021-DNA6 Class B2 | ||||
30-day Average SOFR + 7.500% 10/25/2041 | 7.789% | 900,000 | 819,451 | |
Subordinated CMO Series 2021-HQA4 Class B2 | ||||
30-day Average SOFR + 7.000% 12/25/2041 | 7.585% | 1,000,000 | 866,451 | |
Subordinated CMO Series 2022-DNA1 Class B2 | ||||
30-day Average SOFR + 7.100% 01/25/2042 | 7.685% | 1,650,000 | 1,407,873 | |
Subordinated CMO Series 2022-HQA1 Class B2 | ||||
30-day Average SOFR + 11.000% 03/25/2042 | 11.585% | 2,750,000 | 2,724,795 | |
Freddie Mac STACR Trust(a),(b) | ||||
Subordinated CMO Series 2019-HQA2 Class B1 | ||||
1-month USD LIBOR + 4.100% 04/25/2049 | 5.106% | 1,500,000 | 1,470,792 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(b) | ||||
CMO Series 2014-DN1 Class M3 | ||||
1-month USD LIBOR + 4.500% 02/25/2024 | 5.506% | 372,219 | 373,865 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
Subordinated CMO Series 2020-DNA3 Class B1 | ||||
1-month USD LIBOR + 5.100% 06/25/2050 | 6.106% | 1,821,428 | 1,868,872 | |
Subordinated CMO Series 2020-HQA5 Class B2 | ||||
30-day Average SOFR + 7.400% 11/25/2050 | 7.985% | 1,800,000 | 1,833,327 | |
Subordinated CMO Series 2021-DNA7 Class B2 | ||||
30-day Average SOFR + 7.800% 11/25/2041 | 8.089% | 2,950,000 | 2,693,763 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(f) | ||||
Subordinated CMO Series 2022-DNA2 Class B2 | ||||
02/25/2042 | 9.085% | 1,600,000 | 1,482,379 | |
GCAT Trust(a),(f) | ||||
CMO Series 2019-NQM3 Class M1 | ||||
11/25/2059 | 3.450% | 600,000 | 575,927 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2021-1 Class M2 | ||||
1-month USD LIBOR + 3.900% Floor 3.900% 08/25/2033 | 4.906% | 250,000 | 247,776 | |
CMO Series 2021-3 Class M1B | ||||
30-day Average SOFR + 2.900% Floor 2.900% 02/25/2034 | 3.189% | 2,000,000 | 1,932,817 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 17 |
May 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2021-3 Class B1 | ||||
30-day Average SOFR + 4.950% Floor 4.950% 02/25/2034 | 5.239% | 500,000 | 458,901 | |
Glebe Funding Trust (The)(a),(d) | ||||
CMO Series 2021-1 Class PT | ||||
10/27/2023 | 3.000% | 824,114 | 807,632 | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month USD LIBOR + 3.000% 10/25/2028 | 4.006% | 750,000 | 742,453 | |
CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 4.150% Floor 4.150% 10/25/2030 | 5.156% | 250,000 | 251,444 | |
CMO Series 2020-1 Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 6.256% | 1,200,000 | 1,205,896 | |
Homeward Opportunities Fund I Trust(a),(f) | ||||
Subordinated CMO Series 2020-2 Class B1 | ||||
05/25/2065 | 5.450% | 250,000 | 251,154 | |
Homeward Opportunities Fund Trust(a),(f) | ||||
CMO Series 2020-BPL1 Class A2 | ||||
08/25/2025 | 5.438% | 1,327,766 | 1,315,724 | |
Imperial Fund Mortgage Trust(a),(f) | ||||
Subordinated CMO Series 2021-NQM3 Class B1 | ||||
11/25/2056 | 4.184% | 500,000 | 385,725 | |
Legacy Mortgage Asset Trust(a),(f) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 424,306 | 407,968 | |
CMO Series 2021-SL2 Class A | ||||
10/25/2068 | 1.875% | 858,721 | 828,136 | |
Loan Revolving Advance Investment Trust(a),(b),(d),(e) | ||||
CMO Series 2021-2 Class A1X | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 06/30/2023 | 3.625% | 3,000,000 | 2,996,541 | |
Mortgage Acquisition Trust I LLC(a),(d) | ||||
CMO Series 2021-1 Class PT | ||||
11/29/2023 | 3.500% | 724,814 | 722,096 | |
Oaktown Re II Ltd.(a),(b) | ||||
Subordinated CMO Series 2018-1A Class B1 | ||||
1-month USD LIBOR + 4.050% 07/25/2028 | 5.056% | 600,000 | 601,531 | |
Subordinated CMO Series 2018-1A Class M2 | ||||
1-month USD LIBOR + 2.850% 07/25/2028 | 3.856% | 3,017,857 | 3,003,418 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oaktown Re III Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M2 | ||||
1-month USD LIBOR + 2.550% Floor 2.550% 07/25/2029 | 3.556% | 1,000,000 | 977,231 | |
Oaktown Re V Ltd.(a),(b) | ||||
CMO Series 2020-2A Class M2 | ||||
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030 | 6.256% | 1,000,000 | 1,027,843 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M2 | ||||
30-day Average SOFR + 3.950% Floor 3.950% 10/25/2033 | 4.535% | 500,000 | 474,459 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 3.773% | 801,671 | 757,718 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-FT1 Class A | ||||
1-month USD LIBOR + 2.350% 04/25/2023 | 3.356% | 500,000 | 494,806 | |
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023 | 3.856% | 2,750,000 | 2,733,292 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 3.656% | 4,250,000 | 4,195,841 | |
Point Securitization Trust(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 1,107,400 | 1,104,559 | |
Preston Ridge Partners Mortgage(a),(f) | ||||
CMO Series 2021-2 Class A2 | ||||
03/25/2026 | 3.770% | 1,000,000 | 957,234 | |
CMO Series 2021-4 Class A2 | ||||
04/25/2026 | 3.474% | 400,000 | 371,908 | |
Preston Ridge Partners Mortgage LLC(a),(f) | ||||
CMO Series 2020-6 Class A2 | ||||
11/25/2025 | 4.703% | 200,000 | 191,844 | |
Preston Ridge Partners Mortgage Trust(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 809,237 | 777,262 | |
CMO Series 2021-1 Class A2 | ||||
01/25/2026 | 3.720% | 3,250,000 | 3,078,082 | |
CMO Series 2021-10 Class A1 | ||||
10/25/2026 | 2.487% | 1,017,221 | 967,265 |
18 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 800,287 | 761,201 | |
CMO Series 2021-5 Class A2 | ||||
06/25/2026 | 3.721% | 700,000 | 663,076 | |
CMO Series 2021-7 Class A1 | ||||
08/25/2026 | 1.867% | 1,440,482 | 1,361,820 | |
Pretium Mortgage Credit Partners(a),(f) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 899,123 | 857,780 | |
Pretium Mortgage Credit Partners LLC(a),(f) | ||||
CMO Series 2021-NPL6 Class A2 | ||||
07/25/2051 | 5.071% | 400,000 | 374,801 | |
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 486,151 | 457,745 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2020-2 Class M2 | ||||
1-month USD LIBOR + 5.600% Floor 5.600% 10/25/2030 | 6.268% | 257,627 | 257,417 | |
Residential Mortgage Loan Trust(a),(f) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.257% | 700,000 | 673,819 | |
STACR Trust(a),(b) | ||||
Subordinated CMO Series 2018-HRP1 Class B1 | ||||
1-month USD LIBOR + 3.750% 04/25/2043 | 4.756% | 2,000,000 | 1,971,678 | |
Stanwich Mortgage Loan Co. LLC(a),(f) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 2,271,315 | 2,198,780 | |
Starwood Mortgage Residential Trust(a),(f) | ||||
CMO Series 2020-3 Class B1 | ||||
04/25/2065 | 4.750% | 250,000 | 243,540 | |
CMO Series 2021-3 Class A1 | ||||
06/25/2056 | 1.127% | 375,046 | 349,307 | |
Stonnington Mortgage Trust(a),(d),(e),(f) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 3.500% | 447,210 | 447,210 | |
Toorak Mortgage Corp., Ltd.(a),(d),(e),(f) | ||||
CMO Series 2020-1 Class M1 | ||||
03/25/2023 | 5.000% | 1,400,000 | 1,379,000 | |
Toorak Mortgage Corp., Ltd.(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 800,000 | 768,989 | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 10/25/2030 | 5.168% | 753,994 | 757,065 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-1 Class M2 | ||||
1-month USD LIBOR + 5.600% Floor 5.600% 10/25/2030 | 6.268% | 1,000,000 | 1,011,492 | |
CMO Series 2021-1 Class M1C | ||||
1-month USD LIBOR + 3.400% Floor 3.400% 08/25/2033 | 4.406% | 422,653 | 423,196 | |
Subordinated CMO Series 2021-1 Class B1 | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 08/25/2033 | 5.506% | 1,500,000 | 1,500,092 | |
Subordinated CMO Series 2021-2 Class B1 | ||||
1-month USD LIBOR + 7.500% Floor 7.500% 10/25/2033 | 8.506% | 650,000 | 623,561 | |
VCAT Asset Securitization LLC(a),(f) | ||||
CMO Series 2021-NPL3 Class A2 | ||||
05/25/2051 | 3.967% | 300,000 | 279,187 | |
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 1,073,114 | 1,014,662 | |
Vericrest Opportunity Loan Transferee(a),(f) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 845,199 | 824,730 | |
Verus Securitization Trust(a) | ||||
CMO Series 2020-INV1 Class B1 | ||||
03/25/2060 | 5.750% | 150,000 | 145,994 | |
CMO Series 2020-INV1 Class M1 | ||||
03/25/2060 | 5.500% | 550,000 | 544,153 | |
Subordinated CMO Series 2020-INV1 Class B2 | ||||
03/25/2060 | 6.000% | 150,000 | 144,711 | |
Verus Securitization Trust(a),(f) | ||||
CMO Series 2020-NPL1 Class A2 | ||||
08/25/2050 | 5.682% | 1,250,000 | 1,249,505 | |
Subordinated CMO Series 2019-4 Class B1 | ||||
11/25/2059 | 3.860% | 500,000 | 492,507 | |
Subordinated CMO Series 2020-4 Class B1 | ||||
05/25/2065 | 5.046% | 150,000 | 146,506 | |
Subordinated CMO Series 2020-4 Class B2 | ||||
05/25/2065 | 5.600% | 327,000 | 314,481 | |
Subordinated Series 2021-5 Class B1 | ||||
09/25/2066 | 3.037% | 300,000 | 239,312 | |
Subordinated Series 2021-5 Class B2 | ||||
09/25/2066 | 3.941% | 250,000 | 187,140 | |
Visio Trust(a),(f) | ||||
CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 95,227 | |
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 192,255 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 19 |
May 31, 2022
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vista Point Securitization Trust(a),(f) | ||||
Subordinated CMO Series 2020-1 Class B1 | ||||
03/25/2065 | 5.375% | 800,000 | 795,272 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $131,557,571) | 127,159,889 | |||
Treasury Bills 20.2% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 20.2% | ||||
U.S. Treasury Bills(j) | ||||
09/08/2022 | 1.120% | 90,000,000 | 89,723,556 | |
U.S. Treasury Bills | ||||
01/26/2023 | 1.710% | 74,000,000 | 73,177,530 | |
Total | 162,901,086 | |||
Total Treasury Bills (Cost $163,460,142) | 162,901,086 |
Options Purchased Calls 0.1% | ||||
Value ($) | ||||
(Cost $1,813,770) | 1,169,255 | |||
Options Purchased Puts 0.1% | ||||
(Cost $275,000) | 580,885 |
Money Market Funds 40.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.852%(k),(l) | 325,858,790 | 325,728,447 |
Total Money Market Funds (Cost $325,769,438) | 325,728,447 | |
Total Investments in Securities (Cost: $816,658,180) | 804,549,085 | |
Other Assets & Liabilities, Net | 2,069,898 | |
Net Assets | 806,618,983 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
62,078,604 USD | 598,215,000 NOK | Barclays | 06/29/2022 | 1,763,240 | — |
44,514,000 AUD | 31,329,119 USD | Citi | 06/15/2022 | — | (623,493) |
7,737,000 BRL | 1,629,065 USD | Citi | 06/15/2022 | 7,342 | — |
136,674,332 BRL | 27,031,967 USD | Citi | 06/15/2022 | — | (1,615,813) |
58,981,000 CAD | 45,921,879 USD | Citi | 06/15/2022 | — | (705,752) |
23,158,000 CHF | 24,790,279 USD | Citi | 06/15/2022 | 628,668 | — |
9,854,000 CHF | 10,054,613 USD | Citi | 06/15/2022 | — | (226,435) |
11,738,582,750 CLP | 14,534,852 USD | Citi | 06/15/2022 | 319,358 | — |
2,194,186,250 CLP | 2,601,239 USD | Citi | 06/15/2022 | — | (55,934) |
175,835,438 CNH | 27,067,522 USD | Citi | 06/15/2022 | 738,382 | — |
49,414,000 CNH | 7,282,397 USD | Citi | 06/15/2022 | — | (116,727) |
67,250,425,000 COP | 16,659,415 USD | Citi | 06/15/2022 | — | (1,149,305) |
186,562,000 CZK | 8,151,125 USD | Citi | 06/15/2022 | 63,100 | — |
145,220,000 CZK | 6,036,032 USD | Citi | 06/15/2022 | — | (259,693) |
97,035,750 EUR | 107,587,326 USD | Citi | 06/15/2022 | 3,338,909 | — |
22,466,250 EUR | 23,714,294 USD | Citi | 06/15/2022 | — | (421,872) |
30,805,000 GBP | 40,614,955 USD | Citi | 06/15/2022 | 1,794,905 | — |
15,355,000 GBP | 19,254,770 USD | Citi | 06/15/2022 | — | (95,397) |
8,981,793,000 HUF | 25,706,216 USD | Citi | 06/15/2022 | 1,451,755 | — |
158,227,000 HUF | 426,142 USD | Citi | 06/15/2022 | — | (1,135) |
32,699,950,000 IDR | 2,266,042 USD | Citi | 06/15/2022 | 20,863 | — |
30,747,000 ILS | 9,533,736 USD | Citi | 06/15/2022 | 262,795 | — |
16,491,000 ILS | 4,838,493 USD | Citi | 06/15/2022 | — | (133,930) |
2,456,270,000 INR | 32,054,867 USD | Citi | 06/15/2022 | 463,101 | — |
405,055,000 INR | 5,202,283 USD | Citi | 06/15/2022 | — | (7,406) |
8,343,587,000 JPY | 69,936,947 USD | Citi | 06/15/2022 | 5,088,820 | — |
20 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
32,429,184,000 KRW | 26,912,369 USD | Citi | 06/15/2022 | 749,606 | — |
10,539,022,000 KRW | 8,311,848 USD | Citi | 06/15/2022 | — | (190,677) |
824,006,000 MXN | 40,482,963 USD | Citi | 06/15/2022 | — | (1,271,596) |
326,115,000 NOK | 33,807,326 USD | Citi | 06/15/2022 | — | (991,260) |
49,072,000 NZD | 32,632,644 USD | Citi | 06/15/2022 | 663,708 | — |
26,300,000 NZD | 16,737,943 USD | Citi | 06/15/2022 | — | (395,718) |
286,498,000 PHP | 5,506,208 USD | Citi | 06/15/2022 | 46,060 | — |
7,429,000 PHP | 140,880 USD | Citi | 06/15/2022 | — | (704) |
21,374,750 PLN | 5,133,474 USD | Citi | 06/15/2022 | 136,386 | — |
139,960,250 PLN | 31,744,277 USD | Citi | 06/15/2022 | — | (976,279) |
289,550,500 RUB | 3,697,025 USD | Citi | 06/15/2022 | — | (796,648) |
263,170,000 SEK | 27,542,488 USD | Citi | 06/15/2022 | 582,316 | — |
156,306,000 SEK | 15,719,534 USD | Citi | 06/15/2022 | — | (293,068) |
1,028,000 SGD | 757,880 USD | Citi | 06/15/2022 | 7,571 | — |
5,715,000 SGD | 4,131,773 USD | Citi | 06/15/2022 | — | (39,449) |
283,966,000 TWD | 10,185,799 USD | Citi | 06/15/2022 | 389,850 | — |
10,790,000 TWD | 367,472 USD | Citi | 06/15/2022 | — | (4,749) |
4,685,970 USD | 6,630,000 AUD | Citi | 06/15/2022 | 73,113 | — |
28,007,123 USD | 37,884,000 AUD | Citi | 06/15/2022 | — | (813,597) |
26,354,267 USD | 136,119,332 BRL | Citi | 06/15/2022 | 2,177,183 | — |
1,745,998 USD | 8,292,000 BRL | Citi | 06/15/2022 | — | (7,944) |
37,556,333 USD | 47,809,000 CAD | Citi | 06/15/2022 | 239,236 | — |
8,917,144 USD | 11,172,000 CAD | Citi | 06/15/2022 | — | (85,082) |
29,929,505 USD | 29,079,000 CHF | Citi | 06/15/2022 | 409,707 | — |
4,270,606 USD | 3,933,000 CHF | Citi | 06/15/2022 | — | (167,160) |
2,093,867 USD | 1,810,611,000 CLP | Citi | 06/15/2022 | 98,794 | — |
14,901,481 USD | 12,122,158,000 CLP | Citi | 06/15/2022 | — | (221,475) |
23,097,351 USD | 154,566,000 CNH | Citi | 06/15/2022 | 46,959 | — |
11,097,376 USD | 70,683,438 CNH | Citi | 06/15/2022 | — | (513,422) |
17,041,022 USD | 67,250,425,000 COP | Citi | 06/15/2022 | 767,697 | — |
5,568,457 USD | 130,881,000 CZK | Citi | 06/15/2022 | 105,629 | — |
8,953,826 USD | 200,901,000 CZK | Citi | 06/15/2022 | — | (244,162) |
72,806,726 USD | 68,882,500 EUR | Citi | 06/15/2022 | 1,195,810 | — |
55,855,031 USD | 50,619,500 EUR | Citi | 06/15/2022 | — | (1,472,983) |
26,495,599 USD | 21,127,000 GBP | Citi | 06/15/2022 | 128,365 | — |
33,668,717 USD | 25,033,000 GBP | Citi | 06/15/2022 | — | (2,122,464) |
1,037,743 USD | 386,018,000 HUF | Citi | 06/15/2022 | 4,662 | — |
25,603,983 USD | 8,754,002,000 HUF | Citi | 06/15/2022 | — | (1,964,649) |
506,129 USD | 7,406,672,000 IDR | Citi | 06/15/2022 | 2,414 | — |
1,754,154 USD | 25,293,278,000 IDR | Citi | 06/15/2022 | — | (17,517) |
7,541,965 USD | 25,266,000 ILS | Citi | 06/15/2022 | 76,325 | — |
6,767,079 USD | 21,972,000 ILS | Citi | 06/15/2022 | — | (142,006) |
803,668 USD | 62,631,000 INR | Citi | 06/15/2022 | 1,872 | — |
36,409,800 USD | 2,798,694,000 INR | Citi | 06/15/2022 | — | (413,885) |
25,447,738 USD | 3,289,071,000 JPY | Citi | 06/15/2022 | 115,619 | — |
41,536,184 USD | 5,054,516,000 JPY | Citi | 06/15/2022 | — | (2,251,414) |
17,934,840 USD | 22,796,224,000 KRW | Citi | 06/15/2022 | 456,379 | — |
16,649,477 USD | 20,171,982,000 KRW | Citi | 06/15/2022 | — | (375,408) |
40,066,834 USD | 824,006,000 MXN | Citi | 06/15/2022 | 1,687,725 | — |
12,115,648 USD | 116,739,000 NOK | Citi | 06/15/2022 | 341,161 | — |
23,436,059 USD | 209,376,000 NOK | Citi | 06/15/2022 | — | (1,094,281) |
32,381,140 USD | 50,844,000 NZD | Citi | 06/15/2022 | 742,201 | — |
16,849,636 USD | 24,528,000 NZD | Citi | 06/15/2022 | — | (870,380) |
2,724,115 USD | 144,125,000 PHP | Citi | 06/15/2022 | 22,654 | — |
2,894,187 USD | 149,802,000 PHP | Citi | 06/15/2022 | — | (39,225) |
28,749,830 USD | 125,295,625 PLN | Citi | 06/15/2022 | 542,362 | — |
8,831,921 USD | 36,039,375 PLN | Citi | 06/15/2022 | — | (406,469) |
2,835,891 USD | 289,550,500 RUB | Citi | 06/15/2022 | 1,657,782 | — |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 21 |
May 31, 2022
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
9,976,262 USD | 99,923,000 SEK | Citi | 06/15/2022 | 260,244 | — |
33,802,200 USD | 319,553,000 SEK | Citi | 06/15/2022 | — | (1,065,931) |
4,993,783 USD | 6,743,000 SGD | Citi | 06/15/2022 | — | (72,252) |
8,705,559 USD | 257,911,500 TWD | Citi | 06/15/2022 | 191,590 | — |
2,464,128 USD | 39,170,000 ZAR | Citi | 06/15/2022 | 35,328 | — |
15,520,993 USD | 235,050,000 ZAR | Citi | 06/15/2022 | — | (522,343) |
119,888,000 ZAR | 7,923,330 USD | Citi | 06/15/2022 | 273,221 | — |
154,332,000 ZAR | 9,668,878 USD | Citi | 06/15/2022 | — | (179,119) |
59,267,000 EUR | 63,245,124 USD | Citi | 06/29/2022 | — | (476,976) |
671,000 AUD | 473,704 USD | Citi | 09/21/2022 | — | (8,474) |
13,008,000 BRL | 2,550,627 USD | Citi | 09/21/2022 | — | (100,437) |
9,885,000 CAD | 7,696,751 USD | Citi | 09/21/2022 | — | (114,936) |
30,262,000 CHF | 31,343,122 USD | Citi | 09/21/2022 | — | (432,202) |
1,165,533,000 CLP | 1,369,003 USD | Citi | 09/21/2022 | — | (16,083) |
174,482,000 CNH | 25,990,866 USD | Citi | 09/21/2022 | — | (78,151) |
32,921,860,000 COP | 8,092,030 USD | Citi | 09/21/2022 | — | (487,374) |
7,069,500 EUR | 7,641,235 USD | Citi | 09/21/2022 | 2,774 | — |
57,603,500 EUR | 61,196,352 USD | Citi | 09/21/2022 | — | (1,043,136) |
19,476,000 GBP | 24,469,130 USD | Citi | 09/21/2022 | — | (96,890) |
1,363,036,000 HUF | 3,704,458 USD | Citi | 09/21/2022 | 73,812 | — |
2,781,609,000 IDR | 188,574 USD | Citi | 09/21/2022 | — | (1,885) |
27,952,000 ILS | 8,391,634 USD | Citi | 09/21/2022 | — | (86,891) |
7,438,000 INR | 94,747 USD | Citi | 09/21/2022 | 94 | — |
230,560,000 JPY | 1,818,516 USD | Citi | 09/21/2022 | 16,794 | — |
25,404,574,000 KRW | 19,988,148 USD | Citi | 09/21/2022 | — | (482,273) |
91,318,000 MXN | 4,497,002 USD | Citi | 09/21/2022 | — | (40,820) |
92,563,000 NOK | 9,590,492 USD | Citi | 09/21/2022 | — | (302,624) |
51,157,000 NZD | 32,540,412 USD | Citi | 09/21/2022 | — | (724,598) |
115,678,000 PHP | 2,185,736 USD | Citi | 09/21/2022 | 3,802 | — |
7,534,000 PLN | 1,723,625 USD | Citi | 09/21/2022 | — | (13,307) |
257,911,500 TWD | 8,771,682 USD | Citi | 09/21/2022 | — | (201,840) |
29,726,499 USD | 42,130,000 AUD | Citi | 09/21/2022 | 547,951 | — |
2,460,561 USD | 12,290,332 BRL | Citi | 09/21/2022 | 44,240 | — |
24,606,413 USD | 31,538,000 CAD | Citi | 09/21/2022 | 316,702 | — |
15,883,834 USD | 15,253,000 CHF | Citi | 09/21/2022 | 131,929 | — |
2,384,125 USD | 2,046,577,250 CLP | Citi | 09/21/2022 | 47,970 | — |
344,107 USD | 288,931,750 CLP | Citi | 09/21/2022 | — | (749) |
8,237,972 USD | 33,406,377,000 COP | Citi | 09/21/2022 | 467,696 | — |
5,083,559 USD | 118,606,000 CZK | Citi | 09/21/2022 | — | (2,394) |
26,343,893 USD | 24,892,250 EUR | Citi | 09/21/2022 | 551,710 | — |
1,799,453 USD | 1,664,750 EUR | Citi | 09/21/2022 | — | (723) |
3,688,071 USD | 2,940,000 GBP | Citi | 09/21/2022 | 20,293 | — |
438,048 USD | 163,305,000 HUF | Citi | 09/21/2022 | — | (3,061) |
26 USD | 383,000 IDR | Citi | 09/21/2022 | — | — |
2,264,977 USD | 177,726,000 INR | Citi | 09/21/2022 | — | (3,298) |
4,055,262 USD | 514,777,000 JPY | Citi | 09/21/2022 | — | (32,512) |
3,856,961 USD | 4,929,717,000 KRW | Citi | 09/21/2022 | 115,291 | — |
9,808,949 USD | 199,153,000 MXN | Citi | 09/21/2022 | 87,468 | — |
31,214,110 USD | 301,075,000 NOK | Citi | 09/21/2022 | 964,727 | — |
227,705 USD | 354,000 NZD | Citi | 09/21/2022 | 2,485 | — |
1,938,839 USD | 102,417,000 PHP | Citi | 09/21/2022 | — | (7,035) |
595,428 USD | 2,605,000 PLN | Citi | 09/21/2022 | 5,144 | — |
14,569,351 USD | 144,313,000 SEK | Citi | 09/21/2022 | 265,618 | — |
6,493,275 USD | 8,948,000 SGD | Citi | 09/21/2022 | 40,446 | — |
9,010,311 USD | 145,249,000 ZAR | Citi | 09/21/2022 | 160,043 | — |
57,969,000 ZAR | 3,602,401 USD | Citi | 09/21/2022 | — | (57,494) |
386,749,000 NOK | 42,357,133 USD | Goldman Sachs International | 06/10/2022 | 1,090,450 | — |
48,992,289 USD | 45,663,000 EUR | Goldman Sachs International | 06/10/2022 | 51,143 | — |
22 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
60,870,000 CHF | 63,165,318 USD | Goldman Sachs International | 06/29/2022 | — | (395,216) |
8,149,100,000 JPY | 63,896,190 USD | Goldman Sachs International | 06/29/2022 | 521,764 | — |
7,750,000 AUD | 5,836,631 USD | Morgan Stanley | 06/15/2022 | 273,601 | — |
44,335,000 BRL | 8,480,785 USD | Morgan Stanley | 06/15/2022 | — | (812,104) |
42,950,000 CAD | 33,509,837 USD | Morgan Stanley | 06/15/2022 | — | (444,433) |
22,350,000 CHF | 23,824,094 USD | Morgan Stanley | 06/15/2022 | 505,500 | — |
13,600,000 EUR | 14,897,092 USD | Morgan Stanley | 06/15/2022 | 286,204 | — |
28,700,000 GBP | 37,679,437 USD | Morgan Stanley | 06/15/2022 | 1,512,080 | — |
480,000,000 JPY | 4,157,877 USD | Morgan Stanley | 06/15/2022 | 427,215 | — |
27,068,405,000 KRW | 21,998,342 USD | Morgan Stanley | 06/15/2022 | 160,473 | — |
108,015,000 MXN | 5,339,875 USD | Morgan Stanley | 06/15/2022 | — | (133,530) |
65,400,000 NZD | 45,113,285 USD | Morgan Stanley | 06/15/2022 | 2,507,147 | — |
31,170,000 PLN | 7,367,053 USD | Morgan Stanley | 06/15/2022 | 79,986 | — |
5,670,000 PLN | 1,242,059 USD | Morgan Stanley | 06/15/2022 | — | (83,500) |
488,750,000 SEK | 51,815,997 USD | Morgan Stanley | 06/15/2022 | 1,746,521 | — |
138,170,000 TRY | 8,630,897 USD | Morgan Stanley | 06/15/2022 | 348,510 | — |
31,554,484 USD | 43,650,000 AUD | Morgan Stanley | 06/15/2022 | — | (222,063) |
8,974,677 USD | 43,450,000 BRL | Morgan Stanley | 06/15/2022 | 132,711 | — |
55,165,287 USD | 68,950,000 CAD | Morgan Stanley | 06/15/2022 | — | (656,628) |
20,424,387 USD | 18,850,000 CHF | Morgan Stanley | 06/15/2022 | — | (757,474) |
447,944 USD | 400,000 EUR | Morgan Stanley | 06/15/2022 | — | (18,212) |
4,996,534 USD | 389,250,000 INR | Morgan Stanley | 06/15/2022 | 9,876 | — |
7,868,818 USD | 599,840,000 INR | Morgan Stanley | 06/15/2022 | — | (153,866) |
16,261,594 USD | 1,980,000,000 JPY | Morgan Stanley | 06/15/2022 | — | (872,614) |
11,246,880 USD | 244,650,000 MXN | Morgan Stanley | 06/15/2022 | 1,150,182 | — |
48,072,813 USD | 426,000,000 NOK | Morgan Stanley | 06/15/2022 | — | (2,615,849) |
16,925,141 USD | 168,000,000 SEK | Morgan Stanley | 06/15/2022 | 285,441 | — |
21,378,569 USD | 328,515,000 ZAR | Morgan Stanley | 06/15/2022 | — | (415,874) |
95,638,000 NZD | 62,088,190 USD | UBS | 06/29/2022 | — | (203,709) |
63,385,604 USD | 80,256,000 CAD | UBS | 06/29/2022 | 56,369 | — |
63,296,660 USD | 50,382,000 GBP | UBS | 06/29/2022 | 198,767 | — |
61,878,742 USD | 95,638,000 NZD | UBS | 06/29/2022 | 413,156 | — |
Total | 45,794,852 | (38,037,443) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Amsterdam Index | 1 | 06/2022 | EUR | 142,482 | 3,034 | — |
Australian 10-Year Bond | 176 | 06/2022 | AUD | 21,510,354 | — | (1,014,452) |
Australian 10-Year Bond | 344 | 06/2022 | AUD | 42,042,964 | — | (1,921,665) |
Bist 30 Index | 3,202 | 06/2022 | TRY | 95,035,360 | 278,918 | — |
Brent Crude | 7 | 06/2022 | USD | 809,200 | 36,177 | — |
Brent Crude | 37 | 10/2022 | USD | 3,909,790 | 540,989 | — |
CAC40 Index | 223 | 06/2022 | EUR | 14,397,995 | 259,511 | — |
CAC40 Index | 64 | 06/2022 | EUR | 4,132,160 | 80,990 | — |
Copper | 1 | 07/2022 | USD | 107,400 | 1,635 | — |
Copper | 21 | 07/2022 | USD | 2,255,400 | — | (4,204) |
Copper | 4 | 09/2022 | USD | 944,900 | 1,267 | — |
DAX Index | 40 | 06/2022 | EUR | 14,377,000 | 281,027 | — |
EURO STOXX 50 Index | 590 | 06/2022 | EUR | 22,325,600 | 1,019,274 | — |
EURO STOXX 50 Index | 586 | 06/2022 | EUR | 22,174,240 | — | (218,347) |
Euro-Bund | 330 | 06/2022 | EUR | 50,018,100 | — | (1,371,701) |
Euro-Bund | 178 | 09/2022 | EUR | 27,043,540 | — | (124,281) |
Euro-OAT | 185 | 06/2022 | EUR | 26,656,650 | — | (525,873) |
Euro-Schatz | 9 | 06/2022 | EUR | 991,080 | — | (1,513) |
FTSE 100 Index | 391 | 06/2022 | GBP | 29,659,305 | 852,769 | — |
FTSE 100 Index | 64 | 06/2022 | GBP | 4,854,720 | 49,279 | — |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 23 |
May 31, 2022
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE/JSE Top 40 Index | 395 | 06/2022 | ZAR | 258,807,950 | 32,796 | — |
FTSE/MIB Index | 67 | 06/2022 | EUR | 8,210,180 | 376,644 | — |
FTSE/MIB Index | 52 | 06/2022 | EUR | 6,372,080 | 237,668 | — |
Gold 100 oz. | 7 | 08/2022 | USD | 1,293,880 | — | (6,807) |
IBEX 35 Index | 118 | 06/2022 | EUR | 10,410,786 | 478,684 | — |
