UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04367
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: August 31
Date of reporting period: February 28, 2023
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.
February 28, 2023 (Unaudited)
3 | |
5 | |
6 | |
47 | |
48 | |
49 | |
50 | |
51 |
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Institutional Class* | 01/03/17 | 0.26 | 3.86 | 2.71 | 1.50 | |
FTSE Three-Month U.S. Treasury Bill Index | 1.80 | 2.22 | 1.35 | 0.81 |
* | 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. Returns shown for periods prior to the inception date of the Fund’s Institutional Class shares include the returns of the Fund’s Class A shares for the period prior to January 2, 2017. Class A shares were offered prior to the Fund’s Institutional Class shares but have since been merged into the Fund’s Institutional Class shares. 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. |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown — long positions (%) (at February 28, 2023) | |
Asset-Backed Securities — Non-Agency | 2.4 |
Commercial Mortgage-Backed Securities - Agency | 0.3 |
Commercial Mortgage-Backed Securities - Non-Agency | 2.6 |
Common Stocks | 17.3 |
Convertible Bonds | 0.5 |
Convertible Preferred Stocks | 0.4 |
Corporate Bonds & Notes | 15.9 |
Foreign Government Obligations | 5.6 |
Limited Partnerships | 0.8 |
Municipal Bonds | 0.2 |
Options Purchased Calls | 0.0(a) |
Options Purchased Puts | 0.0(a) |
Preferred Debt | 0.0(a) |
Preferred Stocks | 0.1 |
Residential Mortgage-Backed Securities - Agency | 4.7 |
Residential Mortgage-Backed Securities - Non-Agency | 6.8 |
Rights | 0.0(a) |
Senior Loans | 0.2 |
Treasury Bills | 1.7 |
U.S. Treasury Obligations | 2.3 |
Money Market Funds(b) | 39.1 |
Total | 100.9 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Consolidated Financial Statements. |
Portfolio breakdown — short positions (%) (at February 28, 2023) | |
Common Stocks | (0.9) |
Market exposure through derivatives investments (% of notional exposure) (at February 28, 2023)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 13.2 | (120.7) | (107.5) |
Commodities Derivative Contracts | 5.4 | (4.7) | 0.7 |
Equity Derivative Contracts | 21.8 | (0.5) | 21.3 |
Foreign Currency Derivative Contracts | 30.4 | (44.9) | (14.5) |
Total Notional Market Value of Derivative Contracts | 70.8 | (170.8) | (100.0) |
4 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Institutional Class | 1,000.00 | 1,000.00 | 1,002.60 | 1,018.50 | 6.31 | 6.36 | 1.27 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 2.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AIMCO CLO Ltd.(a),(b) | ||||
Series 2020-11A Class AR | ||||
3-month USD LIBOR + 1.130% Floor 1.130% 10/17/2034 | 5.922% | 400,000 | 393,216 | |
Aligned Data Centers Issuer LLC(a) | ||||
Series 2021-1A Class A2 | ||||
08/15/2046 | 1.937% | 388,000 | 337,898 | |
Allegro CLO XII Ltd.(a),(b) | ||||
Series 2020-1A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 01/21/2032 | 6.515% | 250,000 | 246,299 | |
American Express Credit Account Master Trust | ||||
Series 2022-2 Class A | ||||
05/17/2027 | 3.390% | 100,000 | 96,439 | |
AMMC CLO 24 Ltd.(a),(b) | ||||
Series 2021-24A Class B | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 01/20/2035 | 6.558% | 350,000 | 342,469 | |
AMMC CLO Ltd.(a),(b) | ||||
Series 2016-18A Class BR | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 05/26/2031 | 6.558% | 250,000 | 245,220 | |
BlueMountain Fuji US CLO I Ltd.(a),(b) | ||||
Series 2017-1A Class BR | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 07/20/2029 | 6.308% | 375,000 | 363,752 | |
Conseco Finance Corp.(c) | ||||
Series 2096-9 Class M1 | ||||
08/15/2027 | 7.630% | 113,014 | 112,605 | |
Conseco Finance Securitizations Corp.(b) | ||||
Series 2001-4 Class M1 | ||||
1-month USD LIBOR + 1.750% Floor 1.750%, Cap 15.000% 09/01/2033 | 6.412% | 384,139 | 377,059 | |
DataBank Issuer LLC(a),(d),(e) | ||||
Series 2023-1 Class A2 | ||||
02/25/2053 | 5.116% | �� | 130,000 | 119,883 |
DB Master Finance LLC(a) | ||||
Series 2019-1A Class A2II | ||||
05/20/2049 | 4.021% | 96,500 | 90,621 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2020-85A Class AR | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 10/15/2035 | 5.942% | 800,000 | 784,159 | |
Dryden Senior Loan Fund(a),(b) | ||||
Series 2013-30A Class AR | ||||
3-month USD LIBOR + 0.820% Floor 0.820% 11/15/2028 | 5.684% | 195,522 | 194,263 | |
Golub Capital Partners CLO 54M LP(a),(b) | ||||
Series 2021-54A Class A | ||||
3-month USD LIBOR + 1.530% Floor 1.530% 08/05/2033 | 6.336% | 450,000 | 439,203 | |
JG Wentworth XXII LLC(a) | ||||
Series 2010-3A Class A | ||||
12/15/2048 | 3.820% | 265,172 | 259,342 | |
LCM XXI LP(a),(b) | ||||
Series 20 18-21A Class AR | ||||
3-month USD LIBOR + 0.880% 04/20/2028 | 5.688% | 76,945 | 76,747 | |
Lehman XS Trust(b) | ||||
Series 2006-19 Class A3 | ||||
1-month USD LIBOR + 0.500% Floor 0.250% 12/25/2036 | 5.117% | 737,186 | 649,217 | |
MetroNet Infrastructure Issuer LLC(a) | ||||
Series 2022-1A Class A2 | ||||
10/20/2052 | 6.350% | 165,000 | 155,917 | |
MVW Owner Trust(a) | ||||
Series 2018-1A Class A | ||||
01/21/2036 | 3.450% | 25,042 | 24,315 | |
Navient Student Loan Trust(b) | ||||
Series 2014-1 Class A3 | ||||
1-month USD LIBOR + 0.510% Floor 0.510% 06/25/2031 | 5.016% | 341,721 | 332,887 | |
OCCU Auto Receivables Trust(a) | ||||
Series 2022-1 Class A3 | ||||
10/15/2027 | 5.500% | 150,000 | 150,574 | |
OCP CLO Ltd.(a),(b) | ||||
Series 2021-21A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 07/20/2034 | 6.508% | 300,000 | 291,633 |
6 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2020-7A Class AR | ||||
3-month USD LIBOR + 1.300% Floor 1.300% 02/24/2037 | 5.933% | 475,000 | 468,723 | |
Option One Mortgage Loan Trust(b) | ||||
Series 2006-3 Class 1A1 | ||||
1-month USD LIBOR + 0.140% Floor 0.140% 02/25/2037 | 4.646% | 943,399 | 632,429 | |
Park Avenue Institutional Advisers CLO Ltd.(a),(b) | ||||
Series 2021-1A Class A2 | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 01/20/2034 | 6.558% | 250,000 | 240,685 | |
Sabey Data Center Issuer LLC(a) | ||||
Series 2020-1 Class A2 | ||||
04/20/2045 | 3.812% | 470,000 | 442,590 | |
Saxon Asset Securities Trust(b) | ||||
Series 2007-2 Class A2D | ||||
1-month USD LIBOR + 0.300% Floor 0.300% 05/25/2047 | 4.917% | 587,052 | 419,154 | |
SLM Student Loan Trust(b) | ||||
Series 2008-2 Class B | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 01/25/2083 | 6.018% | 740,000 | 584,353 | |
Series 2008-4 Class A4 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 07/25/2023 | 6.468% | 253,828 | 252,685 | |
Series 2008-7 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/26/2083 | 6.668% | 500,000 | 467,975 | |
Series 2012-1 Class A3 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 09/25/2028 | 5.456% | 364,191 | 353,109 | |
Subordinated Series 2004-10 Class B | ||||
3-month USD LIBOR + 0.370% Floor 0.370% 01/25/2040 | 5.188% | 293,932 | 270,148 | |
Subordinated Series 2012-7 Class B | ||||
1-month USD LIBOR + 1.800% Floor 1.800% 09/25/2043 | 6.306% | 550,000 | 516,163 | |
Taco Bell Funding LLC(a) | ||||
Series 2016-1A Class A23 | ||||
05/25/2046 | 4.970% | 362,863 | 352,448 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TAL Advantage VII LLC(a) | ||||
Series 2020-1A Class A | ||||
09/20/2045 | 2.050% | 343,275 | 302,890 | |
Textainer Marine Containers VII Ltd.(a) | ||||
Series 2021-2A Class A | ||||
04/20/2046 | 2.230% | 661,333 | 571,265 | |
Textainer Marine Containers VIII Ltd.(a) | ||||
Series 2020-2A Class A | ||||
09/20/2045 | 2.100% | 237,889 | 209,828 | |
Series 2020-3A Class A | ||||
09/20/2045 | 2.110% | 280,830 | 245,396 | |
Tif Funding II LLC(a) | ||||
Series 2020-1A Class A | ||||
08/20/2045 | 2.090% | 177,100 | 153,960 | |
T-Mobile US Trust(a) | ||||
Series 2022-1A Class A | ||||
05/22/2028 | 4.910% | 180,000 | 179,079 | |
Vantage Data Centers LLC(a) | ||||
Series 2020-1A Class A2 | ||||
09/15/2045 | 1.645% | 395,000 | 352,008 | |
Verizon Master Trust(c) | ||||
Series 2023-1 Class A | ||||
01/22/2029 | 4.490% | 160,000 | 157,936 | |
Total Asset-Backed Securities — Non-Agency (Cost $13,835,877) | 13,256,542 | |||
Commercial Mortgage-Backed Securities - Agency 0.4% | ||||
Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust(c),(f) | ||||
Series 2019-P002 Class X | ||||
07/25/2033 | 1.138% | 705,000 | 57,407 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c),(f) | ||||
CMO Series K057 Class X1 | ||||
07/25/2026 | 1.168% | 3,705,198 | 115,037 | |
Series 2018-K732 Class X3 | ||||
05/25/2046 | 2.170% | 1,350,000 | 64,301 | |
Series K035 Class X3 | ||||
12/25/2041 | 1.787% | 3,000,000 | 23,425 | |
Series K039 Class X3 (FHLMC) | ||||
08/25/2042 | 2.113% | 1,520,000 | 53,498 | |
Series K043 Class X3 | ||||
02/25/2043 | 1.635% | 3,951,044 | 111,177 | |
Series K051 Class X3 | ||||
10/25/2043 | 1.613% | 2,100,000 | 80,227 | |
Series K060 Class X3 | ||||
12/25/2044 | 1.898% | 1,350,000 | 81,150 | |
Series K0728 Class X3 | ||||
11/25/2045 | 1.956% | 1,975,000 | 64,063 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series KC07 Class X1 | ||||
09/25/2026 | 0.720% | 3,904,422 | 69,355 | |
Series KL05 Class X1HG | ||||
12/25/2027 | 1.223% | 2,400,000 | 119,408 | |
Series KLU3 Class X1 | ||||
01/25/2031 | 1.937% | 1,593,820 | 171,310 | |
Series KS06 Class X | ||||
08/25/2026 | 1.046% | 2,631,014 | 63,495 | |
Series Q004 Class XFL | ||||
05/25/2044 | 0.046% | 1,424,885 | 50,566 | |
Federal National Mortgage Association(c),(f) | ||||
Series 2016-M11B Class X2 | ||||
07/25/2039 | 3.035% | 492,989 | 10,059 | |
Series 2016-M4 Class X2 | ||||
01/25/2039 | 2.669% | 337,242 | 5,109 | |
Series 2019-M29 Class X4 | ||||
03/25/2029 | 0.700% | 4,300,000 | 131,488 | |
Freddie Mac Multifamily Structured Pass-Through Certificates(c),(f) | ||||
Series K096 Class X3 (FHLMC) | ||||
07/25/2029 | 2.042% | 3,390,000 | 337,219 | |
FREMF Mortgage Trust(a),(b) | ||||
Subordinated Series 2019-KF71 Class B | ||||
1-month USD LIBOR + 2.300% Floor 2.300% 10/25/2029 | 6.874% | 308,312 | 289,701 | |
Government National Mortgage Association(c),(f) | ||||
CMO Series 2014-103 Class IO | ||||
05/16/2055 | 0.194% | 1,066,070 | 7,985 | |
Series 2012-4 Class IO | ||||
05/16/2052 | 0.000% | 2,057,825 | 21 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $2,431,853) | 1,906,001 | |||
Commercial Mortgage-Backed Securities - Non-Agency 2.7% | ||||
225 Liberty Street Trust(a),(c),(f) | ||||
Series 2016-225L Class X | ||||
02/10/2036 | 0.875% | 5,000,000 | 112,521 | |
AREIT Trust(a),(b) | ||||
Subordinated Series 2019-CRE3 Class AS | ||||
1-month Term SOFR + 1.414% Floor 1.300% 09/14/2036 | 5.976% | 500,000 | 488,387 | |
Subordinated Series 2020-CRE4 Class B | ||||
30-day Average SOFR + 4.264% Floor 4.150% 04/15/2037 | 8.828% | 312,593 | 310,989 | |
BAMLL Commercial Mortgage Securities Trust(a),(c) | ||||
Series 2018-PARK Class A | ||||
08/10/2038 | 4.091% | 95,000 | 85,508 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BDS Ltd.(a),(b) | ||||
Series 2020-FL6 Class D | ||||
30-day Average SOFR + 2.865% Floor 2.750% 09/15/2035 | 7.282% | 302,000 | 300,170 | |
Series 2021-FL8 Class A | ||||
1-month USD LIBOR + 0.920% Floor 0.920% 01/18/2036 | 5.511% | 460,062 | 446,666 | |
BFLD Trust(a),(b) | ||||
Series 2020-EYP Class A | ||||
1-month USD LIBOR + 1.150% Floor 1.150% 10/15/2035 | 5.738% | 480,000 | 451,451 | |
Series 2021-FPM Class A | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 06/15/2038 | 6.188% | 288,000 | 275,528 | |
BOCA Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-BOCA Class B | ||||
1-month Term SOFR + 2.319% Floor 2.319% 05/15/2039 | 6.882% | 100,000 | 95,792 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2019-XL Class A | ||||
1-month Term SOFR + 1.034% Floor 0.920% 10/15/2036 | 5.597% | 429,016 | 426,872 | |
Series 2021-CIP Class A | ||||
1-month USD LIBOR + 0.921% Floor 0.921% 12/15/2038 | 5.509% | 115,000 | 112,983 | |
Series 2021-VOLT Class A | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 09/15/2036 | 5.288% | 125,000 | 121,994 | |
Subordinated CMO Series 2021-VOLT Class F | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 09/15/2036 | 6.988% | 245,000 | 235,356 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 225,000 | 193,824 | |
Series 2022-CLS Class A | ||||
10/13/2027 | 5.760% | 150,000 | 146,621 | |
BX Trust(a),(b) | ||||
Series 2022-GPA Class A | ||||
1-month Term SOFR + 2.165% Floor 2.165% 10/15/2039 | 6.728% | 195,000 | 194,634 |
8 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-LBA Class EJV | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 02/15/2036 | 6.459% | 240,000 | 233,486 | |
Subordinated Series 2022-GPA Class B | ||||
1-month Term SOFR + 2.664% Floor 2.664% 10/15/2039 | 7.227% | 120,000 | 119,700 | |
Subordinated Series 2022-GPA Class D | ||||