Japanese 10-Year Government Bond | 38 | 06/2022 | JPY | 5,686,700,000 | 62,420 | — |
Japanese 10-Year Government Bond | 23 | 06/2022 | JPY | 3,441,950,000 | 5,752 | — |
Long Gilt | 10 | 09/2022 | GBP | 1,159,700 | — | (30,206) |
Long Gilt | 313 | 09/2022 | GBP | 36,298,610 | — | (741,936) |
Natural Gas | 35 | 06/2022 | USD | 2,850,750 | 248,056 | — |
NY Harbor ULSD Heat Oil | 29 | 06/2022 | USD | 4,792,830 | 315,818 | — |
NY Harbor ULSD Heat Oil | 1 | 06/2022 | USD | 165,270 | 11,388 | — |
OMXS30 Index | 247 | 06/2022 | SEK | 50,474,450 | 61,692 | — |
OMXS30 Index | 15 | 06/2022 | SEK | 3,065,250 | 1,858 | — |
Primary Aluminum | 17 | 06/2022 | USD | 1,174,594 | — | (7,518) |
Primary Aluminum | 9 | 09/2022 | USD | 627,975 | — | (35,139) |
RBOB Gasoline | 12 | 06/2022 | USD | 1,973,765 | 165,901 | — |
RBOB Gasoline | 1 | 06/2022 | USD | 164,480 | 12,846 | — |
Silver | 35 | 07/2022 | USD | 3,795,400 | — | (49,056) |
Soybean | 24 | 07/2022 | USD | 2,019,900 | — | (13,771) |
SPI 200 Index | 322 | 06/2022 | AUD | 58,056,600 | — | (595,999) |
Sugar #11 | 30 | 06/2022 | USD | 651,840 | 22,659 | — |
Thai SET50 Index | 129 | 06/2022 | THB | 25,748,400 | 13,960 | — |
TOPIX Index | 110 | 06/2022 | JPY | 2,099,900,000 | 79,940 | — |
U.S. Treasury 10-Year Note | 1,070 | 09/2022 | USD | 127,814,844 | 49,314 | — |
U.S. Treasury 10-Year Note | 46 | 09/2022 | USD | 5,494,844 | — | (25,529) |
U.S. Ultra Treasury Bond | 95 | 09/2022 | USD | 14,796,250 | — | (274,684) |
WIG 20 Index | 701 | 06/2022 | PLN | 25,908,960 | — | (173,039) |
WTI Crude | 49 | 06/2022 | USD | 5,618,830 | 600,832 | — |
WTI Crude | 17 | 06/2022 | USD | 1,949,390 | 39,649 | — |
Zinc | 41 | 06/2022 | USD | 4,027,225 | 41,205 | — |
Zinc | 3 | 09/2022 | USD | 293,625 | 16,366 | — |
Total | 6,280,318 | (7,135,720) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Australian 3-Year Bond | (107) | 06/2022 | AUD | (11,636,851) | 188,114 | — |
Canadian Government 10-Year Bond | (386) | 09/2022 | CAD | (49,025,860) | 324,344 | — |
Canadian Government 10-Year Bond | (73) | 09/2022 | CAD | (9,271,730) | 75,713 | — |
Coffee | (18) | 07/2022 | USD | (1,560,938) | — | (181,949) |
Corn | (97) | 07/2022 | USD | (3,654,475) | 259,194 | — |
Corn | (44) | 07/2022 | USD | (1,657,700) | 61,917 | — |
Cotton | (38) | 07/2022 | USD | (2,640,620) | 111,962 | — |
DAX Index | (80) | 06/2022 | EUR | (28,754,000) | — | (288,670) |
DJIA Index E-mini | (9) | 06/2022 | USD | (1,483,695) | 26,647 | — |
EURO STOXX 50 Index | (35) | 06/2022 | EUR | (1,324,400) | — | (55,033) |
Euro-Bobl | (4) | 06/2022 | EUR | (505,960) | 4,178 | — |
Euro-Bobl | (1) | 09/2022 | EUR | (125,220) | 310 | — |
Euro-BTP | (109) | 06/2022 | EUR | (13,828,830) | 266,857 | — |
Euro-Bund | (76) | 06/2022 | EUR | (11,519,320) | 204,847 | — |
Euro-Buxl 30-Year | (3) | 09/2022 | EUR | (521,640) | 5,150 | — |
Euro-OAT | (19) | 09/2022 | EUR | (2,695,720) | 11,197 | — |
FTSE 100 Index | (226) | 06/2022 | GBP | (17,143,230) | — | (847,946) |
FTSE China A50 Index | (594) | 06/2022 | USD | (8,052,264) | — | (312,390) |
FTSE Taiwan Index | (3) | 06/2022 | USD | (174,000) | — | (5,884) |
FTSE Taiwan Index | (90) | 06/2022 | USD | (5,220,000) | — | (185,354) |
24 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE/JSE Top 40 Index | (179) | 06/2022 | ZAR | (117,282,590) | — | (347,013) |
Gold 100 oz. | (3) | 08/2022 | USD | (554,520) | — | (1,956) |
IBEX 35 Index | (14) | 06/2022 | EUR | (1,235,178) | — | (46,197) |
KLCI Index | (39) | 06/2022 | MYR | (3,040,050) | — | (7,453) |
KOSPI 200 Index | (68) | 06/2022 | KRW | (6,020,550,000) | — | (62,242) |
Lead | (4) | 09/2022 | USD | (218,800) | — | (1,811) |
Lean Hogs | (26) | 06/2022 | USD | (1,122,940) | — | (28,387) |
Live Cattle | (69) | 08/2022 | USD | (3,598,350) | 65,936 | — |
Long Gilt | (530) | 09/2022 | GBP | (61,464,100) | 1,371,614 | — |
Mexican Bolsa IPC Index | (8) | 06/2022 | MXN | (4,143,040) | 6,033 | — |
Mexican Bolsa IPC Index | (153) | 06/2022 | MXN | (79,235,640) | 3,200 | — |
MSCI EAFE Index | (4) | 06/2022 | USD | (407,400) | — | (848) |
MSCI Emerging Markets Index | (342) | 06/2022 | USD | (18,182,430) | — | (231,368) |
MSCI Singapore Index | (48) | 06/2022 | SGD | (1,441,440) | — | (18,924) |
NASDAQ 100 Index E-mini | (29) | 06/2022 | USD | (7,334,970) | 395,836 | — |
Natural Gas | (10) | 06/2022 | USD | (814,500) | 24,842 | — |
Nickel | (12) | 06/2022 | USD | (2,041,056) | 153,560 | — |
Nickel | (7) | 09/2022 | USD | (1,193,682) | — | (91,800) |
Nikkei 225 Index | (11) | 06/2022 | JPY | (299,860,000) | — | (144,489) |
Russell 2000 Index E-mini | (19) | 06/2022 | USD | (1,768,805) | 133,967 | — |
S&P 500 Index E-mini | (364) | 06/2022 | USD | (75,188,750) | 5,167,908 | — |
S&P 500 Index E-mini | (132) | 06/2022 | USD | (27,266,250) | 84,191 | — |
S&P Mid 400 Index E-mini | (4) | 06/2022 | USD | (1,005,280) | 16,181 | — |
S&P/TSX 60 Index | (105) | 06/2022 | CAD | (26,323,500) | 264,179 | — |
S&P/TSX 60 Index | (15) | 06/2022 | CAD | (3,760,500) | 58,530 | — |
S&P/TSX 60 Index | (28) | 06/2022 | CAD | (7,019,600) | — | (74,186) |
SGX CNX Nifty Index | (123) | 06/2022 | USD | (4,073,760) | — | (110,024) |
SGX CNX Nifty Index | (456) | 06/2022 | USD | (15,102,720) | — | (346,181) |
Silver | (2) | 07/2022 | USD | (216,880) | 23,566 | — |
Soybean | (32) | 07/2022 | USD | (2,693,200) | — | (42,368) |
Soybean Meal | (45) | 07/2022 | USD | (1,866,600) | 47,076 | — |
Soybean Oil | (1) | 07/2022 | USD | (46,752) | 2,291 | — |
Soybean Oil | (1) | 07/2022 | USD | (46,752) | 703 | — |
SPI 200 Index | (11) | 06/2022 | AUD | (1,983,300) | — | (20,971) |
TOPIX Index | (89) | 06/2022 | JPY | (1,699,010,000) | — | (87,995) |
U.S. Long Bond | (27) | 09/2022 | USD | (3,764,813) | 43,873 | — |
U.S. Treasury 10-Year Note | (484) | 09/2022 | USD | (57,815,313) | 341,786 | — |
U.S. Treasury 2-Year Note | (143) | 09/2022 | USD | (30,187,523) | 22,344 | — |
U.S. Treasury 5-Year Note | (309) | 09/2022 | USD | (34,902,516) | 124,467 | — |
U.S. Treasury 5-Year Note | (844) | 09/2022 | USD | (95,332,438) | — | (101,331) |
U.S. Ultra Treasury Bond | (87) | 09/2022 | USD | (13,550,250) | 231,950 | — |
Wheat | (80) | 07/2022 | USD | (4,350,000) | 164,768 | — |
Wheat | (13) | 07/2022 | USD | (706,875) | 23,183 | — |
Total | 10,312,414 | (3,642,770) |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Morgan Stanley to receive SOFR and pay exercise rate | Morgan Stanley | USD | 12,500,000 | 12,500,000 | 2.25 | 09/30/2022 | 275,000 | 580,885 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 25 |
May 31, 2022
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 17,500,000 | 17,500,000 | 1.00 | 07/08/2022 | 178,500 | 2 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 7,450,000 | 7,450,000 | 2.25 | 04/27/2023 | 178,800 | 114,524 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 14,160,000 | 14,160,000 | 2.50 | 05/12/2023 | 423,384 | 335,211 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 25,000,000 | 25,000,000 | 2.25 | 04/27/2023 | 596,250 | 384,307 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 14,160,000 | 14,160,000 | 2.50 | 05/12/2023 | 436,836 | 335,211 |
Total | 1,813,770 | 1,169,255 |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (15,000,000) | (15,000,000) | 2.55 | 07/13/2022 | (240,000) | (286,701) |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | (30,000,000) | (30,000,000) | 2.65 | 07/14/2022 | (510,000) | (427,398) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (13,200,000) | (13,200,000) | 1.75 | 07/05/2022 | (102,300) | (700,374) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (22,900,000) | (22,900,000) | 1.85 | 07/07/2022 | (206,100) | (1,112,313) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (25,000,000) | (25,000,000) | 2.00 | 08/03/2022 | (225,000) | (1,061,590) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (32,000,000) | (32,000,000) | 2.10 | 08/10/2022 | (384,000) | (1,224,486) |
Total | (1,667,400) | (4,812,862) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
3-Month NZD LIBOR | Fixed rate of 2.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 06/12/2024 | NZD | 26,700,000 | 368,486 | — | — | 368,486 | — |
3-Month NZD LIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 06/12/2024 | NZD | 10,900,000 | 145,601 | — | — | 145,601 | — |
Fixed rate of 1.500% | 3-Month AUD BBSW | Receives SemiAnnually, Pays Quarterly | JPMorgan | 06/13/2024 | AUD | 45,300,000 | (775,890) | — | — | — | (775,890) |
SONIA | Fixed rate of 0.500% | Receives Annually, Pays Annually | JPMorgan | 06/15/2024 | GBP | 189,400,000 | 2,543,411 | — | — | 2,543,411 | — |
SOFR | Fixed rate of 0.500% | Receives Annually, Pays Annually | JPMorgan | 06/15/2024 | USD | 74,600,000 | 1,563,861 | — | — | 1,563,861 | — |
Fixed rate of -0.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 06/15/2024 | EUR | 108,900,000 | (2,059,859) | — | — | — | (2,059,859) |
3-Month NZD LIBOR | Fixed rate of 3.500% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 09/11/2024 | NZD | 1,000,000 | 5,531 | — | — | 5,531 | — |
Fixed rate of 4.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 09/11/2024 | NZD | 19,700,000 | (53,763) | — | — | — | (53,763) |
6-Month AUD BBSW | Fixed rate of 3.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/12/2024 | AUD | 49,400,000 | 246,335 | — | — | 246,335 | — |
6-Month AUD BBSW | Fixed rate of 3.500% | Receives Quarterly, Pays Quarterly | JPMorgan | 09/12/2024 | AUD | 29,200,000 | (80,768) | — | — | — | (80,768) |
Fixed rate of 2.000% | 3-Month AUD BBSW | Receives Quarterly, Pays Quarterly | JPMorgan | 09/12/2024 | AUD | 14,800,000 | (159,311) | — | — | — | (159,311) |
26 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
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 2.500% | Receives Quarterly, Pays Quarterly | JPMorgan | 09/18/2024 | SEK | 16,300,000 | 55 | — | — | 55 | — |
3-Month SEK STIBOR | Fixed rate of 2.000% | Receives Quarterly, Pays Annually | JPMorgan | 09/18/2024 | SEK | 68,600,000 | 24 | — | — | 24 | — |
6-Month NOK NIBOR | Fixed rate of 0.030% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/18/2024 | NOK | 355,700,000 | (29,190) | — | — | — | (29,190) |
Fixed rate of 1.500% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 09/18/2024 | SEK | 230,300,000 | (361,247) | — | — | — | (361,247) |
Fixed rate of 2.500% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/18/2024 | NOK | 624,000,000 | (524,942) | — | — | — | (524,942) |
Fixed rate of 1.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 09/18/2024 | SEK | 600,800,000 | (1,253,888) | — | — | — | (1,253,888) |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 09/19/2024 | CAD | 75,800,000 | 25,840 | — | — | 25,840 | — |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 09/19/2024 | CAD | 33,100,000 | (12,007) | — | — | — | (12,007) |
SONIA | Fixed rate of 0.020% | Receives Annually, Pays Annually | JPMorgan | 09/21/2024 | GBP | 190,400,000 | 964,058 | — | — | 964,058 | — |
SONIA | Fixed rate of 1.000% | Receives Annually, Pays Annually | JPMorgan | 09/21/2024 | GBP | 37,900,000 | 701,425 | — | — | 701,425 | — |
SOFR | Fixed rate of 1.000% | Receives Annually, Pays Annually | JPMorgan | 09/21/2024 | USD | 8,600,000 | 186,401 | — | — | 186,401 | — |
SOFR | Fixed rate of 2.000% | Receives Annually, Pays Annually | JPMorgan | 09/21/2024 | USD | 22,400,000 | 1,567 | — | — | 1,567 | — |
Fixed rate of -0.250% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/21/2024 | EUR | 23,200,000 | (474,003) | — | — | — | (474,003) |
SOFR | Fixed rate of 2.000% | Receives Annually, Pays Annually | JPMorgan | 09/21/2024 | USD | 227,200,000 | (548,307) | — | — | — | (548,307) |
Fixed rate of 0.005% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/21/2024 | EUR | 219,400,000 | (1,137,832) | — | — | — | (1,137,832) |
Fixed rate of 4.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 12/11/2024 | NZD | 19,100,000 | (39,261) | — | — | — | (39,261) |
6-Month EURIBOR | Fixed rate of 0.750% | Receives SemiAnnually, Pays Annually | JPMorgan | 12/21/2024 | EUR | 5,000,000 | 21,830 | — | — | 21,830 | — |
SOFR | Fixed rate of 2.000% | Receives Annually, Pays Annually | JPMorgan | 12/21/2024 | USD | 11,700,000 | 18,716 | — | — | 18,716 | — |
SONIA | Fixed rate of 2.000% | Receives Annually, Pays Annually | JPMorgan | 12/21/2024 | GBP | 2,300,000 | 16,782 | — | — | 16,782 | — |
6-Month AUD BBSW | Fixed rate of 2.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/10/2032 | AUD | 13,200,000 | 868,445 | — | — | 868,445 | — |
Fixed rate of 1.250% | SOFR | Receives Annually, Pays Annually | JPMorgan | 06/15/2032 | USD | 2,700,000 | (204,066) | — | — | — | (204,066) |
Fixed rate of 0.750% | SONIA | Receives Annually, Pays Annually | JPMorgan | 06/15/2032 | GBP | 14,400,000 | (1,014,259) | — | — | — | (1,014,259) |
Fixed rate of 2.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/09/2032 | AUD | 800,000 | (8,025) | — | — | — | (8,025) |
Fixed rate of 3.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/09/2032 | AUD | 1,700,000 | (28,168) | — | — | — | (28,168) |
Fixed rate of 3.000% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/09/2032 | AUD | 1,400,000 | (40,885) | — | — | — | (40,885) |
3-Month SEK STIBOR | Fixed rate of 1.500% | Receives Quarterly, Pays Annually | JPMorgan | 09/15/2032 | SEK | 91,400,000 | 651,859 | — | — | 651,859 | — |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 27 |
May 31, 2022
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 3.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/15/2032 | NOK | 9,700,000 | 5,769 | — | — | 5,769 | — |
Fixed rate of 3.000% | 3-Month NZD LIBOR | Receives SemiAnnually, Pays Quarterly | JPMorgan | 09/15/2032 | NZD | 300,000 | (13,473) | — | — | — | (13,473) |
Fixed rate of 2.300% | 3-Month CAD Canada Bankers’ Acceptances | Receives SemiAnnually, Pays Quarterly | JPMorgan | 09/19/2032 | CAD | 11,000,000 | (108,112) | — | — | — | (108,112) |
6-Month EURIBOR | Fixed rate of 0.010% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/21/2032 | EUR | 30,800,000 | 1,147,608 | — | — | 1,147,608 | — |
6-Month EURIBOR | Fixed rate of 0.250% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/21/2032 | EUR | 1,900,000 | 145,753 | — | — | 145,753 | — |
Fixed rate of 2.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/21/2032 | USD | 5,800,000 | 119,640 | — | — | 119,640 | — |
6-Month EURIBOR | Fixed rate of 0.010% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/21/2032 | EUR | 5,800,000 | (88,356) | — | — | — | (88,356) |
Fixed rate of 1.500% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/21/2032 | USD | 1,800,000 | (150,604) | — | — | — | (150,604) |
Fixed rate of 2.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/21/2032 | USD | 21,300,000 | (471,840) | — | — | — | (471,840) |
Fixed rate of 0.750% | SONIA | Receives Annually, Pays Annually | JPMorgan | 09/21/2032 | GBP | 8,200,000 | (644,183) | — | — | — | (644,183) |
Fixed rate of 1.500% | SONIA | Receives Annually, Pays Annually | JPMorgan | 09/21/2032 | GBP | 20,700,000 | (1,052,445) | — | — | — | (1,052,445) |
Fixed rate of 3.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 12/09/2032 | AUD | 1,700,000 | (16,847) | — | — | — | (16,847) |
Fixed rate of 1.500% | SONIA | Receives Annually, Pays Annually | JPMorgan | 12/21/2032 | GBP | 500,000 | (14,119) | — | — | — | (14,119) |
Fixed rate of 2.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 12/21/2032 | USD | 2,200,000 | (14,325) | — | — | — | (14,325) |
Fixed rate of 1.750% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/21/2052 | USD | 2,000,000 | 17,319 | — | — | 17,319 | — |
Fixed rate of 1.750% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/21/2052 | USD | 3,300,000 | (61,946) | — | — | — | (61,946) |
Fixed rate of 0.108% | ESTR | Receives Annually, Pays Annually | Morgan Stanley | 01/05/2032 | EUR | 36,124,000 | (4,915,139) | — | — | — | (4,915,139) |
3-Month NZD LIBOR | Fixed rate of 2.744% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 01/07/2032 | NZD | 41,822,537 | 2,380,257 | — | — | 2,380,257 | — |
Fixed rate of 0.280% | ESTR | Receives Annually, Pays Annually | Morgan Stanley | 02/03/2032 | EUR | 9,600,000 | (1,161,120) | — | — | — | (1,161,120) |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.240% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 03/01/2032 | CAD | 18,170,000 | 1,349,378 | — | — | 1,349,378 | — |
SOFR | Fixed rate of 1.631% | Receives Annually, Pays SemiAnnually | Morgan Stanley | 03/03/2032 | USD | 22,900,000 | 1,936,378 | — | — | 1,936,378 | — |
3-Month NZD LIBOR | Fixed rate of 3.025% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 03/03/2032 | NZD | 24,500,000 | 1,134,337 | — | — | 1,134,337 | — |
TONA | Fixed rate of 0.188% | Receives Annually, Pays Annually | Morgan Stanley | 03/03/2032 | JPY | 654,200,000 | 81,893 | — | — | 81,893 | — |
Fixed rate of 0.497% | ESTR | Receives Annually, Pays Annually | Morgan Stanley | 03/03/2032 | EUR | 11,970,000 | (1,213,735) | — | — | — | (1,213,735) |
SONIA | Fixed rate of 1.694% | Receives Annually, Pays Annually | Morgan Stanley | 04/01/2032 | GBP | 13,219,000 | 657,862 | — | — | 657,862 | — |
28 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
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 ($) |
3-Month CAD Canada Bankers’ Acceptances | Fixed rate of 2.951% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 04/01/2032 | CAD | 7,489,000 | 202,431 | — | — | 202,431 | — |
Fixed rate of 1.910% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | Morgan Stanley | 04/05/2032 | SEK | 174,854,000 | (912,026) | — | — | — | (912,026) |
6-Month AUD BBSW | Fixed rate of 3.674% | Receives SemiAnnually, Pays SemiAnnually | Morgan Stanley | 05/04/2032 | AUD | 29,000,000 | (21,612) | — | — | — | (21,612) |
Fixed rate of 1.445% | ESTR | Receives Annually, Pays Annually | Morgan Stanley | 05/04/2032 | EUR | 29,517,000 | (335,223) | — | — | — | (335,223) |
Fixed rate of 2.395% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | Morgan Stanley | 05/05/2032 | SEK | 400,481,000 | (435,886) | — | — | — | (435,886) |
3-Month NZD LIBOR | Fixed rate of 4.140% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 05/06/2032 | NZD | 40,300,000 | (455,750) | — | — | — | (455,750) |
Total | (3,383,560) | — | — | 17,508,852 | (20,892,412) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 5.703 | USD | 700,000 | (104,125) | 408 | — | (37,647) | — | (66,070) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.799 | USD | 5,000,000 | (681,250) | 2,917 | — | (963,827) | 285,494 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.799 | USD | 3,000,000 | (408,750) | 1,750 | — | (677,450) | 270,450 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.799 | USD | 3,500,000 | (476,875) | 2,042 | — | (658,048) | 183,215 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.799 | USD | 2,000,000 | (272,500) | 1,167 | — | (437,703) | 166,370 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.799 | USD | 2,500,000 | (340,625) | 1,458 | — | (496,597) | 157,430 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.799 | USD | 1,200,000 | (163,500) | 700 | — | (279,297) | 116,497 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.799 | USD | 2,000,000 | (272,500) | 1,166 | — | (316,414) | 45,080 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.799 | USD | 750,000 | (102,187) | 437 | — | (122,788) | 21,038 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 6.799 | USD | 5,000,000 | (681,250) | 2,917 | — | (574,984) | — | (103,349) |
Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | 5.807 | USD | 4,000,000 | (482,500) | 2,334 | — | (764,812) | 284,646 | — |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 29 |
May 31, 2022
Credit default swap contracts - sell protection (continued) | |||||||||||||
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 12 BBB- | Morgan Stanley | 08/17/2061 | 3.000 | Monthly | 5.813 | USD | 3,000,000 | (406,875) | 1,750 | — | (433,376) | 28,251 | — |
Markit CMBX North America Index, Series 13 BBB- | Morgan Stanley | 12/16/2072 | 3.000 | Monthly | 5.703 | USD | 2,000,000 | (297,500) | 1,167 | — | (181,925) | — | (114,408) |
Markit CMBX North America Index, Series 13 BBB- | Morgan Stanley | 12/16/2072 | 3.000 | Monthly | 5.703 | USD | 1,500,000 | (223,125) | 875 | — | (76,591) | — | (145,659) |
Markit CMBX North America Index, Series 13 BBB- | Morgan Stanley | 12/16/2072 | 3.000 | Monthly | 5.703 | USD | 1,500,000 | (223,125) | 875 | — | (75,100) | — | (147,150) |
Markit CMBX North America Index, Series 13 BBB- | Morgan Stanley | 12/16/2072 | 3.000 | Monthly | 5.703 | USD | 2,000,000 | (297,500) | 1,167 | — | (128,723) | — | (167,610) |
Markit CMBX North America Index, Series 13 BBB- | Morgan Stanley | 12/16/2072 | 3.000 | Monthly | 5.703 | USD | 2,000,000 | (297,500) | 1,167 | — | (115,984) | — | (180,349) |
Total | (5,731,687) | 24,297 | — | (6,341,266) | 1,558,471 | (924,595) |
* | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
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 ($) |
Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.003% | Monthly | JPMorgan | 06/15/2022 | EUR | 957,739 | 42,731 | 310 | — | — | 43,041 | — |
Total return on MSCI Italy Net Return EUR Index | 3-Month EURIBOR minus 0.006% | Monthly | JPMorgan | 06/15/2022 | EUR | 1,316,285 | 42,218 | 579 | — | — | 42,797 | — |
Total return on MSCI Netherlands Net Return EUR Index | 1-Month EURIBOR plus 0.001% | Monthly | JPMorgan | 06/15/2022 | EUR | 457,605 | 19,395 | 95 | — | — | 19,490 | — |
SORA minus 0.002% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 06/15/2022 | SGD | 116,993 | (945) | 21 | — | — | — | (924) |
28-Day MXN TIIE-Banxico minus 0.004% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/15/2022 | MXN | 2,345,230 | (4,123) | 293 | — | — | — | (3,830) |
28-Day MXN TIIE-Banxico minus 0.004% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/15/2022 | MXN | 2,452,095 | (4,311) | 306 | — | — | — | (4,005) |
30 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
28-Day MXN TIIE-Banxico minus 0.004% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/15/2022 | MXN | 2,909,758 | (5,115) | 363 | — | — | — | (4,752) |
1-Month ZAR JIBAR plus 0.006% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/15/2022 | ZAR | 3,876,227 | (10,628) | 414 | — | — | — | (10,214) |
Overnight BRL CDI minus 0.007% | Total return on MSCI Brazil Net Return BRL Index | Monthly | JPMorgan | 06/15/2022 | BRL | 5,725,549 | (59,989) | 5,133 | — | — | — | (54,856) |
Total | 19,233 | 7,514 | — | — | 105,328 | (78,581) |
Total return swap contracts on futures | ||||||||
Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
DTOP Index June 22 | Goldman Sachs | 06/2022 | ZAR | (1,405,030) | — | — | — | (3,254) |
TAIEX Index June 22 | Goldman Sachs | 06/2022 | TWD | 50,043,000 | — | — | 75,075 | — |
WIG 20 Index June 22 | Goldman Sachs | 06/2022 | PLN | (1,589,280) | — | — | — | (4,858) |
Ibovespa Index June 22 | Morgan Stanley | 06/2022 | BRL | (52,429,910) | — | — | 599,389 | — |
KOSPI 200 Index Jun 2022 | Morgan Stanley | 06/2022 | KRW | 5,400,787,500 | — | — | 45,067 | — |
Swiss Federal Bond Jun 2022 | Morgan Stanley | 06/2022 | CHF | (14,265,540) | — | — | — | (274,968) |
Swiss Market Index June 22 | Morgan Stanley | 06/2022 | CHF | 10,090,260 | — | — | 21,762 | — |
TAIEX Index June 22 | Morgan Stanley | 06/2022 | TWD | 60,051,600 | — | — | 88,481 | — |
Total | — | — | 829,774 | (283,080) |
* | 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 EURIBOR | Euro Interbank Offered Rate | (0.546%) |
1-Month ZAR JIBAR | Johannesburg Interbank Average Rate | 4.792% |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 7.225% |
3-Month AUD BBSW | Bank Bill Swap Rate | 1.177% |
3-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 1.947% |
3-Month EURIBOR | Euro Interbank Offered Rate | (0.338%) |
3-Month NZD LIBOR | London Interbank Offered Rate | 2.465% |
3-Month SEK STIBOR | Stockholm Interbank Offered Rate | 0.477% |
6-Month AUD BBSW | Bank Bill Swap Rate | 1.925% |
6-Month EURIBOR | Euro Interbank Offered Rate | (0.045%) |
6-Month NOK NIBOR | Norwegian Interbank Offered Rate | 1.620% |
ESTR | Euro Short Term Rate | (0.589%) |
Overnight BRL CDI | Interbank Certificate of Deposit | 0.479% |
SOFR | Secured Overnight Financing Rate | 0.780% |
SONIA | Sterling Overnight Index Average | 0.941% |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 31 |