1-month Term SOFR + 4.061% Floor 4.061% 10/15/2039 | 8.624% | 80,000 | 79,600 | |
CAMB Commercial Mortgage Trust(a),(b) | ||||
Series 2019-LIFE Class A | ||||
1-month USD LIBOR + 1.070% Floor 1.070% 12/15/2037 | 5.658% | 100,000 | 99,656 | |
Citigroup Commercial Mortgage Trust(c),(f) | ||||
Series 2016-P3 Class XA | ||||
04/15/2049 | 1.656% | 8,990,248 | 306,940 | |
COMM Mortgage Trust(a),(c),(f) | ||||
Series 2020-CBM Class XCP | ||||
02/10/2037 | 0.601% | 3,134,666 | 31,078 | |
Series 2020-SBX Class X | ||||
01/10/2038 | 0.585% | 11,501,000 | 163,718 | |
Commercial Mortgage Pass-Through Certificates(c),(f) | ||||
Series 2012-CR3 Class XA | ||||
10/15/2045 | 1.228% | 146,056 | 14 | |
Commercial Mortgage Trust(c),(f) | ||||
Series 2012-CR4 Class XA | ||||
10/15/2045 | 1.182% | 772,867 | 74 | |
Series 2014-UBS2 Class XA | ||||
03/10/2047 | 1.057% | 3,737,088 | 22,839 | |
CoreVest American Finance Trust(a),(c),(f) | ||||
Series 2019-1 Class XA | ||||
03/15/2052 | 2.280% | 115,313 | 3,081 | |
Series 2019-3 Class XA | ||||
10/15/2052 | 2.043% | 183,682 | 6,448 | |
Series 2020-1 Class XA | ||||
03/15/2050 | 2.605% | 594,144 | 35,382 | |
CoreVest American Finance Trust(a) | ||||
Series 2020-1 Class A2 | ||||
03/15/2050 | 2.296% | 265,000 | 231,426 | |
Credit Suisse Mortgage Capital Certificates(a),(b) | ||||
Series 2019-ICE4 Class A | ||||
1-month USD LIBOR + 0.980% Floor 0.980% 05/15/2036 | 5.568% | 254,367 | 253,090 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSAIL Commercial Mortgage Trust(c),(f) | ||||
Series 2015-C3 Class XA | ||||
08/15/2048 | 0.673% | 8,875,726 | 113,649 | |
CSMC Trust(a),(c),(f) | ||||
Series 2021-980M Class X | ||||
07/15/2031 | 0.991% | 6,982,000 | 205,372 | |
CSMC Trust(a),(c) | ||||
Subordinated Series 2021-B33 Class B | ||||
10/10/2043 | 3.645% | 423,000 | 322,091 | |
Del Amo Fashion Center Trust(a),(c) | ||||
Subordinated Series 2017-AMO Class C | ||||
06/05/2035 | 3.636% | 420,000 | 324,859 | |
DROP Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-FILE Class B | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 10/15/2043 | 6.288% | 400,000 | 365,915 | |
FirstKey Homes Trust(a) | ||||
Series 2020-SFR2 Class A | ||||
10/19/2037 | 1.266% | 217,402 | 194,596 | |
Fontainebleau Miami Beach Trust(a) | ||||
Subordinated Series 2019-FBLU Class B | ||||
12/10/2036 | 3.447% | 435,810 | 409,427 | |
Fontainebleau Miami Beach Trust(a),(c) | ||||
Subordinated Series 2019-FBLU Class E | ||||
12/10/2036 | 3.963% | 310,000 | 287,727 | |
Grace Trust(a) | ||||
Subordinated Series 2020-GRCE Class B | ||||
12/10/2040 | 2.600% | 500,000 | 385,256 | |
GS Mortgage Securities Trust(a),(c),(f) | ||||
Series 2020-UPTN Class XA | ||||
02/10/2037 | 0.352% | 1,750,000 | 10,415 | |
Home Partners of America Trust(a) | ||||
Series 2019-1 Class B | ||||
09/17/2039 | 3.157% | 80,467 | 73,203 | |
Hudson Yards Mortgage Trust(a),(c) | ||||
Series 2019-55HY Class F | ||||
12/10/2041 | 2.943% | 85,000 | 58,738 | |
INTOWN Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-STAY Class B | ||||
1-month Term SOFR + 3.286% Floor 3.286% 08/15/2037 | 7.848% | 150,000 | 149,912 | |
JPMBB Commercial Mortgage Securities Trust(c),(f) | ||||
Series 2014-C21 Class XA | ||||
08/15/2047 | 0.940% | 824,633 | 7,208 | |
Series 2014-C23 Class XA | ||||
09/15/2047 | 0.597% | 2,503,394 | 16,175 | |
Series 2014-C26 Class XA | ||||
01/15/2048 | 0.933% | 4,885,476 | 58,918 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2019-OSB Class A | ||||
06/05/2039 | 3.397% | 375,000 | 329,128 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(b) | ||||
Subordinated Series 2022-NLP Class H | ||||
1-month Term SOFR + 5.010% Floor 5.010% 04/15/2037 | 9.572% | 228,934 | 198,285 | |
Life Mortgage Trust(a),(b) | ||||
Series 2022-BMR2 Class A1 | ||||
1-month Term SOFR + 1.295% Floor 1.295% 05/15/2039 | 5.858% | 385,000 | 383,797 | |
Series 2022-BMR2 Class B | ||||
1-month Term SOFR + 1.794% Floor 1.794% 05/15/2039 | 6.356% | 270,000 | 268,144 | |
Series 2022-BMR2 Class D | ||||
1-month Term SOFR + 2.542% Floor 2.542% 05/15/2039 | 7.104% | 215,000 | 211,775 | |
Morgan Stanley Bank of America Merrill Lynch Trust(c),(f) | ||||
Series 2016-C31 Class XA | ||||
11/15/2049 | 1.274% | 2,144,684 | 74,450 | |
Morgan Stanley Capital I Trust(a),(c) | ||||
Series 2018-MP Class A | ||||
07/11/2040 | 4.276% | 315,000 | 276,132 | |
MSCG Trust(a),(b) | ||||
Subordinated Series 2018-SELF Class E | ||||
1-month USD LIBOR + 2.150% Floor 2.150% 10/15/2037 | 6.738% | 342,702 | 332,517 | |
MSDB Trust(a),(c) | ||||
Series 2017-712F Class A | ||||
07/11/2039 | 3.316% | 285,000 | 248,921 | |
Natixis Commercial Mortgage Securities Trust(a),(c),(f) | ||||
Series 2020-2PAC Class XA | ||||
12/15/2038 | 1.395% | 937,398 | 19,397 | |
Series 2020-2PAC Class XB | ||||
12/15/2038 | 0.957% | 2,665,000 | 38,770 | |
Natixis Commercial Mortgage Securities Trust(a),(c) | ||||
Subordinated Series 2018-ALXA Class E | ||||
01/15/2043 | 4.316% | 60,000 | 45,807 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2021-SFR9 Class E1 | ||||
11/17/2040 | 2.811% | 910,000 | 740,079 | |
Ready Capital Mortgage Financing LLC(a),(b) | ||||
Series 2020-FL4 Class AS | ||||
1-month USD LIBOR + 3.100% Floor 3.100% 02/25/2035 | 7.717% | 250,000 | 248,788 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SCOTT Trust(a),(g) | ||||
Subordinated Series 2023-SFS Class AS | ||||
03/15/2028 | 6.204% | 100,000 | 99,511 | |
SFAVE Commercial Mortgage Securities Trust(a),(c) | ||||
Series 2015-5AVE Class A2A | ||||
01/05/2043 | 3.659% | 425,000 | 308,461 | |
Series 2015-5AVE Class A2B | ||||
01/05/2043 | 4.144% | 35,000 | 24,058 | |
Subordinated Series 2015-5AVE Class C | ||||
01/05/2043 | 4.388% | 345,000 | 204,546 | |
SMRT Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-MINI Class E | ||||
1-month Term SOFR + 2.700% Floor 2.700% 01/15/2039 | 7.263% | 350,000 | 326,334 | |
STWD FL1 Ltd.(a),(b) | ||||
Series 2019 Class AS | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 07/15/2038 | 6.076% | 398,000 | 379,836 | |
Tricon American Homes Trust(a) | ||||
Subordinated Series 2017-SFR2 Class E | ||||
01/17/2036 | 4.216% | 375,000 | 367,422 | |
VMC Finance LLC(a),(b) | ||||
Series 2021-FL4 Class B | ||||
1-month USD LIBOR + 1.800% Floor 1.800% 06/16/2036 | 6.391% | 299,000 | 281,968 | |
Wells Fargo Commercial Mortgage Trust(a),(c) | ||||
Subordinated Series 2019-JDWR Class D | ||||
09/15/2031 | 3.326% | 425,000 | 366,724 | |
WF-RBS Commercial Mortgage Trust(c),(f) | ||||
Series 2014-C24 Class XA | ||||
11/15/2047 | 0.839% | 2,360,708 | 24,628 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $15,608,546) | 14,368,767 |
Common Stocks 17.7% | ||
Issuer | Shares | Value ($) |
Communication Services 2.4% | ||
Entertainment 1.0% | ||
Activision Blizzard, Inc. | 74,474 | 5,678,642 |
Media 1.4% | ||
Intelsat Jackson Holdings SA(d),(e),(h) | 362,000 | 0 |
Intelsat Jackson Holdings SA(d),(e),(h) | 248,000 | 0 |
Intelsat Jackson Series A, CVR(d),(e),(h) | 612 | — |
Intelsat Jackson Series B, CVR(d),(e),(h) | 612 | — |
10 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Shaw Communications, Inc. | 101,694 | 2,946,108 |
TEGNA, Inc.(i),(j) | 255,161 | 4,439,802 |
Total | 7,385,910 | |
Total Communication Services | 13,064,552 | |
Consumer Discretionary 0.9% | ||
Distributors 0.3% | ||
Uni-Select, Inc.(h) | 37,745 | 1,310,633 |
Diversified Consumer Services 0.2% | ||
Houghton Mifflin Harcourt Co.(d),(e),(h) | 36,963 | 776,208 |
Household Durables 0.1% | ||
iRobot Corp.(h) | 16,513 | 678,519 |
Specialty Retail 0.3% | ||
TravelCenters of America, Inc.(h) | 21,308 | 1,797,330 |
Total Consumer Discretionary | 4,562,690 | |
Consumer Staples —% | ||
Food & Staples Retailing —% | ||
Fresh Market Escrow(d),(e),(h) | 90,477 | 0 |
Total Consumer Staples | 0 | |
Energy 0.1% | ||
Oil, Gas & Consumable Fuels 0.1% | ||
Ranger Oil Corp. | 10,200 | 423,300 |
Total Energy | 423,300 | |
Financials 1.6% | ||
Banks 0.7% | ||
First Horizon Corp. | 150,591 | 3,730,139 |
Capital Markets 0.5% | ||
Focus Financial Partners, Inc., Class A(h) | 49,409 | 2,562,351 |
Diversified Financial Services 0.0% | ||
Intelsat Emergence SA(h) | 5,853 | 143,398 |
Insurance 0.2% | ||
Argo Group International Holdings Ltd.(i),(j) | 38,918 | 1,130,568 |
Thrifts & Mortgage Finance 0.2% | ||
Home Capital Group, Inc. | 25,027 | 769,060 |
Total Financials | 8,335,516 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 3.1% | ||
Biotechnology 1.6% | ||
Albireo Pharma, Inc.(h) | 37,853 | 1,686,351 |
Concert Pharmaceuticals, Inc.(h) | 172,917 | 1,449,045 |
Horizon Therapeutics PLC(h) | 43,039 | 4,712,340 |
Swedish Orphan Biovitrum AB(h) | 35,398 | 815,471 |
Total | 8,663,207 | |
Health Care Equipment & Supplies 0.6% | ||
Cardiovascular Systems, Inc.(h) | 124,927 | 2,462,311 |
Globus Medical, Inc., Class A(h) | 9,313 | 543,321 |
Total | 3,005,632 | |
Health Care Providers & Services 0.8% | ||
Mediclinic International PLC | 172,965 | 1,035,826 |
Oak Street Health, Inc.(h),(i),(j) | 30,614 | 1,083,736 |
Signify Health, Inc., Class A(h) | 74,539 | 2,145,978 |
Total | 4,265,540 | |
Pharmaceuticals 0.1% | ||
Amryt Pharma PLC, ADR(h),(i),(j) | 45,086 | 658,706 |
Total Health Care | 16,593,085 | |
Industrials 3.0% | ||
Aerospace & Defense 1.3% | ||
Aerojet Rocketdyne Holdings, Inc.(h) | 83,236 | 4,689,517 |
Boeing Co. (The)(h) | 942 | 189,860 |
Maxar Technologies, Inc.(i),(j) | 47,426 | 2,442,439 |
Total | 7,321,816 | |
Airlines 0.0% | ||
Delta Air Lines, Inc.(h) | 2,848 | 109,192 |
Commercial Services & Supplies 0.4% | ||
Caverion OYJ | 143,155 | 1,367,278 |
Ritchie Bros. Auctioneers, Inc. | 9,955 | 608,947 |
Total | 1,976,225 | |
Machinery 0.9% | ||
Altra Industrial Motion Corp. | 62,832 | 3,866,053 |
Evoqua Water Technologies Corp.(h),(i),(j) | 17,709 | 859,949 |
Total | 4,726,002 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 11 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Transportation Infrastructure 0.4% | ||
Atlas Corp. | 137,261 | 2,108,329 |
Total Industrials | 16,241,564 | |
Information Technology 5.1% | ||
Electronic Equipment, Instruments & Components 0.3% | ||
Rogers Corp.(h) | 9,855 | 1,450,656 |
Semiconductors & Semiconductor Equipment 0.3% | ||
MagnaChip Semiconductor Corp.(h) | 40,326 | 386,323 |
Silicon Motion Technology Corp., ADR(i),(j) | 23,775 | 1,598,156 |
Total | 1,984,479 | |
Software 4.5% | ||
Avalara, Inc.(d),(e),(h) | 36,601 | 3,422,194 |
Black Knight, Inc.(h),(i),(j) | 12,392 | 738,563 |
Duck Creek Technologies, Inc.(h) | 270,421 | 5,121,774 |
ForgeRock, Inc., Class A(h),(i),(j) | 39,800 | 813,512 |
Magnet Forensics, Inc.(h) | 36,371 | 1,179,492 |
Momentive Global, Inc.(h) | 143,016 | 986,810 |
Sumo Logic, Inc.(h) | 277,066 | 3,288,773 |
VMware, Inc., Class A(h),(i),(j) | 35,455 | 3,904,659 |
Zendesk, Inc.(d),(e),(h) | 59,288 | 4,594,820 |
Total | 24,050,597 | |
Total Information Technology | 27,485,732 | |
Materials 0.3% | ||
Paper & Forest Products 0.3% | ||
Resolute Forest Products, Inc.(h) | 76,222 | 1,670,786 |
Total Materials | 1,670,786 | |
Real Estate 0.3% | ||
Equity Real Estate Investment Trusts (REITS) 0.3% | ||
Indus Realty Trust, Inc. | 19,844 | 1,320,221 |
Total Real Estate | 1,320,221 | |
Utilities 0.9% | ||
Electric Utilities 0.9% | ||
Electricite de France SA | 67,287 | 839,444 |
PNM Resources, Inc. | 85,400 | 4,184,600 |
Total | 5,024,044 | |
Total Utilities | 5,024,044 | |
Total Common Stocks (Cost $98,935,443) | 94,721,490 |
Convertible Bonds 0.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.2% | ||||
Air Canada | ||||
07/01/2025 | 4.000% | 110,000 | 132,099 | |
American Airlines Group, Inc. | ||||
07/01/2025 | 6.500% | 375,000 | 452,063 | |
Southwest Airlines Co. | ||||
05/01/2025 | 1.250% | 300,000 | 341,850 | |
Total | 926,012 | |||
Cable and Satellite 0.1% | ||||
Liberty Broadband Corp.(a) | ||||
03/31/2053 | 3.125% | 665,000 | 650,370 | |
Liberty Media Corp.(a) | ||||
12/01/2050 | 0.500% | 105,000 | 103,913 | |
Total | 754,283 | |||
Consumer Cyclical Services 0.0% | ||||
Uber Technologies, Inc.(k) | ||||
12/15/2025 | 0.000% | 280,000 | 243,247 | |
Leisure 0.1% | ||||
Carnival Corp.(a) | ||||
12/01/2027 | 5.750% | 425,000 | 468,987 | |
Lodging 0.0% | ||||
Marriott Vacations Worldwide Corp.(a) | ||||
12/15/2027 | 3.250% | 185,000 | 190,272 | |
Retailers 0.1% | ||||
Burlington Stores, Inc. | ||||
04/15/2025 | 2.250% | 225,000 | 264,797 | |
Total Convertible Bonds (Cost $2,825,816) | 2,847,598 |
Convertible Preferred Stocks 0.4% | |||
Issuer | Shares | Value ($) | |
Communication Services 0.1% | |||
Diversified Telecommunication Services 0.1% | |||
2020 Cash Mandatory Exchangeable Trust(a) | 5.250% | 410 | 475,397 |
Media 0.0% | |||
ViacomCBS, Inc. | 5.750% | 2,100 | 64,310 |
Total Communication Services | 539,707 |
12 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Convertible Preferred Stocks (continued) | |||
Issuer | Shares | Value ($) | |
Health Care 0.0% | |||