May 31, 2022
Reference index and values for swap contracts as of period end (continued) | ||
Reference index | Reference rate | |
SORA | Singapore Overnight Rate Average | 0.719% |
TONA | Tokyo Overnight Average Rate | (0.026%) |
(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 May 31, 2022, the total value of these securities amounted to $212,132,294, which represents 26.30% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of May 31, 2022. |
(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 May 31, 2022 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 May 31, 2022, the total value of these securities amounted to $8,622,033, which represents 1.07% of total net assets. |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of May 31, 2022. |
(g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(h) | Includes comparable securities held to satisfy future delivery requirements of the following open forward sale commitments at May 31, 2022: |
Security description | Principal amount ($) | Settlement date | Proceeds receivable ($) | Value ($) |
Uniform Mortgage-Backed Security TBA | ||||
06/13/2052 2.500% | (40,000,000) | 06/13/2022 | (36,079,688) | (36,806,250) |
(i) | Represents a security purchased on a when-issued basis. |
(j) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(k) | The rate shown is the seven-day current annualized yield at May 31, 2022. |
(l) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.852% | ||||||||
308,299,190 | 721,230,153 | (703,766,092) | (34,804) | 325,728,447 | (62,508) | 588,107 | 325,858,790 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Yuan Offshore Renminbi |
COP | Colombian Peso |
32 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
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 |
PHP | Philippine Peso |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thailand Baht |
TRY | Turkish Lira |
TWD | New Taiwan Dollar |
USD | US Dollar |
ZAR | South African Rand |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 33 |
May 31, 2022
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 35,195,661 | 11,283,627 | 46,479,288 |
Commercial Mortgage-Backed Securities - Agency | — | 631,960 | — | 631,960 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 38,198,319 | — | 38,198,319 |
Residential Mortgage-Backed Securities - Agency | — | 101,699,956 | — | 101,699,956 |
Residential Mortgage-Backed Securities - Non-Agency | — | 115,085,244 | 12,074,645 | 127,159,889 |
Treasury Bills | 162,901,086 | — | — | 162,901,086 |
Options Purchased Calls | — | 1,169,255 | — | 1,169,255 |
Options Purchased Puts | — | 580,885 | — | 580,885 |
Money Market Funds | 325,728,447 | — | — | 325,728,447 |
Total Investments in Securities | 488,629,533 | 292,561,280 | 23,358,272 | 804,549,085 |
Forward Sale Commitments | — | (36,806,250) | — | (36,806,250) |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 45,794,852 | — | 45,794,852 |
Futures Contracts | 16,592,732 | — | — | 16,592,732 |
Swap Contracts | — | 20,002,425 | — | 20,002,425 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (38,037,443) | — | (38,037,443) |
Futures Contracts | (10,778,490) | — | — | (10,778,490) |
Options Contracts Written | — | (4,812,862) | — | (4,812,862) |
Swap Contracts | — | (22,178,668) | — | (22,178,668) |
Total | 494,443,775 | 256,523,334 | 23,358,272 | 774,325,381 |
Balance as of 05/31/2021 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 05/31/2022 ($) | |
Asset-Backed Securities — Non-Agency | 15,808,703 | (5,523,631) | — | 538,753 | 1,823,347 | (1,363,545) | — | — | 11,283,627 |
Residential Mortgage-Backed Securities — Non-Agency | 6,731,785 | 4,910 | 238,783 | (127,990) | 7,828,214 | (4,810,367) | 2,209,310 | — | 12,074,645 |
Total | 22,540,488 | (5,518,721) | 238,783 | 410,763 | 9,651,561 | (6,173,912) | 2,209,310 | — | 23,358,272 |
34 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $488,799,972) | $477,070,498 |
Affiliated issuers (cost $325,769,438) | 325,728,447 |
Options purchased (cost $2,088,770) | 1,750,140 |
Foreign currency (cost $8,366,725) | 8,425,521 |
Cash collateral held at broker for: | |
Forward foreign currency exchange contracts | 2,420,000 |
Swap contracts | 3,580,000 |
Options contracts written | 3,372,000 |
TBA | 218,000 |
Other(a) | 5,269,000 |
Margin deposits on: | |
Futures contracts | 36,991,272 |
Swap contracts | 9,947,586 |
Unrealized appreciation on forward foreign currency exchange contracts | 45,794,852 |
Unrealized appreciation on swap contracts | 2,493,573 |
Receivable for: | |
Investments sold | 1,380,994 |
Investments sold on a delayed delivery basis | 36,113,021 |
Capital shares sold | 1,116,276 |
Dividends | 201,391 |
Interest | 1,020,473 |
Variation margin for futures contracts | 7,013,805 |
Variation margin for swap contracts | 3,911,010 |
Expense reimbursement due from Investment Manager | 11,459 |
Prepaid expenses | 5,892 |
Trustees’ deferred compensation plan | 70,430 |
Total assets | 973,905,640 |
Liabilities | |
Option contracts written, at value (premiums received $1,667,400) | 4,812,862 |
Forward sale commitments, at value (proceeds receivable $36,079,688) | 36,806,250 |
Due to custodian | 46,397 |
Unrealized depreciation on forward foreign currency exchange contracts | 38,037,443 |
Unrealized depreciation on swap contracts | 1,286,256 |
Upfront receipts on swap contracts | 6,341,266 |
Cash collateral due to broker for: | |
Foreign forward currency exchange contracts | 2,050,000 |
Swap contracts | 970,000 |
Payable for: | |
Investments purchased | 413,792 |
Investments purchased on a delayed delivery basis | 65,740,250 |
Capital shares purchased | 842,685 |
Variation margin for futures contracts | 6,474,032 |
Variation margin for swap contracts | 3,112,507 |
Interest on forward sale commitments | 33,333 |
Management services fees | 84,621 |
Distribution and/or service fees | 1,469 |
Transfer agent fees | 74,594 |
Compensation of board members | 13,428 |
Other expenses | 75,042 |
Trustees’ deferred compensation plan | 70,430 |
Total liabilities | 167,286,657 |
Net assets applicable to outstanding capital stock | $806,618,983 |
Represented by | |
Paid in capital | 951,305,873 |
Total distributable earnings (loss) | (144,686,890) |
Total - representing net assets applicable to outstanding capital stock | $806,618,983 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 35 |
May 31, 2022
Class A | |
Net assets | $2,137,843 |
Shares outstanding | 76,364 |
Net asset value per share | $28.00 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $29.71 |
Advisor Class | |
Net assets | $317,817 |
Shares outstanding | 11,209 |
Net asset value per share | $28.35 |
Class C | |
Net assets | $12,869,261 |
Shares outstanding | 476,764 |
Net asset value per share | $26.99 |
Institutional Class | |
Net assets | $790,615,303 |
Shares outstanding | 27,936,692 |
Net asset value per share | $28.30 |
Institutional 2 Class | |
Net assets | $664,712 |
Shares outstanding | 23,375 |
Net asset value per share | $28.44 |
Institutional 3 Class | |
Net assets | $7,134 |
Shares outstanding | 250 |
Net asset value per share | $28.54 |
Class R | |
Net assets | $6,913 |
Shares outstanding | 250 |
Net asset value per share | $27.65 |
(a) | Includes collateral related to option contracts and swap contracts. |
36 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
Year Ended May 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $503,219 |
Dividends — affiliated issuers | 588,107 |
Interest | 17,894,333 |
Total income | 18,985,659 |
Expenses: | |
Management services fees | 8,136,161 |
Distribution and/or service fees | |
Class A | 4,430 |
Class C | 12,604 |
Class R | 36 |
Transfer agent fees | |
Class A | 2,000 |
Advisor Class | 492 |
Class C | 1,466 |
Institutional Class | 953,363 |
Institutional 2 Class | 516 |
Institutional 3 Class | 1 |
Class R | 7 |
Compensation of board members | 23,368 |
Custodian fees | 141,380 |
Printing and postage fees | 95,215 |
Registration fees | 141,574 |
Audit fees | 52,000 |
Legal fees | 18,015 |
Interest on collateral | 316,454 |
Compensation of chief compliance officer | 251 |
Other | 26,337 |
Total expenses | 9,925,670 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (982,907) |
Expense reduction | (20) |
Total net expenses | 8,942,743 |
Net investment income | 10,042,916 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 336,744 |
Investments — affiliated issuers | (62,508) |
Foreign currency translations | (6,379,176) |
Forward foreign currency exchange contracts | (12,107,249) |
Futures contracts | 11,089,830 |
Options purchased | 3,886,275 |
Options contracts written | (2,344,970) |
Swap contracts | (12,673,962) |
Net realized loss | (18,255,016) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (20,929,571) |
Investments — affiliated issuers | (34,804) |
Foreign currency translations | (547,557) |
Forward sale commitments | (726,562) |
Forward foreign currency exchange contracts | 8,680,717 |
Futures contracts | 9,262,871 |
Options purchased | (5,594,468) |
Options contracts written | (3,115,981) |
Swap contracts | (6,299,183) |
Net change in unrealized appreciation (depreciation) | (19,304,538) |
Net realized and unrealized loss | (37,559,554) |
Net decrease in net assets resulting from operations | $(27,516,638) |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 37 |
Year Ended May 31, 2022 | Year Ended May 31, 2021 | |
Operations | ||
Net investment income | $10,042,916 | $6,992,315 |
Net realized gain (loss) | (18,255,016) | 23,796,528 |
Net change in unrealized appreciation (depreciation) | (19,304,538) | 15,440,772 |
Net increase (decrease) in net assets resulting from operations | (27,516,638) | 46,229,615 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (36,833) | — |
Advisor Class | (7,417) | — |
Class C | (1,331) | — |
Institutional Class | (19,479,617) | — |
Institutional 2 Class | (16,578) | — |
Institutional 3 Class | (176) | — |
Class R | (132) | — |
Total distributions to shareholders | (19,542,084) | — |
Increase in net assets from capital stock activity | 44,080,394 | 131,298,431 |
Total increase (decrease) in net assets | (2,978,328) | 177,528,046 |
Net assets at beginning of year | 809,597,311 | 632,069,265 |
Net assets at end of year | $806,618,983 | $809,597,311 |
38 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
Year Ended | Year Ended | |||
May 31, 2022 | May 31, 2021 | |||
Shares | Dollars ($) | Shares(a) | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 32,274 | 917,058 | 9,549 | 278,887 |
Distributions reinvested | 1,319 | 36,684 | — | — |
Redemptions | (15,870) | (452,919) | (27,239) | (794,935) |
Net increase (decrease) | 17,723 | 500,823 | (17,690) | (516,048) |
Advisor Class | ||||
Subscriptions | 21,107 | 632,532 | 4,185 | 122,324 |
Distributions reinvested | 257 | 7,231 | — | — |
Redemptions | (17,689) | (523,259) | (1,364) | (39,438) |
Net increase | 3,675 | 116,504 | 2,821 | 82,886 |
Class C | ||||
Subscriptions | 480,979 | 13,056,328 | — | — |
Distributions reinvested | 46 | 1,237 | — | — |
Redemptions | (8,252) | (224,277) | (4,132) | (118,675) |
Net increase (decrease) | 472,773 | 12,833,288 | (4,132) | (118,675) |
Institutional Class | ||||
Subscriptions | 7,526,146 | 219,144,305 | 9,373,060 | 275,195,663 |
Distributions reinvested | 693,364 | 19,476,610 | — | — |
Redemptions | (7,193,911) | (207,819,869) | (4,352,530) | (128,547,132) |
Net increase | 1,025,599 | 30,801,046 | 5,020,530 | 146,648,531 |
Institutional 2 Class | ||||
Subscriptions | 4,876 | 144,203 | 49,488 | 1,450,617 |
Distributions reinvested | 581 | 16,407 | — | — |
Redemptions | (11,164) | (331,877) | (24,820) | (739,212) |
Net increase (decrease) | (5,707) | (171,267) | 24,668 | 711,405 |
Institutional 3 Class | ||||
Redemptions | — | — | (528,890) | (15,509,668) |
Net decrease | — | — | (528,890) | (15,509,668) |
Total net increase | 1,514,063 | 44,080,394 | 4,497,307 | 131,298,431 |
(a) | Share activity has been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 39 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class A(c) | ||||||
Year Ended 5/31/2022 | $29.65 | 0.47 | (1.52) | (1.05) | (0.60) | (0.60) |
Year Ended 5/31/2021 | $27.84 | 0.19 | 1.62 | 1.81 | — | — |
Year Ended 5/31/2020 | $29.79 | 0.28 | (2.23) | (1.95) | — | — |
Year Ended 5/31/2019 | $34.63 | 0.32 | (5.16) | (4.84) | — | — |
Year Ended 5/31/2018 | $37.44 | 0.04 | (2.01) | (1.97) | (0.84) | (0.84) |
Advisor Class(c) | ||||||
Year Ended 5/31/2022 | $30.03 | 0.20 | (1.21) | (1.01) | (0.67) | (0.67) |
Year Ended 5/31/2021 | $28.12 | 0.28 | 1.63 | 1.91 | — | — |
Year Ended 5/31/2020 | $30.01 | 0.32 | (2.21) | (1.89) | — | — |
Year Ended 5/31/2019 | $34.78 | 0.36 | (5.13) | (4.77) | — | — |
Year Ended 5/31/2018 | $37.55 | 0.16 | (2.05) | (1.89) | (0.88) | (0.88) |
Class C(c) | ||||||
Year Ended 5/31/2022 | $28.59 | 6.57 | (7.80) | (1.23) | (0.37) | (0.37) |
Year Ended 5/31/2021 | $27.05 | (0.04) | 1.58 | 1.54 | — | — |
Year Ended 5/31/2020 | $29.16 | 0.04 | (2.15) | (2.11) | — | — |
Year Ended 5/31/2019 | $34.15 | 0.08 | (5.07) | (4.99) | — | — |
Year Ended 5/31/2018 | $37.10 | (0.24) | (1.99) | (2.23) | (0.72) | (0.72) |
Institutional Class(c) | ||||||
Year Ended 5/31/2022 | $29.97 | 0.34 | (1.34) | (1.00) | (0.67) | (0.67) |
Year Ended 5/31/2021 | $28.07 | 0.28 | 1.62 | 1.90 | — | — |
Year Ended 5/31/2020 | $29.96 | 0.32 | (2.21) | (1.89) | — | — |
Year Ended 5/31/2019 | $34.73 | 0.40 | (5.17) | (4.77) | — | — |
Year Ended 5/31/2018 | $37.50 | 0.12 | (2.01) | (1.89) | (0.88) | (0.88) |
Institutional 2 Class(c) | ||||||
Year Ended 5/31/2022 | $30.12 | 0.33 | (1.33) | (1.00) | (0.68) | (0.68) |
Year Ended 5/31/2021 | $28.19 | 0.34 | 1.59 | 1.93 | — | — |
Year Ended 5/31/2020 | $30.07 | 0.40 | (2.28) | (1.88) | — | — |
Year Ended 5/31/2019 | $34.84 | 0.44 | (5.21) | (4.77) | — | — |
Year Ended 5/31/2018 | $37.58 | 0.20 | (2.06) | (1.86) | (0.88) | (0.88) |
40 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A(c) | |||||||
Year Ended 5/31/2022 | $28.00 | (3.54%) | 1.42%(d) | 1.30%(d),(e) | 1.62% | 352% | $2,138 |
Year Ended 5/31/2021 | $29.65 | 6.50% | 1.40%(d),(f) | 1.27%(d),(f) | 0.66% | 555% | $1,739 |
Year Ended 5/31/2020 | $27.84 | (6.58%) | 1.42%(d),(f) | 1.25%(d),(f) | 0.94% | 789% | $2,125 |
Year Ended 5/31/2019 | $29.79 | (13.97%) | 1.45%(d) | 1.24%(d) | 0.98% | 0% | $3,103 |
Year Ended 5/31/2018 | $34.63 | (5.49%) | 1.49%(d) | 1.28%(d) | 0.06% | 0% | $4,343 |
Advisor Class(c) | |||||||
Year Ended 5/31/2022 | $28.35 | (3.34%) | 1.16%(d) | 1.05%(d),(e) | 0.66% | 352% | $318 |
Year Ended 5/31/2021 | $30.03 | 6.79% | 1.16%(d),(f) | 1.02%(d),(f) | 0.97% | 555% | $226 |
Year Ended 5/31/2020 | $28.12 | (6.27%) | 1.17%(d),(f) | 0.99%(d),(f) | 1.15% | 789% | $133 |
Year Ended 5/31/2019 | $30.01 | (13.79%) | 1.20%(d) | 1.01%(d) | 1.07% | 0% | $216 |
Year Ended 5/31/2018 | $34.78 | (5.27%) | 1.24%(d) | 1.03%(d) | 0.41% | 0% | $4,433 |
Class C(c) | |||||||
Year Ended 5/31/2022 | $26.99 | (4.29%) | 2.17%(d) | 2.06%(d),(e) | 24.79% | 352% | $12,869 |
Year Ended 5/31/2021 | $28.59 | 5.73% | 2.15%(d),(f) | 2.02%(d),(f) | (0.14%) | 555% | $114 |
Year Ended 5/31/2020 | $27.05 | (7.27%) | 2.17%(d),(f) | 1.99%(d),(f) | 0.21% | 789% | $220 |
Year Ended 5/31/2019 | $29.16 | (14.64%) | 2.20%(d) | 1.99%(d) | 0.22% | 0% | $493 |
Year Ended 5/31/2018 | $34.15 | (6.15%) | 2.24%(d) | 2.03%(d) | (0.68%) | 0% | $838 |
Institutional Class(c) | |||||||
Year Ended 5/31/2022 | $28.30 | (3.32%) | 1.17%(d) | 1.05%(d),(e) | 1.15% | 352% | $790,615 |
Year Ended 5/31/2021 | $29.97 | 6.73% | 1.16%(d),(f) | 1.02%(d),(f) | 0.95% | 555% | $806,627 |
Year Ended 5/31/2020 | $28.07 | (6.28%) | 1.17%(d),(f) | 1.00%(d),(f) | 1.17% | 789% | $614,500 |
Year Ended 5/31/2019 | $29.96 | (13.71%) | 1.20%(d) | 0.99%(d) | 1.23% | 0% | $587,203 |
Year Ended 5/31/2018 | $34.73 | (5.35%) | 1.24%(d) | 1.03%(d) | 0.34% | 0% | $706,826 |
Institutional 2 Class(c) | |||||||
Year Ended 5/31/2022 | $28.44 | (3.29%) | 1.12%(d) | 1.01%(d) | 1.11% | 352% | $665 |
Year Ended 5/31/2021 | $30.12 | 6.81% | 1.11%(d),(f) | 0.98%(d),(f) | 1.14% | 555% | $876 |
Year Ended 5/31/2020 | $28.19 | (6.25%) | 1.10%(d),(f) | 0.92%(d),(f) | 1.28% | 789% | $124 |
Year Ended 5/31/2019 | $30.07 | (13.66%) | 1.11%(d) | 0.90%(d) | 1.32% | 0% | $667 |
Year Ended 5/31/2018 | $34.84 | (5.08%) | 1.11%(d) | 0.90%(d) | 0.48% | 0% | $825 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 41 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Institutional 3 Class(c) | ||||||
Year Ended 5/31/2022 | $30.22 | 0.39 | (1.37) | (0.98) | (0.70) | (0.70) |
Year Ended 5/31/2021 | $28.27 | 0.23 | 1.72 | 1.95 | — | — |
Year Ended 5/31/2020 | $30.14 | 0.36 | (2.23) | (1.87) | — | — |
Year Ended 5/31/2019 | $34.89 | 0.44 | (5.19) | (4.75) | — | — |
Year Ended 5/31/2018 | $37.63 | 0.20 | (2.02) | (1.82) | (0.92) | (0.92) |
Class R(c) | ||||||
Year Ended 5/31/2022 | $29.30 | 0.21 | (1.33) | (1.12) | (0.53) | (0.53) |
Year Ended 5/31/2021 | $27.57 | 0.13 | 1.60 | 1.73 | — | — |
Year Ended 5/31/2020 | $29.56 | 0.20 | (2.19) | (1.99) | — | — |
Year Ended 5/31/2019 | $34.44 | 0.24 | (5.12) | (4.88) | — | — |
Year Ended 5/31/2018 | $37.30 | (0.08) | (1.98) | (2.06) | (0.80) | (0.80) |
Notes to Consolidated Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Per share amounts have been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
(d) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 5/31/2022 | 5/31/2021 | 5/31/2020 | 5/31/2019 | 5/31/2018 |
Class A | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
Advisor Class | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
Class C | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
Institutional Class | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
Institutional 2 Class | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
Institutional 3 Class | 0.04% | less than 0.01% | 0.01% | 0.02% | 0.01% |
Class R | 0.04% | 0.01% | 0.01% | 0.02% | 0.01% |
(e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(f) | Ratios include line of credit interest expense which is less than 0.01%. |
42 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class(c) | |||||||
Year Ended 5/31/2022 | $28.54 | (3.21%) | 1.07%(d) | 0.96%(d) | 1.32% | 352% | $7 |
Year Ended 5/31/2021 | $30.22 | 6.86% | 1.03%(d),(f) | 0.90%(d),(f) | 0.79% | 555% | $8 |
Year Ended 5/31/2020 | $28.27 | (6.11%) | 1.05%(d),(f) | 0.88%(d),(f) | 1.30% | 789% | $14,960 |
Year Ended 5/31/2019 | $30.14 | (13.65%) | 1.06%(d) | 0.84%(d) | 1.38% | 0% | $17,670 |
Year Ended 5/31/2018 | $34.89 | (5.16%) | 1.05%(d) | 0.84%(d) | 0.50% | 0% | $20,459 |
Class R(c) | |||||||
Year Ended 5/31/2022 | $27.65 | (3.83%) | 1.66%(d) | 1.55%(d),(e) | 0.74% | 352% | $7 |
Year Ended 5/31/2021 | $29.30 | 6.31% | 1.63%(d),(f) | 1.51%(d),(f) | 0.45% | 555% | $7 |
Year Ended 5/31/2020 | $27.57 | (6.77%) | 1.63%(d),(f) | 1.47%(d),(f) | 0.71% | 789% | $7 |
Year Ended 5/31/2019 | $29.56 | (14.17%) | 1.69%(d) | 1.48%(d) | 0.75% | 0% | $7 |
Year Ended 5/31/2018 | $34.44 | (5.80%) | 1.74%(d) | 1.53%(d) | (0.19%) | 0% | $9 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 43 |
May 31, 2022
CMSAF1 Offshore Fund, Ltd. | CMSAF2 Offshore Fund, Ltd. | CMSAF3 Offshore Fund, Ltd. | |
% of consolidated fund net assets | 0.01% | 5.15% | 3.24% |
Net assets | $45,247 | $41,536,561 | $26,144,487 |
Net investment income (loss) | (10,749) | (404,731) | (228,904) |
Net realized gain (loss) | (1) | 8,382,703 | 11,491,006 |
Net change in unrealized appreciation (depreciation) | (9) | (1,032,366) | 1,898,321 |
44 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 45 |
May 31, 2022
46 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 47 |
May 31, 2022
48 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 49 |
May 31, 2022
50 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 1,558,471* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 10,264,716* |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 935,102* |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 45,794,852 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 3,334,230* |
Interest rate risk | Investments, at value — Options purchased | 1,750,140 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 17,508,852* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 2,993,786* |
Total | 84,140,149 |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 924,595* |
Credit risk | Upfront receipts on swap contracts | 6,341,266 |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 4,180,553* |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 361,661* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 38,037,443 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 6,133,171* |
Interest rate risk | Options contracts written, at value | 4,812,862 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 20,892,412* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 464,766* |
Total | 82,148,729 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 51 |
May 31, 2022
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | 19,260,182 | — | — | 619,080 | 19,879,262 |
Credit risk | — | — | — | — | 2,070,387 | 2,070,387 |
Equity risk | — | (8,483,769) | — | — | (3,676,695) | (12,160,464) |
Foreign exchange risk | (12,107,249) | — | — | — | — | (12,107,249) |
Interest rate risk | — | 313,417 | (2,344,970) | 3,886,275 | (11,686,734) | (9,832,012) |
Total | (12,107,249) | 11,089,830 | (2,344,970) | 3,886,275 | (12,673,962) | (12,150,076) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | 1,835,494 | — | — | (933,714) | 901,780 |
Credit risk | — | — | — | — | (2,242,970) | (2,242,970) |
Equity risk | — | 9,948,642 | — | — | 1,167,738 | 11,116,380 |
Foreign exchange risk | 8,680,717 | — | — | — | — | 8,680,717 |
Interest rate risk | — | (2,521,265) | (3,115,981) | (5,594,468) | (4,290,237) | (15,521,951) |
Total | 8,680,717 | 9,262,871 | (3,115,981) | (5,594,468) | (6,299,183) | 2,933,956 |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 675,985,548* |
Futures contracts — short | 920,597,020* |
Credit default swap contracts — buy protection | 6,754,076** |
Credit default swap contracts — sell protection | 39,350,000* |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 1,632,489 |
Options contracts — written | (2,384,432) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 39,925,852 | (42,041,826) |
Interest rate swap contracts | 7,853,696 | (8,756,896) |
Total return swap contracts | 1,318,317 | (1,575,067) |
* | Based on the ending quarterly outstanding amounts for the year ended May 31, 2022. |
** | Based on the ending daily outstanding amounts for the year ended May 31, 2022. |
52 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 53 |
May 31, 2022
54 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
Barclays ($) | Citi ($)(a) | Citi ($)(a) | Goldman Sachs ($) | Goldman Sachs International ($) | JPMorgan ($)(a) | JPMorgan ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | UBS ($) | Total ($) | |
Assets | |||||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | 2,389,687 | - | - | - | 1,521,323 | - | 3,911,010 |
Forward foreign currency exchange contracts | 1,763,240 | 32,274,516 | - | - | 1,663,357 | - | - | - | 9,425,447 | - | - | 668,292 | 45,794,852 |
Options purchased calls | - | - | 449,737 | - | - | - | - | - | - | 719,518 | - | - | 1,169,255 |
Options purchased puts | - | - | - | - | - | - | - | - | - | 580,885 | - | - | 580,885 |
OTC credit default swap contracts (c) | - | - | - | - | - | - | - | - | - | 1,558,471 | - | - | 1,558,471 |
OTC total return swap contracts (c) | - | - | - | - | - | 105,328 | - | - | - | - | - | - | 105,328 |
OTC total return swap contracts on futures (c) | - | - | - | 75,075 | - | - | - | 711,259 | 43,440 | - | - | - | 829,774 |
Total assets | 1,763,240 | 32,274,516 | 449,737 | 75,075 | 1,663,357 | 105,328 | 2,389,687 | 711,259 | 9,468,887 | 2,858,874 | 1,521,323 | 668,292 | 53,949,575 |
Liabilities | |||||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | 2,251,228 | - | - | - | 861,279 | - | 3,112,507 |
Forward foreign currency exchange contracts | - | 29,775,395 | 476,976 | - | 395,216 | - | - | - | 7,186,147 | - | - | 203,709 | 38,037,443 |
Options contracts written | - | - | 4,385,464 | - | - | - | - | - | - | 427,398 | - | - | 4,812,862 |
OTC credit default swap contracts (c) | - | - | - | - | 103,717 | - | - | - | - | 7,162,144 | - | - | 7,265,861 |
OTC total return swap contracts (c) | - | - | - | - | - | 78,581 | - | - | - | - | - | - | 78,581 |