Health Care Equipment & Supplies 0.0% | |||
Becton Dickinson and Co. | 6.000% | 2,200 | 105,996 |
Total Health Care | 105,996 | ||
Utilities 0.3% | |||
Electric Utilities 0.2% | |||
American Electric Power Co., Inc. | 6.125% | 8,750 | 429,712 |
NextEra Energy, Inc. | 6.219% | 3,800 | 175,750 |
NextEra Energy, Inc. | 6.926% | 15,050 | 697,116 |
Total | 1,302,578 | ||
Independent Power and Renewable Electricity Producers 0.1% | |||
AES Corp. (The) | 6.375% | 4,500 | 410,085 |
Total Utilities | 1,712,663 | ||
Total Convertible Preferred Stocks (Cost $2,466,559) | 2,358,366 |
Corporate Bonds & Notes(l) 16.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ABS Other 0.0% | ||||
SBA Tower Trust(a) | ||||
01/15/2028 | 6.599% | 240,000 | 245,128 | |
Aerospace & Defense 0.3% | ||||
Airbus SE(a) | ||||
06/09/2030 | 1.625% | EUR | 100,000 | 91,139 |
Boeing Co. (The) | ||||
02/04/2024 | 1.433% | 300,000 | 288,320 | |
05/01/2027 | 5.040% | 160,000 | 157,608 | |
05/01/2030 | 5.150% | 675,000 | 654,020 | |
TransDigm, Inc.(a),(m) | ||||
08/15/2028 | 6.750% | 225,000 | 223,829 | |
Total | 1,414,916 | |||
Airlines 0.5% | ||||
American Airlines Pass-Through Trust | ||||
Series 2016-2 Class AA | ||||
06/15/2028 | 3.200% | 179,875 | 160,694 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 215,000 | 209,617 | |
04/20/2029 | 5.750% | 385,000 | 365,810 | |
Delta Air Lines Pass-Through Trust | ||||
06/10/2028 | 2.500% | 92,892 | 80,557 | |
Delta Air Lines, Inc. | ||||
10/28/2024 | 2.900% | 105,000 | 99,945 | |
01/15/2026 | 7.375% | 80,000 | 82,294 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2028 | 4.750% | 1,034,000 | 978,501 | |
JetBlue Pass-Through Trust | ||||
Series 2020-1 Class A | ||||
11/15/2032 | 4.000% | 347,650 | 318,703 | |
Singapore Airlines Ltd.(a) | ||||
01/19/2029 | 3.375% | 200,000 | 180,989 | |
U.S. Airways Pass-Through Trust | ||||
04/22/2023 | 6.250% | 128,785 | 128,252 | |
Total | 2,605,362 | |||
Apartment REIT 0.0% | ||||
Invitation Homes Operating Partnership LP | ||||
01/15/2034 | 2.700% | 75,000 | 56,053 | |
Automotive 0.3% | ||||
Allison Transmission. Inc.(a) | ||||
01/30/2031 | 3.750% | 100,000 | 82,969 | |
BMW Finance NV(a) | ||||
11/14/2024 | 1.000% | EUR | 75,000 | 76,082 |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 265,000 | 201,163 | |
Ford Motor Credit Co. LLC | ||||
06/14/2024 | 2.748% | GBP | 100,000 | 114,281 |
08/01/2026 | 4.542% | 200,000 | 185,668 | |
05/28/2027 | 4.950% | 430,000 | 400,791 | |
02/16/2028 | 2.900% | 200,000 | 166,717 | |
06/17/2031 | 3.625% | 275,000 | 217,965 | |
Total | 1,445,636 | |||
Banking 2.9% | ||||
American Express Co.(n) | ||||
12/31/2079 | 3.550% | 85,000 | 72,307 | |
Bank of America Corp.(n) | ||||
10/01/2025 | 3.093% | 345,000 | 331,300 | |
02/04/2028 | 2.551% | 110,000 | 98,375 | |
06/14/2029 | 2.087% | 50,000 | 42,072 | |
10/24/2031 | 1.922% | 765,000 | 593,406 | |
04/22/2032 | 2.687% | 50,000 | 40,553 | |
12/31/2079 | 4.375% | 80,000 | 69,563 | |
Bank of Montreal(n) | ||||
11/26/2082 | 7.325% | CAD | 300,000 | 222,107 |
Bank of Nova Scotia (The)(n) | ||||
10/27/2082 | 8.625% | 215,000 | 226,550 | |
BNP Paribas SA(a),(n) | ||||
06/09/2026 | 2.219% | 240,000 | 222,109 | |
Capital One Financial Corp.(n) | ||||
11/02/2027 | 1.878% | 215,000 | 187,910 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 13 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citigroup, Inc.(n) | ||||
02/24/2028 | 3.070% | 80,000 | 72,668 | |
11/05/2030 | 2.976% | 100,000 | 85,226 | |
01/29/2031 | 2.666% | 80,000 | 66,636 | |
03/31/2031 | 4.412% | 355,000 | 330,657 | |
06/03/2031 | 2.572% | 95,000 | 77,894 | |
11/03/2032 | 2.520% | 220,000 | 173,544 | |
01/25/2033 | 3.057% | 665,000 | 545,583 | |
Comerica, Inc.(n) | ||||
12/31/2079 | 5.625% | 95,000 | 92,802 | |
Credit Suisse Group AG(a),(n) | ||||
02/02/2027 | 1.305% | 450,000 | 363,470 | |
05/14/2032 | 3.091% | 200,000 | 141,956 | |
08/12/2033 | 6.537% | 375,000 | 335,789 | |
11/15/2033 | 9.016% | 600,000 | 628,649 | |
Credit Suisse Group Funding Guernsey Ltd. | ||||
03/26/2025 | 3.750% | 135,000 | 123,903 | |
Goldman Sachs Group Inc (The)(n) | ||||
01/27/2032 | 1.992% | 970,000 | 745,299 | |
Goldman Sachs Group, Inc. (The)(a) | ||||
05/15/2024 | 1.375% | EUR | 205,000 | 211,588 |
01/26/2028 | 0.250% | EUR | 15,000 | 13,093 |
11/01/2028 | 2.000% | EUR | 173,000 | 163,051 |
Goldman Sachs Group, Inc. (The)(n) | ||||
07/21/2032 | 2.383% | 230,000 | 180,742 | |
10/21/2032 | 2.650% | 440,000 | 350,889 | |
HSBC Holdings PLC(n) | ||||
05/24/2027 | 1.589% | 125,000 | 109,378 | |
06/09/2028 | 4.755% | 25,000 | 23,963 | |
09/22/2028 | 2.013% | 590,000 | 499,821 | |
08/17/2029 | 2.206% | 215,000 | 178,373 | |
05/24/2032 | 2.804% | 410,000 | 327,060 | |
Intesa Sanpaolo SpA(a),(n) | ||||
Subordinated | ||||
06/01/2032 | 4.198% | 200,000 | 151,718 | |
JPMorgan Chase & Co.(n) | ||||
09/16/2024 | 0.653% | 235,000 | 228,564 | |
02/16/2025 | 0.563% | 250,000 | 237,088 | |
04/22/2027 | 1.578% | 285,000 | 252,070 | |
02/24/2028 | 2.947% | 425,000 | 385,568 | |
10/15/2030 | 2.739% | 105,000 | 88,462 | |
11/19/2031 | 1.764% | 180,000 | 138,640 | |
04/22/2032 | 2.580% | 340,000 | 275,353 | |
12/31/2079 | 3.650% | 85,000 | 74,094 | |
Lloyds Banking Group PLC(n) | ||||
08/11/2026 | 4.716% | 400,000 | 390,033 | |
08/11/2033 | 4.976% | 330,000 | 307,880 | |
Macquarie Group Ltd.(a),(n) | ||||
06/23/2032 | 2.691% | 195,000 | 155,278 | |
01/14/2033 | 2.871% | 305,000 | 243,523 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morgan Stanley(n) | ||||
04/28/2032 | 1.928% | 85,000 | 65,019 | |
07/21/2032 | 2.239% | 610,000 | 474,659 | |
Subordinated | ||||
09/16/2036 | 2.484% | 445,000 | 331,774 | |
Nationwide Building Society(a),(n) | ||||
03/08/2024 | 3.766% | 660,000 | 659,698 | |
08/01/2024 | 4.363% | 100,000 | 99,279 | |
PNC Financial Services Group, Inc. (The)(n) | ||||
01/24/2034 | 5.068% | 60,000 | 58,118 | |
Popular, Inc. | ||||
09/14/2023 | 6.125% | 215,000 | 214,001 | |
Santander UK Group Holdings PLC(n) | ||||
11/15/2024 | 4.796% | 90,000 | 89,101 | |
03/15/2025 | 1.089% | 300,000 | 284,265 | |
06/14/2027 | 1.673% | 110,000 | 96,041 | |
Santander UK PLC(a) | ||||
Subordinated | ||||
11/07/2023 | 5.000% | 115,000 | 114,078 | |
Shinhan Financial Group Co., Ltd.(a),(n) | ||||
12/31/2079 | 2.875% | 200,000 | 174,404 | |
Toronto-Dominion Bank (The)(n) | ||||
10/31/2082 | 8.125% | 230,000 | 240,412 | |
U.S. Bancorp | ||||
06/07/2024 | 0.850% | EUR | 500,000 | 509,139 |
US Bancorp(n) | ||||
12/31/2079 | 3.700% | 185,000 | 155,632 | |
Wells Fargo & Co.(n) | ||||
06/02/2028 | 2.393% | 160,000 | 141,545 | |
02/11/2031 | 2.572% | 375,000 | 312,588 | |
03/02/2033 | 3.350% | 740,000 | 625,910 | |
Total | 15,522,220 | |||
Brokerage/Asset Managers/Exchanges 0.0% | ||||
Intercontinental Exchange, Inc. | ||||
09/15/2032 | 1.850% | 175,000 | 131,281 | |
Building Materials 0.1% | ||||
Advanced Drainage Systems, Inc.(a) | ||||
06/15/2030 | 6.375% | 70,000 | 67,071 | |
Cemex SAB de CV(a) | ||||
07/11/2031 | 3.875% | 205,000 | 165,786 | |
St. Marys Cement, Inc.(a) | ||||
01/28/2027 | 5.750% | 200,000 | 200,552 | |
Total | 433,409 | |||
Cable and Satellite 0.8% | ||||
Cable One, Inc.(a) | ||||
11/15/2030 | 4.000% | 260,000 | 203,129 |
14 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CCO Holdings LLC/Capital Corp.(a) | ||||
03/01/2030 | 4.750% | 150,000 | 126,142 | |
08/15/2030 | 4.500% | 265,000 | 218,521 | |
02/01/2031 | 4.250% | 395,000 | 316,905 | |
06/01/2033 | 4.500% | 115,000 | 89,522 | |
Charter Communications Operating LLC/Capital | ||||
04/01/2031 | 2.800% | 50,000 | 39,043 | |
02/01/2032 | 2.300% | 20,000 | 14,705 | |
05/01/2047 | 5.375% | 65,000 | 51,575 | |
04/01/2048 | 5.750% | 320,000 | 266,305 | |
07/01/2049 | 5.125% | 565,000 | 433,147 | |
04/01/2053 | 5.250% | 280,000 | 218,420 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 275,000 | 229,425 | |
04/01/2028 | 7.500% | 80,000 | 53,516 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 150,000 | 134,562 | |
Globo Comunicacao e Participacoes SA(a) | ||||
01/14/2032 | 5.500% | 200,000 | 164,084 | |
Intelsat Jackson Holdings SA(a) | ||||
03/15/2030 | 6.500% | 248,000 | 215,976 | |
LCPR Senior Secured Financing DAC(a) | ||||
07/15/2029 | 5.125% | 200,000 | 168,119 | |
SES GLOBAL Americas Holdings GP(a) | ||||
03/25/2044 | 5.300% | 375,000 | 282,461 | |
Sirius XM Radio, Inc.(a) | ||||
07/01/2030 | 4.125% | 310,000 | 253,091 | |
Time Warner Cable LLC | ||||
09/01/2041 | 5.500% | 195,000 | 164,480 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 200,000 | 163,657 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 225,000 | 203,563 | |
08/15/2030 | 4.500% | 200,000 | 165,627 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 215,000 | 177,828 | |
Total | 4,353,803 | |||
Chemicals 0.2% | ||||
Braskem Idesa SAPI(a) | ||||
02/20/2032 | 6.990% | 200,000 | 139,151 | |
Braskem Netherlands Finance BV(a) | ||||
01/31/2030 | 4.500% | 200,000 | 168,618 | |
EverArc Escrow Sarl(a) | ||||
10/30/2029 | 5.000% | 190,000 | 151,208 | |
International Flavors & Fragrances, Inc.(a) | ||||
11/01/2030 | 2.300% | 360,000 | 277,856 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2029 | 7.500% | 155,000 | 105,744 | |
Total | 842,577 | |||
Construction Machinery 0.2% | ||||
OT Merger Corp.(a) | ||||
10/15/2029 | 7.875% | 240,000 | 144,014 | |
United Rentals North America, Inc. | ||||
01/15/2028 | 4.875% | 205,000 | 195,456 | |
07/15/2030 | 4.000% | 140,000 | 123,424 | |
02/15/2031 | 3.875% | 345,000 | 296,977 | |
United Rentals North America, Inc.(a) | ||||
12/15/2029 | 6.000% | 170,000 | 170,037 | |
Total | 929,908 | |||
Consumer Cyclical Services 0.1% | ||||
Match Group, Inc.(a) | ||||
08/01/2030 | 4.125% | 150,000 | 124,648 | |
Uber Technologies, Inc.(a) | ||||
11/01/2026 | 8.000% | 145,000 | 147,907 | |
WASH Multifamily Acquisition, Inc.(a) | ||||
04/15/2026 | 5.750% | 145,000 | 134,940 | |
Total | 407,495 | |||
Consumer Products 0.2% | ||||
Edgewell Personal Care Co.(a) | ||||
06/01/2028 | 5.500% | 75,000 | 70,077 | |
Energizer Holdings, Inc.(a) | ||||
12/31/2027 | 6.500% | 150,000 | 144,007 | |
Natura & Co. Luxembourg Holdings SARL(a) | ||||
04/19/2029 | 6.000% | 200,000 | 167,224 | |
Natura Cosmeticos SA(a) | ||||
05/03/2028 | 4.125% | 200,000 | 155,269 | |
Newell Brands, Inc. | ||||
04/01/2046 | 5.750% | 185,000 | 148,413 | |
Prestige Brands, Inc.(a) | ||||
04/01/2031 | 3.750% | 185,000 | 150,185 | |
Spectrum Brands, Inc.(a) | ||||
07/15/2030 | 5.500% | 85,000 | 75,136 | |
Total | 910,311 | |||
Diversified Manufacturing 0.0% | ||||
Johnson Controls International PLC/Tyco Fire & Security Finance SCA | ||||
09/15/2027 | 0.375% | EUR | 100,000 | 89,895 |
Electric 0.6% | ||||
AES Corp. (The)(a) | ||||
07/15/2030 | 3.950% | 35,000 | 31,150 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 15 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Alliant Energy Finance LLC(a) | ||||
03/01/2032 | 3.600% | 305,000 | 262,139 | |
DPL, Inc. | ||||
07/01/2025 | 4.125% | 370,000 | 348,011 | |
Duke Energy Progress LLC | ||||
12/01/2044 | 4.150% | 225,000 | 186,765 | |
E.ON SE(a) | ||||
09/29/2027 | 0.375% | EUR | 65,000 | 59,888 |
FirstEnergy Corp.(n) | ||||
07/15/2027 | 4.150% | 405,000 | 377,855 | |
FirstEnergy Corp. | ||||
11/15/2031 | 7.375% | 345,000 | 387,750 | |
FirstEnergy Transmission LLC(a) | ||||
09/15/2028 | 2.866% | 229,000 | 200,525 | |
ITC Holdings Corp. | ||||
11/15/2027 | 3.350% | 150,000 | 138,361 | |
Jersey Central Power & Light Co.(a) | ||||
04/01/2024 | 4.700% | 330,000 | 325,771 | |
Niagara Mohawk Power Corp.(a) | ||||
09/16/2052 | 5.783% | 220,000 | 223,211 | |
NSTAR Electric Co. | ||||
05/15/2027 | 3.200% | 520,000 | 484,356 | |
Southern Co. (The) | ||||
07/01/2026 | 3.250% | 184,000 | 171,740 | |
Southwestern Electric Power Co. | ||||
11/01/2051 | 3.250% | 85,000 | 56,889 | |
Total | 3,254,411 | |||
Environmental 0.0% | ||||
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 250,000 | 228,209 | |
Finance Companies 0.2% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
10/29/2023 | 1.150% | 360,000 | 349,311 | |
01/23/2028 | 3.875% | 75,000 | 67,902 | |
01/30/2032 | 3.300% | 344,000 | 275,338 | |
Air Lease Corp. | ||||
03/01/2025 | 3.250% | 160,000 | 151,917 | |
Avolon Holdings Funding Ltd.(a) | ||||
07/01/2024 | 3.950% | 45,000 | 43,511 | |
02/15/2025 | 2.875% | 195,000 | 181,285 | |
11/18/2027 | 2.528% | 199,000 | 165,967 | |
Park Aerospace Holdings Ltd.(a) | ||||
03/15/2023 | 4.500% | 45,000 | 44,979 | |
02/15/2024 | 5.500% | 63,000 | 62,472 | |
Total | 1,342,682 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Food and Beverage 0.8% | ||||
Becle SAB de CV(a) | ||||
10/14/2031 | 2.500% | 205,000 | 160,122 | |
Chobani LLC/Finance Corp., Inc.(a) | ||||
11/15/2028 | 4.625% | 150,000 | 130,847 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 420,000 | 406,026 | |
H-Food Holdings LLC/Hearthside Finance Co., Inc.(a) | ||||
06/01/2026 | 8.500% | 115,000 | 73,103 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
12/01/2031 | 3.750% | 400,000 | 320,745 | |
01/15/2032 | 3.625% | 200,000 | 160,244 | |
04/01/2033 | 5.750% | 170,000 | 158,948 | |
12/01/2052 | 6.500% | 75,000 | 71,143 | |
Kraft Heinz Foods Co. | ||||
03/01/2031 | 4.250% | 450,000 | 420,820 | |
01/26/2039 | 6.875% | 220,000 | 239,810 | |
10/01/2039 | 4.625% | 235,000 | 206,136 | |
06/01/2046 | 4.375% | 205,000 | 167,680 | |
Kraft Heinz Foods Co.(a) | ||||
08/01/2039 | 7.125% | 35,000 | 38,570 | |
MARB BondCo PLC(a) | ||||
01/29/2031 | 3.950% | 200,000 | 143,178 | |
NBM US Holdings, Inc.(a) | ||||
05/14/2026 | 7.000% | 200,000 | 193,369 | |
Pilgrim’s Pride Corp.(a) | ||||
09/30/2027 | 5.875% | 150,000 | 147,018 | |
Pilgrim’s Pride Corp. | ||||
04/15/2031 | 4.250% | 150,000 | 125,254 | |
Post Holdings, Inc.(a) | ||||
01/15/2028 | 5.625% | 315,000 | 302,261 | |
12/15/2029 | 5.500% | 225,000 | 206,398 | |
09/15/2031 | 4.500% | 65,000 | 54,906 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 170,000 | 138,658 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 275,000 | 218,438 | |
Total | 4,083,674 | |||
Gaming 0.3% | ||||
Churchill Downs, Inc.(a) | ||||
01/15/2028 | 4.750% | 92,000 | 83,950 | |
GLP Capital LP/Financing II, Inc. | ||||
04/15/2026 | 5.375% | 195,000 | 190,264 | |
06/01/2028 | 5.750% | 80,000 | 78,333 | |
01/15/2029 | 5.300% | 130,000 | 123,041 | |
MGM Resorts International | ||||
10/15/2028 | 4.750% | 20,000 | 17,924 |
16 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Penn National Gaming, Inc.(a) | ||||
07/01/2029 | 4.125% | 185,000 | 150,412 | |
Premier Entertainment Sub LLC/Finance Corp.(a) | ||||
09/01/2031 | 5.875% | 159,000 | 113,913 | |
VICI Properties LP | ||||
05/15/2032 | 5.125% | 374,000 | 346,779 | |
05/15/2052 | 5.625% | 40,000 | 35,573 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
09/01/2026 | 4.500% | 30,000 | 28,003 | |
02/01/2027 | 5.750% | 35,000 | 34,146 | |
02/15/2027 | 3.750% | 5,000 | 4,538 | |
01/15/2028 | 4.500% | 49,000 | 45,158 | |
02/15/2029 | 3.875% | 105,000 | 91,499 | |
12/01/2029 | 4.625% | 185,000 | 166,552 | |
08/15/2030 | 4.125% | 324,000 | 281,606 | |
Total | 1,791,691 | |||
Health Care 1.2% | ||||
180 Medical, Inc.(a) | ||||
10/15/2029 | 3.875% | 160,000 | 140,042 | |
Baylor Scott & White Holdings | ||||
11/15/2026 | 2.650% | 500,000 | 454,996 | |
Becton Dickinson Euro Finance SARL | ||||
06/04/2026 | 1.208% | EUR | 255,000 | 246,528 |
Cano Health LLC(a) | ||||
10/01/2028 | 6.250% | 90,000 | 55,688 | |
Catalent Pharma Solutions, Inc.(a) | ||||
04/01/2030 | 3.500% | 260,000 | 225,620 | |
CommonSpirit Health | ||||
10/01/2030 | 2.782% | 70,000 | 58,615 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 305,000 | 273,415 | |
Dentsply Sirona, Inc. | ||||
06/01/2030 | 3.250% | 165,000 | 140,782 | |
DH Europe Finance II SARL | ||||
03/18/2028 | 0.450% | EUR | 515,000 | 460,927 |
Embecta Corp.(a) | ||||
02/15/2030 | 5.000% | 270,000 | 228,951 | |
Encompass Health Corp. | ||||
04/01/2031 | 4.625% | 165,000 | 140,922 | |
Hackensack Meridian Health, Inc. | ||||
07/01/2057 | 4.500% | 300,000 | 267,139 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 205,000 | 203,081 | |
09/15/2025 | 7.580% | 125,000 | 128,278 | |
12/01/2027 | 7.050% | 115,000 | 120,786 | |
09/01/2028 | 5.625% | 100,000 | 98,832 | |
06/15/2029 | 4.125% | 558,000 | 507,973 | |
09/01/2030 | 3.500% | 1,099,000 | 944,880 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
06/15/2047 | 5.500% | 84,000 | 75,577 | |
06/15/2049 | 5.250% | 230,000 | 198,577 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 335,000 | 263,515 | |
ModivCare Escrow Issuer, Inc.(a) | ||||
10/01/2029 | 5.000% | 75,000 | 64,046 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 390,000 | 327,438 | |
Option Care Health, Inc.(a) | ||||
10/31/2029 | 4.375% | 160,000 | 137,097 | |
Prime Healthcare Services, Inc.(a) | ||||
11/01/2025 | 7.250% | 150,000 | 134,379 | |
Providence Service Corp. (The)(a) | ||||
11/15/2025 | 5.875% | 158,000 | 149,064 | |
Rede D’or Finance SARL(a) | ||||
01/22/2030 | 4.500% | 200,000 | 169,353 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 22,000 | 21,660 | |
Thermo Fisher Scientific, Inc. | ||||
09/12/2024 | 0.750% | EUR | 100,000 | 101,020 |
01/23/2026 | 1.400% | EUR | 125,000 | 123,532 |
03/01/2028 | 0.500% | EUR | 105,000 | 94,575 |
Total | 6,557,288 | |||
Healthcare Insurance 0.4% | ||||
Centene Corp. | ||||
12/15/2027 | 4.250% | 115,000 | 106,477 | |
07/15/2028 | 2.450% | 447,000 | 375,609 | |
12/15/2029 | 4.625% | 55,000 | 50,444 | |
02/15/2030 | 3.375% | 495,000 | 419,167 | |
10/15/2030 | 3.000% | 585,000 | 478,099 | |
03/01/2031 | 2.500% | 195,000 | 152,182 | |
Molina Healthcare, Inc.(a) | ||||
06/15/2028 | 4.375% | 200,000 | 181,722 | |
11/15/2030 | 3.875% | 225,000 | 190,160 | |
UnitedHealth Group, Inc. | ||||
05/15/2024 | 0.550% | 100,000 | 94,522 | |
Total | 2,048,382 | |||
Healthcare REIT 0.1% | ||||
Healthcare Realty Holdings LP | ||||
01/15/2028 | 3.625% | 48,000 | 43,100 | |
03/15/2030 | 2.400% | 40,000 | 31,348 | |
03/15/2031 | 2.050% | 11,000 | 8,124 | |
Healthcare Trust of America Holdings LP | ||||
02/15/2030 | 3.100% | 35,000 | 29,791 | |
03/15/2031 | 2.000% | 165,000 | 126,008 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 17 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Physicians Realty LP | ||||
11/01/2031 | 2.625% | 95,000 | 75,960 | |
Total | 314,331 | |||
Home Construction 0.0% | ||||
China Aoyuan Group, Ltd.(a),(o) | ||||
02/08/2024 | 0.000% | 200,000 | 19,542 | |
Independent Energy 0.8% | ||||
Aker BP ASA(a) | ||||
01/15/2030 | 3.750% | 210,000 | 185,197 | |
Continental Resources, Inc.(a) | ||||
01/15/2031 | 5.750% | 586,000 | 554,865 | |
04/01/2032 | 2.875% | 318,000 | 240,621 | |
Encana Corp. | ||||
08/15/2034 | 6.500% | 360,000 | 360,506 | |
02/01/2038 | 6.500% | 130,000 | 127,814 | |
EQT Corp.(a) | ||||
05/15/2026 | 3.125% | 40,000 | 36,660 | |
05/15/2031 | 3.625% | 815,000 | 688,151 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 69,000 | 63,226 | |
Medco Oak Tree Pte Ltd.(a) | ||||
05/14/2026 | 7.375% | 440,000 | 429,418 | |
Occidental Petroleum Corp. | ||||
04/15/2026 | 3.400% | 55,000 | 51,247 | |
08/15/2026 | 3.200% | 100,000 | 90,059 | |
09/01/2030 | 6.625% | 325,000 | 333,910 | |
01/01/2031 | 6.125% | 330,000 | 332,312 | |
05/01/2031 | 7.500% | 75,000 | 80,239 | |
Occidental Petroleum Corp.(k) | ||||
10/10/2036 | 0.000% | 285,000 | 143,420 | |
Petrorio Luxembourg Sarl(a) | ||||
06/09/2026 | 6.125% | 200,000 | 188,944 | |
Southwestern Energy Co.(n) | ||||
01/23/2025 | 5.700% | 4,000 | 3,967 | |
Var Energi ASA(a) | ||||
01/15/2028 | 7.500% | 200,000 | 206,384 | |
Total | 4,116,940 | |||
Integrated Energy 0.2% | ||||
Cenovus Energy, Inc. | ||||
02/07/2028 | 3.500% | CAD | 115,000 | 79,438 |
06/15/2037 | 5.250% | 175,000 | 159,904 | |
11/15/2039 | 6.750% | 603,000 | 629,705 | |
06/15/2047 | 5.400% | 175,000 | 157,567 | |
Total | 1,026,614 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Leisure 0.2% | ||||
Carnival Corp.(a) | ||||
03/01/2027 | 5.750% | 335,000 | 275,222 | |
Cinemark USA, Inc.(a) | ||||
07/15/2028 | 5.250% | 160,000 | 133,912 | |
Live Nation Entertainment, Inc.(a) | ||||
10/15/2027 | 4.750% | 70,000 | 62,981 | |
Royal Caribbean Cruises Ltd.(a) | ||||
08/15/2027 | 11.625% | 63,000 | 67,126 | |
04/01/2028 | 5.500% | 385,000 | 335,629 | |
Total | 874,870 | |||
Life Insurance 0.1% | ||||
Athene Global Funding(a) | ||||
03/08/2027 | 3.205% | 95,000 | 84,684 | |
08/19/2028 | 1.985% | 395,000 | 322,387 | |
Total | 407,071 | |||
Lodging 0.3% | ||||
Hilton Domestic Operating Co., Inc. | ||||
01/15/2030 | 4.875% | 316,000 | 289,754 | |
Hilton Domestic Operating Co., Inc.(a) | ||||
02/15/2032 | 3.625% | 280,000 | 229,785 | |
Hyatt Hotels Corp.(n) | ||||
04/23/2030 | 6.000% | 256,000 | 257,117 | |
Travel + Leisure Co.(a) | ||||
07/31/2026 | 6.625% | 150,000 | 147,378 | |
12/01/2029 | 4.500% | 345,000 | 290,592 | |
Wyndham Hotels & Resorts, Inc.(a) | ||||
08/15/2028 | 4.375% | 255,000 | 231,563 | |
Total | 1,446,189 | |||
Media and Entertainment 0.4% | ||||
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 293,000 | 32,656 | |
Gray Escrow II, Inc.(a) | ||||
11/15/2031 | 5.375% | 150,000 | 111,375 | |
Magallanes, Inc.(a) | ||||
03/15/2042 | 5.050% | 305,000 | 246,890 | |
03/15/2052 | 5.141% | 513,000 | 403,129 | |
Meta Platforms, Inc. | ||||
08/15/2052 | 4.450% | 80,000 | 66,273 | |
Netflix, Inc. | ||||
02/15/2025 | 5.875% | 285,000 | 287,046 | |
News Corp.(a) | ||||
05/15/2029 | 3.875% | 370,000 | 317,108 | |
Scripps Escrow II, Inc.(a) | ||||
01/15/2031 | 5.375% | 140,000 | 98,987 |
18 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 30,000 | 24,112 | |
WMG Acquisition Corp(a) | ||||
02/15/2031 | 3.000% | 550,000 | 434,833 | |
Total | 2,022,409 | |||
Metals and Mining 0.3% | ||||
Cleveland-Cliffs, Inc.(a) | ||||
03/01/2029 | 4.625% | 400,000 | 365,348 | |
03/01/2031 | 4.875% | 345,000 | 315,115 | |
CSN Islands XI Corp.(a) | ||||
01/28/2028 | 6.750% | 215,000 | 204,911 | |
FMG Resources August 2006 Pty Ltd.(a) | ||||
04/01/2031 | 4.375% | 65,000 | 54,952 | |
Freeport-McMoRan, Inc. | ||||
08/01/2030 | 4.625% | 260,000 | 241,839 | |
03/15/2043 | 5.450% | 670,000 | 606,474 | |
Total | 1,788,639 | |||
Midstream 0.6% | ||||
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 180,000 | 163,178 | |
03/01/2031 | 4.000% | 445,000 | 384,368 | |
Enbridge, Inc. | ||||
11/15/2029 | 3.125% | 250,000 | 217,851 | |
Energy Transfer LP(n) | ||||
12/31/2079 | 6.625% | 336,000 | 275,226 | |
Energy Transfer Operating LP | ||||
06/01/2027 | 5.500% | 70,000 | 69,562 | |
04/15/2049 | 6.250% | 80,000 | 76,044 | |
Energy Transfer Partners LP | ||||
03/15/2045 | 5.150% | 245,000 | 205,188 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2034 | 2.160% | 184,932 | 156,331 | |
Global Partners LP/Finance Corp. | ||||
01/15/2029 | 6.875% | 150,000 | 139,996 | |
Kinder Morgan, Inc. | ||||
12/01/2034 | 5.300% | 145,000 | 135,986 | |
NGL Energy Operating LLC/Finance Corp.(a) | ||||
02/01/2026 | 7.500% | 125,000 | 119,344 | |
Rockies Express Pipeline LLC(a) | ||||
07/15/2029 | 4.950% | 100,000 | 86,974 | |
05/15/2030 | 4.800% | 100,000 | 86,593 | |
04/15/2040 | 6.875% | 100,000 | 82,346 | |
Sabine Pass Liquefaction LLC | ||||
05/15/2030 | 4.500% | 30,000 | 28,095 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sunoco LP/Finance Corp. | ||||
05/15/2029 | 4.500% | 225,000 | 197,434 | |
04/30/2030 | 4.500% | 47,000 | 40,798 | |
TransCanada PipeLines Ltd. | ||||
04/15/2030 | 4.100% | 425,000 | 387,958 | |
Transcontinental Gas Pipe Line Co. LLC | ||||
05/15/2030 | 3.250% | 80,000 | 69,582 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 139,000 | 118,702 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 225,000 | 194,360 | |
Western Midstream Operating LP(n) | ||||
02/01/2030 | 4.300% | 225,000 | 199,435 | |
Total | 3,435,351 | |||
Natural Gas 0.0% | ||||
Engie SA(a) | ||||
06/21/2027 | 0.375% | EUR | 100,000 | 91,646 |
Office REIT 0.0% | ||||
Hudson Pacific Properties LP | ||||
11/01/2027 | 3.950% | 160,000 | 138,333 | |
02/15/2028 | 5.950% | 35,000 | 33,311 | |
Total | 171,644 | |||
Oil Field Services 0.1% | ||||
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 153,000 | 144,930 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 142,188 | 138,685 | |
Total | 283,615 | |||
Other Financial Institutions 0.1% | ||||
Simpar Finance Sarl(a) | ||||
02/12/2028 | 10.750% | BRL | 640,000 | 87,792 |
Sunac China Holdings, Ltd.(a),(o) | ||||
01/10/2025 | 0.000% | 200,000 | 53,039 | |
Swiss Insured Brazil Power Finance SARL(a) | ||||
07/16/2032 | 9.850% | BRL | 1,758,850 | 293,049 |
Total | 433,880 | |||
Other Industry 0.1% | ||||
Adtalem Global Education, Inc.(a) | ||||
03/01/2028 | 5.500% | 84,000 | 77,575 | |
AECOM | ||||
03/15/2027 | 5.125% | 405,000 | 388,169 | |
Duke University | ||||
10/01/2046 | 3.299% | 228,000 | 177,461 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Massachusetts Institute of Technology | ||||
07/01/2050 | 2.989% | 120,000 | 89,266 | |
Pike Corp.(a) | ||||
09/01/2028 | 5.500% | 88,000 | 76,288 | |
Total | 808,759 | |||
Other REIT 0.1% | ||||
American Assets Trust LP | ||||
02/01/2031 | 3.375% | 155,000 | 122,541 | |
CubeSmart LP | ||||
02/15/2032 | 2.500% | 195,000 | 152,265 | |
Extra Space Storage LP | ||||
06/01/2031 | 2.550% | 35,000 | 27,874 | |
03/15/2032 | 2.350% | 150,000 | 114,808 | |
Host Hotels & Resorts LP | ||||
12/15/2029 | 3.375% | 165,000 | 140,380 | |
09/15/2030 | 3.500% | 115,000 | 95,766 | |
Lexington Realty Trust | ||||
09/15/2030 | 2.700% | 135,000 | 108,038 | |
Life Storage LP | ||||
10/15/2031 | 2.400% | 20,000 | 15,856 | |
Total | 777,528 | |||
Packaging 0.4% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
09/01/2028 | 3.250% | 220,000 | 184,794 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2027 | 5.250% | 185,000 | 152,210 | |