OTC total return swap contracts on futures (c) | - | - | - | 8,112 | - | - | - | 6,997 | 267,971 | - | - | - | 283,080 |
Total liabilities | - | 29,775,395 | 4,862,440 | 8,112 | 498,933 | 78,581 | 2,251,228 | 6,997 | 7,454,118 | 7,589,542 | 861,279 | 203,709 | 53,590,334 |
Total financial and derivative net assets | 1,763,240 | 2,499,121 | (4,412,703) | 66,963 | 1,164,424 | 26,747 | 138,459 | 704,262 | 2,014,769 | (4,730,668) | 660,044 | 464,583 | 359,241 |
Total collateral received (pledged) (d) | - | - | (3,372,000) | - | - | - | - | - | (4,730,668) | - | - | (8,102,668) | |
Net amount (e) | 1,763,240 | 2,499,121 | (1,040,703) | 66,963 | 1,164,424 | 26,747 | 138,459 | 704,262 | 2,014,769 | - | 660,044 | 464,583 | 8,461,909 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin in the Consolidated Statement of Assets and Liabilities. |
(c) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
May 31, 2022
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 55 |
May 31, 2022
56 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 57 |
May 31, 2022
Effective rate (%) | |
Class A | 0.11 |
Advisor Class | 0.11 |
Class C | 0.11 |
Institutional Class | 0.11 |
Institutional 2 Class | 0.07 |
Institutional 3 Class | 0.02 |
Class R | 0.10 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 2,303 |
Class C | — | 1.00(b) | — |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
58 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
October 1, 2021 through September 30, 2022 | Prior to October 1, 2021 | |
Class A | 1.27% | 1.27% |
Advisor Class | 1.02 | 1.02 |
Class C | 2.02 | 2.02 |
Institutional Class | 1.02 | 1.02 |
Institutional 2 Class | 0.98 | 0.96 |
Institutional 3 Class | 0.93 | 0.90 |
Class R | 1.52 | 1.52 |
Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
(49,525,986) | 47,266,059 | 2,259,927 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 59 |
May 31, 2022
Year Ended May 31, 2022 | Year Ended May 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
19,542,084 | — | 19,542,084 | — | — | — |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
— | — | (54,307,065) | (71,852,150) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
855,164,489 | — | (71,852,150) | (71,852,150) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(39,650,304) | (14,656,761) | (54,307,065) | 16,391,278 |
Late year ordinary losses ($) | Post-October capital losses ($) |
13,205,099 | — |
60 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 61 |
May 31, 2022
62 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 63 |
May 31, 2022
64 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
May 31, 2022
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 65 |
66 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 67 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer) since 2019 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation since 1997; former Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation since 2004 |
68 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, CET I and CET II since 2021 | Independent business executive since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 174 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Columbia Multi Strategy Alternatives Fund ��| Annual Report 2022 | 69 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 176 | Director, Blue Cross Blue Shield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation since 1998 |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
70 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
(Unaudited)
Interested trustee affiliated with Investment Manager*
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC since April 2015; President and Principal Executive Officer of the Columbia Funds since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since January 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President – Pricing and Corporate Actions, May 2010 - March 2017). |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 71 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
72 | Columbia Multi Strategy Alternatives Fund | Annual Report 2022 |
(Unaudited)
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Columbia Multi Strategy Alternatives Fund | Annual Report 2022 | 73 |
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/imgb0a559252.jpg)
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img8ef8a7f01.jpg)
May 31, 2022
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img9064704e2.jpg)
3 | |
5 | |
7 | |
8 | |
23 | |
25 | |
26 | |
28 | |
32 | |
45 | |
46 | |
46 | |
52 |
(Unaudited)
Average annual total returns (%) (for the period ended May 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 07/31/00 | -8.75 | 2.20 | 3.47 |
Including sales charges | -11.48 | 1.57 | 3.16 | ||
Advisor Class* | 03/19/13 | -8.47 | 2.42 | 3.69 | |
Class C | Excluding sales charges | 07/15/02 | -9.30 | 1.55 | 2.82 |
Including sales charges | -10.18 | 1.55 | 2.82 | ||
Institutional Class | 03/05/84 | -8.56 | 2.42 | 3.68 | |
Institutional 2 Class* | 11/08/12 | -8.54 | 2.46 | 3.75 | |
Institutional 3 Class* | 03/01/17 | -8.46 | 2.52 | 3.73 | |
New Blended Benchmark | -6.38 | 3.77 | 4.39 | ||
Bloomberg High Yield Municipal Bond Index | -6.27 | 4.26 | 4.84 | ||
Former Blended Benchmark | -6.48 | 3.28 | 3.93 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
Columbia High Yield Municipal Fund | Annual Report 2022 | 3 |
(Unaudited)
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img454ba3263.jpg)
Quality breakdown (%) (at May 31, 2022) | |
AAA rating | 3.0 |
AA rating | 1.5 |
A rating | 9.5 |
BBB rating | 20.8 |
BB rating | 11.2 |
B rating | 1.7 |
CCC rating | 0.3 |
D rating | 1.5 |
Not rated | 50.5 |
Total | 100.0 |
Top Ten States/Territories (%) (at May 31, 2022) | |
Illinois | 9.9 |
Florida | 8.0 |
Colorado | 7.8 |
Texas | 6.9 |
Puerto Rico | 6.4 |
California | 5.2 |
Wisconsin | 4.4 |
Washington | 4.3 |
New York | 4.2 |
New Jersey | 3.6 |
4 | Columbia High Yield Municipal Fund | Annual Report 2022 |
(Unaudited)
• | In the aggregate, our portfolio activity was focused on identifying opportunities in higher yielding, longer duration issues. While these bonds generally produce higher income, they were hurt by their greater interest-rate sensitivity. Additionally, since high-yield spreads narrowed close to historic lows during the year, we sought to adopt a defensive posture by overweighting lower rated investment-grade bonds—mainly those rated BBB—and underweighting high-yield issues. However, since BBB rated securities in fact underperformed high yield, this aspect of our strategy detracted from results. |
○ | We maintained the overweight in longer dated bonds, since they lagged to such an extent that their valuations became more attractive. In addition, the municipal yield curve typically flattens (indicating outperformance for longer term bonds) when the Fed begins raising interest rates. |
○ | We maintained the overweight in BBB rated securities as well, also on the basis of valuation. |
• | Security selection in the housing sector contributed to performance. Housing was one of the market’s worst performing sectors primarily due to the prevalence of lower coupons, a symptom of the large amount of issuance that occurred when rates were low in previous years. Once yields rose sharply in early 2022, these low coupons—and the accompanying longer durations—caused the prices of these bonds to decline more quickly than the market as a whole. (Duration is a measure of interest-rate sensitivity.) In this environment, the Fund benefited from its positions in housing issues that were structured in ways that led to outperformance versus the broader sector. |
• | Selection in the leasing and state general obligation sectors contributed to performance, as did an overweight and selection in pre-refunded bonds. Pre-refunded bonds are typically short duration and backed by U.S. Treasury securities, and are thus a more defensive investment – a positive in a declining market. |
Columbia High Yield Municipal Fund | Annual Report 2022 | 5 |
(Unaudited)
6 | Columbia High Yield Municipal Fund | Annual Report 2022 |
(Unaudited)
December 1, 2021 — May 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 895.10 | 1,020.69 | 4.02 | 4.28 | 0.85 |
Advisor Class | 1,000.00 | 1,000.00 | 897.00 | 1,021.69 | 3.07 | 3.28 | 0.65 |
Class C | 1,000.00 | 1,000.00 | 892.40 | 1,017.70 | 6.84 | 7.29 | 1.45 |
Institutional Class | 1,000.00 | 1,000.00 | 896.90 | 1,021.69 | 3.07 | 3.28 | 0.65 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 896.90 | 1,021.89 | 2.88 | 3.07 | 0.61 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 896.60 | 1,022.09 | 2.70 | 2.87 | 0.57 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 7 |
May 31, 2022
Municipal Bonds 98.6% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Alaska 0.1% | ||||
Northern Tobacco Securitization Corp.(a) | ||||
Refunding Revenue Bonds | ||||
Series 2021B-2 | ||||
06/01/2066 | 0.000% | 5,000,000 | 705,752 | |
Arizona 2.8% | ||||
Arizona Industrial Development Authority(b) | ||||
Revenue Bonds | ||||
Legacy Cares, Inc. Project | ||||
Series 2020 | ||||
07/01/2050 | 7.750% | 3,000,000 | 3,421,388 | |
Series 2021A | ||||
07/01/2051 | 6.000% | 500,000 | 516,107 | |
Pinecrest Academy of Northern Nevada Project | ||||
Series 2022 | ||||
07/15/2029 | 4.500% | 2,500,000 | 2,461,016 | |
Industrial Development Authority of the City of Phoenix (The) | ||||
Revenue Bonds | ||||
Downtown Phoenix Student Housing II LLC - Arizona State University Project | ||||
Series 2019 | ||||
07/01/2059 | 5.000% | 1,000,000 | 1,019,059 | |
Industrial Development Authority of the County of Pima (The)(b) | ||||
Refunding Revenue Bonds | ||||
American Leadership Academy | ||||
Series 2022 | ||||
06/15/2057 | 4.000% | 4,000,000 | 3,320,948 | |
La Paz County Industrial Development Authority | ||||
Revenue Bonds | ||||
Charter School Solutions - Harmony Public Schools Project | ||||
Series 2016 | ||||
02/15/2036 | 5.000% | 1,200,000 | 1,243,630 | |
02/15/2046 | 5.000% | 1,500,000 | 1,540,623 | |
Series 2018 | ||||
02/15/2048 | 5.000% | 230,000 | 238,808 | |
Maricopa County Industrial Development Authority(b),(c) | ||||
Revenue Bonds | ||||
Commercial Metals Co. | ||||
Series 2022 | ||||
10/15/2047 | 4.000% | 5,000,000 | 4,581,372 | |
Total | 18,342,951 | |||
California 5.1% | ||||
California County Tobacco Securitization Agency | ||||
Refunding Revenue Bonds | ||||
Subordinated Series 2020B-1 | ||||
06/01/2049 | 5.000% | 500,000 | 528,324 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
California Municipal Finance Authority | ||||
Revenue Bonds | ||||
National University | ||||
Series 2019A | ||||
04/01/2040 | 5.000% | 1,275,000 | 1,408,125 | |
04/01/2041 | 5.000% | 250,000 | 274,968 | |
California Municipal Finance Authority(b),(c),(d) | ||||
Revenue Bonds | ||||
UTS Renewable Energy-Waste Water Facilities | ||||
Series 2011 | ||||
12/01/2032 | 0.000% | 1,835,000 | 36,700 | |
California Statewide Communities Development Authority | ||||
Refunding Revenue Bonds | ||||
899 Charleston Project | ||||
Series 2014A | ||||
11/01/2044 | 5.250% | 1,500,000 | 1,461,372 | |
Revenue Bonds | ||||
Loma Linda University Medical Center | ||||
Series 2014 | ||||
12/01/2054 | 5.500% | 3,000,000 | 3,086,043 | |
California Statewide Communities Development Authority(b) | ||||
Revenue Bonds | ||||
Loma Linda University Medical Center | ||||
Series 2018 | ||||
12/01/2058 | 5.500% | 1,000,000 | 1,033,644 | |
City of Carson | ||||
Special Assessment Bonds | ||||
Assessment District No. 92-1 | ||||
Series 1992 | ||||
09/02/2022 | 7.375% | 10,000 | 10,121 | |
City of Long Beach Marina System | ||||
Revenue Bonds | ||||
Series 2015 | ||||
05/15/2045 | 5.000% | 500,000 | 514,842 | |
CMFA Special Finance Agency(b) | ||||
Revenue Bonds | ||||
Junior Bonds - Latitude33 | ||||
Series 2021A | ||||
12/01/2045 | 4.000% | 1,000,000 | 818,326 | |
Junior Bonds - Solana at Grand | ||||
Series 2021A-2 | ||||
08/01/2045 | 4.000% | 4,000,000 | 3,301,409 | |
Compton Unified School District(a) | ||||
Unlimited General Obligation Bonds | ||||
Election of 2002 - Capital Appreciation | ||||
Series 2006C | ||||
06/01/2025 | 0.000% | 2,310,000 | 2,125,252 |
8 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
CSCDA Community Improvement Authority(b) | ||||
Revenue Bonds | ||||
Social Bonds - Mezzanine Lien - Westgate Phase 1-Pasadena | ||||
Series 2021 | ||||
06/01/2057 | 4.000% | 2,000,000 | 1,543,828 | |
Social Bonds - Millennium South Bay-Hawthorne | ||||
Series 2021 | ||||
07/01/2058 | 4.000% | 2,000,000 | 1,508,874 | |
Golden State Tobacco Securitization Corp.(a) | ||||
Refunding Revenue Bonds | ||||
Subordinated Series 2021B-2 | ||||
06/01/2066 | 0.000% | 40,000,000 | 5,270,524 | |
Hastings Campus Housing Finance Authority | ||||
Revenue Bonds | ||||
Green Bonds | ||||
Series 2020A | ||||
07/01/2061 | 5.000% | 1,000,000 | 1,043,160 | |
Hastings Campus Housing Finance Authority(a),(b) | ||||
Revenue Bonds | ||||
Green Bonds | ||||
Subordinated Series 2020A | ||||
07/01/2061 | 0.000% | 3,000,000 | 1,463,008 | |
M-S-R Energy Authority | ||||
Revenue Bonds | ||||
Series 2009B | ||||
11/01/2039 | 6.500% | 5,000,000 | 6,397,033 | |
Palomar Health | ||||
Refunding Revenue Bonds | ||||
Series 2016 | ||||
11/01/2036 | 5.000% | 1,845,000 | 1,945,906 | |
Total | 33,771,459 | |||
Colorado 7.7% | ||||
Aerotropolis Regional Transportation Authority | ||||
Revenue Bonds | ||||
Series 2021 | ||||
12/01/2052 | 4.375% | 4,000,000 | 3,348,518 | |
Aurora Crossroads Metropolitan District No. 2 | ||||
Limited General Obligation Bonds | ||||
Senior Series 2020A | ||||
12/01/2050 | 5.000% | 1,000,000 | 949,108 | |
Colorado Bridge Enterprise(c) | ||||
Revenue Bonds | ||||
Central 70 Project | ||||
Series 2017 | ||||
06/30/2051 | 4.000% | 6,000,000 | 5,944,949 | |
Colorado Educational & Cultural Facilities Authority(b) | ||||
Refunding Revenue Bonds | ||||
New Summit Charter Academy Project | ||||
Series 2021 | ||||
07/01/2051 | 4.000% | 715,000 | 588,315 | |
07/01/2061 | 4.000% | 1,225,000 | 957,978 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Colorado Health Facilities Authority | ||||
Improvement Refunding Revenue Bonds | ||||
Christian Living Neighborhoods | ||||
Series 2021 | ||||
01/01/2042 | 4.000% | 1,000,000 | 871,479 | |
Refunding Revenue Bonds | ||||
CommonSpirit Health | ||||
Series 2019A | ||||
08/01/2049 | 4.000% | 3,250,000 | 3,171,778 | |
Revenue Bonds | ||||
Aberdeen Ridge | ||||
Series 2021A | ||||
05/15/2058 | 5.000% | 3,250,000 | 2,845,822 | |
NJH-SJH Center for Outpatient Health Project | ||||
Series 2019 | ||||
01/01/2045 | 3.000% | 5,000,000 | 4,182,781 | |
Eagle Brook Meadows Metropolitan District No. 3 | ||||
Limited General Obligation Bonds | ||||
Series 2021 | ||||
12/01/2051 | 5.000% | 1,500,000 | 1,331,985 | |
Fiddlers Business Improvement District(b),(e) | ||||
Unlimited General Obligation Refunding Bonds | ||||
Series 2022 | ||||
12/01/2047 | 5.550% | 3,000,000 | 3,192,076 | |
Fitzsimons Village Metropolitan District No. 3 | ||||
Limited General Obligation Refunding Bonds | ||||
Series 2021A-1 | ||||
12/01/2055 | 4.250% | 2,000,000 | 1,596,194 | |
Jefferson Center Metropolitan District No. 1 | ||||
Refunding Revenue Bonds | ||||
Subordinated Series 2020B | ||||
12/15/2050 | 5.750% | 4,000,000 | 4,017,040 | |
Lanterns Metropolitan District No. 2 | ||||
Limited General Obligation Bonds | ||||
Series 2021A | ||||
12/01/2050 | 4.500% | 2,830,000 | 2,245,093 | |
Peak Metropolitan District No. 1(b) | ||||
Limited General Obligation Bonds | ||||
Series 2021A | ||||
12/01/2051 | 5.000% | 1,150,000 | 1,064,974 | |
Rampart Range Metropolitan District No. 5 | ||||
Revenue Bonds | ||||
Series 2021 | ||||
12/01/2051 | 4.000% | 2,500,000 | 1,986,460 | |
RRC Metropolitan District No. 2 | ||||
Limited General Obligation Bonds | ||||
Series 2021 | ||||
12/01/2051 | 5.250% | 2,500,000 | 2,148,108 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 9 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Senac South Metropolitan District No. 1 | ||||
Limited General Obligation Bonds | ||||
Series 2021A | ||||
12/01/2051 | 5.250% | 3,000,000 | 2,649,776 | |
Transport Metropolitan District No. 3 | ||||
Limited General Obligation Bonds | ||||
Series 2021A-1 | ||||
12/01/2051 | 5.000% | 3,000,000 | 2,968,033 | |
Waterfront at Foster Lake Metropolitan District No. 2 | ||||
Revenue Bonds | ||||
Series 2022 | ||||
12/01/2028 | 4.625% | 2,000,000 | 1,871,013 | |
Windler Public Improvement Authority | ||||
Revenue Bonds | ||||
Series 2021A-1 | ||||
12/01/2051 | 4.125% | 4,000,000 | 3,168,659 | |
Total | 51,100,139 | |||
Connecticut 0.4% | ||||
Connecticut State Health & Educational Facility Authority(b) | ||||
Revenue Bonds | ||||
Church Home of Hartford, Inc. Project | ||||
Series 2016 | ||||
09/01/2053 | 5.000% | 1,750,000 | 1,757,171 | |
State of Connecticut | ||||
Unlimited General Obligation Bonds | ||||
Series 2018E | ||||
09/15/2037 | 5.000% | 500,000 | 556,037 | |
Total | 2,313,208 | |||
District of Columbia 0.4% | ||||
District of Columbia | ||||
Revenue Bonds | ||||
KIPP DC Project | ||||
Series 2019 | ||||
07/01/2049 | 4.000% | 680,000 | 644,419 | |
Metropolitan Washington Airports Authority Dulles Toll Road | ||||
Refunding Revenue Bonds | ||||
Dulles Metrorail | ||||
Subordinated Series 2019 | ||||
10/01/2049 | 4.000% | 2,275,000 | 2,166,405 | |
Total | 2,810,824 | |||
Florida 7.9% | ||||
Capital Trust Agency, Inc.(b) | ||||
04/27/2021 | ||||
07/01/2056 | 5.000% | 4,000,000 | 4,031,790 | |
Revenue Bonds | ||||
WFCS Portfolio Projects | ||||
Series 2021A | ||||
01/01/2031 | 3.300% | 250,000 | 218,557 | |
01/01/2056 | 5.000% | 1,000,000 | 942,679 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Capital Trust Agency, Inc.(b),(d) | ||||
Revenue Bonds | ||||
1st Mortgage - Tapestry Walden Senior Housing Project | ||||
Series 2017 | ||||
07/01/2052 | 0.000% | 3,400,000 | 1,020,000 | |
1st Mortgage Tallahassee Tapestry Senior Housing Project | ||||
Series 2015 | ||||
12/01/2050 | 0.000% | 3,550,000 | 1,100,500 | |
Capital Trust Agency, Inc.(a),(b) | ||||
Subordinated | ||||
07/01/2061 | 0.000% | 30,000,000 | 1,694,763 | |
City of Atlantic Beach | ||||
Revenue Bonds | ||||
Fleet Landing Project | ||||
Series 2018A | ||||
11/15/2053 | 5.000% | 1,500,000 | 1,565,459 | |
City of Pompano Beach | ||||
Revenue Bonds | ||||
John Knox Village Project | ||||
Series 2021A | ||||
09/01/2056 | 4.000% | 1,835,000 | 1,586,557 | |
City of Tampa(a) | ||||
Revenue Bonds | ||||
Series 2020A | ||||
09/01/2053 | 0.000% | 1,800,000 | 479,747 | |
County of Broward Airport System(c) | ||||
Revenue Bonds | ||||
Series 2019A | ||||
10/01/2049 | 4.000% | 700,000 | 696,710 | |
County of Miami-Dade(a) | ||||
Revenue Bonds | ||||
Capital Appreciation | ||||
Subordinated Series 2009B | ||||
10/01/2041 | 0.000% | 10,000,000 | 4,468,213 | |
County of Osceola Transportation(a) | ||||
Refunding Revenue Bonds | ||||
Osceola Parkway Toll Facility | ||||
Series 2019A-2 | ||||
10/01/2049 | 0.000% | 1,700,000 | 491,816 | |
Series 2020A-2 | ||||
10/01/2046 | 0.000% | 3,175,000 | 1,063,056 | |
10/01/2048 | 0.000% | 2,000,000 | 606,940 | |
Florida Development Finance Corp. | ||||
Prerefunded 06/15/23 Revenue Bonds | ||||
Renaissance Charter School | ||||
Series 2013A | ||||
06/15/2044 | 8.500% | 3,000,000 | 3,206,735 | |
Florida Development Finance Corp.(b) | ||||
Refunding Revenue Bonds | ||||
Glenridge on Palmer Ranch Project (The) | ||||
Series 2021 | ||||
06/01/2051 | 5.000% | 2,000,000 | 1,748,929 |
10 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Mayflower Retirement Community Project (The) | ||||
Series 2021 | ||||
06/01/2055 | 4.000% | 1,500,000 | 1,185,846 | |
Renaissance Charter School | ||||
Series 2020 | ||||
09/15/2050 | 5.000% | 2,200,000 | 2,234,536 | |
Revenue Bonds | ||||
Discovery High School Project | ||||
Series 2020 | ||||
06/01/2055 | 5.000% | 2,000,000 | 1,940,279 | |
Renaissance Charter School | ||||
Series 2015 | ||||
06/15/2046 | 6.125% | 4,900,000 | 5,132,006 | |
Florida Development Finance Corp.(b),(c) | ||||
Revenue Bonds | ||||
Green Bonds - Brightline Florida Passenger Rail Project | ||||
Series 2020 | ||||
01/01/2049 | 7.375% | 2,000,000 | 2,019,975 | |
Lee County Industrial Development Authority | ||||
Revenue Bonds | ||||
Cypress Cove at HealthPark Florida, Inc. Project | ||||
Series 2022 | ||||
10/01/2057 | 5.250% | 3,000,000 | 2,961,761 | |
Palm Beach County Health Facilities Authority | ||||
Prerefunded 06/01/22 Revenue Bonds | ||||
Sinai Residences Boca Raton | ||||
Series 2014 | ||||
06/01/2049 | 7.500% | 1,250,000 | 1,275,000 | |
Refunding Revenue Bonds | ||||
Toby & Leon Cooperman Sinai Residences of Boca Raton | ||||
Series 2022 | ||||
06/01/2056 | 4.250% | 4,000,000 | 3,664,230 | |
Polk County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Carpenter’s Home Estates, Inc. | ||||
Series 2019 | ||||
01/01/2055 | 5.000% | 2,615,000 | 2,658,148 | |
Seminole County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Legacy Pointe at UCF Project | ||||
Series 2019 | ||||
11/15/2054 | 5.750% | 2,525,000 | 2,414,350 | |
Seminole County Industrial Development Authority(b) | ||||
Revenue Bonds | ||||
Galileo Schools for Gifted Learning Project | ||||
Series 2021 | ||||
06/15/2051 | 4.000% | 830,000 | 726,550 | |
06/15/2056 | 4.000% | 1,410,000 | 1,200,851 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Westridge Community Development District | ||||
Special Assessment Bonds | ||||
Series 2005 | ||||
05/01/2037 | 5.800% | 285,000 | 285,057 | |
Total | 52,621,040 | |||
Georgia 1.9% | ||||
Floyd County Development Authority | ||||
Revenue Bonds | ||||
Spires Berry College Project | ||||
Series 2018 | ||||
12/01/2048 | 6.250% | 1,500,000 | 1,409,773 | |
Georgia State Road & Tollway Authority(b),(f) | ||||
Prerefunded 06/01/24 Revenue Bonds | ||||
I-75 S Expressway | ||||
Series 2014S | ||||
06/01/2049 | 0.000% | 4,600,000 | 4,630,998 | |
Glynn-Brunswick Memorial Hospital Authority | ||||
Revenue Bonds | ||||
SE Georgia Health System Anticipation Certificates | ||||
Series 2017 | ||||
08/01/2047 | 5.000% | 355,000 | 367,638 | |
Oconee County Industrial Development Authority | ||||
Revenue Bonds | ||||
Presbyterian Village Athens Project | ||||
Series 2018 | ||||
12/01/2053 | 6.375% | 3,000,000 | 2,447,918 | |
Savannah Economic Development Authority | ||||
Prerefunded 01/01/24 Revenue Bonds | ||||
Marshes Skidaway Island Project | ||||
Series 2013 | ||||
01/01/2049 | 7.250% | 3,500,000 | 3,785,682 | |
Total | 12,642,009 | |||
Idaho 0.8% | ||||
Idaho Health Facilities Authority | ||||
Revenue Bonds | ||||
Terraces of Boise Project | ||||
Series 2014 | ||||
10/01/2056 | 4.550% | 4,000,000 | 3,131,452 | |
Spring Valley Community Infrastructure District No. 1(b) | ||||
Special Assessment Bonds | ||||
Series 2021 | ||||
09/01/2051 | 3.750% | 3,000,000 | 2,330,955 | |
Total | 5,462,407 | |||
Illinois 9.7% | ||||
Chicago Board of Education(b) | ||||
Unlimited General Obligation Bonds | ||||
Dedicated | ||||
Series 2017A | ||||
12/01/2046 | 7.000% | 3,000,000 | 3,394,378 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 11 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Chicago Board of Education | ||||
Unlimited General Obligation Bonds | ||||
Dedicated | ||||
Series 2017H | ||||
12/01/2036 | 5.000% | 1,665,000 | 1,737,101 | |
Project | ||||
Series 2015C | ||||
12/01/2039 | 5.250% | 2,000,000 | 2,057,651 | |
Series 2012A | ||||
12/01/2042 | 5.000% | 1,000,000 | 1,000,827 | |
Series 2016B | ||||
12/01/2046 | 6.500% | 1,500,000 | 1,643,901 | |
Series 2018D | ||||
12/01/2046 | 5.000% | 5,000,000 | 5,026,956 | |
Series 2022A | ||||
12/01/2047 | 4.000% | 6,000,000 | 5,616,781 | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2018A (AGM) | ||||
12/01/2035 | 5.000% | 500,000 | 551,495 | |
Chicago O’Hare International Airport(c) | ||||
Revenue Bonds | ||||
TriPs Obligated Group | ||||
Series 2018 | ||||
07/01/2048 | 5.000% | 800,000 | 835,934 | |
City of Chicago | ||||
Unlimited General Obligation Bonds | ||||
Series 2017A | ||||
01/01/2038 | 6.000% | 3,235,000 | 3,524,882 | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2007F | ||||
01/01/2042 | 5.500% | 1,000,000 | 1,038,016 | |
City of Chicago Wastewater Transmission | ||||
Refunding Revenue Bonds | ||||
2nd Lien | ||||
Series 2015C | ||||
01/01/2035 | 5.000% | 1,000,000 | 1,045,908 | |