Ball Corp. | ||||
03/15/2026 | 4.875% | 250,000 | 242,421 | |
03/15/2028 | 6.875% | 285,000 | 288,161 | |
08/15/2030 | 2.875% | 390,000 | 311,946 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 51,000 | 48,821 | |
07/15/2027 | 5.625% | 125,000 | 120,313 | |
Clydesdale Acquisition Holdings, Inc.(a) | ||||
04/15/2029 | 6.625% | 75,000 | 71,776 | |
Sealed Air Corp.(a) | ||||
09/15/2025 | 5.500% | 357,000 | 352,258 | |
04/15/2029 | 5.000% | 100,000 | 92,005 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 140,000 | 132,349 | |
Total | 1,997,054 | |||
Paper 0.0% | ||||
Graphic Packaging International LLC(a) | ||||
07/15/2027 | 4.750% | 75,000 | 70,426 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pharmaceuticals 0.3% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 140,000 | 139,800 | |
Allergan Funding SCS | ||||
06/01/2024 | 1.250% | EUR | 100,000 | 101,429 |
11/15/2028 | 2.625% | EUR | 100,000 | 96,595 |
Amgen, Inc.(g) | ||||
03/02/2033 | 5.250% | 145,000 | 143,924 | |
03/02/2043 | 5.600% | 145,000 | 143,245 | |
03/02/2053 | 5.650% | 145,000 | 143,807 | |
Bayer US Finance II LLC(a) | ||||
12/15/2025 | 4.250% | 100,000 | 96,686 | |
12/15/2028 | 4.375% | 289,000 | 272,022 | |
06/25/2038 | 4.625% | 370,000 | 322,697 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 245,000 | 209,299 | |
Organon Finance 1 LLC(a) | ||||
04/30/2031 | 5.125% | 185,000 | 157,677 | |
Total | 1,827,181 | |||
Property & Casualty 0.4% | ||||
Acrisure LLC/Finance, Inc.(a) | ||||
02/15/2029 | 4.250% | 150,000 | 122,309 | |
08/01/2029 | 6.000% | 80,000 | 65,511 | |
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 155,000 | 140,911 | |
Aon Corp. | ||||
05/15/2030 | 2.800% | 230,000 | 196,529 | |
AssuredPartners, Inc.(a) | ||||
01/15/2029 | 5.625% | 85,000 | 72,208 | |
Berkshire Hathaway Finance Corp. | ||||
06/19/2039 | 2.375% | GBP | 250,000 | 213,181 |
Berkshire Hathaway, Inc.(k) | ||||
03/12/2025 | 0.000% | EUR | 315,000 | 308,831 |
Brown & Brown, Inc. | ||||
03/17/2052 | 4.950% | 115,000 | 96,774 | |
Chubb INA Holdings, Inc. | ||||
12/15/2024 | 0.300% | EUR | 180,000 | 177,693 |
Farmers Exchange Capital III(a),(n) | ||||
Subordinated | ||||
10/15/2054 | 5.454% | 300,000 | 273,913 | |
Nationwide Mutual Insurance Co.(a),(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 2.290% 12/15/2024 | 7.059% | 450,000 | 450,262 | |
Total | 2,118,122 |
20 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Railroads 0.0% | ||||
Union Pacific Corp. | ||||
02/14/2042 | 3.375% | 75,000 | 58,985 | |
Refining 0.1% | ||||
FS Luxembourg Sarl(a) | ||||
12/15/2025 | 10.000% | 200,000 | 200,207 | |
MC Brazil Downstream Trading SARL(a) | ||||
06/30/2031 | 7.250% | 212,576 | 173,605 | |
Total | 373,812 | |||
Restaurants 0.5% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
01/15/2028 | 3.875% | 325,000 | 289,949 | |
02/15/2029 | 3.500% | 445,000 | 380,089 | |
10/15/2030 | 4.000% | 700,000 | 578,116 | |
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC(a) | ||||
04/15/2029 | 5.125% | 160,000 | 142,949 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 250,000 | 207,152 | |
Yum! Brands, Inc.(a) | ||||
01/15/2030 | 4.750% | 360,000 | 328,966 | |
Yum! Brands, Inc. | ||||
03/15/2031 | 3.625% | 665,000 | 557,383 | |
01/31/2032 | 4.625% | 300,000 | 265,049 | |
Total | 2,749,653 | |||
Retailers 0.1% | ||||
Magic MergeCo, Inc.(a) | ||||
05/01/2029 | 7.875% | 315,000 | 238,591 | |
MercadoLibre, Inc. | ||||
01/14/2026 | 2.375% | 200,000 | 178,129 | |
Rent-A-Center, Inc.(a) | ||||
02/15/2029 | 6.375% | 200,000 | 170,688 | |
Total | 587,408 | |||
Stranded Utility 0.1% | ||||
Brazos Securitization LLC(a) | ||||
09/01/2031 | 5.014% | 200,000 | 196,434 | |
United Electric Securitization LLC(a) | ||||
06/01/2031 | 5.109% | 100,000 | 99,083 | |
Total | 295,517 | |||
Supranational 0.3% | ||||
Asian Development Bank | ||||
10/14/2026 | 3.000% | AUD | 135,000 | 86,916 |
European Investment Bank(a),(b) | ||||
SONIA + 0.350% 06/29/2023 | 4.280% | GBP | 115,000 | 138,443 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Inter-American Development Bank(a) | ||||
10/30/2025 | 2.750% | AUD | 120,000 | 77,632 |
Inter-American Development Bank | ||||
01/29/2026 | 2.700% | AUD | 138,000 | 88,750 |
International Bank for Reconstruction & Development | ||||
01/16/2025 | 1.900% | CAD | 430,000 | 301,136 |
11/30/2026 | 2.875% | NZD | 170,000 | 96,577 |
01/19/2027 | 1.800% | CAD | 150,000 | 101,626 |
International Finance Corp. | ||||
09/10/2025 | 0.375% | NZD | 270,000 | 147,112 |
02/24/2026 | 3.600% | AUD | 330,000 | 217,845 |
Nordic Investment Bank | ||||
04/10/2024 | 1.875% | NOK | 980,000 | 92,376 |
Total | 1,348,413 | |||
Technology 0.6% | ||||
Apple, Inc. | ||||
05/24/2025 | 0.875% | EUR | 175,000 | 174,693 |
Broadcom, Inc.(a) | ||||
02/15/2033 | 2.600% | 98,000 | 74,023 | |
CDW LLC/Finance Corp. | ||||
04/01/2028 | 4.250% | 35,000 | 31,903 | |
CommScope, Inc.(a) | ||||
09/01/2029 | 4.750% | 160,000 | 130,439 | |
Dell International LLC/EMC Corp. | ||||
07/15/2046 | 8.350% | 115,000 | 131,037 | |
Everi Holdings, Inc.(a) | ||||
07/15/2029 | 5.000% | 175,000 | 154,097 | |
Fidelity National Information Services, Inc. | ||||
05/21/2027 | 1.500% | EUR | 370,000 | 351,569 |
12/03/2028 | 1.000% | EUR | 100,000 | 89,048 |
Fiserv, Inc. | ||||
07/01/2027 | 1.125% | EUR | 100,000 | 93,869 |
Gartner, Inc.(a) | ||||
10/01/2030 | 3.750% | 140,000 | 119,041 | |
MSCI, Inc.(a) | ||||
09/01/2030 | 3.625% | 440,000 | 374,012 | |
02/15/2031 | 3.875% | 275,000 | 236,758 | |
11/01/2031 | 3.625% | 345,000 | 288,282 | |
08/15/2033 | 3.250% | 90,000 | 71,021 | |
NCR Corp.(a) | ||||
10/01/2030 | 5.250% | 15,000 | 12,552 | |
Open Text Corp.(a) | ||||
12/01/2027 | 6.900% | 70,000 | 71,093 | |
Oracle Corp. | ||||
04/01/2027 | 2.800% | 100,000 | 90,736 | |
03/25/2031 | 2.875% | 60,000 | 49,706 | |
11/09/2032 | 6.250% | 200,000 | 208,200 | |
11/15/2037 | 3.800% | 55,000 | 43,474 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
11/15/2047 | 4.000% | 280,000 | 205,060 | |
03/25/2051 | 3.950% | 200,000 | 143,516 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 105,000 | 90,994 | |
Tencent Holdings Ltd.(a) | ||||
04/22/2041 | 3.680% | 200,000 | 150,562 | |
Total | 3,385,685 | |||
Tobacco 0.1% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 100,000 | 71,728 | |
03/16/2052 | 5.650% | 140,000 | 117,629 | |
Reynolds American, Inc. | ||||
08/15/2045 | 5.850% | 510,000 | 438,247 | |
Total | 627,604 | |||
Transportation Services 0.0% | ||||
Hertz Corp (The)(a) | ||||
12/01/2029 | 5.000% | 255,000 | 211,674 | |
Wireless 0.7% | ||||
American Tower Corp. | ||||
05/22/2026 | 1.950% | EUR | 100,000 | 97,983 |
01/15/2028 | 0.500% | EUR | 100,000 | 87,482 |
Cellnex Telecom SA | ||||
06/26/2029 | 1.875% | EUR | 100,000 | 86,635 |
Crown Castle International Corp. | ||||
01/15/2031 | 2.250% | 65,000 | 52,010 | |
Millicom International Cellular SA(a) | ||||
04/27/2031 | 4.500% | 200,000 | 161,400 | |
SBA Communications Corp. | ||||
02/15/2027 | 3.875% | 715,000 | 646,561 | |
02/01/2029 | 3.125% | 305,000 | 251,258 | |
Sprint Spectrum Co. I/II/III LLC(a) | ||||
03/20/2025 | 4.738% | 455,625 | 450,064 | |
03/20/2028 | 5.152% | 125,000 | 123,475 | |
T-Mobile US, Inc. | ||||
04/15/2026 | 2.625% | 304,000 | 278,401 | |
04/15/2027 | 3.750% | 20,000 | 18,806 | |
02/01/2028 | 4.750% | 153,000 | 148,226 | |
02/15/2029 | 2.625% | 90,000 | 76,686 | |
04/15/2029 | 3.375% | 105,000 | 92,895 | |
04/15/2030 | 3.875% | 283,000 | 256,685 | |
02/15/2031 | 2.875% | 125,000 | 103,804 | |
04/15/2031 | 3.500% | 175,000 | 151,593 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 3.250% | EUR | 160,000 | 132,921 |
01/31/2031 | 4.250% | 430,000 | 346,047 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vodafone Group PLC | ||||
06/19/2049 | 4.875% | 20,000 | 17,322 | |
Total | 3,580,254 | |||
Wirelines 0.2% | ||||
AT&T, Inc. | ||||
03/25/2024 | 0.900% | 77,000 | 73,456 | |
12/01/2033 | 2.550% | 140,000 | 107,182 | |
03/01/2037 | 5.250% | 45,000 | 43,342 | |
05/15/2046 | 4.750% | 40,000 | 34,365 | |
12/01/2057 | 3.800% | 257,000 | 180,402 | |
C&W Senior Financing DAC(a) | ||||
09/15/2027 | 6.875% | 200,000 | 180,840 | |
Frontier Communications Corp.(a) | ||||
05/01/2028 | 5.000% | 200,000 | 175,517 | |
Level 3 Financing, Inc.(a) | ||||
09/15/2027 | 4.625% | 275,000 | 205,461 | |
07/01/2028 | 4.250% | 165,000 | 112,539 | |
Total Play Telecomunicaciones SA de CV(a) | ||||
11/12/2025 | 7.500% | 210,000 | 185,511 | |
Total | 1,298,615 | |||
Total Corporate Bonds & Notes (Cost $97,441,133) | 87,243,762 | |||
Foreign Government Obligations(l),(p) 5.7% | ||||
Australia 0.4% | ||||
Australia Government Bond(a) | ||||
09/21/2026 | 0.500% | AUD | 320,000 | 192,837 |
12/21/2030 | 1.000% | AUD | 295,000 | 160,878 |
11/21/2031 | 1.000% | AUD | 1,044,000 | 554,709 |
New South Wales Treasury Corp.(a) | ||||
03/20/2025 | 1.250% | AUD | 330,000 | 210,177 |
05/20/2027 | 3.000% | AUD | 325,000 | 209,729 |
Queensland Treasury Corp.(a) | ||||
08/20/2027 | 2.750% | AUD | 290,000 | 184,897 |
Western Australian Treasury Corp. | ||||
10/22/2030 | 1.500% | AUD | 590,000 | 325,466 |
Total | 1,838,693 | |||
Austria 0.1% | ||||
Republic of Austria Government Bond(a) | ||||
02/20/2029 | 0.500% | EUR | 240,000 | 217,900 |
Brazil 0.1% | ||||
Brazil Notas do Tesouro Nacional Series F | ||||
01/01/2025 | 10.000% | BRL | 1,400,000 | 260,629 |
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 400,000 | 345,201 | |
Total | 605,830 |
22 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Foreign Government Obligations(l),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.5% | ||||
Canada Housing Trust No. 1(a) | ||||
12/15/2025 | 1.950% | CAD | 465,000 | 322,162 |
06/15/2026 | 1.250% | CAD | 415,000 | 279,388 |
Canadian Government Bond | ||||
09/01/2024 | 1.500% | CAD | 205,000 | 144,157 |
CPPIB Capital, Inc.(a) | ||||
12/01/2031 | 2.250% | CAD | 155,000 | 98,565 |
Province of Ontario | ||||
06/02/2028 | 2.900% | CAD | 375,000 | 262,508 |
12/02/2030 | 1.350% | CAD | 1,275,000 | 771,965 |
06/02/2045 | 3.450% | CAD | 215,000 | 139,334 |
Province of Quebec | ||||
09/01/2023 | 3.000% | CAD | 325,000 | 236,342 |
Province of Quebec(a) | ||||
12/15/2023 | 1.500% | GBP | 105,000 | 123,250 |
04/07/2025 | 0.200% | EUR | 205,000 | 201,698 |
Total | 2,579,369 | |||
Chile 0.0% | ||||
Chile Government International Bond | ||||
01/27/2032 | 2.550% | 224,000 | 183,704 | |
Colombia 0.2% | ||||
Colombia Government International Bond | ||||
03/15/2029 | 4.500% | 200,000 | 171,866 | |
04/15/2031 | 3.125% | 580,000 | 422,114 | |
04/22/2032 | 3.250% | 215,000 | 152,825 | |
Ecopetrol SA | ||||
06/26/2026 | 5.375% | 50,000 | 47,436 | |
04/29/2030 | 6.875% | 110,000 | 98,091 | |
11/02/2031 | 4.625% | 105,000 | 78,392 | |
05/28/2045 | 5.875% | 55,000 | 36,334 | |
Total | 1,007,058 | |||
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
01/30/2030 | 4.500% | 350,000 | 301,369 | |
Egypt 0.0% | ||||
Egypt Government International Bond(a) | ||||
10/06/2025 | 5.250% | 200,000 | 173,010 | |
Germany 0.2% | ||||
Bundesrepublik Deutschland Bundesanleihe(a),(k) | ||||
02/15/2032 | 0.000% | EUR | 1,130,000 | 949,228 |
Foreign Government Obligations(l),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Greece 0.2% | ||||
Hellenic Republic Government Bond(a) | ||||
04/22/2027 | 2.000% | EUR | 236,000 | 232,748 |
06/18/2030 | 1.500% | EUR | 447,000 | 391,955 |
01/30/2042 | 4.200% | EUR | 215,000 | 218,559 |
Total | 843,262 | |||
Hungary 0.0% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 200,000 | 153,736 | |
India 0.1% | ||||
Export-Import Bank of India(a) | ||||
02/01/2028 | 3.875% | 200,000 | 184,956 | |
India Government Bond | ||||
06/15/2025 | 5.220% | INR | 19,820,000 | 229,127 |
04/08/2026 | 7.270% | INR | 3,500,000 | 42,224 |
07/12/2031 | 6.100% | INR | 7,990,000 | 88,441 |
Indian Railway Finance Corp., Ltd.(a) | ||||
02/13/2030 | 3.249% | 200,000 | 171,807 | |
Total | 716,555 | |||
Indonesia 0.8% | ||||
Freeport Indonesia PT(a) | ||||
04/14/2027 | 4.763% | 200,000 | 192,540 | |
Indonesia Government International Bond(a) | ||||
06/14/2023 | 2.625% | EUR | 225,000 | 237,268 |
07/18/2024 | 2.150% | EUR | 200,000 | 206,780 |
Indonesia Government International Bond | ||||
10/15/2030 | 3.850% | 200,000 | 186,886 | |
01/11/2033 | 4.850% | 200,000 | 196,338 | |
03/12/2033 | 1.100% | EUR | 100,000 | 77,537 |
03/12/2051 | 3.050% | 200,000 | 144,679 | |
Indonesia Treasury Bond | ||||
06/15/2025 | 6.500% | IDR | 7,315,000,000 | 479,912 |
09/15/2026 | 8.375% | IDR | 2,322,000,000 | 161,686 |
04/15/2027 | 5.125% | IDR | 1,504,000,000 | 94,104 |
05/15/2028 | 6.125% | IDR | 773,000,000 | 49,743 |
03/15/2029 | 9.000% | IDR | 2,298,000,000 | 168,476 |
05/15/2031 | 8.750% | IDR | 4,550,000,000 | 334,756 |
04/15/2032 | 6.375% | IDR | 11,357,000,000 | 722,713 |