Du Page County Special Service Area No. 31 | ||||
Special Tax Bonds | ||||
Monarch Landing Project | ||||
Series 2006 | ||||
03/01/2036 | 5.625% | 648,000 | 648,161 | |
Metropolitan Pier & Exposition Authority | ||||
Refunding Revenue Bonds | ||||
McCormick Place Expansion Project | ||||
Series 2020 | ||||
06/15/2042 | 5.000% | 2,500,000 | 2,644,074 | |
06/15/2050 | 4.000% | 1,200,000 | 1,132,323 | |
Revenue Bonds | ||||
McCormick Place Expansion Project | ||||
Series 2017 | ||||
06/15/2057 | 5.000% | 1,250,000 | 1,324,237 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Metropolitan Pier & Exposition Authority(a) | ||||
Refunding Revenue Bonds | ||||
McCormick Place Expansion Project | ||||
Series 2022 | ||||
12/15/2037 | 0.000% | 2,700,000 | 1,405,251 | |
06/15/2038 | 0.000% | 3,000,000 | 1,520,528 | |
State of Illinois | ||||
Unlimited General Obligation Bonds | ||||
Series 2016 | ||||
01/01/2041 | 5.000% | 3,830,000 | 3,917,362 | |
Series 2017A | ||||
12/01/2035 | 5.000% | 1,345,000 | 1,398,840 | |
12/01/2038 | 5.000% | 3,000,000 | 3,111,745 | |
Series 2018A | ||||
05/01/2032 | 5.000% | 2,500,000 | 2,643,151 | |
05/01/2040 | 5.000% | 4,000,000 | 4,148,258 | |
05/01/2041 | 5.000% | 3,910,000 | 4,050,475 | |
05/01/2043 | 5.000% | 3,000,000 | 3,091,933 | |
Series 2020 | ||||
05/01/2039 | 5.500% | 570,000 | 617,047 | |
05/01/2045 | 5.750% | 750,000 | 818,588 | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2018B | ||||
10/01/2033 | 5.000% | 1,000,000 | 1,049,680 | |
State of Illinois(e) | ||||
Unlimited General Obligation Bonds | ||||
Series 2022A | ||||
03/01/2047 | 5.500% | 2,700,000 | 2,943,000 | |
Village of Lincolnshire | ||||
Special Tax Bonds | ||||
Sedgebrook Project | ||||
Series 2004 | ||||
03/01/2034 | 6.250% | 557,000 | 541,391 | |
Total | 64,479,874 | |||
Indiana 0.3% | ||||
Indiana Finance Authority(b),(c) | ||||
Revenue Bonds | ||||
RES Polyflow Indiana Project Green Bonds | ||||
Series 2019 | ||||
03/01/2039 | 7.000% | 2,000,000 | 1,668,951 | |
Iowa 3.0% | ||||
Iowa Finance Authority(f) | ||||
Prerefunded 11/15/24 Revenue Bonds | ||||
Deerfield Retirement Community | ||||
Series 2014 | ||||
11/15/2046 | 5.400% | 1,970,736 | 2,115,287 |
12 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Iowa Finance Authority | ||||
Refunding Revenue Bonds | ||||
Iowa Fertilizer Co. Project | ||||
Series 2022 | ||||
12/01/2050 | 5.000% | 2,700,000 | 2,853,638 | |
Lifespace Communities, Inc. | ||||
Series 2021 | ||||
05/15/2053 | 4.000% | 4,000,000 | 3,187,494 | |
Revenue Bonds | ||||
Lifespace Communities, Inc. | ||||
Series 2018A | ||||
05/15/2043 | 5.000% | 1,740,000 | 1,749,044 | |
PHS Council Bluffs, Inc. Project | ||||
Series 2018 | ||||
08/01/2055 | 5.250% | 3,200,000 | 2,810,514 | |
Iowa Tobacco Settlement Authority(a) | ||||
Refunding Revenue Bonds | ||||
Series 2021B-2 | ||||
06/01/2065 | 0.000% | 50,000,000 | 6,904,540 | |
Total | 19,620,517 | |||
Kansas 0.9% | ||||
City of Overland Park | ||||
Revenue Bonds | ||||
Prairiefire-Lionsgate Project | ||||
Series 2012 | ||||
12/15/2032 | 6.000% | 6,000,000 | 2,684,682 | |
Wyandotte County-Kansas City Unified Government | ||||
Revenue Bonds | ||||
Legends Village West Project | ||||
Series 2006 | ||||
10/01/2028 | 4.875% | 3,155,000 | 3,009,027 | |
Total | 5,693,709 | |||
Kentucky 0.8% | ||||
City of Henderson(b),(c) | ||||
Revenue Bonds | ||||
Pratt Paper LLC Project | ||||
Series 2022 | ||||
01/01/2052 | 4.700% | 4,000,000 | 4,015,175 | |
Kentucky Economic Development Finance Authority | ||||
Refunding Revenue Bonds | ||||
Owensboro Health | ||||
Series 2017A | ||||
06/01/2045 | 5.000% | 1,000,000 | 1,037,331 | |
Total | 5,052,506 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Louisiana 1.3% | ||||
Louisiana Public Facilities Authority | ||||
Prerefunded 05/15/26 Revenue Bonds | ||||
Ochsner Clinic Foundation Project | ||||
Series 2016 | ||||
05/15/2034 | 5.000% | 25,000 | 27,524 | |
Louisiana Public Facilities Authority(c) | ||||
Revenue Bonds | ||||
Impala Warehousing LLC Project | ||||
Series 2013 | ||||
07/01/2036 | 6.500% | 4,420,000 | 4,507,327 | |
Parish of St. James(b) | ||||
Revenue Bonds | ||||
NuStar Logistics LP Project | ||||
Series 2020-2 | ||||
07/01/2040 | 6.350% | 3,750,000 | 4,290,137 | |
Total | 8,824,988 | |||
Maine 0.4% | ||||
Finance Authority of Maine(b),(c) | ||||
Revenue Bonds | ||||
Green Bonds Go Lab Madison LLC Project | ||||
Series 2021 | ||||
12/01/2051 | 8.000% | 3,000,000 | 2,501,414 | |
Maryland 1.3% | ||||
Howard County Housing Commission | ||||
Revenue Bonds | ||||
Woodfield Oxford Square Apartments | ||||
Series 2017 | ||||
12/01/2037 | 5.000% | 4,000,000 | 4,316,812 | |
Maryland Economic Development Corp.(c) | ||||
Revenue Bonds | ||||
Green Bonds - Purple Line Light Rail Project | ||||
Series 2022 | ||||
06/30/2055 | 5.250% | 2,000,000 | 2,099,418 | |
Maryland Economic Development Corp. | ||||
Tax Allocation Bonds | ||||
Port Covington Project | ||||
Series 2020 | ||||
09/01/2050 | 4.000% | 2,700,000 | 2,319,194 | |
Total | 8,735,424 | |||
Massachusetts 1.0% | ||||
Massachusetts Development Finance Agency(b) | ||||
Refunding Revenue Bonds | ||||
NewBridge on the Charles, Inc. | ||||
Series 2017 | ||||
10/01/2057 | 5.000% | 2,000,000 | 2,110,969 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 13 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Revenue Bonds | ||||
Linden Ponds, Inc. Facility | ||||
Series 2018 | ||||
11/15/2046 | 5.125% | 2,000,000 | 2,120,832 | |
Massachusetts Educational Financing Authority(c) | ||||
Refunding Revenue Bonds | ||||
Issue K | ||||
Subordinated Series 2017B | ||||
07/01/2046 | 4.250% | 1,500,000 | 1,520,006 | |
Series 2018B | ||||
07/01/2034 | 3.625% | 840,000 | 827,055 | |
Total | 6,578,862 | |||
Michigan 0.8% | ||||
Michigan Finance Authority(a) | ||||
Refunding Revenue Bonds | ||||
Senior Series 2020B-2 Class 2 | ||||
06/01/2065 | 0.000% | 37,500,000 | 4,542,596 | |
Michigan Finance Authority | ||||
Revenue Bonds | ||||
Henry Ford Health System | ||||
Series 2019A | ||||
11/15/2050 | 4.000% | 600,000 | 590,828 | |
Michigan State Hospital Finance Authority | ||||
Refunding Revenue Bonds | ||||
Ascension Health Senior Care Group | ||||
Series 2010F-4 | ||||
11/15/2047 | 5.000% | 415,000 | 449,959 | |
Total | 5,583,383 | |||
Minnesota 1.2% | ||||
City of Blaine | ||||
Refunding Revenue Bonds | ||||
Crest View Senior Community Project | ||||
Series 2015 | ||||
07/01/2045 | 6.125% | 3,500,000 | 2,782,849 | |
07/01/2050 | 6.125% | 1,500,000 | 1,162,709 | |
City of Crookston | ||||
Revenue Bonds | ||||
Riverview Health Project | ||||
Series 2019 | ||||
05/01/2044 | 5.000% | 500,000 | 487,619 | |
05/01/2051 | 5.000% | 1,500,000 | 1,432,368 | |
St. Cloud Housing & Redevelopment Authority(d) | ||||
Revenue Bonds | ||||
Sanctuary St. Cloud Project | ||||
Series 2016A | ||||
08/01/2036 | 0.000% | 2,245,000 | 1,908,250 | |
Total | 7,773,795 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Missouri 1.4% | ||||
Kansas City Industrial Development Authority(b) | ||||
Revenue Bonds | ||||
Platte Purchase Project | ||||
Series 2019A | ||||
07/01/2040 | 5.000% | 1,900,000 | 1,689,039 | |
Kirkwood Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Aberdeen Heights Project | ||||
Series 2017 | ||||
05/15/2050 | 5.250% | 4,500,000 | 4,365,185 | |
St. Louis County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
St. Andrews Residence for Seniors | ||||
Series 2015 | ||||
12/01/2045 | 5.125% | 3,000,000 | 3,046,471 | |
Total | 9,100,695 | |||
Montana 0.3% | ||||
City of Kalispell | ||||
Refunding Revenue Bonds | ||||
Immanuel Lutheran Corp. Project | ||||
Series 2017 | ||||
05/15/2047 | 5.250% | 2,200,000 | 2,208,494 | |
Nevada 1.0% | ||||
City of Carson City | ||||
Revenue Bonds | ||||
Carson Tahoe Regional Medical Center | ||||
Series 2017 | ||||
09/01/2047 | 5.000% | 455,000 | 478,424 | |
City of Reno(a),(b) | ||||
Refunding Revenue Bonds | ||||
Retrac-Reno Transportation Rail Access Corridor Project | ||||
Series 2018 | ||||
07/01/2058 | 0.000% | 17,500,000 | 2,057,923 | |
State of Nevada Department of Business & Industry(b) | ||||
Revenue Bonds | ||||
Somerset Academy | ||||
Series 2015A | ||||
12/15/2045 | 5.125% | 2,515,000 | 2,584,010 | |
Series 2018A | ||||
12/15/2048 | 5.000% | 1,500,000 | 1,533,585 | |
Total | 6,653,942 | |||
New Hampshire 0.7% | ||||
New Hampshire Business Finance Authority(b) | ||||
Revenue Bonds | ||||
The Vista Project | ||||
Series 2019A | ||||
07/01/2054 | 5.750% | 3,750,000 | 3,749,673 |
14 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
New Hampshire Health and Education Facilities Authority Act(d) | ||||
Revenue Bonds | ||||
Hillside Village | ||||
Series 2017A | ||||
07/01/2052 | 0.000% | 2,500,000 | 1,000,000 | |
Total | 4,749,673 | |||
New Jersey 3.5% | ||||
Middlesex County Improvement Authority(d) | ||||
Revenue Bonds | ||||
Heldrich Center Hotel | ||||
Series 2005C | ||||
01/01/2037 | 0.000% | 1,250,000 | 13 | |
New Jersey Economic Development Authority | ||||
Prerefunded 06/15/24 Revenue Bonds | ||||
School Facilities Construction | ||||
Series 2014UU | ||||
06/15/2040 | 5.000% | 280,000 | 297,035 | |
Prerefunded 06/15/25 Revenue Bonds | ||||
Series 2015WW | ||||
06/15/2040 | 5.250% | 25,000 | 27,335 | |
Revenue Bonds | ||||
School Facilities Construction | ||||
Series 2019 | ||||
06/15/2044 | 5.000% | 1,200,000 | 1,296,199 | |
Unrefunded Revenue Bonds | ||||
School Facilities Construction | ||||
Series 2014UU | ||||
06/15/2040 | 5.000% | 1,220,000 | 1,251,722 | |
Series 2015WW | ||||
06/15/2040 | 5.250% | 350,000 | 365,825 | |
New Jersey Economic Development Authority(c) | ||||
Revenue Bonds | ||||
UMM Energy Partners LLC | ||||
Series 2012A | ||||
06/15/2043 | 5.125% | 2,000,000 | 2,002,390 | |
New Jersey Higher Education Student Assistance Authority(c) | ||||
Revenue Bonds | ||||
Subordinated Series 2013-1B | ||||
12/01/2043 | 4.750% | 5,000,000 | 5,027,760 | |
New Jersey Transportation Trust Fund Authority | ||||
Refunding Revenue Bonds | ||||
Transportation System | ||||
Series 2018A | ||||
12/15/2036 | 5.000% | 2,500,000 | 2,704,826 | |
Series 2019 | ||||
12/15/2039 | 5.000% | 640,000 | 696,892 | |
Revenue Bonds | ||||
Transportation Program | ||||
Series 2015AA | ||||
06/15/2045 | 5.000% | 1,750,000 | 1,805,818 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019 | ||||
06/15/2046 | 5.000% | 5,000,000 | 5,323,463 | |
South Jersey Port Corp.(c) | ||||
Revenue Bonds | ||||
Marine Terminal | ||||
Subordinated Series 2017B | ||||
01/01/2048 | 5.000% | 600,000 | 620,615 | |
Tobacco Settlement Financing Corp. | ||||
Refunding Revenue Bonds | ||||
Series 2018A | ||||
06/01/2046 | 5.000% | 835,000 | 885,528 | |
Subordinated Series 2018B | ||||
06/01/2046 | 5.000% | 1,025,000 | 1,053,845 | |
Total | 23,359,266 | |||
New York 4.1% | ||||
Build NYC Resource Corp. | ||||
Revenue Bonds | ||||
International Leadership Charter School | ||||
Series 2013 | ||||
07/01/2043 | 6.000% | 4,330,000 | 4,366,625 | |
Build NYC Resource Corp.(b) | ||||
Revenue Bonds | ||||
International Leadership Charter School | ||||
Series 2016 | ||||
07/01/2046 | 6.250% | 765,000 | 788,488 | |
Glen Cove Local Economic Assistance Corp.(f) | ||||
Revenue Bonds | ||||
Garvies Point | ||||
Series 2016 CABS | ||||
01/01/2055 | 0.000% | 2,500,000 | 2,324,853 | |
Huntington Local Development Corp. | ||||
Revenue Bonds | ||||
Fountaingate Garden Project | ||||
Series 2021A | ||||
07/01/2056 | 5.250% | 250,000 | 243,414 | |
Jefferson County Industrial Development Agency(b),(c) | ||||
Revenue Bonds | ||||
ReEnergy Black River LLC P | ||||
Series 2019 | ||||
01/01/2024 | 5.250% | 1,620,000 | 1,547,888 | |
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Green Bonds | ||||
Series 2020C-1 | ||||
11/15/2055 | 5.250% | 4,000,000 | 4,317,857 | |
Nassau County Tobacco Settlement Corp.(a) | ||||
Asset-Backed Revenue Bonds | ||||
Capital Appreciation | ||||
Third Series 2006D | ||||
06/01/2060 | 0.000% | 25,000,000 | 1,503,745 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 15 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
New York Transportation Development Corp.(c) | ||||
Refunding Revenue Bonds | ||||
John F. Kennedy International Airport Project | ||||
Series 2020 | ||||
08/01/2036 | 5.375% | 1,250,000 | 1,356,457 | |
Revenue Bonds | ||||
Delta Air Lines, Inc. LaGuardia | ||||
Series 2020 | ||||
10/01/2040 | 5.000% | 5,500,000 | 5,689,382 | |
10/01/2045 | 4.375% | 2,500,000 | 2,402,599 | |
Westchester County Local Development Corp.(b) | ||||
Revenue Bonds | ||||
Purchase Senior Learning Community | ||||
Series 2021 | ||||
07/01/2056 | 5.000% | 3,000,000 | 2,800,561 | |
Total | 27,341,869 | |||
North Carolina 2.4% | ||||
Durham Housing Authority | ||||
Prerefunded 01/31/23 Revenue Bonds | ||||
Magnolia Pointe Apartments | ||||
Series 2005 | ||||
02/01/2038 | 5.650% | 2,834,316 | 2,906,842 | |
North Carolina Medical Care Commission | ||||
Refunding Revenue Bonds | ||||
Sharon Towers | ||||
Series 2019 | ||||
07/01/2049 | 5.000% | 3,500,000 | 3,564,595 | |
United Methodist Retirement Homes | ||||
Series 2016 | ||||
10/01/2035 | 5.000% | 1,000,000 | 1,049,895 | |
Revenue Bonds | ||||
Lutheran Services for the Aging | ||||
Series 2021 | ||||
03/01/2051 | 4.000% | 1,500,000 | 1,162,464 | |
Novant Health Obligated Group | ||||
Series 2019A | ||||
11/01/2052 | 4.000% | 2,815,000 | 2,824,473 | |
North Carolina Turnpike Authority | ||||
Revenue Bonds | ||||
Senior Lien - Triangle Expressway | ||||
Series 2019 | ||||
01/01/2049 | 5.000% | 2,000,000 | 2,113,763 | |
Triangle Expressway System Senior Lien Turnpike | ||||
Series 2019 | ||||
01/01/2055 | 4.000% | 1,400,000 | 1,304,252 | |
North Carolina Turnpike Authority(a) | ||||
Revenue Bonds | ||||
Triangle Expressway System Appropriation | ||||
Series 2019 | ||||
01/01/2049 | 0.000% | 2,500,000 | 841,596 | |
Total | 15,767,880 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Ohio 3.5% | ||||
Buckeye Tobacco Settlement Financing Authority | ||||
Refunding Senior Revenue Bonds | ||||
Series 2020B-2 | ||||
06/01/2055 | 5.000% | 16,670,000 | 16,922,315 | |
County of Marion | ||||
Refunding Revenue Bonds | ||||
United Church Homes, Inc. | ||||
Series 2019 | ||||
12/01/2049 | 5.125% | 1,875,000 | 1,876,753 | |
Hickory Chase Community Authority(b) | ||||
Refunding Revenue Bonds | ||||
Hickory Chase Project | ||||
Series 2019 | ||||
12/01/2040 | 5.000% | 1,395,000 | 1,340,444 | |
Lake County Port & Economic Development Authority(b),(d) | ||||
Revenue Bonds | ||||
1st Mortgage - Tapestry Wickliffe LLC | ||||
Series 2017 | ||||
12/01/2052 | 0.000% | 5,600,000 | 1,904,000 | |
Ohio Air Quality Development Authority(c) | ||||
Revenue Bonds | ||||
Ohio Valley Electric Crop. | ||||
Series 2019 (Mandatory Put 10/01/29) | ||||
06/01/2041 | 2.600% | 500,000 | 464,481 | |
Ohio Air Quality Development Authority(b),(c) | ||||
Revenue Bonds | ||||
Pratt Paper LLC Project | ||||
Series 2017 | ||||
01/15/2048 | 4.500% | 500,000 | 500,962 | |
Total | 23,008,955 | |||
Oregon 1.0% | ||||
Clackamas County Hospital Facility Authority | ||||
Revenue Bonds | ||||
Mary’s Woods at Marylhurst, Inc. | ||||
Series 2018 | ||||
05/15/2052 | 5.000% | 1,000,000 | 928,342 | |
Hospital Facilities Authority of Multnomah County | ||||
Refunding Revenue Bonds | ||||
Mirabella at South Waterfront | ||||
Series 2014A | ||||
10/01/2049 | 5.500% | 3,115,000 | 3,170,561 | |
State of Oregon Housing & Community Services Department | ||||
Revenue Bonds | ||||
Single Family Mortgage Program | ||||
Series 2018C | ||||
07/01/2043 | 3.950% | 965,000 | 976,960 |
16 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Yamhill County Hospital Authority | ||||
Refunding Revenue Bonds | ||||
Friendsview | ||||
Series 2021A | ||||
11/15/2056 | 5.000% | 1,500,000 | 1,367,452 | |
Total | 6,443,315 | |||
Pennsylvania 3.4% | ||||
Allentown Neighborhood Improvement Zone Development Authority(b),(e) | ||||
Revenue Bonds | ||||
City Center Project | ||||
Subordinated Series 2022 | ||||
05/01/2042 | 5.250% | 3,000,000 | 3,015,945 | |
Commonwealth Financing Authority | ||||
Revenue Bonds | ||||
Tobacco Master Settlement Payment | ||||
Series 2018 (AGM) | ||||
06/01/2039 | 4.000% | 1,365,000 | 1,398,795 | |
Commonwealth of Pennsylvania | ||||
Refunding Certificate of Participation | ||||
Series 2018A | ||||
07/01/2046 | 4.000% | 2,500,000 | 2,484,338 | |
Dauphin County Industrial Development Authority(c) | ||||
Revenue Bonds | ||||
Dauphin Consolidated Water Supply | ||||
Series 1992A | ||||
06/01/2024 | 6.900% | 3,200,000 | 3,487,855 | |
Franklin County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Menno-Haven, Inc. Project | ||||
Series 2018 | ||||
12/01/2053 | 5.000% | 1,900,000 | 1,821,566 | |
Montgomery County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Meadowood Senior Living Project | ||||
Series 2018 | ||||
12/01/2048 | 5.000% | 1,000,000 | 1,040,400 | |
Northampton County Industrial Development Authority | ||||
Refunding Revenue Bonds | ||||
Morningstar Senior Living, Inc. Project | ||||
Series 2019 | ||||
11/01/2049 | 5.000% | 1,600,000 | 1,535,409 | |
Pennsylvania Economic Development Financing Authority(b),(d) | ||||
Refunding Revenue Bonds | ||||
Tapestry Moon Senior Housing Project | ||||
Series 2018 | ||||
12/01/2053 | 0.000% | 2,750,000 | 1,100,000 | |
Pennsylvania Economic Development Financing Authority(c) | ||||
Revenue Bonds | ||||
PA Bridges Finco LP | ||||
Series 2015 | ||||
12/31/2038 | 5.000% | 1,650,000 | 1,710,656 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Philadelphia Authority for Industrial Development | ||||
Revenue Bonds | ||||
1st Philadelphia Preparatory Charter School | ||||
Series 2014 | ||||
06/15/2033 | 7.000% | 1,870,000 | 2,009,348 | |
Scranton School District | ||||
Limited General Obligation Refunding Bonds | ||||
Series 2017D (NPFGC) | ||||
06/01/2037 | 4.250% | 1,750,000 | 1,790,150 | |
Series 2017E (BAM) | ||||
12/01/2037 | 4.000% | 1,000,000 | 1,031,484 | |
Total | 22,425,946 | |||
Puerto Rico 6.3% | ||||
Commonwealth of Puerto Rico(a),(g) | ||||
Revenue Notes | ||||
Subordinated Series 2022 | ||||
11/01/2043 | 0.000% | 2,514,727 | 1,301,371 | |
Unlimited General Obligation Bonds | ||||
Series 2021A | ||||
07/01/2024 | 0.000% | 259,072 | 238,079 | |
Commonwealth of Puerto Rico(g) | ||||
Unlimited General Obligation Bonds | ||||
Series 2021-A1 | ||||
07/01/2031 | 5.750% | 1,631,118 | 1,843,965 | |
07/01/2033 | 4.000% | 503,640 | 492,590 | |
07/01/2035 | 4.000% | 452,705 | 436,575 | |
07/01/2037 | 4.000% | 388,540 | 374,563 | |
07/01/2041 | 4.000% | 528,266 | 499,850 | |
07/01/2046 | 4.000% | 1,719,389 | 1,601,382 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority(g) | ||||
Refunding Revenue Bonds | ||||
Senior Lien | ||||
Series 2020A | ||||
07/01/2047 | 5.000% | 3,000,000 | 3,110,856 | |
Puerto Rico Electric Power Authority(d),(g) | ||||
Revenue Bonds | ||||
Series 2007TT | ||||
07/01/2037 | 0.000% | 2,000,000 | 1,855,000 | |
Series 2010XX | ||||
07/01/2040 | 0.000% | 8,500,000 | 7,926,250 | |
Puerto Rico Highway & Transportation Authority(d),(g) | ||||
Revenue Bonds | ||||
Series 2005K | ||||
07/01/2030 | 0.000% | 1,000,000 | 550,000 | |
Series 2007M | ||||
07/01/2037 | 0.000% | 3,055,000 | 1,680,250 | |
Unrefunded Revenue Bonds | ||||
Series 2003G | ||||
07/01/2042 | 0.000% | 1,000,000 | 550,000 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 17 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Puerto Rico Sales Tax Financing Corp.(a),(g) | ||||
Revenue Bonds | ||||
Series 2018A-1 | ||||
07/01/2046 | 0.000% | 44,000,000 | 13,332,946 | |
Puerto Rico Sales Tax Financing Corp.(g) | ||||
Revenue Bonds | ||||
Series 2019A1 | ||||
07/01/2058 | 5.000% | 6,000,000 | 6,100,294 | |
Total | 41,893,971 | |||
South Carolina 2.2% | ||||
South Carolina Jobs-Economic Development Authority | ||||
Prerefunded 11/01/24 Revenue Bonds | ||||
York Preparatory Academy Project | ||||
Series 2014A | ||||
11/01/2045 | 7.250% | 4,000,000 | 4,470,862 | |
Revenue Bonds | ||||
Lutheran Homes of South Carolina, Inc. Obligation Group | ||||
Series 2013 | ||||
05/01/2043 | 5.000% | 750,000 | 664,528 | |
05/01/2048 | 5.125% | 1,500,000 | 1,319,523 | |
South Carolina Jobs-Economic Development Authority(b),(c) | ||||
Revenue Bonds | ||||
Green Bonds - Last Step Recycling Project | ||||
Series 2021 | ||||
06/01/2051 | 6.500% | 3,000,000 | 2,524,564 | |
South Carolina Public Service Authority | ||||
Revenue Bonds | ||||
Series 2022A | ||||
12/01/2052 | 4.000% | 6,000,000 | 5,878,923 | |
Total | 14,858,400 | |||
Tennessee 0.5% | ||||
Shelby County Health Educational & Housing Facilities Board | ||||
Revenue Bonds | ||||
Farms at Bailey Station Project (The) | ||||
Series 2019 | ||||
10/01/2059 | 5.750% | 3,750,000 | 3,380,692 | |
Texas 6.8% | ||||
Angelina & Neches River Authority(b),(c) | ||||
Revenue Bonds | ||||
Jefferson Enterprise Energy LLC Project | ||||
Series 2021 | ||||
12/01/2045 | 7.500% | 3,000,000 | 2,522,594 | |
Arlington Higher Education Finance Corp. | ||||
Refunding Revenue Bonds | ||||
Legacy Traditional Schools | ||||
Series 2021 | ||||
02/15/2056 | 4.500% | 2,330,000 | 1,839,303 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Revenue Bonds | ||||
Brooks Academies of Texas | ||||
Series 2021 | ||||
01/15/2051 | 5.000% | 2,625,000 | 2,471,885 | |
City of Houston Airport System(c) | ||||
Refunding Revenue Bonds | ||||
United Airlines, Inc. Airport Improvement Projects | ||||
Series 2020 | ||||
07/15/2027 | 5.000% | 2,350,000 | 2,432,359 | |
Revenue Bonds | ||||
United Airlines, Inc. Terminal Improvement Projects | ||||
Series 2021 | ||||
07/15/2041 | 4.000% | 2,850,000 | 2,537,117 | |
Clifton Higher Education Finance Corp. | ||||
Revenue Bonds | ||||
International Leadership of Texas | ||||
Series 2015 | ||||
08/15/2045 | 5.750% | 3,500,000 | 3,657,543 | |
New Hope Cultural Education Facilities Finance Corp.(d) | ||||
Revenue Bonds | ||||
Bridgemoor Plano Project | ||||
Series 2018 | ||||
12/01/2053 | 0.000% | 3,500,000 | 3,150,000 | |
Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project | ||||
Series 2016 | ||||
07/01/2046 | 0.000% | 1,630,000 | 896,500 | |
Series 2016A-1 | ||||
07/01/2046 | 0.000% | 950,000 | 712,500 | |
New Hope Cultural Education Facilities Finance Corp.(b) | ||||
Revenue Bonds | ||||
Cumberland Academy Project | ||||
Series 2020A | ||||
08/15/2050 | 5.000% | 1,000,000 | 1,009,346 | |
New Hope Cultural Education Facilities Finance Corp. | ||||
Revenue Bonds | ||||
NCCD-College Station Properties LLC | ||||
Series 2015 | ||||
07/01/2035 | 5.000% | 1,000,000 | 950,000 | |
Series 2015A | ||||
07/01/2047 | 5.000% | 1,000,000 | 950,000 | |
Westminster Project | ||||
Series 2021 | ||||
11/01/2055 | 4.000% | 500,000 | 450,610 | |
Port Beaumont Navigation District(b),(c) | ||||
Refunding Revenue Bonds | ||||
Jefferson Gulf Coast Energy Project | ||||
Series 2020A | ||||
01/01/2050 | 4.000% | 2,000,000 | 1,665,766 |
18 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Revenue Bonds | ||||
Jefferson Gulf Coast Energy Project | ||||
Series 2021 | ||||
01/01/2050 | 3.000% | 1,750,000 | 1,162,355 | |
Pottsboro Higher Education Finance Corp. | ||||
Revenue Bonds | ||||
Series 2016A | ||||
08/15/2046 | 5.000% | 1,000,000 | 1,002,555 | |
Red River Health Facilities Development Corp. | ||||
Prerefunded 11/15/24 Revenue Bonds | ||||
MRC Crossings Project | ||||
Series 2014A | ||||
11/15/2049 | 8.000% | 2,000,000 | 2,276,256 | |
Sanger Industrial Development Corp.(b),(c),(d) | ||||
Revenue Bonds | ||||
Texas Pellets Project | ||||
Series 2012B | ||||
07/01/2038 | 0.000% | 4,950,000 | 1,237,500 | |
Tarrant County Cultural Education Facilities Finance Corp.(d) | ||||
Revenue Bonds | ||||
CC Young Memorial Home | ||||
Series 2009A | ||||
02/15/2038 | 0.000% | 3,000,000 | 2,010,000 | |
Texas Private Activity Bond Surface Transportation Corp.(c) | ||||
Revenue Bonds | ||||
Segment 3C Project | ||||
Series 2019 | ||||
06/30/2058 | 5.000% | 6,300,000 | 6,562,538 | |
Senior Lien - Blueridge Transportation Group LLC | ||||
Series 2016 | ||||
12/31/2040 | 5.000% | 1,250,000 | 1,290,830 | |
12/31/2055 | 5.000% | 3,515,000 | 3,600,792 | |
Texas Transportation Commission | ||||
Revenue Bonds | ||||
State Highway 249 System Toll | ||||
Series 2019 | ||||
08/01/2057 | 5.000% | 500,000 | 523,108 | |
Total | 44,911,457 | |||
Utah 1.9% | ||||
Black Desert Public Infrastructure District(b) | ||||
Limited General Obligation Bonds | ||||
Senior Bonds | ||||
Series 2021A | ||||
03/01/2051 | 4.000% | 3,000,000 | 2,468,145 | |
Mida Golf and Equestrian Center Public Infrastructure District(b) | ||||
Limited General Obligation Bonds | ||||
Series 2021 | ||||
06/01/2057 | 4.625% | 3,000,000 | 2,403,005 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Red Bridge Public Infrastructure District No. 1(b) | ||||
Limited General Obligation Bonds | ||||
Series 2021-1A | ||||
02/01/2041 | 4.125% | 500,000 | 421,769 | |
02/01/2051 | 4.375% | 1,100,000 | 910,012 | |
Subordinated Series 2021B | ||||
08/15/2051 | 7.375% | 600,000 | 513,551 | |
UIPA Crossroads Public Infrastructure District(b) | ||||
Tax Allocation Bonds | ||||
Series 2021 | ||||
06/01/2052 | 4.375% | 4,000,000 | 3,317,063 | |
Utah Charter School Finance Authority(b) | ||||
Revenue Bonds | ||||
Ascent Academies Charter Schools | ||||
Series 2022 | ||||
06/15/2057 | 5.000% | 3,000,000 | 2,678,789 | |
Total | 12,712,334 | |||
Virginia 3.3% | ||||
City of Chesapeake Expressway Toll Road(f) | ||||
Refunding Revenue Bonds | ||||
Transportation System | ||||
Series 2012 | ||||
07/15/2040 | 0.000% | 7,530,000 | 7,687,589 | |
Hanover County Economic Development Authority | ||||
Refunding Revenue Bonds | ||||
Covenant Woods | ||||
Series 2018 | ||||
07/01/2051 | 5.000% | 1,200,000 | 1,219,851 | |
Tobacco Settlement Financing Corp. | ||||
Revenue Bonds | ||||
Senior Series 2007B-1 | ||||
06/01/2047 | 5.000% | 5,000,000 | 5,007,935 | |
Virginia Small Business Financing Authority(c) | ||||
Revenue Bonds | ||||
Transform 66 P3 Project | ||||
Series 2017 | ||||
12/31/2052 | 5.000% | 7,925,000 | 8,223,695 | |
Total | 22,139,070 | |||
Washington 4.2% | ||||
King County Housing Authority | ||||
Refunding Revenue Bonds | ||||
Series 2018 | ||||
05/01/2038 | 3.750% | 3,295,000 | 3,332,807 | |
King County Public Hospital District No. 4 | ||||
Revenue Bonds | ||||
Series 2015A | ||||
12/01/2035 | 6.000% | 1,250,000 | 1,307,171 | |
12/01/2045 | 6.250% | 2,500,000 | 2,626,524 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 19 |
May 31, 2022
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Tacoma Consolidated Local Improvement Districts | ||||
Special Assessment Bonds | ||||
No. 65 | ||||
Series 2013 | ||||
04/01/2043 | 5.750% | 1,220,000 | 1,203,813 | |
Washington State Convention Center Public Facilities District | ||||
Revenue Bonds | ||||
Junior Lodging Tax Green Notes | ||||
Series 2021 | ||||
07/01/2031 | 4.000% | 6,000,000 | 5,731,953 | |
Washington State Housing Finance Commission(b) | ||||
Prerefunded 10/03/22 Revenue Bonds | ||||
Nonprofit Housing-Mirabella | ||||
Series 2012 | ||||
10/01/2047 | 6.750% | 5,000,000 | 5,086,923 | |
Revenue Bonds | ||||
Heron’s Key | ||||
Series 2015A | ||||
07/01/2050 | 7.000% | 4,850,000 | 5,084,034 | |
Transforming Age Projects | ||||
Series 2019A | ||||
01/01/2055 | 5.000% | 3,800,000 | 3,507,957 | |
Total | 27,881,182 | |||
Wisconsin 4.3% | ||||
Public Finance Authority | ||||
Refunding Revenue Bonds | ||||
Friends Homes | ||||
Series 2019 | ||||
09/01/2054 | 5.000% | 2,665,000 | 2,652,101 | |
WakeMed Hospital | ||||
Series 2019A | ||||
10/01/2049 | 4.000% | 4,310,000 | 4,185,313 | |
Public Finance Authority(b) | ||||
Refunding Revenue Bonds | ||||
Mary’s Woods at Marylhurst, Inc. | ||||
Series 2017 | ||||
05/15/2052 | 5.250% | 2,300,000 | 2,209,450 | |
Revenue Bonds | ||||
Wonderful Foundations Charter School Portfolio Projects | ||||
Series 2020 | ||||
01/01/2055 | 5.000% | 2,500,000 | 2,343,705 | |
Public Finance Authority(c) | ||||
Revenue Bonds | ||||
Sky Harbour Capital LLC Aviation Facilities Project | ||||
Series 2021 | ||||
07/01/2054 | 4.250% | 5,000,000 | 4,398,745 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Wisconsin Center District(a) | ||||
Revenue Bonds | ||||
Junior Dedicated | ||||
Series 2020D (AGM) | ||||
12/15/2060 | 0.000% | 18,000,000 | 3,317,803 | |
Wisconsin Health & Educational Facilities Authority | ||||
Refunding Revenue Bonds | ||||
Cedar Crest, Inc. Project | ||||
Series 2022 | ||||
04/01/2057 | 5.125% | 3,000,000 | 2,637,751 | |
St. Camillus Health System, Inc. | ||||
Series 2019 | ||||
11/01/2054 | 5.000% | 3,000,000 | 2,943,210 | |
Revenue Bonds | ||||
Covenant Communities, Inc. Project | ||||
Series 2018B | ||||
07/01/2053 | 5.000% | 900,000 | 653,741 | |
PHW Muskego, Inc. Project | ||||
Series 2021 | ||||
10/01/2061 | 4.000% | 4,000,000 | 3,122,336 | |
Total | 28,464,155 | |||
Total Municipal Bonds (Cost $700,852,392) | 653,584,508 |
Money Market Funds 0.7% | ||
Shares | Value ($) | |
Dreyfus Tax Exempt Cash Management Fund, Institutional Shares, 0.666%(h) | 105,406 | 105,395 |
JPMorgan Institutional Tax Free Money Market Fund, Institutional Shares, 0.606%(h) | 4,516,860 | 4,516,860 |
Total Money Market Funds (Cost $4,622,266) | 4,622,255 | |
Total Investments in Securities (Cost $705,474,658) | 658,206,763 | |
Other Assets & Liabilities, Net | 4,635,400 | |
Net Assets | $662,842,163 |
20 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (416) | 09/2022 | USD | (49,692,500) | 109,862 | — |
(a) | Zero coupon bond. |
(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, 2022, the total value of these securities amounted to $149,507,250, which represents 22.56% of total net assets. |
(c) | Income from this security may be subject to alternative minimum tax. |
(d) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At May 31, 2022, the total value of these securities amounted to $28,637,463, which represents 4.32% of total net assets. |
(e) | Represents a security purchased on a when-issued basis. |
(f) | 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, 2022. |
(g) | Municipal obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At May 31, 2022, the total value of these securities amounted to $41,893,971, which represents 6.32% of total net assets. |
(h) | The rate shown is the seven-day current annualized yield at May 31, 2022. |
AGM | Assured Guaranty Municipal Corporation |
BAM | Build America Mutual Assurance Co. |
NPFGC | National Public Finance Guarantee Corporation |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Columbia High Yield Municipal Fund | Annual Report 2022 | 21 |
May 31, 2022
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Municipal Bonds | — | 653,584,508 | — | 653,584,508 |
Money Market Funds | 4,622,255 | — | — | 4,622,255 |
Total Investments in Securities | 4,622,255 | 653,584,508 | — | 658,206,763 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 109,862 | — | — | 109,862 |
Total | 4,732,117 | 653,584,508 | — | 658,316,625 |
22 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $705,474,658) | $658,206,763 |
Cash | 14,320 |
Margin deposits on: | |
Futures contracts | 813,561 |
Receivable for: | |
Investments sold | 3,961 |
Capital shares sold | 8,336,817 |
Interest | 10,047,950 |
Variation margin for futures contracts | 286,000 |
Expense reimbursement due from Investment Manager | 1,892 |
Prepaid expenses | 5,706 |
Trustees’ deferred compensation plan | 168,760 |
Total assets | 677,885,730 |
Liabilities | |
Payable for: | |
Investments purchased | 1,700,000 |
Investments purchased on a delayed delivery basis | 8,845,530 |
Capital shares purchased | 1,692,120 |
Distributions to shareholders | 2,503,898 |
Management services fees | 38,528 |
Distribution and/or service fees | 6,295 |
Transfer agent fees | 45,698 |
Compensation of board members | 13,042 |
Other expenses | 29,696 |
Trustees’ deferred compensation plan | 168,760 |
Total liabilities | 15,043,567 |
Net assets applicable to outstanding capital stock | $662,842,163 |
Represented by | |
Paid in capital | 715,692,712 |
Total distributable earnings (loss) | (52,850,549) |
Total - representing net assets applicable to outstanding capital stock | $662,842,163 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 23 |
May 31, 2022
Class A | |
Net assets | $170,633,760 |
Shares outstanding | 17,548,563 |
Net asset value per share | $9.72 |
Maximum sales charge | 3.00% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $10.02 |
Advisor Class | |
Net assets | $6,317,907 |
Shares outstanding | 648,968 |
Net asset value per share | $9.74 |
Class C | |
Net assets | $31,323,563 |
Shares outstanding | 3,221,509 |
Net asset value per share | $9.72 |
Institutional Class | |
Net assets | $435,399,675 |
Shares outstanding | 44,770,007 |
Net asset value per share | $9.73 |
Institutional 2 Class | |
Net assets | $15,595,574 |
Shares outstanding | 1,605,115 |
Net asset value per share | $9.72 |
Institutional 3 Class | |
Net assets | $3,571,684 |
Shares outstanding | 366,428 |
Net asset value per share | $9.75 |
24 | Columbia High Yield Municipal Fund | Annual Report 2022 |
Year Ended May 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $71,920 |
Interest | 32,152,750 |
Total income | 32,224,670 |
Expenses: | |
Management services fees | 4,108,904 |
Distribution and/or service fees | |
Class A | 372,147 |
Class C | 316,341 |
Transfer agent fees | |
Class A | 167,905 |
Advisor Class | 10,746 |
Class C | 33,492 |
Institutional Class | 447,901 |
Institutional 2 Class | 16,271 |
Institutional 3 Class | 274 |
Compensation of board members | 22,494 |
Custodian fees | 15,588 |
Printing and postage fees | 40,123 |
Registration fees | 114,414 |
Audit fees | 39,500 |
Legal fees | 17,279 |
Interest on interfund lending | 174 |
Compensation of chief compliance officer | 238 |
Other | 19,265 |
Total expenses | 5,743,056 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (130,076) |
Fees waived by distributor | |
Class C | (19,939) |
Expense reduction | (280) |
Total net expenses | 5,592,761 |
Net investment income | 26,631,909 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 4,060,284 |
Futures contracts | (1,274,415) |
Swap contracts | 44,000 |
Net realized gain | 2,829,869 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (95,396,489) |
Futures contracts | 109,862 |
Net change in unrealized appreciation (depreciation) | (95,286,627) |
Net realized and unrealized loss | (92,456,758) |
Net decrease in net assets resulting from operations | $(65,824,849) |
Columbia High Yield Municipal Fund | Annual Report 2022 | 25 |
Year Ended May 31, 2022 | Year Ended May 31, 2021 | |
Operations | ||
Net investment income | $26,631,909 | $25,776,900 |
Net realized gain | 2,829,869 | 5,262,437 |
Net change in unrealized appreciation (depreciation) | (95,286,627) | 70,691,298 |
Net increase (decrease) in net assets resulting from operations | (65,824,849) | 101,730,635 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (6,545,320) | (5,872,368) |
Advisor Class | (419,048) | (244,663) |
Class C | (1,074,895) | (1,151,080) |
Institutional Class | (18,387,335) | (17,593,184) |
Institutional 2 Class | (1,078,421) | (704,547) |
Institutional 3 Class | (116,993) | (86,549) |
Total distributions to shareholders | (27,622,012) | (25,652,391) |
Decrease in net assets from capital stock activity | (5,620,316) | (26,348,088) |
Total increase (decrease) in net assets | (99,067,177) | 49,730,156 |
Net assets at beginning of year | 761,909,340 | 712,179,184 |
Net assets at end of year | $662,842,163 | $761,909,340 |
26 | Columbia High Yield Municipal Fund | Annual Report 2022 |
Year Ended | Year Ended | |||
May 31, 2022 | May 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 6,216,597 | 65,029,652 | 2,853,563 | 30,387,629 |
Distributions reinvested | 530,683 | 5,630,466 | 480,604 | 5,121,662 |
Redemptions | (5,688,814) | (58,747,218) | (3,354,098) | (35,485,829) |
Net increase (decrease) | 1,058,466 | 11,912,900 | (19,931) | 23,462 |
Advisor Class | ||||
Subscriptions | 898,273 | 9,787,737 | 919,240 | 9,941,448 |
Distributions reinvested | 38,944 | 419,016 | 22,882 | 244,663 |
Redemptions | (1,413,842) | (15,196,417) | (373,222) | (3,980,176) |
Net increase (decrease) | (476,625) | (4,989,664) | 568,900 | 6,205,935 |
Class C | ||||
Subscriptions | 579,322 | 6,155,222 | 294,753 | 3,140,014 |
Distributions reinvested | 97,650 | 1,036,790 | 103,367 | 1,100,565 |
Redemptions | (961,237) | (10,125,881) | (1,168,626) | (12,470,240) |
Net decrease | (284,265) | (2,933,869) | (770,506) | (8,229,661) |
Institutional Class | ||||
Subscriptions | 11,383,196 | 119,964,905 | 7,319,362 | 78,209,787 |
Distributions reinvested | 880,460 | 9,357,049 | 806,706 | 8,595,131 |
Redemptions | (12,574,266) | (131,029,954) | (11,425,971) | (121,783,718) |
Net decrease | (310,610) | (1,708,000) | (3,299,903) | (34,978,800) |
Institutional 2 Class | ||||
Subscriptions | 2,156,284 | 23,347,547 | 1,388,611 | 14,909,617 |
Distributions reinvested | 100,582 | 1,077,861 | 65,998 | 704,467 |
Redemptions | (3,171,988) | (33,446,833) | (512,393) | (5,411,970) |
Net increase (decrease) | (915,122) | (9,021,425) | 942,216 | 10,202,114 |
Institutional 3 Class | ||||
Subscriptions | 215,594 | 2,197,273 | 80,150 | 864,660 |
Distributions reinvested | 10,868 | 115,100 | 7,986 | 85,449 |
Redemptions | (116,383) | (1,192,631) | (49,186) | (521,247) |
Net increase | 110,079 | 1,119,742 | 38,950 | 428,862 |
Total net decrease | (818,077) | (5,620,316) | (2,540,274) | (26,348,088) |
Columbia High Yield Municipal Fund | Annual Report 2022 | 27 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class A | ||||||
Year Ended 5/31/2022 | $11.04 | 0.37 | (1.31) | (0.94) | (0.38) | (0.38) |
Year Ended 5/31/2021 | $9.96 | 0.36 | 1.08 | 1.44 | (0.36) | (0.36) |
Year Ended 5/31/2020 | $10.74 | 0.42 | (0.77) | (0.35) | (0.43) | (0.43) |
Year Ended 5/31/2019 | $10.56 | 0.43 | 0.23 | 0.66 | (0.48) | (0.48) |
Year Ended 5/31/2018 | $10.64 | 0.43 | (0.05) | 0.38 | (0.46) | (0.46) |
Advisor Class | ||||||
Year Ended 5/31/2022 | $11.05 | 0.38 | (1.29) | (0.91) | (0.40) | (0.40) |
Year Ended 5/31/2021 | $9.97 | 0.38 | 1.08 | 1.46 | (0.38) | (0.38) |
Year Ended 5/31/2020 | $10.76 | 0.44 | (0.78) | (0.34) | (0.45) | (0.45) |
Year Ended 5/31/2019 | $10.57 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
Year Ended 5/31/2018 | $10.65 | 0.45 | (0.05) | 0.40 | (0.48) | (0.48) |
Class C | ||||||
Year Ended 5/31/2022 | $11.04 | 0.30 | (1.30) | (1.00) | (0.32) | (0.32) |
Year Ended 5/31/2021 | $9.96 | 0.30 | 1.07 | 1.37 | (0.29) | (0.29) |
Year Ended 5/31/2020 | $10.74 | 0.35 | (0.77) | (0.42) | (0.36) | (0.36) |
Year Ended 5/31/2019 | $10.56 | 0.37 | 0.22 | 0.59 | (0.41) | (0.41) |
Year Ended 5/31/2018 | $10.64 | 0.36 | (0.05) | 0.31 | (0.39) | (0.39) |
Institutional Class | ||||||
Year Ended 5/31/2022 | $11.05 | 0.39 | (1.31) | (0.92) | (0.40) | (0.40) |
Year Ended 5/31/2021 | $9.96 | 0.38 | 1.09 | 1.47 | (0.38) | (0.38) |
Year Ended 5/31/2020 | $10.75 | 0.44 | (0.78) | (0.34) | (0.45) | (0.45) |
Year Ended 5/31/2019 | $10.56 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
Year Ended 5/31/2018 | $10.64 | 0.45 | (0.05) | 0.40 | (0.48) | (0.48) |
Institutional 2 Class | ||||||
Year Ended 5/31/2022 | $11.04 | 0.39 | (1.30) | (0.91) | (0.41) | (0.41) |
Year Ended 5/31/2021 | $9.95 | 0.39 | 1.08 | 1.47 | (0.38) | (0.38) |
Year Ended 5/31/2020 | $10.74 | 0.44 | (0.77) | (0.33) | (0.46) | (0.46) |
Year Ended 5/31/2019 | $10.55 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
Year Ended 5/31/2018 | $10.63 | 0.45 | (0.04) | 0.41 | (0.49) | (0.49) |
28 | Columbia High Yield Municipal Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Year Ended 5/31/2022 | $9.72 | (8.75%) | 0.86%(c) | 0.85%(c),(d) | 3.39% | 30% | $170,634 |
Year Ended 5/31/2021 | $11.04 | 14.64% | 0.87%(e) | 0.85%(d),(e) | 3.41% | 22% | $182,125 |
Year Ended 5/31/2020 | $9.96 | (3.41%) | 0.88%(c),(e) | 0.87%(c),(d),(e) | 3.98% | 46% | $164,388 |
Year Ended 5/31/2019 | $10.74 | 6.42% | 0.88% | 0.85%(d) | 4.16% | 35% | $172,655 |
Year Ended 5/31/2018 | $10.56 | 3.68% | 0.88% | 0.85%(d) | 4.04% | 16% | $132,807 |
Advisor Class | |||||||
Year Ended 5/31/2022 | $9.74 | (8.47%) | 0.66%(c) | 0.65%(c),(d) | 3.46% | 30% | $6,318 |
Year Ended 5/31/2021 | $11.05 | 14.86% | 0.68%(e) | 0.65%(d),(e) | 3.61% | 22% | $12,442 |
Year Ended 5/31/2020 | $9.97 | (3.30%) | 0.68%(c),(e) | 0.67%(c),(d),(e) | 4.17% | 46% | $5,549 |
Year Ended 5/31/2019 | $10.76 | 6.73% | 0.68% | 0.65%(d) | 4.35% | 35% | $5,318 |
Year Ended 5/31/2018 | $10.57 | 3.89% | 0.68% | 0.65%(d) | 4.24% | 16% | $4,752 |
Class C | |||||||
Year Ended 5/31/2022 | $9.72 | (9.30%) | 1.52%(c) | 1.45%(c),(d) | 2.77% | 30% | $31,324 |
Year Ended 5/31/2021 | $11.04 | 13.94% | 1.62%(e) | 1.47%(d),(e),(f) | 2.80% | 22% | $38,720 |
Year Ended 5/31/2020 | $9.96 | (4.04%) | 1.63%(c),(e) | 1.52%(c),(d),(e),(f) | 3.34% | 46% | $42,578 |
Year Ended 5/31/2019 | $10.74 | 5.73% | 1.63% | 1.50%(d),(f) | 3.50% | 35% | $51,214 |
Year Ended 5/31/2018 | $10.56 | 3.01% | 1.63% | 1.50%(d),(f) | 3.39% | 16% | $49,519 |
Institutional Class | |||||||
Year Ended 5/31/2022 | $9.73 | (8.56%) | 0.66%(c) | 0.65%(c),(d) | 3.58% | 30% | $435,400 |
Year Ended 5/31/2021 | $11.05 | 14.97% | 0.67%(e) | 0.66%(d),(e) | 3.61% | 22% | $497,969 |
Year Ended 5/31/2020 | $9.96 | (3.31%) | 0.68%(c),(e) | 0.67%(c),(d),(e) | 4.19% | 46% | $481,793 |
Year Ended 5/31/2019 | $10.75 | 6.73% | 0.68% | 0.65%(d) | 4.35% | 35% | $548,850 |
Year Ended 5/31/2018 | $10.56 | 3.88% | 0.68% | 0.65%(d) | 4.24% | 16% | $562,972 |
Institutional 2 Class | |||||||
Year Ended 5/31/2022 | $9.72 | (8.54%) | 0.63%(c) | 0.61%(c) | 3.54% | 30% | $15,596 |
Year Ended 5/31/2021 | $11.04 | 15.03% | 0.64%(e) | 0.62%(e) | 3.64% | 22% | $27,815 |
Year Ended 5/31/2020 | $9.95 | (3.28%) | 0.64%(c),(e) | 0.63%(c),(e) | 4.13% | 46% | $15,702 |
Year Ended 5/31/2019 | $10.74 | 6.78% | 0.63% | 0.60% | 4.40% | 35% | $10,868 |
Year Ended 5/31/2018 | $10.55 | 3.92% | 0.63% | 0.59% | 4.30% | 16% | $7,767 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 29 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Institutional 3 Class | ||||||
Year Ended 5/31/2022 | $11.07 | 0.40 | (1.31) | (0.91) | (0.41) | (0.41) |
Year Ended 5/31/2021 | $9.98 | 0.39 | 1.09 | 1.48 | (0.39) | (0.39) |
Year Ended 5/31/2020 | $10.77 | 0.45 | (0.78) | (0.33) | (0.46) | (0.46) |
Year Ended 5/31/2019 | $10.58 | 0.47 | 0.23 | 0.70 | (0.51) | (0.51) |
Year Ended 5/31/2018 | $10.66 | 0.46 | (0.04) | 0.42 | (0.50) | (0.50) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Ratios include interest and fee expense related to the participation in certain inverse floater programs. If interest and fee expense related to the participation in certain inverse floater programs had been excluded, expenses would have been lower by 0.01%. Due to an equal increase in interest income from fixed rate municipal bonds held in trust, there is no impact on the Fund’s net assets, net asset value per share, total return or net investment income. |
(f) | Ratios include the impact of voluntary waivers paid by the Investment Manager. For the periods indicated below, if the Investment Manager had not paid these voluntary waivers, the Fund’s net expense ratio would increase by: |
5/31/2021 | 5/31/2020 | 5/31/2019 | 5/31/2018 | |
Class C | 0.03% | 0.10% | 0.10% | 0.10% |
30 | Columbia High Yield Municipal Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Year Ended 5/31/2022 | $9.75 | (8.46%) | 0.58%(c) | 0.57%(c) | 3.69% | 30% | $3,572 |
Year Ended 5/31/2021 | $11.07 | 15.05% | 0.59%(e) | 0.57%(e) | 3.69% | 22% | $2,838 |
Year Ended 5/31/2020 | $9.98 | (3.21%) | 0.59%(c),(e) | 0.58%(c),(e) | 4.26% | 46% | $2,170 |
Year Ended 5/31/2019 | $10.77 | 6.83% | 0.59% | 0.56% | 4.45% | 35% | $1,933 |
Year Ended 5/31/2018 | $10.58 | 3.99% | 0.59% | 0.55% | 4.41% | 16% | $1,533 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 31 |
May 31, 2022
32 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Columbia High Yield Municipal Fund | Annual Report 2022 | 33 |
May 31, 2022
34 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 109,862* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Interest rate risk | (1,274,415) | 44,000 | (1,230,415) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | 109,862 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 35 |
May 31, 2022
Derivative instrument | Average notional amounts ($)* |
Futures contracts — short | 22,458,828 |
Derivative instrument | Average unrealized appreciation ($)** | Average unrealized depreciation ($)** |
Interest rate swap contracts | 752 | (3,828) |
* | Based on the ending quarterly outstanding amounts for the year ended May 31, 2022. |
** | Based on the ending daily outstanding amounts for the year ended May 31, 2022. |
36 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Columbia High Yield Municipal Fund | Annual Report 2022 | 37 |
May 31, 2022
Effective rate (%) | |
Class A | 0.09 |
Advisor Class | 0.09 |
Class C | 0.09 |
Institutional Class | 0.09 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 3.00 | 0.75(a) | 148,855 |
Class C | — | 1.00(b) | 3,150 |
(a) | This charge is imposed on certain investments of $500,000 or more if redeemed within 12 months after purchase. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
38 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
October 1, 2021 through September 30, 2022 | Prior to October 1, 2021 | |
Class A | 0.85% | 0.85% |
Advisor Class | 0.65 | 0.65 |
Class C | 1.45 | 1.60 |
Institutional Class | 0.65 | 0.65 |
Institutional 2 Class | 0.62 | 0.61 |
Institutional 3 Class | 0.57 | 0.56 |
Undistributed net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
866,841 | (866,841) | — |
Columbia High Yield Municipal Fund | Annual Report 2022 | 39 |
May 31, 2022
Year Ended May 31, 2022 | Year Ended May 31, 2021 | ||||||
Ordinary income ($) | Tax-exempt income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Tax-exempt income ($) | Long-term capital gains ($) | Total ($) |
166,117 | 27,455,895 | — | 27,622,012 | 91,385 | 25,561,006 | — | 25,652,391 |
Undistributed ordinary income ($) | Undistributed tax- exempt income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
— | 12,241,601 | — | (7,393,456) | (55,014,699) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
713,331,324 | 16,461,143 | (71,475,842) | (55,014,699) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(2,409,939) | (4,983,517) | (7,393,456) | 1,474,715 |
40 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 2,633,333 | 0.96 | 3 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 41 |
May 31, 2022
42 | Columbia High Yield Municipal Fund | Annual Report 2022 |
May 31, 2022
Columbia High Yield Municipal Fund | Annual Report 2022 | 43 |
May 31, 2022
44 | Columbia High Yield Municipal Fund | Annual Report 2022 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 45 |
Exempt- interest dividends | |
99.40% |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
46 | Columbia High Yield Municipal Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer) since 2019 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 47 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation since 1997; former Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, CET I and CET II since 2021 | Independent business executive since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
48 | Columbia High Yield Municipal Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 174 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 176 | Director, Blue Cross Blue Shield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation since 1998 |
Columbia High Yield Municipal Fund | Annual Report 2022 | 49 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC since April 2015; President and Principal Executive Officer of the Columbia Funds since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since January 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
50 | Columbia High Yield Municipal Fund | Annual Report 2022 |
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President – Pricing and Corporate Actions, May 2010 - March 2017). |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Columbia High Yield Municipal Fund | Annual Report 2022 | 51 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
52 | Columbia High Yield Municipal Fund | Annual Report 2022 |
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img9064704e2.jpg)
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/imgb10d03f91.jpg)
May 31, 2022
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img0ceb51132.jpg)
3 | |
5 | |
7 | |
8 | |
12 | |
14 | |
15 | |
18 | |
22 | |
31 | |
32 | |
32 | |
38 |
(Unaudited)
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img141b7b8b3.jpg)