05/15/2033 | 6.625% | IDR | 2,025,000,000 | 130,905 |
06/15/2035 | 7.500% | IDR | 1,095,000,000 | 74,516 |
05/15/2038 | 7.500% | IDR | 1,751,000,000 | 119,595 |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
03/29/2027 | 4.150% | 270,000 | 262,898 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
05/15/2025 | 4.750% | 220,000 | 215,231 | |
PT Pertamina Persero(a) | ||||
08/25/2030 | 3.100% | 200,000 | 171,824 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
Foreign Government Obligations(l),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PT Perusahaan Listrik Negara(a) | ||||
05/15/2027 | 4.125% | 280,000 | 266,112 | |
Total | 4,494,499 | |||
Ireland 0.0% | ||||
Ireland Government Bond(a) | ||||
05/15/2029 | 1.100% | EUR | 205,000 | 193,402 |
Israel 0.0% | ||||
Israel Electric Corp., Ltd.(a) | ||||
02/22/2032 | 3.750% | 200,000 | 172,409 | |
Italy 0.0% | ||||
Republic of Italy Government International Bond | ||||
02/17/2026 | 1.250% | 200,000 | 175,487 | |
Japan 0.2% | ||||
Japan Government Five-Year Bond | ||||
06/20/2025 | 0.100% | JPY | 102,050,000 | 751,803 |
03/20/2027 | 0.005% | JPY | 30,000,000 | 219,332 |
Japan Government Ten-Year Bond | ||||
09/20/2025 | 0.400% | JPY | 27,200,000 | 201,956 |
Total | 1,173,091 | |||
Kazakhstan 0.0% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 215,000 | 194,015 | |
Malaysia 0.3% | ||||
Malaysia Government Bond | ||||
09/30/2024 | 4.059% | MYR | 975,000 | 219,853 |
03/14/2025 | 3.882% | MYR | 970,000 | 218,259 |
11/30/2026 | 3.900% | MYR | 405,000 | 91,442 |
11/16/2027 | 3.899% | MYR | 1,300,000 | 292,654 |
06/15/2028 | 3.733% | MYR | 375,000 | 83,616 |
04/15/2033 | 3.844% | MYR | 1,948,000 | 428,027 |
07/05/2034 | 3.828% | MYR | 400,000 | 87,124 |
Total | 1,420,975 | |||
Mauritius 0.1% | ||||
Greenko Solar Mauritius Ltd.(a) | ||||
01/29/2025 | 5.550% | 200,000 | 190,572 | |
Greenko Wind Projects Mauritius Ltd.(a) | ||||
04/06/2025 | 5.500% | 205,000 | 193,064 | |
Total | 383,636 | |||
Mexico 0.5% | ||||
Mexican Bonos | ||||
03/06/2025 | 5.000% | MXN | 16,130,000 | 784,985 |
05/26/2033 | 7.500% | MXN | 14,400,000 | 693,215 |
Foreign Government Obligations(l),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mexico Government International Bond | ||||
05/24/2031 | 2.659% | 475,000 | 383,803 | |
05/29/2031 | 7.750% | MXN | 9,670,000 | 481,387 |
02/12/2034 | 3.500% | 200,000 | 163,204 | |
Petroleos Mexicanos | ||||
09/21/2047 | 6.750% | 100,000 | 64,840 | |
02/12/2048 | 6.350% | 19,000 | 11,830 | |
01/23/2050 | 7.690% | 231,000 | 163,242 | |
01/28/2060 | 6.950% | 70,000 | 45,016 | |
Total | 2,791,522 | |||
Netherlands 0.0% | ||||
Greenko Dutch BV(a) | ||||
03/29/2026 | 3.850% | 191,000 | 168,853 | |
New Zealand 0.3% | ||||
New Zealand Government Bond | ||||
05/15/2024 | 0.500% | NZD | 565,000 | 356,217 |
05/15/2026 | 0.500% | NZD | 970,000 | 525,016 |
New Zealand Government Bond(a) | ||||
04/15/2027 | 4.500% | NZD | 280,000 | 172,196 |
04/14/2033 | 3.500% | NZD | 415,000 | 233,872 |
New Zealand Local Government Funding Agency Bond(a) | ||||
04/15/2026 | 1.500% | NZD | 355,000 | 195,407 |
New Zealand Local Government Funding Agency Bond | ||||
04/15/2027 | 4.500% | NZD | 440,000 | 264,745 |
Total | 1,747,453 | |||
Norway 0.4% | ||||
Kommunalbanken AS | ||||
07/15/2024 | 5.250% | AUD | 184,000 | 125,146 |
07/16/2025 | 4.250% | AUD | 280,000 | 187,479 |
Nordea Eiendomskreditt AS(b) | ||||
3-month NIBOR + 0.300% 06/21/2023 | 3.490% | NOK | 2,000,000 | 192,790 |
Norway Government Bond(a) | ||||
03/13/2025 | 1.750% | NOK | 3,815,000 | 354,088 |
02/19/2026 | 1.500% | NOK | 1,805,000 | 163,823 |
02/17/2027 | 1.750% | NOK | 3,025,000 | 272,287 |
09/17/2031 | 1.250% | NOK | 2,925,000 | 235,334 |
05/18/2032 | 2.125% | NOK | 4,615,000 | 396,466 |
Total | 1,927,413 | |||
Oman 0.0% | ||||
Oman Government International Bond(a) | ||||
01/17/2028 | 5.625% | 200,000 | 196,459 | |
Panama 0.0% | ||||
Panama Government International Bond | ||||
01/23/2030 | 3.160% | 200,000 | 172,210 |
24 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Foreign Government Obligations(l),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Peru 0.1% | ||||
Peruvian Government International Bond | ||||
08/25/2027 | 4.125% | 100,000 | 96,773 | |
06/20/2030 | 2.844% | 165,000 | 139,580 | |
Total | 236,353 | |||
Philippines 0.1% | ||||
Philippine Government International Bond | ||||
05/17/2027 | 0.875% | EUR | 535,000 | 496,878 |
01/14/2036 | 6.250% | PHP | 10,000,000 | 170,872 |
Total | 667,750 | |||
Poland 0.0% | ||||
Republic of Poland Government International Bond | ||||
11/16/2032 | 5.750% | 28,000 | 29,357 | |
Portugal 0.1% | ||||
Portugal Obrigacoes do Tesouro OT(a) | ||||
07/16/2032 | 1.650% | EUR | 580,000 | 523,936 |
Qatar 0.2% | ||||
Qatar Energy(a) | ||||
07/12/2031 | 2.250% | 200,000 | 164,395 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 465,000 | 382,219 | |
QNB Finance Ltd.(a) | ||||
03/28/2024 | 3.500% | 200,000 | 195,296 | |
Total | 741,910 | |||
Romania 0.0% | ||||
Romanian Government International Bond(a) | ||||
02/14/2031 | 3.000% | 200,000 | 161,961 | |
Singapore 0.1% | ||||
Singapore Government Bond | ||||
11/01/2026 | 1.250% | SGD | 170,000 | 116,162 |
09/01/2033 | 3.375% | SGD | 320,000 | 238,684 |
Total | 354,846 | |||
South Africa 0.0% | ||||
Transnet SOC Ltd.(a) | ||||
02/06/2028 | 8.250% | 200,000 | 200,583 | |
South Korea 0.3% | ||||
Korea Treasury Bond | ||||
09/10/2024 | 3.125% | KRW | 304,590,000 | 231,060 |
03/10/2027 | 2.375% | KRW | 1,095,160,000 | 793,087 |
06/10/2027 | 2.125% | KRW | 316,190,000 | 223,846 |
09/10/2027 | 3.125% | KRW | 232,900,000 | 173,572 |
Total | 1,421,565 |
Foreign Government Obligations(l),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sweden 0.0% | ||||
Sweden Government International Bond(a) | ||||
04/24/2023 | 0.125% | EUR | 100,000 | 105,390 |
Turkey 0.1% | ||||
Turkey Government International Bond | ||||
03/23/2023 | 3.250% | 240,000 | 239,898 | |
United Arab Emirates 0.1% | ||||
Abu Dhabi Government International Bond(a) | ||||
04/16/2030 | 3.125% | 200,000 | 183,505 | |
03/02/2031 | 1.700% | 205,000 | 167,610 | |
04/16/2050 | 3.875% | 200,000 | 165,617 | |
Finance Department Government of Sharjah(a) | ||||
11/23/2032 | 6.500% | 200,000 | 201,918 | |
Total | 718,650 | |||
United Kingdom 0.1% | ||||
United Kingdom Gilt(a) | ||||
01/31/2024 | 0.125% | GBP | 85,000 | 98,629 |
01/31/2025 | 0.250% | GBP | 80,000 | 89,475 |
12/07/2027 | 4.250% | GBP | 280,000 | 344,451 |
Total | 532,555 | |||
Total Foreign Government Obligations (Cost $33,394,936) | 30,715,892 |
Limited Partnerships 0.8% | ||
Issuer | Shares | Value ($) |
Energy 0.8% | ||
Oil, Gas & Consumable Fuels 0.8% | ||
DCP Midstream Partners LP | 98,310 | 4,107,392 |
Total Energy | 4,107,392 | |
Total Limited Partnerships (Cost $4,125,045) | 4,107,392 |
Municipal Bonds 0.2% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Airport 0.0% | ||||
County of Miami-Dade Aviation | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020B | ||||
10/01/2035 | 2.857% | 85,000 | 67,627 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Joint Power Authority 0.0% | ||||
South Carolina Public Service Authority | ||||
Revenue Bonds | ||||
Taxable - Santee Cooper | ||||
Series 2009 | ||||
01/01/2030 | 5.740% | 65,000 | 65,364 | |
Local General Obligation 0.0% | ||||
City of Norfolk | ||||
Unlimited General Obligation Bonds | ||||
Taxable | ||||
Series 2021 | ||||
10/01/2031 | 1.804% | 105,000 | 83,040 | |
Power 0.0% | ||||
City of San Antonio Electric & Gas Systems | ||||
Revenue Bonds | ||||
Series 2010 (BAM) | ||||
02/01/2041 | 5.718% | 60,000 | 63,997 | |
Sales Tax 0.1% | ||||
Santa Clara Valley Transportation Authority | ||||
Revenue Bonds | ||||
Series 2010 (BAM) | ||||
04/01/2032 | 5.876% | 250,000 | 258,800 | |
Special Non Property Tax 0.0% | ||||
State Board of Administration Finance Corp. | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2020A | ||||
07/01/2030 | 2.154% | 82,000 | 67,132 | |
State General Obligation 0.0% | ||||
Commonwealth of Massachusetts | ||||
Limited General Obligation Bonds | ||||
Taxable - Consolidated Loan | ||||
Series 2019H | ||||
09/01/2049 | 2.900% | 150,000 | 107,886 | |
Transportation 0.1% | ||||
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Series 2010 (BAM) | ||||
11/15/2031 | 6.548% | 250,000 | 263,533 | |
Total Municipal Bonds (Cost $1,062,705) | 977,379 |
Preferred Debt 0.0% | ||||
Issuer | Coupon Rate | Shares | Value ($) | |
Banking 0.0% | ||||
Wells Fargo & Co.(n) | ||||
12/31/2049 | 5.850% | 7,885 | 195,154 | |
Total Preferred Debt (Cost $206,354) | 195,154 |
Preferred Stocks 0.1% | |||
Issuer | Shares | Value ($) | |
Financials 0.1% | |||
Banks 0.1% | |||
Valley National Bancorp(n) | 8.540% | 6,350 | 160,845 |
Capital Markets 0.0% | |||
Stifel Financial Corp. | 4.500% | 7,350 | 138,621 |
Total Financials | 299,466 | ||
Total Preferred Stocks (Cost $354,121) | 299,466 |
Residential Mortgage-Backed Securities - Agency 4.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
08/01/2052 | 4.500% | 337,293 | 325,736 | |
08/01/2052- 11/01/2052 | 5.000% | 698,463 | 694,755 | |
11/01/2052 | 5.500% | 178,170 | 179,734 | |
Federal National Mortgage Association(m) | ||||
09/01/2052 | 4.500% | 691,461 | 671,700 | |
Federal National Mortgage Association | ||||
10/01/2052- 12/01/2052 | 5.500% | 958,815 | 964,695 | |
11/01/2052 | 5.000% | 197,996 | 196,513 | |
Federal National Mortgage Association(b) | ||||
CMO Series 2013-5 Class GF | ||||
1-month USD LIBOR + 1.100% Floor 1.100%, Cap 5.000% 10/25/2042 | 5.000% | 234,783 | 214,341 | |
Government National Mortgage Association(f) | ||||
CMO Series 2017-136 Class IO | ||||
09/20/2047 | 5.000% | 605,808 | 113,468 | |
CMO Series 2018-63 Class IO | ||||
09/20/2047 | 4.000% | 800,125 | 128,411 | |
Government National Mortgage Association TBA(g) | ||||
03/21/2053 | 4.500% | 725,000 | 702,938 |
26 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(g) | ||||
03/13/2053- 04/13/2053 | 2.000% | 3,950,000 | 3,220,368 | |
03/13/2053- 04/13/2053 | 2.500% | 7,450,000 | 6,314,264 | |
03/13/2053 | 3.000% | 4,525,000 | 3,979,614 | |
03/13/2053 | 4.000% | 775,000 | 727,410 | |
03/13/2053 | 4.500% | 3,575,000 | 3,444,289 | |
03/13/2053 | 5.000% | 3,825,000 | 3,759,855 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $26,268,309) | 25,638,091 | |||
Residential Mortgage-Backed Securities - Non-Agency 6.9% | ||||
ABFC Trust(b) | ||||
CMO Series 2007-WMC1 Class A1A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 06/25/2037 | 5.867% | 646,843 | 451,416 | |
Adjustable Rate Mortgage Trust(b) | ||||
CMO Series 2005-9 Class 5A3 | ||||
1-month USD LIBOR + 0.640% Floor 0.320%, Cap 11.000% 11/25/2035 | 5.257% | 108,663 | 106,008 | |
Alternative Loan Trust(c) | ||||
CMO Series 2005-43 Class 1A | ||||
10/25/2035 | 3.568% | 190,188 | 164,911 | |
Alternative Loan Trust(b) | ||||
CMO Series 2005-59 Class 1A1 | ||||
1-month USD LIBOR + 0.660% Floor 0.660%, Cap 11.000% 11/20/2035 | 3.376% | 761,924 | 687,409 | |
CMO Series 2007-OH3 Class A1B | ||||
1-month USD LIBOR + 0.440% Floor 0.440%, Cap 10.000% 09/25/2047 | 5.057% | 460,973 | 390,418 | |
American Home Mortgage Investment Trust(b) | ||||
CMO Series 2005-1 Class 6A | ||||
6-month USD LIBOR + 2.000% Floor 2.000% 06/25/2045 | 7.271% | 99,366 | 97,889 | |
Arroyo Mortgage Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
01/25/2049 | 3.805% | 58,550 | 54,351 | |
Banc of America Funding Trust(b) | ||||
CMO Series 2005-B Class 3M1 | ||||
1-month USD LIBOR + 0.675% Floor 0.450%, Cap 11.000% 04/20/2035 | 5.273% | 173,582 | 170,913 | |
Banc of America Funding Trust(a),(c) | ||||
Subordinated CMO Series 2014-R6 Class 2A13 | ||||
07/26/2036 | 4.766% | 558,272 | 540,139 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bear Stearns Alt-A Trust(b) | ||||
CMO Series 2004-6 Class M1 | ||||
1-month USD LIBOR + 0.825% Floor 0.825%, Cap 11.500% 07/25/2034 | 5.442% | 160,647 | 162,813 | |
Bear Stearns Mortgage Funding Trust(b) | ||||
CMO Series 2006-AR3 Class 1A1 | ||||
1-month USD LIBOR + 0.180% Floor 0.180%, Cap 10.500% 10/25/2036 | 4.797% | 292,282 | 242,526 | |
CMO Series 2006-AR4 Class A1 | ||||
1-month USD LIBOR + 0.210% Floor 0.210%, Cap 10.500% 12/25/2036 | 4.827% | 396,558 | 354,313 | |
CMO Series 2007-AR3 Class 21A1 | ||||
1-month USD LIBOR + 0.150% Floor 0.150%, Cap 10.500% 04/25/2037 | 4.917% | 311,445 | 271,080 | |
Centex Home Equity Loan Trust(b) | ||||
CMO Series 2005-A Class M1 | ||||
1-month USD LIBOR + 0.720% Floor 0.480% 01/25/2035 | 5.337% | 264,941 | 261,771 | |
CMO Series 2005-D Class M4 | ||||
1-month USD LIBOR + 0.915% Floor 0.610% 10/25/2035 | 5.532% | 376,621 | 375,664 | |
CIM Trust(a),(c) | ||||
CMO Series 2021-R3 Class A1A | ||||
06/25/2057 | 1.951% | 447,557 | 393,183 | |
Citigroup Mortgage Loan Trust, Inc.(c) | ||||
CMO Series 2006-AR2 Class 1A1 | ||||
03/25/2036 | 4.097% | 244,729 | 189,474 | |