Average annual total returns (%) (for the period ended May 31, 2022) | |||||
Inception | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/25/02 | 3.80 | 11.83 | 12.72 |
Including sales charges | -2.17 | 10.51 | 12.06 | ||
Advisor Class* | 11/08/12 | 4.08 | 12.10 | 13.01 | |
Class C | Excluding sales charges | 11/25/02 | 3.01 | 10.98 | 11.88 |
Including sales charges | 2.01 | 10.98 | 11.88 | ||
Institutional Class | 03/04/98 | 4.09 | 12.11 | 13.01 | |
Institutional 2 Class* | 11/08/12 | 4.16 | 12.19 | 13.12 | |
Institutional 3 Class* | 11/08/12 | 4.20 | 12.25 | 13.18 | |
Class R | 03/28/08 | 3.56 | 11.55 | 12.45 | |
Class V | Excluding sales charges | 03/04/98 | 3.83 | 11.83 | 12.71 |
Including sales charges | -2.14 | 10.51 | 12.05 | ||
Russell 1000 Index | -2.71 | 13.12 | 14.24 |
* | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Institutional Class shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
Columbia Dividend Income Fund | Annual Report 2022 | 3 |
(Unaudited)
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img69ace09f4.jpg)
Portfolio breakdown (%) (at May 31, 2022) | |
Common Stocks | 97.7 |
Money Market Funds | 2.3 |
Total | 100.0 |
Equity sector breakdown (%) (at May 31, 2022) | |
Communication Services | 3.0 |
Consumer Discretionary | 6.2 |
Consumer Staples | 8.0 |
Energy | 8.4 |
Financials | 15.5 |
Health Care | 17.6 |
Industrials | 13.0 |
Information Technology | 17.3 |
Materials | 2.3 |
Real Estate | 3.0 |
Utilities | 5.7 |
Total | 100.0 |
4 | Columbia Dividend Income Fund | Annual Report 2022 |
(Unaudited)
• | The Fund’s outperformance of its benchmark during the period was driven by allocation decisions and broad-based stock selection. |
• | The health care sector was the Fund’s strongest area of performance, primarily the result of stock selection with a modest contribution from an overweight allocation to the sector as compared to the benchmark. |
• | Stock selection within the industrials and information technology sectors was additive. |
• | Underweight allocations to the communication services and consumer discretionary sectors also benefited performance. |
• | Top individual contributors included Chevron Corp., EOG Resources, Inc., Eli Lilly & Co. and Broadcom, Inc. |
• | Within the energy sector, oil and gas companies Chevron and EOG Resources both benefited from the surge in energy prices during the period. |
• | Within the health care sector, an overweight to pharmaceutical company Eli Lilly benefited Fund performance as the company’s stock price climbed throughout the year. Reporting strong earnings that surpassed expectations, the company received breakthrough therapy approval from the FDA for its new Alzheimer’s treatment and also received approval for its drug to treat diabetes and obesity. |
Columbia Dividend Income Fund | Annual Report 2022 | 5 |
(Unaudited)
• | Within information technology, semiconductor and infrastructure software provider Broadcom was among the Fund’s top contributors for the period. Broadcom has held a dominant position in the data center and networking end markets along with a very profitable software business. The company has been reporting strong sales in high-growth markets which, combined with a very strong margin structure, has produced above average growth and consistent profitability. |
• | A lack of exposure to Amazon.com and Facebook’s parent, Meta, proved beneficial. Both are non-dividend-paying stocks that preclude them as candidates for the portfolio. |
• | Stock selection within the financial sector detracted from relative performance. |
• | An overweight allocation to the poor-performing industrials sector also weighed on relative results. |
• | Top individual detractors included Target Corp., Allstate Corp., Comcast Corp., JPMorgan Chase & Co. and Lam Research Corp. |
• | Within the consumer discretionary sector, multiline retailer Target struggled with inventory issues as customers curtailed discretionary spending in the face of rising inflation. |
• | An overweight during the period to insurer Allstate weighed on performance. Allstate had seen results for its auto insurance business pressured by an increase in miles driven and associated accident claims as the economy reopened, along with higher used vehicle prices and repair costs caused by supply chain issues. These factors led to a period of margin compression that we believed would likely persist. We exited Allstate in the fourth quarter of 2021. |
• | The Fund’s position in broadband provider Comcast also constrained performance during the period. The company’s share price declined as its cable subscriber customer base shrank and its balance sheet remained leveraged. We believe the company has benefited, however, from strength in its internet subscriber base and momentum in its wireless business. |
• | Within financials, the Fund’s position in JPMorgan Chase detracted. As longer term interest rates stabilized or drifted lower, investors sold off bank stocks on the outlook for weaker profits from lending. |
• | Within information technology, an overweight to LAM Research weighed on Fund results during the period. LAM is one of a handful of companies that makes equipment necessary for the increasingly complex process of manufacturing semiconductors. LAM’s stock price has benefited from strong equipment orders from the biggest chip producers. After a positive run in the stock, it appeared that LAM sold off on profit taking as investors waited for more guidance about 2022 equipment orders. |
• | Not owning tech giant Apple also detracted from results relative to the benchmark. |
6 | Columbia Dividend Income Fund | Annual Report 2022 |
(Unaudited)
December 1, 2021 — May 31, 2022 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,005.10 | 1,020.44 | 4.50 | 4.53 | 0.90 |
Advisor Class | 1,000.00 | 1,000.00 | 1,006.20 | 1,021.69 | 3.25 | 3.28 | 0.65 |
Class C | 1,000.00 | 1,000.00 | 1,001.00 | 1,016.70 | 8.23 | 8.30 | 1.65 |
Institutional Class | 1,000.00 | 1,000.00 | 1,006.30 | 1,021.69 | 3.25 | 3.28 | 0.65 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,006.50 | 1,021.94 | 3.00 | 3.02 | 0.60 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,006.70 | 1,022.19 | 2.75 | 2.77 | 0.55 |
Class R | 1,000.00 | 1,000.00 | 1,003.80 | 1,019.20 | 5.75 | 5.79 | 1.15 |
Class V | 1,000.00 | 1,000.00 | 1,005.10 | 1,020.44 | 4.50 | 4.53 | 0.90 |
Columbia Dividend Income Fund | Annual Report 2022 | 7 |
May 31, 2022
Common Stocks 97.5% | ||
Issuer | Shares | Value ($) |
Communication Services 2.9% | ||
Diversified Telecommunication Services 1.1% | ||
Verizon Communications, Inc. | 7,774,725 | 398,765,645 |
Media 1.8% | ||
Comcast Corp., Class A | 15,441,897 | 683,767,199 |
Total Communication Services | 1,082,532,844 | |
Consumer Discretionary 6.0% | ||
Hotels, Restaurants & Leisure 1.3% | ||
McDonald’s Corp. | 1,919,313 | 484,069,932 |
Internet & Direct Marketing Retail 0.6% | ||
eBay, Inc. | 4,900,629 | 238,513,613 |
Multiline Retail 1.6% | ||
Target Corp. | 3,814,908 | 617,557,307 |
Specialty Retail 2.5% | ||
Home Depot, Inc. (The) | 3,097,700 | 937,828,675 |
Total Consumer Discretionary | 2,277,969,527 | |
Consumer Staples 7.8% | ||
Beverages 2.8% | ||
Coca-Cola Co. (The) | 8,672,703 | 549,675,916 |
PepsiCo, Inc. | 2,927,693 | 491,120,501 |
Total | 1,040,796,417 | |
Food & Staples Retailing 0.6% | ||
Walmart, Inc. | 1,817,642 | 233,803,290 |
Food Products 1.2% | ||
Hershey Co. (The) | 999,097 | 211,518,826 |
Mondelez International, Inc., Class A | 4,033,504 | 256,369,514 |
Total | 467,888,340 | |
Household Products 2.1% | ||
Procter & Gamble Co. (The) | 5,236,927 | 774,436,765 |
Tobacco 1.1% | ||
Philip Morris International, Inc. | 3,879,478 | 412,194,538 |
Total Consumer Staples | 2,929,119,350 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 8.2% | ||
Oil, Gas & Consumable Fuels 8.2% | ||
Chevron Corp. | 5,479,647 | 957,075,145 |
ConocoPhillips Co. | 4,028,052 | 452,591,923 |
EOG Resources, Inc. | 4,363,744 | 597,658,378 |
Exxon Mobil Corp. | 7,990,887 | 767,125,152 |
Valero Energy Corp. | 2,523,960 | 327,105,216 |
Total | 3,101,555,814 | |
Total Energy | 3,101,555,814 | |
Financials 15.1% | ||
Banks 7.9% | ||
Bank of America Corp. | 23,244,860 | 864,708,792 |
JPMorgan Chase & Co. | 7,978,735 | 1,055,028,129 |
PNC Financial Services Group, Inc. (The) | 2,416,790 | 423,929,134 |
U.S. Bancorp | 8,663,063 | 459,748,754 |
Wells Fargo & Co. | 4,036,061 | 184,730,512 |
Total | 2,988,145,321 | |
Capital Markets 3.7% | ||
BlackRock, Inc. | 520,464 | 348,232,053 |
CME Group, Inc. | 2,026,402 | 402,909,510 |
Morgan Stanley | 3,137,288 | 270,245,988 |
Northern Trust Corp. | 3,561,896 | 398,041,878 |
Total | 1,419,429,429 | |
Insurance 3.5% | ||
Chubb Ltd. | 2,622,054 | 554,013,790 |
Marsh & McLennan Companies, Inc. | 4,712,931 | 753,833,313 |
Total | 1,307,847,103 | |
Total Financials | 5,715,421,853 | |
Health Care 17.2% | ||
Biotechnology 2.1% | ||
AbbVie, Inc. | 5,404,287 | 796,429,775 |
Health Care Equipment & Supplies 3.1% | ||
Abbott Laboratories | 3,438,743 | 403,914,753 |
Becton Dickinson and Co. | 1,247,771 | 319,179,822 |
Medtronic PLC | 4,617,170 | 462,409,575 |
Total | 1,185,504,150 |
8 | Columbia Dividend Income Fund | Annual Report 2022 |
May 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 4.0% | ||
Anthem, Inc. | 851,870 | 434,121,471 |
UnitedHealth Group, Inc. | 2,122,197 | 1,054,265,025 |
Total | 1,488,386,496 | |
Pharmaceuticals 8.0% | ||
Bristol-Myers Squibb Co. | 4,045,369 | 305,223,091 |
Eli Lilly & Co. | 2,182,487 | 684,078,725 |
Johnson & Johnson | 6,940,079 | 1,245,952,383 |
Merck & Co., Inc. | 8,450,721 | 777,719,854 |
Total | 3,012,974,053 | |
Total Health Care | 6,483,294,474 | |
Industrials 12.7% | ||
Aerospace & Defense 2.8% | ||
Lockheed Martin Corp. | 922,645 | 406,065,291 |
Northrop Grumman Corp. | 1,376,096 | 643,971,645 |
Total | 1,050,036,936 | |
Air Freight & Logistics 1.4% | ||
United Parcel Service, Inc., Class B | 2,860,461 | 521,319,017 |
Building Products 0.8% | ||
Trane Technologies PLC | 2,112,337 | 291,629,246 |
Commercial Services & Supplies 1.3% | ||
Waste Management, Inc. | 3,023,567 | 479,265,605 |
Electrical Equipment 0.8% | ||
Eaton Corp. PLC | 2,162,433 | 299,713,214 |
Industrial Conglomerates 1.6% | ||
Honeywell International, Inc. | 3,166,815 | 613,158,721 |
Machinery 2.3% | ||
Cummins, Inc. | 1,201,809 | 251,322,298 |
Deere & Co. | 896,018 | 320,577,320 |
Parker-Hannifin Corp. | 1,066,435 | 290,251,614 |
Total | 862,151,232 | |
Road & Rail 1.7% | ||
Union Pacific Corp. | 3,033,254 | 666,648,564 |
Total Industrials | 4,783,922,535 | |
Information Technology 16.9% | ||
Communications Equipment 1.7% | ||
Cisco Systems, Inc. | 14,368,695 | 647,309,710 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 3.3% | ||
Accenture PLC, Class A | 1,675,280 | 500,004,069 |
Automatic Data Processing, Inc. | 2,012,558 | 448,679,681 |
International Business Machines Corp. | 2,184,017 | 303,228,920 |
Total | 1,251,912,670 | |
Semiconductors & Semiconductor Equipment 9.2% | ||
Analog Devices, Inc. | 3,356,462 | 565,228,201 |
Broadcom, Inc. | 1,722,624 | 999,345,861 |
KLA Corp. | 1,505,225 | 549,181,341 |
Lam Research Corp. | 1,036,110 | 538,808,283 |
QUALCOMM, Inc. | 1,071,202 | 153,417,550 |
Texas Instruments, Inc. | 3,703,877 | 654,697,299 |
Total | 3,460,678,535 | |
Software 2.7% | ||
Microsoft Corp. | 3,724,430 | 1,012,560,784 |
Total Information Technology | 6,372,461,699 | |
Materials 2.2% | ||
Chemicals 1.3% | ||
Linde PLC | 1,213,333 | 393,944,959 |
PPG Industries, Inc. | 837,011 | 105,873,521 |
Total | 499,818,480 | |
Containers & Packaging 0.9% | ||
Avery Dennison Corp. | 1,231,555 | 212,517,131 |
Packaging Corp. of America | 873,324 | 137,356,398 |
Total | 349,873,529 | |
Total Materials | 849,692,009 | |
Real Estate 2.9% | ||
Equity Real Estate Investment Trusts (REITS) 2.9% | ||
AvalonBay Communities, Inc. | 1,266,537 | 263,389,035 |
Crown Castle International Corp. | 1,418,730 | 269,062,144 |
Digital Realty Trust, Inc. | 2,302,742 | 321,439,756 |
Extra Space Storage, Inc. | 1,411,824 | 251,587,037 |
Total | 1,105,477,972 | |
Total Real Estate | 1,105,477,972 |
Columbia Dividend Income Fund | Annual Report 2022 | 9 |
May 31, 2022
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 5.6% | ||
Electric Utilities 3.3% | ||
American Electric Power Co., Inc. | 2,589,439 | 264,200,461 |
Entergy Corp. | 1,901,671 | 228,809,055 |
Eversource Energy | 2,236,194 | 206,445,430 |
NextEra Energy, Inc. | 3,816,361 | 288,860,364 |
Xcel Energy, Inc. | 3,316,674 | 249,878,219 |
Total | 1,238,193,529 | |
Multi-Utilities 2.3% | ||
Ameren Corp. | 2,528,804 | 240,716,853 |
CMS Energy Corp. | 2,778,646 | 197,395,012 |
DTE Energy Co. | 1,226,812 | 162,810,220 |
WEC Energy Group, Inc. | 2,594,725 | 272,627,756 |
Total | 873,549,841 | |
Total Utilities | 2,111,743,370 | |
Total Common Stocks (Cost $24,294,926,963) | 36,813,191,447 | |
Money Market Funds 2.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.852%(a),(b) | 862,854,830 | 862,509,688 |
Total Money Market Funds (Cost $862,802,022) | 862,509,688 | |
Total Investments in Securities (Cost: $25,157,728,985) | 37,675,701,135 | |
Other Assets & Liabilities, Net | 74,346,110 | |
Net Assets | 37,750,047,245 |
(a) | The rate shown is the seven-day current annualized yield at May 31, 2022. |
(b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2022 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.852% | ||||||||
1,112,436,439 | 3,530,987,787 | (3,780,799,185) | (115,353) | 862,509,688 | (68,856) | 1,330,517 | 862,854,830 |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
10 | Columbia Dividend Income Fund | Annual Report 2022 |
May 31, 2022
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 1,082,532,844 | — | — | 1,082,532,844 |
Consumer Discretionary | 2,277,969,527 | — | — | 2,277,969,527 |
Consumer Staples | 2,929,119,350 | — | — | 2,929,119,350 |
Energy | 3,101,555,814 | — | — | 3,101,555,814 |
Financials | 5,715,421,853 | — | — | 5,715,421,853 |
Health Care | 6,483,294,474 | — | — | 6,483,294,474 |
Industrials | 4,783,922,535 | — | — | 4,783,922,535 |
Information Technology | 6,372,461,699 | — | — | 6,372,461,699 |
Materials | 849,692,009 | — | — | 849,692,009 |
Real Estate | 1,105,477,972 | — | — | 1,105,477,972 |
Utilities | 2,111,743,370 | — | — | 2,111,743,370 |
Total Common Stocks | 36,813,191,447 | — | — | 36,813,191,447 |
Money Market Funds | 862,509,688 | — | — | 862,509,688 |
Total Investments in Securities | 37,675,701,135 | — | — | 37,675,701,135 |
Columbia Dividend Income Fund | Annual Report 2022 | 11 |
May 31, 2022
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $24,294,926,963) | $36,813,191,447 |
Affiliated issuers (cost $862,802,022) | 862,509,688 |
Cash | 1 |
Receivable for: | |
Capital shares sold | 32,849,860 |
Dividends | 75,950,911 |
Interfund lending | 3,100,000 |
Prepaid expenses | 215,776 |
Trustees’ deferred compensation plan | 909,049 |
Total assets | 37,788,726,732 |
Liabilities | |
Payable for: | |
Capital shares purchased | 31,339,501 |
Management services fees | 2,205,415 |
Distribution and/or service fees | 286,012 |
Transfer agent fees | 3,238,403 |
Compensation of board members | 234,876 |
Other expenses | 466,231 |
Trustees’ deferred compensation plan | 909,049 |
Total liabilities | 38,679,487 |
Net assets applicable to outstanding capital stock | $37,750,047,245 |
Represented by | |
Paid in capital | 24,780,289,491 |
Total distributable earnings (loss) | 12,969,757,754 |
Total - representing net assets applicable to outstanding capital stock | $37,750,047,245 |
12 | Columbia Dividend Income Fund | Annual Report 2022 |
May 31, 2022
Class A | |
Net assets | $4,392,791,816 |
Shares outstanding | 147,554,900 |
Net asset value per share | $29.77 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $31.59 |
Advisor Class | |
Net assets | $3,338,904,148 |
Shares outstanding | 109,983,663 |
Net asset value per share | $30.36 |
Class C | |
Net assets | $1,350,124,667 |
Shares outstanding | 46,985,445 |
Net asset value per share | $28.73 |
Institutional Class | |
Net assets | $17,707,132,571 |
Shares outstanding | 594,011,638 |
Net asset value per share | $29.81 |
Institutional 2 Class | |
Net assets | $2,972,324,440 |
Shares outstanding | 98,009,725 |
Net asset value per share | $30.33 |
Institutional 3 Class | |
Net assets | $7,668,907,326 |
Shares outstanding | 252,466,480 |
Net asset value per share | $30.38 |
Class R | |
Net assets | $229,025,023 |
Shares outstanding | 7,689,092 |
Net asset value per share | $29.79 |
Class V | |
Net assets | $90,837,254 |
Shares outstanding | 3,049,708 |
Net asset value per share | $29.79 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class V shares) | $31.61 |
Columbia Dividend Income Fund | Annual Report 2022 | 13 |
Year Ended May 31, 2022
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $867,913,215 |
Dividends — affiliated issuers | 1,330,517 |
Interfund lending | 484 |
Total income | 869,244,216 |
Expenses: | |
Management services fees | 200,847,639 |
Distribution and/or service fees | |
Class A | 11,159,672 |
Class C | 13,656,007 |
Class R | 1,169,371 |
Class V | 238,284 |
Transfer agent fees | |
Class A | 5,135,934 |
Advisor Class | 3,912,921 |
Class C | 1,571,157 |
Institutional Class | 20,407,280 |
Institutional 2 Class | 1,803,187 |
Institutional 3 Class | 436,769 |
Class R | 269,088 |
Class V | 109,683 |
Compensation of board members | 443,504 |
Custodian fees | 165,579 |
Printing and postage fees | 1,208,767 |
Registration fees | 1,336,789 |
Audit fees | 29,500 |
Legal fees | 369,854 |
Compensation of chief compliance officer | 11,573 |
Other | 442,108 |
Total expenses | 264,724,666 |
Expense reduction | (1,727) |
Total net expenses | 264,722,939 |
Net investment income | 604,521,277 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 452,145,284 |
Investments — affiliated issuers | (68,856) |
Net realized gain | 452,076,428 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 406,021,204 |
Investments — affiliated issuers | (115,353) |
Net change in unrealized appreciation (depreciation) | 405,905,851 |
Net realized and unrealized gain | 857,982,279 |
Net increase in net assets resulting from operations | $1,462,503,556 |
14 | Columbia Dividend Income Fund | Annual Report 2022 |
Year Ended May 31, 2022 | Year Ended May 31, 2021 | |
Operations | ||
Net investment income | $604,521,277 | $455,046,695 |
Net realized gain | 452,076,428 | 760,814,304 |
Net change in unrealized appreciation (depreciation) | 405,905,851 | 7,244,491,260 |
Net increase in net assets resulting from operations | 1,462,503,556 | 8,460,352,259 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (124,980,544) | (49,428,431) |
Advisor Class | (101,221,238) | (38,780,396) |
Class C | (29,165,217) | (9,791,341) |
Institutional Class | (540,399,033) | (218,145,747) |
Institutional 2 Class | (99,465,229) | (35,895,357) |
Institutional 3 Class | (231,722,717) | (92,843,269) |
Class R | (6,024,068) | (2,142,487) |
Class V | (2,666,349) | (1,260,258) |
Total distributions to shareholders | (1,135,644,395) | (448,287,286) |
Increase in net assets from capital stock activity | 2,311,117,128 | 6,543,776,661 |
Total increase in net assets | 2,637,976,289 | 14,555,841,634 |
Net assets at beginning of year | 35,112,070,956 | 20,556,229,322 |
Net assets at end of year | $37,750,047,245 | $35,112,070,956 |
Columbia Dividend Income Fund | Annual Report 2022 | 15 |
Year Ended | Year Ended | |||
May 31, 2022 | May 31, 2021 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 29,845,816 | 900,339,496 | 50,007,846 | 1,275,884,602 |
Distributions reinvested | 3,486,547 | 105,441,363 | 1,733,693 | 42,293,367 |
Redemptions | (29,779,035) | (899,331,555) | (29,316,546) | (733,623,440) |
Net increase | 3,553,328 | 106,449,304 | 22,424,993 | 584,554,529 |
Advisor Class | ||||
Subscriptions | 38,790,900 | 1,192,233,253 | 56,024,623 | 1,450,944,181 |
Distributions reinvested | 3,265,878 | 100,532,706 | 1,536,627 | 38,480,661 |
Redemptions | (36,553,500) | (1,127,088,618) | (25,844,863) | (684,176,868) |
Net increase | 5,503,278 | 165,677,341 | 31,716,387 | 805,247,974 |
Class C | ||||
Subscriptions | 9,101,820 | 265,699,953 | 13,152,585 | 323,629,018 |
Distributions reinvested | 854,445 | 25,139,789 | 359,266 | 8,423,071 |
Redemptions | (8,146,924) | (237,516,776) | (16,855,240) | (416,157,334) |
Net increase (decrease) | 1,809,341 | 53,322,966 | (3,343,389) | (84,105,245) |
Institutional Class | ||||
Subscriptions | 152,870,803 | 4,612,757,750 | 220,345,007 | 5,539,486,775 |
Distributions reinvested | 15,623,440 | 472,403,308 | 7,665,184 | 187,915,195 |
Redemptions | (128,602,883) | (3,888,570,214) | (107,476,146) | (2,734,627,580) |
Net increase | 39,891,360 | 1,196,590,844 | 120,534,045 | 2,992,774,390 |
Institutional 2 Class | ||||
Subscriptions | 28,189,723 | 863,966,863 | 58,480,496 | 1,519,686,930 |
Distributions reinvested | 3,177,985 | 97,637,694 | 1,398,857 | 35,068,200 |
Redemptions | (36,383,818) | (1,124,641,415) | (18,371,200) | (477,014,670) |
Net increase (decrease) | (5,016,110) | (163,036,858) | 41,508,153 | 1,077,740,460 |
Institutional 3 Class | ||||
Subscriptions | 72,446,071 | 2,228,533,037 | 83,621,634 | 2,163,505,618 |
Distributions reinvested | 4,950,475 | 152,421,625 | 2,205,212 | 55,272,501 |
Redemptions | (46,594,347) | (1,434,309,179) | (40,939,428) | (1,076,820,451) |
Net increase | 30,802,199 | 946,645,483 | 44,887,418 | 1,141,957,668 |
Class R | ||||
Subscriptions | 1,619,319 | 48,845,688 | 2,530,274 | 65,037,850 |
Distributions reinvested | 198,217 | 6,012,034 | 86,943 | 2,126,132 |
Redemptions | (1,499,767) | (45,215,627) | (1,467,115) | (37,298,861) |
Net increase | 317,769 | 9,642,095 | 1,150,102 | 29,865,121 |
Class V | ||||
Subscriptions | 22,295 | 670,913 | 40,333 | 1,011,908 |
Distributions reinvested | 71,346 | 2,158,582 | 41,771 | 1,016,120 |
Redemptions | (231,428) | (7,003,542) | (249,686) | (6,286,264) |
Net decrease | (137,787) | (4,174,047) | (167,582) | (4,258,236) |
Total net increase | 76,723,378 | 2,311,117,128 | 258,710,127 | 6,543,776,661 |
16 | Columbia Dividend Income Fund | Annual Report 2022 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class A | |||||||
Year Ended 5/31/2022 | $29.50 | 0.42 | 0.71 | 1.13 | (0.41) | (0.45) | (0.86) |
Year Ended 5/31/2021 | $22.13 | 0.38 | 7.37 | 7.75 | (0.38) | — | (0.38) |
Year Ended 5/31/2020 | $21.45 | 0.41 | 0.93 | 1.34 | (0.40) | (0.26) | (0.66) |
Year Ended 5/31/2019 | $21.63 | 0.39 | 0.88 | 1.27 | (0.38) | (1.07) | (1.45) |
Year Ended 5/31/2018 | $20.46 | 0.36 | 1.75 | 2.11 | (0.34) | (0.60) | (0.94) |
Advisor Class | |||||||
Year Ended 5/31/2022 | $30.06 | 0.51 | 0.72 | 1.23 | (0.48) | (0.45) | (0.93) |
Year Ended 5/31/2021 | $22.54 | 0.45 | 7.51 | 7.96 | (0.44) | — | (0.44) |
Year Ended 5/31/2020 | $21.84 | 0.48 | 0.94 | 1.42 | (0.46) | (0.26) | (0.72) |
Year Ended 5/31/2019 | $22.00 | 0.45 | 0.89 | 1.34 | (0.43) | (1.07) | (1.50) |
Year Ended 5/31/2018 | $20.80 | 0.42 | 1.78 | 2.20 | (0.40) | (0.60) | (1.00) |
Class C | |||||||
Year Ended 5/31/2022 | $28.49 | 0.19 | 0.68 | 0.87 | (0.18) | (0.45) | (0.63) |
Year Ended 5/31/2021 | $21.38 | 0.18 | 7.14 | 7.32 | (0.21) | — | (0.21) |
Year Ended 5/31/2020 | $20.73 | 0.23 | 0.91 | 1.14 | (0.23) | (0.26) | (0.49) |
Year Ended 5/31/2019 | $20.95 | 0.22 | 0.84 | 1.06 | (0.21) | (1.07) | (1.28) |
Year Ended 5/31/2018 | $19.84 | 0.19 | 1.70 | 1.89 | (0.18) | (0.60) | (0.78) |
Institutional Class | |||||||
Year Ended 5/31/2022 | $29.53 | 0.50 | 0.71 | 1.21 | (0.48) | (0.45) | (0.93) |
Year Ended 5/31/2021 | $22.15 | 0.44 | 7.38 | 7.82 | (0.44) | — | (0.44) |
Year Ended 5/31/2020 | $21.48 | 0.47 | 0.92 | 1.39 | (0.46) | (0.26) | (0.72) |
Year Ended 5/31/2019 | $21.66 | 0.44 | 0.88 | 1.32 | (0.43) | (1.07) | (1.50) |
Year Ended 5/31/2018 | $20.48 | 0.41 | 1.77 | 2.18 | (0.40) | (0.60) | (1.00) |
Institutional 2 Class | |||||||
Year Ended 5/31/2022 | $30.03 | 0.52 | 0.73 | 1.25 | (0.50) | (0.45) | (0.95) |
Year Ended 5/31/2021 | $22.52 | 0.46 | 7.51 | 7.97 | (0.46) | — | (0.46) |
Year Ended 5/31/2020 | $21.83 | 0.49 | 0.94 | 1.43 | (0.48) | (0.26) | (0.74) |
Year Ended 5/31/2019 | $21.99 | 0.47 | 0.89 | 1.36 | (0.45) | (1.07) | (1.52) |
Year Ended 5/31/2018 | $20.78 | 0.44 | 1.79 | 2.23 | (0.42) | (0.60) | (1.02) |
18 | Columbia Dividend Income Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Year Ended 5/31/2022 | $29.77 | 3.80% | 0.90% | 0.90%(c) | 1.38% | 16% | $4,392,792 |