Citigroup Mortgage Loan Trust, Inc.(b) | ||||
CMO Series 2006-WFH3 Class M2 | ||||
1-month USD LIBOR + 0.450% Floor 0.450% 10/25/2036 | 5.067% | 300,576 | 297,433 | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2022-5 Class A1 | ||||
04/25/2067 | 4.550% | 90,172 | 86,878 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2022-R01 Class 1M1 | ||||
30-day Average SOFR + 1.000% 12/25/2041 | 5.484% | 46,541 | 46,209 | |
CMO Series 2022-R03 Class 1M1 | ||||
30-day Average SOFR + 2.100% 03/25/2042 | 6.584% | 23,293 | 23,391 | |
CMO Series 2022-R03 Class 1M2 | ||||
30-day Average SOFR + 3.500% 03/25/2042 | 7.984% | 500,000 | 513,030 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2022-R04 Class 1M1 | ||||
30-day Average SOFR + 2.000% 03/25/2042 | 6.484% | 42,699 | 42,719 | |
CMO Series 2022-R05 Class 2M2 | ||||
30-day Average SOFR + 3.000% 04/25/2042 | 7.484% | 455,000 | 451,425 | |
CMO Series 2022-R06 Class 1M1 | ||||
30-day Average SOFR + 2.750% 05/25/2042 | 7.234% | 83,720 | 85,077 | |
CMO Series 2022-R09 Class 2M1 | ||||
30-day Average SOFR + 2.500% 09/25/2042 | 6.993% | 175,544 | 176,366 | |
CMO Series 2023-R01 Class 1M1 | ||||
30-day Average SOFR + 2.400% 12/25/2042 | 6.884% | 127,302 | 128,212 | |
Subordinated CMO Series 2022-R01 Class 1B1 | ||||
30-day Average SOFR + 3.150% 12/25/2041 | 7.634% | 511,000 | 486,952 | |
Countrywide Asset-Backed Certificates(b) | ||||
CMO Series 2007-13 Class 2A1 | ||||
1-month USD LIBOR + 0.900% Floor 0.900% 10/25/2047 | 5.517% | 139,994 | 130,922 | |
CMO Series 2007-13 Class 2A2 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 10/25/2047 | 5.417% | 278,291 | 260,258 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2019-NQM1 Class A1 | ||||
10/25/2059 | 2.656% | 18,968 | 18,139 | |
CSMC Trust(a),(c) | ||||
CMO Series 2020-RPL6 Class A1 | ||||
03/25/2059 | 2.688% | 650,248 | 627,604 | |
CMO Series 2021-RPL4 Class A1 | ||||
12/27/2060 | 1.796% | 1,347,010 | 1,192,995 | |
CWABS Asset-Backed Certificates Trust(b) | ||||
CMO Series 2004-10 Class MV4 | ||||
1-month USD LIBOR + 1.575% Floor 1.575% 12/25/2034 | 6.192% | 885,976 | 798,758 | |
CMO Series 2005-14 Class M2 | ||||
1-month USD LIBOR + 0.705% Floor 0.470% 04/25/2036 | 5.322% | 4,023 | 4,020 | |
CMO Series 2005-17 Class MV1 | ||||
1-month USD LIBOR + 0.460% Floor 0.460% 05/25/2036 | 5.307% | 240,522 | 237,519 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Domino’s Pizza Master Issuer LLC(a) | ||||
CMO Series 2015-1A Class A2II | ||||
10/25/2045 | 4.474% | 140,625 | 135,338 | |
First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2006-FF4 Class A3 | ||||
1-month USD LIBOR + 0.280% Floor 0.560% 03/25/2036 | 4.897% | 119,431 | 118,211 | |
First Horizon Mortgage Pass-Through Trust(c) | ||||
CMO Series 2005-AR4 Class 2A1 | ||||
10/25/2035 | 3.979% | 131,905 | 123,244 | |
First NLC Trust(b) | ||||
CMO Series 2005-4 Class A4 | ||||
1-month USD LIBOR + 0.780% Floor 0.390%, Cap 14.000% 02/25/2036 | 5.397% | 274,622 | 266,540 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2022-DNA3 Class M1A | ||||
30-day Average SOFR + 2.000% 04/25/2042 | 6.484% | 157,943 | 158,649 | |
CMO Series 2022-DNA4 Class M1A | ||||
30-day Average SOFR + 2.200% 05/25/2042 | 6.684% | 192,286 | 194,075 | |
CMO Series 2022-DNA4 Class M1B | ||||
30-day Average SOFR + 3.350% 05/25/2042 | 7.834% | 285,000 | 289,210 | |
CMO Series 2022-DNA7 Class M1A | ||||
30-day Average SOFR + 2.500% 03/25/2052 | 6.984% | 151,935 | 153,239 | |
CMO Series 2022-HQA1 Class M1B | ||||
30-day Average SOFR + 3.500% 03/25/2042 | 7.984% | 90,000 | 91,914 | |
CMO Series 2022-HQA3 Class M1B | ||||
30-day Average SOFR + 3.550% 08/25/2042 | 8.034% | 130,000 | 131,498 | |
Subordinated CMO Series 2022-DNA6 Class M1A | ||||
30-day Average SOFR + 2.150% 09/25/2042 | 6.634% | 193,054 | 193,657 | |
GCAT Trust(a),(c) | ||||
CMO Series 2022-NQM4 Class A1 | ||||
08/25/2067 | 5.269% | 96,236 | 95,070 | |
GE-WMC Asset-Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-1 Class M1 | ||||
1-month USD LIBOR + 0.660% Floor 0.660% 10/25/2035 | 5.277% | 318,754 | 306,078 | |
GMACM Mortgage Loan Trust(c) | ||||
CMO Series 2006-AR1 Class 1A1 | ||||
04/19/2036 | 3.240% | 418,295 | 317,005 |
28 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GS Mortgage-Backed Securities Trust(a),(c) | ||||
CMO Series 2020-RPL1 Class M2 | ||||
07/25/2059 | 3.843% | 800,000 | 644,958 | |
GSAMP Trust(b) | ||||
CMO Series 2005-WMC3 Class A2C | ||||
1-month USD LIBOR + 0.660% Floor 0.330% 12/25/2035 | 5.277% | 810,000 | 774,909 | |
CMO Series 2006-HE7 Class A2D | ||||
1-month USD LIBOR + 0.230% Floor 0.230% 10/25/2046 | 5.077% | 104,561 | 103,204 | |
CMO Series 2007-FM2 Class A1 | ||||
1-month USD LIBOR + 0.140% Floor 0.140% 01/25/2037 | 4.757% | 785,712 | 463,119 | |
HarborView Mortgage Loan Trust(b) | ||||
CMO Series 2007-6 Class 1A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200%, Cap 10.500% 08/19/2037 | 4.798% | 482,662 | 397,342 | |
Home Equity Mortgage Loan Asset-Backed Trust(b) | ||||
CMO Series 2005-D Class AII4 | ||||
1-month USD LIBOR + 0.700% Floor 0.350% 03/25/2036 | 5.317% | 92,154 | 90,753 | |
HSI Asset Securitization Corp. Trust(b) | ||||
CMO Series 2005-I1 Class 2A4 | ||||
1-month USD LIBOR + 0.780% Floor 0.390% 11/25/2035 | 5.397% | 592,997 | 528,954 | |
CMO Series 2006-HE2 Class 1A | ||||
1-month USD LIBOR + 0.260% Floor 0.260% 12/25/2036 | 4.877% | 1,196,936 | 498,095 | |
Impac CMB Trust(b) | ||||
CMO Series 2004-8 Class 2A1 (FGIC) | ||||
1-month USD LIBOR + 0.700% Floor 0.700%, Cap 11.000% 10/25/2034 | 5.317% | 214,669 | 210,748 | |
Impac Secured Assets Trust(b) | ||||
CMO Series 2006-5 Class 1A1C | ||||
1-month USD LIBOR + 0.540% Floor 0.270%, Cap 11.500% 02/25/2037 | 5.157% | 548,574 | 489,081 | |
IndyMac INDX Mortgage Loan Trust(b) | ||||
CMO Series 2006-AR2 Class 1A1A | ||||
1-month USD LIBOR + 0.440% Floor 0.220% 04/25/2046 | 5.057% | 695,656 | 574,849 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2006-AR2 Class 1A1B | ||||
1-month USD LIBOR + 0.420% Floor 0.420% 04/25/2046 | 5.037% | 641,286 | 529,748 | |
JPMorgan Alternative Loan Trust(b) | ||||
CMO Series 2006-A1 Class 1A1 | ||||
1-month USD LIBOR + 0.460% Floor 0.230%, Cap 11.500% 03/25/2036 | 5.077% | 469,783 | 438,272 | |
CMO Series 2007-S1 Class A2 | ||||
1-month USD LIBOR + 0.680% Floor 0.340%, Cap 11.500% 04/25/2047 | 5.297% | 161,435 | 152,466 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
CMO Series 2006-FRE1 Class M1 | ||||
1-month USD LIBOR + 0.585% Floor 0.585% 05/25/2035 | 3.553% | 258,511 | 252,017 | |
CMO Series 2007-HE1 Class AV4 | ||||
1-month USD LIBOR + 0.280% Floor 0.280% 03/25/2047 | 4.897% | 1,103,000 | 1,014,293 | |
Legacy Mortgage Asset Trust(a),(c) | ||||
CMO Series 2020-GS2 Class A1 | ||||
03/25/2060 | 2.750% | 651,960 | 650,535 | |
Lehman Mortgage Trust | ||||
CMO Series 2006-1 Class 1A5 | ||||
02/25/2036 | 5.500% | 521,789 | 269,285 | |
Lehman XS Trust(b) | ||||
CMO Series 2006-15 Class A4 | ||||
1-month USD LIBOR + 0.340% Floor 0.170% 10/25/2036 | 4.957% | 476,786 | 427,717 | |
CMO Series 2006-2N Class 2A1 | ||||
1-year MTA + 1.010% Floor 1.010% 02/25/2036 | 5.158% | 468,638 | 404,121 | |
CMO Series 2007-16N Class 2A2 | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 09/25/2047 | 6.317% | 549,098 | 459,014 | |
Long Beach Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 2A3 | ||||
1-month USD LIBOR + 0.160% Floor 0.160% 11/25/2036 | 4.937% | 1,580,993 | 481,705 | |
CMO Series 2006-4 Class 1A | ||||
1-month USD LIBOR + 0.300% Floor 0.300% 05/25/2036 | 4.917% | 1,010,941 | 580,381 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 29 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mastr Asset Backed Securities Trust(b) | ||||
CMO Series 2005-WF1 Class M6 | ||||
1-month USD LIBOR + 0.990% Floor 0.660% 06/25/2035 | 5.607% | 672,400 | 657,428 | |
Morgan Stanley ABS Capital I, Inc. Trust(b) | ||||
CMO Series 2005-WMC1 Class M3 | ||||
1-month USD LIBOR + 0.780% Floor 0.780% 01/25/2035 | 5.397% | 277,576 | 267,151 | |
CMO Series 2007-HE2 Class A2B | ||||
1-month USD LIBOR + 0.090% Floor 0.090% 01/25/2037 | 4.707% | 1,235,035 | 606,724 | |
CMO Series 2007-NC3 Class A2D | ||||
1-month USD LIBOR + 0.260% Floor 0.260% 05/25/2037 | 4.766% | 703,560 | 496,751 | |
Morgan Stanley Mortgage Loan Trust(b) | ||||
CMO Series 2005-5AR Class 1M6 | ||||
1-month USD LIBOR + 1.250% Floor 0.750% 09/25/2035 | 5.867% | 500,000 | 477,749 | |
NMLT Trust(a),(c) | ||||
CMO Series 2021-INV1 Class A1 | ||||
05/25/2056 | 1.185% | 818,883 | 675,286 | |
Nomura Resecuritization Trust(a),(c) | ||||
CMO Series 2014-3R Class 3A9 | ||||
11/26/2035 | 3.753% | 2,914 | 2,910 | |
OBX Trust(a),(c) | ||||
CMO Series 2021-NQM3 Class A1 | ||||
07/25/2061 | 1.054% | 638,735 | 492,607 | |
Option One Mortgage Loan Trust(b) | ||||
CMO Series 2005-2 Class M1 | ||||
1-month USD LIBOR + 0.660% Floor 0.660% 05/25/2035 | 5.277% | 329,196 | 326,086 | |
CMO Series 2007-5 Class 2A2 | ||||
1-month USD LIBOR + 0.170% Floor 0.170% 05/25/2037 | 4.676% | 882,240 | 479,136 | |
CMO Series 2007-5 Class 2A3 | ||||
1-month USD LIBOR + 0.230% Floor 0.230% 05/25/2037 | 4.736% | 1,606,201 | 841,339 | |
Preston Ridge Partners Mortgage Trust(a),(c) | ||||
CMO Series 2022-4 Class A2 | ||||
08/25/2027 | 5.000% | 615,000 | 498,065 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2022-RN2 Class A2 | ||||
06/25/2052 | 6.500% | 720,000 | 652,181 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RALI Series Trust(b) | ||||
CMO Series 2006-QA6 Class A3 | ||||
1-month USD LIBOR + 0.380% Floor 0.190% 07/25/2036 | 4.997% | 330,684 | 286,206 | |
CMO Series 2007-QH6 Class A1 | ||||
1-month USD LIBOR + 0.190% Floor 0.190% 07/25/2037 | 4.997% | 313,981 | 280,964 | |
RALI Trust(b) | ||||
CMO Series 2006-QO10 Class A1 | ||||
1-month USD LIBOR + 0.320% Floor 0.160% 01/25/2037 | 4.937% | 602,919 | 508,760 | |
RAMP Trust(b) | ||||
CMO Series 2006-RZ2 Class M1 | ||||
1-month USD LIBOR + 0.495% Floor 0.330%, Cap 14.000% 05/25/2036 | 5.112% | 535,720 | 524,010 | |
RFMSI Trust | ||||
CMO Series 2006-S10 Class 1A1 | ||||
10/25/2036 | 6.000% | 567,478 | 453,749 | |
Soundview Home Loan Trust(b) | ||||
CMO Series 2006-OPT5 Class 1A1 | ||||
1-month USD LIBOR + 0.140% Floor 0.140% 07/25/2036 | 4.897% | 312,588 | 295,483 | |
Structured Adjustable Rate Mortgage Loan Trust(b) | ||||
CMO Series 2005-19XS Class 2A1 | ||||
1-month USD LIBOR + 0.300% Floor 0.300% 10/25/2035 | 4.917% | 467 | 468 | |
Series 2007-4 Class 1A2 | ||||
1-month USD LIBOR + 0.440% Floor 0.220% 05/25/2037 | 5.057% | 385,135 | 331,564 | |
Structured Asset Investment Loan Trust(b) | ||||
CMO Series 2004-6 Class A3 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 07/25/2034 | 5.417% | 371,404 | 358,629 | |
Structured Asset Mortgage Investments II Trust(b) | ||||
CMO Series 2006-AR8 Class A1A | ||||
1-month USD LIBOR + 0.400% Floor 0.200%, Cap 10.500% 10/25/2036 | 5.017% | 302,859 | 258,458 | |
Structured Asset Securities Corp Mortgage Loan Trust(b) | ||||
CMO Series 2005-2XS Class M1 | ||||
1-month USD LIBOR + 0.705% Floor 0.470%, Cap 11.000% 02/25/2035 | 5.322% | 756,186 | 719,115 |
30 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Thornburg Mortgage Securities Trust(b) | ||||
CMO Series 2004-3 Class A | ||||
1-month USD LIBOR + 0.740% Floor 0.370%, Cap 11.000% 09/25/2034 | 5.246% | 337,915 | 305,052 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2017-5 Class A1 | ||||
1-month USD LIBOR + 0.600% 02/25/2057 | 5.217% | 83,835 | 83,539 | |
Towd Point Mortgage Trust(a),(c) | ||||
Subordinated CMO Series 2017-2 Class B1 | ||||
04/25/2057 | 4.106% | 760,000 | 685,067 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 2.724% | 161,724 | 144,264 | |
CMO Series 2022-4 Class A2 | ||||
04/25/2067 | 4.720% | 173,706 | 162,113 | |
CMO Series 2022-8 Class A3 | ||||
09/25/2067 | 6.127% | 97,459 | 95,855 | |
CMO Series 2022-INV1 Class A1 | ||||
08/25/2067 | 5.041% | 96,377 | 93,971 | |
WaMu Asset-Backed Certificates Trust(b) | ||||
CMO Series 2007-HE1 Class 2A4 | ||||
1-month USD LIBOR + 0.230% Floor 0.230% 01/25/2037 | 4.847% | 1,125,960 | 513,981 | |
WaMu Mortgage Pass-Through Certificates(b) | ||||
CMO Series 2005-AR8 Class 2AC2 | ||||
1-month USD LIBOR + 0.920% Floor 0.460%, Cap 10.500% 07/25/2045 | 5.537% | 357,524 | 328,517 | |
WaMu Mortgage Pass-Through Certificates Trust(b) | ||||
CMO Series 2007-OA4 Class 1A | ||||
1-year MTA + 0.770% Floor 0.770% 05/25/2047 | 3.908% | 570,873 | 453,012 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust(b) | ||||
CMO Series 2006-AR2 Class A1A | ||||
1-year MTA + 0.940% Floor 0.940% 04/25/2046 | 4.078% | 217,306 | 179,174 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $39,608,742) | 37,066,843 |
Rights 0.0% | ||
Issuer | Shares | Value ($) |
Health Care 0.0% | ||
Health Care Equipment & Supplies 0.0% | ||
Abiomed, Inc., CVR(d),(e),(h),(q) | 15,541 | 23,311 |
Rights (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 0.0% | ||