Year Ended 5/31/2021 | $29.50 | 35.42% | 0.92% | 0.92%(c) | 1.49% | 11% | $4,247,346 |
Year Ended 5/31/2020 | $22.13 | 6.26% | 0.94% | 0.94%(c) | 1.80% | 14% | $2,689,884 |
Year Ended 5/31/2019 | $21.45 | 6.10% | 0.96% | 0.96%(c) | 1.77% | 13% | $2,094,539 |
Year Ended 5/31/2018 | $21.63 | 10.35% | 0.97% | 0.97%(c) | 1.66% | 15% | $1,834,772 |
Advisor Class | |||||||
Year Ended 5/31/2022 | $30.36 | 4.08% | 0.65% | 0.65%(c) | 1.63% | 16% | $3,338,904 |
Year Ended 5/31/2021 | $30.06 | 35.76% | 0.67% | 0.67%(c) | 1.74% | 11% | $3,140,636 |
Year Ended 5/31/2020 | $22.54 | 6.53% | 0.69% | 0.69%(c) | 2.07% | 14% | $1,640,078 |
Year Ended 5/31/2019 | $21.84 | 6.35% | 0.71% | 0.71%(c) | 2.04% | 13% | $815,017 |
Year Ended 5/31/2018 | $22.00 | 10.60% | 0.72% | 0.72%(c) | 1.93% | 15% | $564,834 |
Class C | |||||||
Year Ended 5/31/2022 | $28.73 | 3.01% | 1.65% | 1.65%(c) | 0.63% | 16% | $1,350,125 |
Year Ended 5/31/2021 | $28.49 | 34.43% | 1.67% | 1.67%(c) | 0.75% | 11% | $1,286,989 |
Year Ended 5/31/2020 | $21.38 | 5.44% | 1.69% | 1.69%(c) | 1.05% | 14% | $1,037,413 |
Year Ended 5/31/2019 | $20.73 | 5.29% | 1.71% | 1.71%(c) | 1.02% | 13% | $856,621 |
Year Ended 5/31/2018 | $20.95 | 9.53% | 1.72% | 1.72%(c) | 0.91% | 15% | $809,269 |
Institutional Class | |||||||
Year Ended 5/31/2022 | $29.81 | 4.09% | 0.65% | 0.65%(c) | 1.63% | 16% | $17,707,133 |
Year Ended 5/31/2021 | $29.53 | 35.76% | 0.67% | 0.67%(c) | 1.74% | 11% | $16,364,361 |
Year Ended 5/31/2020 | $22.15 | 6.50% | 0.69% | 0.69%(c) | 2.06% | 14% | $9,604,530 |
Year Ended 5/31/2019 | $21.48 | 6.36% | 0.71% | 0.71%(c) | 2.02% | 13% | $5,966,124 |
Year Ended 5/31/2018 | $21.66 | 10.67% | 0.72% | 0.72%(c) | 1.89% | 15% | $4,781,049 |
Institutional 2 Class | |||||||
Year Ended 5/31/2022 | $30.33 | 4.16% | 0.59% | 0.59% | 1.69% | 16% | $2,972,324 |
Year Ended 5/31/2021 | $30.03 | 35.84% | 0.61% | 0.61% | 1.79% | 11% | $3,093,985 |
Year Ended 5/31/2020 | $22.52 | 6.57% | 0.62% | 0.62% | 2.13% | 14% | $1,385,364 |
Year Ended 5/31/2019 | $21.83 | 6.44% | 0.63% | 0.63% | 2.11% | 13% | $772,924 |
Year Ended 5/31/2018 | $21.99 | 10.76% | 0.63% | 0.63% | 2.00% | 15% | $605,285 |
Columbia Dividend Income Fund | Annual Report 2022 | 19 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | |||||||
Year Ended 5/31/2022 | $30.08 | 0.54 | 0.73 | 1.27 | (0.52) | (0.45) | (0.97) |
Year Ended 5/31/2021 | $22.55 | 0.48 | 7.52 | 8.00 | (0.47) | — | (0.47) |
Year Ended 5/31/2020 | $21.86 | 0.50 | 0.94 | 1.44 | (0.49) | (0.26) | (0.75) |
Year Ended 5/31/2019 | $22.02 | 0.48 | 0.89 | 1.37 | (0.46) | (1.07) | (1.53) |
Year Ended 5/31/2018 | $20.80 | 0.46 | 1.78 | 2.24 | (0.42) | (0.60) | (1.02) |
Class R | |||||||
Year Ended 5/31/2022 | $29.51 | 0.35 | 0.71 | 1.06 | (0.33) | (0.45) | (0.78) |
Year Ended 5/31/2021 | $22.14 | 0.31 | 7.38 | 7.69 | (0.32) | — | (0.32) |
Year Ended 5/31/2020 | $21.46 | 0.35 | 0.94 | 1.29 | (0.35) | (0.26) | (0.61) |
Year Ended 5/31/2019 | $21.64 | 0.33 | 0.88 | 1.21 | (0.32) | (1.07) | (1.39) |
Year Ended 5/31/2018 | $20.47 | 0.30 | 1.76 | 2.06 | (0.29) | (0.60) | (0.89) |
Class V | |||||||
Year Ended 5/31/2022 | $29.51 | 0.42 | 0.72 | 1.14 | (0.41) | (0.45) | (0.86) |
Year Ended 5/31/2021 | $22.14 | 0.38 | 7.37 | 7.75 | (0.38) | — | (0.38) |
Year Ended 5/31/2020 | $21.46 | 0.41 | 0.93 | 1.34 | (0.40) | (0.26) | (0.66) |
Year Ended 5/31/2019 | $21.64 | 0.39 | 0.88 | 1.27 | (0.38) | (1.07) | (1.45) |
Year Ended 5/31/2018 | $20.47 | 0.36 | 1.75 | 2.11 | (0.34) | (0.60) | (0.94) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | The benefits derived from expense reductions had an impact of less than 0.01%. |
20 | Columbia Dividend Income Fund | Annual Report 2022 |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Year Ended 5/31/2022 | $30.38 | 4.20% | 0.55% | 0.55% | 1.74% | 16% | $7,668,907 |
Year Ended 5/31/2021 | $30.08 | 35.95% | 0.56% | 0.56% | 1.85% | 11% | $6,667,177 |
Year Ended 5/31/2020 | $22.55 | 6.62% | 0.57% | 0.57% | 2.17% | 14% | $3,986,971 |
Year Ended 5/31/2019 | $21.86 | 6.48% | 0.58% | 0.58% | 2.15% | 13% | $2,955,434 |
Year Ended 5/31/2018 | $22.02 | 10.84% | 0.59% | 0.59% | 2.08% | 15% | $2,587,372 |
Class R | |||||||
Year Ended 5/31/2022 | $29.79 | 3.56% | 1.15% | 1.15%(c) | 1.13% | 16% | $229,025 |
Year Ended 5/31/2021 | $29.51 | 35.08% | 1.17% | 1.17%(c) | 1.24% | 11% | $217,516 |
Year Ended 5/31/2020 | $22.14 | 5.97% | 1.19% | 1.19%(c) | 1.54% | 14% | $137,720 |
Year Ended 5/31/2019 | $21.46 | 5.83% | 1.21% | 1.21%(c) | 1.52% | 13% | $113,166 |
Year Ended 5/31/2018 | $21.64 | 10.07% | 1.22% | 1.22%(c) | 1.41% | 15% | $104,036 |
Class V | |||||||
Year Ended 5/31/2022 | $29.79 | 3.83% | 0.90% | 0.90%(c) | 1.38% | 16% | $90,837 |
Year Ended 5/31/2021 | $29.51 | 35.40% | 0.92% | 0.92%(c) | 1.50% | 11% | $94,062 |
Year Ended 5/31/2020 | $22.14 | 6.26% | 0.94% | 0.94%(c) | 1.78% | 14% | $74,269 |
Year Ended 5/31/2019 | $21.46 | 6.10% | 0.96% | 0.96%(c) | 1.76% | 13% | $76,067 |
Year Ended 5/31/2018 | $21.64 | 10.35% | 0.97% | 0.97%(c) | 1.66% | 15% | $81,875 |
Columbia Dividend Income Fund | Annual Report 2022 | 21 |
May 31, 2022
22 | Columbia Dividend Income Fund | Annual Report 2022 |
May 31, 2022
Columbia Dividend Income Fund | Annual Report 2022 | 23 |
May 31, 2022
24 | Columbia Dividend Income Fund | Annual Report 2022 |
May 31, 2022
Effective rate (%) | |
Class A | 0.12 |
Advisor Class | 0.12 |
Class C | 0.12 |
Institutional Class | 0.12 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.12 |
Class V | 0.12 |
Columbia Dividend Income Fund | Annual Report 2022 | 25 |
May 31, 2022
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 4,575,197 |
Class C | — | 1.00(b) | 104,919 |
Class V | 5.75 | 0.50 - 1.00(a) | 253 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
October 1, 2021 through September 30, 2022 | Prior to October 1, 2021 | |
Class A | 1.10% | 1.13% |
Advisor Class | 0.85 | 0.88 |
Class C | 1.85 | 1.88 |
Institutional Class | 0.85 | 0.88 |
Institutional 2 Class | 0.79 | 0.81 |
Institutional 3 Class | 0.74 | 0.76 |
Class R | 1.35 | 1.38 |
Class V | 1.10 | 1.13 |
26 | Columbia Dividend Income Fund | Annual Report 2022 |
May 31, 2022
Undistributed net investment income ($) | Accumulated net realized gain ($) | Paid in capital ($) |
(12,008,000) | 12,008,000 | — |
Year Ended May 31, 2022 | Year Ended May 31, 2021 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
582,376,416 | 553,267,979 | 1,135,644,395 | 448,287,286 | — | 448,287,286 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized appreciation ($) |
73,282,985 | 383,084,090 | — | 12,514,519,349 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
25,161,181,786 | 12,706,078,068 | (191,558,719) | 12,514,519,349 |
Columbia Dividend Income Fund | Annual Report 2022 | 27 |
May 31, 2022
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,585,714 | 0.80 | 14 |
28 | Columbia Dividend Income Fund | Annual Report 2022 |
May 31, 2022
Columbia Dividend Income Fund | Annual Report 2022 | 29 |
May 31, 2022
30 | Columbia Dividend Income Fund | Annual Report 2022 |
Columbia Dividend Income Fund | Annual Report 2022 | 31 |
Qualified dividend income | Dividends received deduction | Capital gain dividend |
100.00% | 100.00% | $487,828,649 |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
George S. Batejan c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1953 | Trustee since 2017 | Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 | 176 | Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018 |
32 | Columbia Dividend Income Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Kathleen Blatz c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2006 | Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 | 176 | Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021 |
Pamela G. Carlton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2007 | President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 | 176 | Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021 |
Janet Langford Carrig c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1957 | Trustee since 1996 | Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 174 | Director, EQT Corporation (natural gas producer) since 2019 |
J. Kevin Connaughton c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2020 | Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 174 | Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017 |
Columbia Dividend Income Fund | Annual Report 2022 | 33 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Olive M. Darragh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since 2020 | Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 | 174 | Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation |
Patricia M. Flynn c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1950 | Trustee since 2004 | Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 | 176 | Trustee, MA Taxpayers Foundation since 1997; former Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019 |
Brian J. Gallagher c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1954 | Trustee since 2017 | Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 | 176 | Trustee, Catholic Schools Foundation since 2004 |
Douglas A. Hacker c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1955 | Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, CET I and CET II since 2021 | Independent business executive since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 176 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
Nancy T. Lukitsh c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1956 | Trustee since 2011 | Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 174 | None |
34 | Columbia Dividend Income Fund | Annual Report 2022 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
David M. Moffett c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Trustee since 2011 | Retired; Consultant to Bridgewater and Associates | 174 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
Catherine James Paglia c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1952 | Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 | Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. | 176 | Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee) |
Minor M. Shaw c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1947 | Trustee since 2003 | President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 | 176 | Director, Blue Cross Blue Shield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation since 1998 |
Columbia Dividend Income Fund | Annual Report 2022 | 35 |
(Unaudited)
Independent trustees (continued)
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex* overseen | Other directorships held by Trustee during the past five years |
Natalie A. Trunow c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1967 | Trustee since 2020 | Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 174 | Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019 |
Sandra L. Yeager c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1964 | Trustee since 2017 | Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 | 176 | Former Director, NAPE Education Foundation, October 2016-October 2020 |
* | The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation. |
Name, address, year of birth | Position held with the Columbia Funds and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
Daniel J. Beckman c/o Columbia Management Investment Advisers, LLC 290 Congress Street Boston, MA 02210 1962 | Trustee since November 2021 and President since June 2021 | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC since April 2015; President and Principal Executive Officer of the Columbia Funds since June 2021; officer of Columbia Funds and affiliated funds, 2020-2021 | 176 | Director, Ameriprise Trust Company, since October 2016; Director, Columbia Management Investment Distributors, Inc. since November 2018; Board of Governors, Columbia Wanger Asset Management, LLC since January 2022 |
* | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
36 | Columbia Dividend Income Fund | Annual Report 2022 |
(Unaudited)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Beckman, who is President and Principal Executive Officer, the Fund’s other officers are:
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael G. Clarke 290 Congress Street Boston, MA 02210 1969 | Chief Financial Officer and Principal Financial Officer (2009) and Senior Vice President (2019) | Senior Vice President and Head of Global Operations & Investor Services, Columbia Management Investment Advisers, LLC, since March 2022 (previously Vice President, Head of North American Operations, and Co-Head of Global Operations, June 2019 to February 2022 and Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia Funds and affiliated funds since 2002. |
Joseph Beranek 5890 Ameriprise Financial Center Minneapolis, MN 55474 1965 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) (2019) and Principal Financial Officer (2020), CFST, CFST I, CFST II, CFVIT and CFVST II; Assistant Treasurer, CET I and CET II | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President – Pricing and Corporate Actions, May 2010 - March 2017). |
Marybeth Pilat 290 Congress Street Boston, MA 02210 1968 | Treasurer and Chief Accounting Officer (Principal Accounting Officer) and Principal Financial Officer (2020) for CET I and CET II; Assistant Treasurer, CFST, CFST I, CFST II, CFVIT and CFVST II | Vice President – Product Pricing and Administration, Columbia Management Investment Advisers, LLC, since May 2017; Director - Fund Administration, Calvert Investments, August 2015 – March 2017; Vice President - Fund Administration, Legg Mason, May 2015 - July 2015; Vice President - Fund Administration, Columbia Management Investment Advisers, LLC, May 2010 - April 2015. |
William F. Truscott 290 Congress Street Boston, MA 02210 1960 | Senior Vice President (2001) | Formerly, Trustee/Director of Columbia Funds Complex or legacy funds, November 2001-January 1, 2021; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle. |
Christopher O. Petersen 5228 Ameriprise Financial Center Minneapolis, MN 55474 1970 | Senior Vice President and Assistant Secretary (2021) | Formerly, Trustee/Director of funds within the Columbia Funds Complex, July 1, 2020 - November 22, 2021; Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since September 2021 (previously Vice President and Lead Chief Counsel, January 2015 - September 2021); formerly, President and Principal Executive Officer of the Columbia Funds, 2015 - 2021; officer of Columbia Funds and affiliated funds since 2007. |
Thomas P. McGuire 290 Congress Street Boston, MA 02210 1972 | Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015; formerly, Chief Compliance Officer, Ameriprise Certificate Company, September 2010 – September 2020. |
Ryan C. Larrenaga 290 Congress Street Boston, MA 02210 1970 | Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); Chief Legal Officer, Columbia Acorn/Wanger Funds, since September 2020; officer of Columbia Funds and affiliated funds since 2005. |
Columbia Dividend Income Fund | Annual Report 2022 | 37 |
(Unaudited)
Fund officers (continued)
Name, address and year of birth | Position and year first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof | Principal occupation(s) during past five years |
Michael E. DeFao 290 Congress Street Boston, MA 02210 1968 | Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010; Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since October 2021 (previously Vice President and Assistant Secretary, May 2010 – September 2021). |
Lyn Kephart-Strong 5228 Ameriprise Financial Center Minneapolis, MN 55474 1960 | Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
38 | Columbia Dividend Income Fund | Annual Report 2022 |
![](https://capedge.com/proxy/N-CSR/0001683863-22-005456/img0ceb51132.jpg)
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Form N-CSR Items – period ended 5/31/2022
Columbia Funds Series Trust I
Item 1. Reports to Stockholders.
[Insert shareholder report.]
Item 2. Code of Ethics.
(a) | The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | During the period covered by this report, there were not any amendments to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. |
(c) | During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the code of ethics to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party that relates to one or more of the items set forth in paragraph (b) of this Item. |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that David M. Moffett, Brian J. Gallagher, J. Kevin Connaughton, and Sandra L. Yeager, each of whom are members of the registrant’s Board of Trustees and Audit Committee, each qualify as an audit committee financial expert. Mr. Moffett, Mr. Gallagher, Mr. Connaughton, and Ms. Yeager are each independent trustees, as defined in paragraph (a)(2) of this item’s instructions.
Item 4. Principal Accountant Fees and Services.
Fee information below is disclosed for the four series of the registrant whose reports to stockholders are included in this annual filing.
(a) Audit Fees. Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended May 31, 2022 and May 31, 2021 are approximately as follows:
2022 | 2021 |
$168,000 | $168,000 |
Audit Fees include amounts related to the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Audit-Related Fees. Aggregate Audit-Related Fees billed to the registrant by the principal accountant for professional services rendered during the fiscal years ended May 31, 2022 and May 31, 2021 are approximately as follows:
2022 | 2021 |
$2,800 | $0 |
Audit-Related Fees include amounts for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported in Audit Fees above.
During the fiscal years ended May 31, 2022 and May 31, 2021, there were no Audit-Related Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(c) Tax Fees. Aggregate Tax Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended May 31, 2022 and May 31, 2021 are approximately as follows:
2022 | 2021 |
$5,000 | $0 |
Tax Fees include amounts for the review of annual tax returns, the review of required shareholder distribution calculations and typically include amounts for professional services by the principal accountant for tax compliance, tax advice and tax planning.
During the fiscal years ended May 31, 2022 and May 31, 2021, there were no Tax Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(d) All Other Fees. Aggregate All Other Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended May 31, 2022 and May 31, 2021 are approximately as follows:
2022 | 2021 |
$0 | $0 |
All Other Fees include amounts for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) above.
Aggregate All Other Fees billed by the registrant’s principal accountant to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant during the fiscal years ended May 31, 2022 and May 31, 2021 are approximately as follows:
2022 | 2021 |
$520,000 | $520,000 |
In fiscal years 2022 and 2021, All Other Fees primarily consists of fees billed for internal control examinations of the registrant’s transfer agent and investment adviser.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The registrant’s Audit Committee is required to pre-approve the engagement of the registrant’s independent auditors to provide audit and non-audit services to the registrant and non-audit services to its investment adviser (excluding any sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser (the “Adviser”) or any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (a “Control Affiliate”) if the engagement relates directly to the operations and financial reporting of the registrant.
The Audit Committee has adopted a Policy for Engagement of Independent Auditors for Audit and Non-Audit Services (the “Policy”). The Policy sets forth the understanding of the Audit Committee regarding the engagement of the registrant’s independent accountants to provide (i) audit and permissible audit-related, tax and other services to the registrant (“Fund Services”); (ii) non-audit services to the registrant’s Adviser and any Control Affiliates, that relates directly to the operations and financial reporting of a Fund (“Fund-related Adviser Services”); and (iii) certain other audit and non-audit services to the registrant’s Adviser and its Control Affiliates. A service will require specific pre-approval by the Audit Committee if it is to be provided by the Fund’s independent auditor; provided, however, that pre-approval of non-audit services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SEC’s rules are met.
Under the Policy, the Audit Committee may delegate pre-approval authority to any pre-designated member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next regular meeting. The Audit Committee's responsibilities with respect to the pre-approval of services performed by the independent auditor may not be delegated to management.
| On an annual basis, at a regularly scheduled Audit Committee meeting, the Fund’s Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific pre-approval. This schedule will provide a description of each type of service that is subject to specific pre-approval, along with total projected fees for each service. The pre-approval will generally cover a one-year period. The Audit Committee will review and approve the types of services and the projected fees for the next one-year period and may add to, or subtract from, the list of pre-approved services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific types of services that the independent auditor will be permitted to perform and the projected fees for each service. |
The Fund’s Treasurer or other Fund officer shall report to the Audit Committee at each of its regular meetings regarding all Fund Services or Fund-related Adviser Services provided since the last such report was rendered, including a description of the services, by category, with forecasted fees for the annual reporting period, proposed changes requiring specific pre-approval and a description of services provided by the independent auditor, by category, with actual fees during the current reporting period.
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(e)(2) None, or 0%, of the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund or affiliated entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal years ended May 31, 2022 and May 31, 2021 are approximately as follows:
2022 | 2021 |
$527,800 | $520,000 |
(h) The registrant’s Audit Committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a) | The registrant’s “Schedule I – Investments in securities of unaffiliated issuers” (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(c) | The registrant’s principal executive officer and principal financial officer, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure. |
(d) | There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR attached hereto as Exhibit 99.CODE ETH.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized. |
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(registrant) |
| Columbia Funds Series Trust I |
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By (Signature and Title) | /s/ Daniel J. Beckman |
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| Daniel J. Beckman, President and Principal Executive Officer |
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Date |
| July 21, 2022 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Daniel J. Beckman | |||
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| Daniel J. Beckman, President and Principal Executive Officer | ||
Date |
| July 21, 2022 |
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By (Signature and Title) | /s/ Michael G. Clarke | |||
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| Michael G. Clarke, Chief Financial Officer, Principal Financial Officer | ||
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| and Senior Vice President | ||
Date |
| July 21, 2022 |
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By (Signature and Title) | /s/ Joseph Beranek | |||
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| Joseph Beranek, Treasurer, Chief Accounting Officer and Principal | ||
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| Financial Officer | ||
Date |
| July 21, 2022 |
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