Cincor Pharma, Inc.(d),(e),(h),(q) | 44,405 | 136,097 |
Total Health Care | 159,408 | |
Total Rights (Cost $135,474) | 159,408 |
Senior Loans 0.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.2% | ||||
AAdvantage Loyalty IP Ltd./American Airlines, Inc.(b),(m),(r) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 0.750% 04/20/2028 | 9.558% | 205,000 | 209,799 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(b),(r) | ||||
Term Loan | ||||
1-month USD LIBOR + 5.250% Floor 1.000% 06/21/2027 | 9.996% | 225,000 | 234,056 | |
United AirLines, Inc.(b),(m),(r) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 04/21/2028 | 8.568% | 463,409 | 461,963 | |
Total | 905,818 | |||
Restaurants 0.0% | ||||
KFC Holding Co./Yum! Brands(b),(r) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 1.750% 03/15/2028 | 6.348% | 75 | 75 | |
Total Senior Loans (Cost $907,551) | 905,893 | |||
Treasury Bills 1.7% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 1.7% | ||||
U.S. Treasury Bills | ||||
04/20/2023 | 4.460% | 1,355,000 | 1,346,607 | |
05/25/2023 | 4.690% | 1,925,000 | 1,903,968 | |
06/01/2023 | 4.770% | 1,790,000 | 1,768,513 | |
06/08/2023 | 4.740% | 1,190,000 | 1,174,744 | |
07/06/2023 | 4.850% | 555,000 | 545,718 | |
07/27/2023 | 4.870% | 1,135,000 | 1,112,889 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 31 |
February 28, 2023 (Unaudited)
Treasury Bills (continued) | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
08/10/2023 | 4.950% | 1,385,000 | 1,355,070 | |
Total | 9,207,509 | |||
Total Treasury Bills (Cost $9,211,446) | 9,207,509 | |||
U.S. Treasury Obligations 2.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
02/28/2026 | 0.500% | 230,000 | 204,502 | |
01/31/2027 | 1.500% | 1,050,000 | 943,606 | |
05/31/2027 | 2.625% | 230,000 | 215,230 | |
03/31/2029 | 2.375% | 580,000 | 525,670 | |
02/15/2032 | 1.875% | 396,000 | 335,548 | |
05/15/2032 | 2.875% | 2,620,000 | 2,410,400 | |
08/15/2032 | 2.750% | 1,065,000 | 968,152 | |
02/15/2033 | 3.500% | 1,815,000 | 1,755,445 | |
02/15/2042 | 2.375% | 1,165,000 | 896,140 | |
11/15/2042 | 2.750% | 175,000 | 142,188 | |
02/15/2049 | 3.000% | 1,800,000 | 1,506,656 | |
02/15/2050 | 2.000% | 1,243,000 | 840,773 | |
08/15/2052 | 3.000% | 550,000 | 463,031 | |
02/15/2053 | 3.500% | 1,390,000 | 1,324,192 | |
Total U.S. Treasury Obligations (Cost $13,246,319) | 12,531,533 |
Options Purchased Calls 0.0% | ||||
Value ($) | ||||
(Cost $2,839) | 560 | |||
Options Purchased Puts 0.0% | ||||
(Cost $62,620) | 26,842 |
Money Market Funds 39.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(s),(t) | 214,305,925 | 214,220,203 |
Total Money Market Funds (Cost $214,213,567) | 214,220,203 | |
Total Investments in Securities (Cost $576,345,255) | 552,754,691 | |
Investments in Securities Sold Short | ||
Common Stocks (1.0)% | ||
Issuer | Shares | Value ($) |
Communication Services (0.1)% | ||
Entertainment (0.1)% | ||
Activision Blizzard, Inc. | (5,600) | (427,000) |
Total Communication Services | (427,000) | |
Energy (0.1)% | ||
Oil, Gas & Consumable Fuels (0.1)% | ||
Baytex Energy Corp.(h) | (57,297) | (220,874) |
Total Energy | (220,874) | |
Financials (0.0)% | ||
Capital Markets (0.0)% | ||
IntercontinentalExchange Group, Inc. | (1,763) | (179,473) |
Total Financials | (179,473) | |
Health Care (0.0)% | ||
Health Care Equipment & Supplies (0.0)% | ||
NuVasive, Inc.(h) | (2,794) | (120,785) |
Total Health Care | (120,785) | |
Industrials (0.2)% | ||
Commercial Services & Supplies (0.1)% | ||
IAA, Inc.(h) | (9,955) | (407,259) |
Machinery (0.1)% | ||
Xylem, Inc. | (8,500) | (872,525) |
Total Industrials | (1,279,784) | |
Information Technology (0.6)% | ||
Semiconductors & Semiconductor Equipment (0.6)% | ||
Broadcom, Inc. | (4,466) | (2,654,099) |
MaxLinear, Inc.(h) | (9,225) | (315,587) |
Total | (2,969,686) | |
Total Information Technology | (2,969,686) | |
Total Common Stocks (Proceeds $4,944,004) | (5,197,602) | |
Total Investments in Securities Sold Short (Proceeds $4,944,004) | (5,197,602) | |
Total Investments in Securities, Net of Securities Sold Short | 547,557,089 | |
Other Assets & Liabilities, Net | (11,174,596) | |
Net Assets | 536,382,493 |
32 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
477,614 AUD | 524,084 NZD | ANZ Securities | 03/15/2023 | 2,498 | — |
248,897 AUD | 167,796 USD | ANZ Securities | 03/15/2023 | 228 | — |
189,174 CAD | 225,205 NZD | ANZ Securities | 03/15/2023 | 590 | — |
762,885 NZD | 643,890 CAD | ANZ Securities | 03/15/2023 | 244 | — |
4,080,495 NZD | 2,593,249 USD | ANZ Securities | 03/15/2023 | 70,225 | — |
177,136 EUR | 1,906,741 NOK | Barclays | 03/15/2023 | — | (3,771) |
769,115 GBP | 937,102 USD | Barclays | 03/15/2023 | 11,738 | — |
180,154 USD | 150,588 GBP | Barclays | 03/15/2023 | 1,026 | — |
368,750 USD | 50,154,425 JPY | Barclays | 03/15/2023 | 330 | — |
196,325 USD | 263,364 SGD | Barclays | 03/15/2023 | — | (950) |
75,000 USD | 99,951 CAD | BMO Capital Markets Corp. | 03/15/2023 | — | (1,740) |
385,000 AUD | 259,285 USD | BNY Capital Markets | 03/15/2023 | 87 | — |
59,722 EUR | 63,400 USD | BNY Capital Markets | 03/15/2023 | 179 | — |
450,000 NOK | 43,376 USD | BNY Capital Markets | 03/15/2023 | 12 | — |
145,000 AUD | 101,640 USD | CIBC | 03/15/2023 | 4,020 | — |
522,647 NZD | 335,102 USD | CIBC | 03/15/2023 | 11,943 | — |
557,179 SGD | 421,163 USD | CIBC | 03/15/2023 | 7,821 | — |
584,025 USD | 794,023 CAD | CIBC | 03/15/2023 | — | (2,038) |
775,193 USD | 1,034,547 SGD | CIBC | 03/15/2023 | — | (7,717) |
716,421 AUD | 785,604 NZD | Citi | 03/15/2023 | 3,424 | — |
1,602,686 CAD | 1,907,213 NZD | Citi | 03/15/2023 | 4,550 | — |
377,127 CAD | 445,636 NZD | Citi | 03/15/2023 | — | (877) |
7,437,726 JPY | 75,000 CAD | Citi | 03/15/2023 | 239 | — |
115,961,907 JPY | 889,831 USD | Citi | 03/15/2023 | 36,482 | — |
187,706 NOK | 17,470 EUR | Citi | 03/15/2023 | 405 | — |
72,500 NZD | 6,036,379 JPY | Citi | 03/15/2023 | — | (407) |
387,555 NZD | 249,543 USD | Citi | 03/15/2023 | 9,912 | — |
2,262,085 USD | 2,054,112 EUR | Citi | 03/15/2023 | — | (87,643) |
1,871,318 USD | 247,704,619 JPY | Citi | 03/15/2023 | — | (48,492) |
389,560 USD | 632,226 NZD | Citi | 03/15/2023 | 1,353 | — |
534,177 USD | 836,907 NZD | Citi | 03/15/2023 | — | (16,706) |
594,858 USD | 796,215 SGD | Citi | 03/15/2023 | — | (4,187) |
45,030,704 TWD | 1,500,000 USD | Deutsche Bank | 03/01/2023 | 22,106 | — |
100,000 USD | 522,819 BRL | Deutsche Bank | 03/02/2023 | — | (139) |
1,868,572,272 KRW | 1,500,000 USD | Deutsche Bank | 03/08/2023 | 87,088 | — |
1,800,000 USD | 2,253,933,327 KRW | Deutsche Bank | 03/09/2023 | — | (95,540) |
4,597,023,863 KRW | 3,600,000 USD | Deutsche Bank | 03/17/2023 | 121,023 | — |
16,573,857 INR | 200,000 USD | Deutsche Bank | 03/21/2023 | — | (201) |
896,194,661 KRW | 700,000 USD | Deutsche Bank | 03/21/2023 | 21,513 | — |
75,000 CAD | 7,431,000 JPY | Goldman Sachs | 03/15/2023 | — | (288) |
507,277 CAD | 603,549 NZD | Goldman Sachs | 03/15/2023 | 1,369 | — |
5,140,800 CAD | 3,818,649 USD | Goldman Sachs | 03/15/2023 | 50,649 | — |
3,867,500 CAD | 2,830,600 USD | Goldman Sachs | 03/15/2023 | — | (4,123) |
350,754 EUR | 3,809,380 NOK | Goldman Sachs | 03/15/2023 | — | (4,213) |
3,711,700 EUR | 3,960,261 USD | Goldman Sachs | 03/15/2023 | 31,131 | — |
226,900 EUR | 239,657 USD | Goldman Sachs | 03/15/2023 | — | (535) |
4,131,900 GBP | 5,077,909 USD | Goldman Sachs | 03/15/2023 | 106,600 | — |
33,183,799 JPY | 257,339 USD | Goldman Sachs | 03/15/2023 | 13,143 | — |
23,038,765 MXN | 1,198,495 USD | Goldman Sachs | 03/15/2023 | — | (57,416) |
9,235,700 SEK | 899,884 USD | Goldman Sachs | 03/15/2023 | 16,964 | — |
531,900 SEK | 50,296 USD | Goldman Sachs | 03/15/2023 | — | (553) |
53,527 USD | 75,000 AUD | Goldman Sachs | 03/15/2023 | — | (3,034) |
365,261 USD | 491,800 CAD | Goldman Sachs | 03/15/2023 | — | (4,791) |
2,544,640 USD | 2,353,354 EUR | Goldman Sachs | 03/15/2023 | — | (53,427) |
906,150 USD | 753,200 GBP | Goldman Sachs | 03/15/2023 | 65 | — |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 33 |
February 28, 2023 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
3,074,677 USD | 2,512,100 GBP | Goldman Sachs | 03/15/2023 | — | (52,235) |
471,868 USD | 61,275,770 JPY | Goldman Sachs | 03/15/2023 | — | (20,948) |
20,480 USD | 218,200 SEK | Goldman Sachs | 03/15/2023 | 379 | — |
105,360 USD | 1,089,300 SEK | Goldman Sachs | 03/15/2023 | — | (1,225) |
597,798 USD | 799,616 SGD | Goldman Sachs | 03/15/2023 | — | (4,605) |
477,614 AUD | 523,687 NZD | HSBC | 03/15/2023 | 2,253 | — |
177,136 EUR | 1,902,331 NOK | HSBC | 03/15/2023 | — | (4,196) |
107,843 EUR | 113,870 USD | HSBC | 03/15/2023 | — | (290) |
497,289 SGD | 378,132 USD | HSBC | 03/15/2023 | 9,219 | — |
72,500 USD | 97,450 CAD | HSBC | 03/15/2023 | — | (1,073) |
952,587 USD | 1,266,472 SGD | HSBC | 03/15/2023 | — | (13,059) |
1,500,000 USD | 45,549,950 TWD | JPMorgan | 03/01/2023 | — | (5,064) |
520,305 BRL | 100,000 USD | JPMorgan | 03/02/2023 | 619 | — |
762,572,298 KRW | 600,000 USD | JPMorgan | 03/03/2023 | 23,658 | — |
600,000 USD | 737,745,816 KRW | JPMorgan | 03/03/2023 | — | (42,421) |
328,437,200 INR | 4,000,000 USD | JPMorgan | 03/06/2023 | 28,208 | — |
4,000,000 USD | 330,757,372 INR | JPMorgan | 03/06/2023 | — | (150) |
337,751,850 INR | 4,100,000 USD | JPMorgan | 03/08/2023 | 16,183 | — |
4,100,000 USD | 339,660,576 INR | JPMorgan | 03/08/2023 | 6,896 | — |
1,500,000 USD | 1,909,264,797 KRW | JPMorgan | 03/08/2023 | — | (56,319) |
2,310,606,054 KRW | 1,800,000 USD | JPMorgan | 03/09/2023 | 52,683 | — |
75,000 CAD | 7,486,567 JPY | JPMorgan | 03/15/2023 | 121 | — |
75,000 CAD | 1,068,722 MXN | JPMorgan | 03/15/2023 | 3,287 | — |
99,748 CAD | 75,000 USD | JPMorgan | 03/15/2023 | 1,889 | — |
530,257 EUR | 5,715,470 NOK | JPMorgan | 03/15/2023 | — | (10,553) |
3,586,765 EUR | 3,861,171 USD | JPMorgan | 03/15/2023 | 64,294 | — |
96,287,006 JPY | 736,250 USD | JPMorgan | 03/15/2023 | 27,687 | — |
1,057,461 MXN | 75,000 CAD | JPMorgan | 03/15/2023 | — | (2,673) |
1,405,571 MXN | 75,000 USD | JPMorgan | 03/15/2023 | — | (1,622) |
3,802,107 NOK | 353,729 EUR | JPMorgan | 03/15/2023 | 8,064 | — |
11,472 NZD | 7,437 USD | JPMorgan | 03/15/2023 | 344 | — |
72,500 USD | 97,264 CAD | JPMorgan | 03/15/2023 | — | (1,209) |
972,949 USD | 893,223 EUR | JPMorgan | 03/15/2023 | — | (27,401) |
112,500 USD | 2,082,715 MXN | JPMorgan | 03/15/2023 | 1,035 | — |
968,578 USD | 1,294,968 SGD | JPMorgan | 03/15/2023 | — | (7,909) |
3,600,000 USD | 4,663,369,315 KRW | JPMorgan | 03/17/2023 | — | (70,813) |
331,064,000 INR | 4,000,000 USD | JPMorgan | 03/21/2023 | 974 | — |
339,935,100 INR | 4,100,000 USD | JPMorgan | 03/21/2023 | — | (6,183) |
3,499,469,703 KRW | 2,700,000 USD | JPMorgan | 03/21/2023 | 50,639 | — |
45,442,257 TWD | 1,500,000 USD | JPMorgan | 03/21/2023 | 14,238 | — |
3,400,000 USD | 4,473,812,550 KRW | JPMorgan | 03/21/2023 | — | (12,988) |
3,000,000 AUD | 2,092,546 USD | JPMorgan | 03/31/2023 | 71,555 | — |
6,887,037 CAD | 7,400,000 AUD | JPMorgan | 03/31/2023 | — | (63,581) |
6,111,945 CAD | 4,250,000 EUR | JPMorgan | 03/31/2023 | 23,071 | — |
4,700,000 CAD | 3,508,374 USD | JPMorgan | 03/31/2023 | 62,937 | — |
8,874 CHF | 7,910 GBP | JPMorgan | 03/31/2023 | 65 | — |
21,770,176 CNH | 3,200,000 USD | JPMorgan | 03/31/2023 | 61,443 | — |
500,000 EUR | 772,781 AUD | JPMorgan | 03/31/2023 | — | (9,237) |
4,250,000 EUR | 4,183,844 CHF | JPMorgan | 03/31/2023 | — | (46,266) |
200,000 EUR | 77,217,198 HUF | JPMorgan | 03/31/2023 | 1,654 | — |
3,375,000 EUR | 3,640,836 USD | JPMorgan | 03/31/2023 | 64,475 | — |
3,375,000 GBP | 5,895,841 AUD | JPMorgan | 03/31/2023 | — | (90,089) |
757,910 GBP | 842,671 CHF | JPMorgan | 03/31/2023 | — | (14,417) |
2,920,434 GBP | 3,300,000 EUR | JPMorgan | 03/31/2023 | — | (17,935) |
1,750,000 GBP | 2,133,086 USD | JPMorgan | 03/31/2023 | 26,915 | — |
155,806,820 HUF | 400,000 EUR | JPMorgan | 03/31/2023 | — | (7,104) |
7,041,455 ILS | 2,000,000 USD | JPMorgan | 03/31/2023 | 70,792 | — |
201,527,348 JPY | 2,200,000 AUD | JPMorgan | 03/31/2023 | — | (4,499) |
34 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
356,194,490 JPY | 3,600,000 CAD | JPMorgan | 03/31/2023 | 11,602 | — |
215,865,120 JPY | 1,500,000 CHF | JPMorgan | 03/31/2023 | 5,719 | — |
198,276,820 JPY | 1,400,000 EUR | JPMorgan | 03/31/2023 | 20,945 | — |
239,952,390 JPY | 1,500,000 GBP | JPMorgan | 03/31/2023 | 35,290 | — |
299,636,100 JPY | 3,600,000 NZD | JPMorgan | 03/31/2023 | 15,729 | — |
200,000,000 JPY | 1,522,964 USD | JPMorgan | 03/31/2023 | 47,671 | — |
7,500,000 MXN | 405,166 USD | JPMorgan | 03/31/2023 | — | (2,367) |
44,763,551 NOK | 4,125,000 EUR | JPMorgan | 03/31/2023 | 53,671 | — |
42,500,000 NOK | 42,844,501 SEK | JPMorgan | 03/31/2023 | 410 | — |
5,000,000 NOK | 5,021,720 SEK | JPMorgan | 03/31/2023 | — | (1,752) |
28,578,143 NOK | 2,800,000 USD | JPMorgan | 03/31/2023 | 43,643 | — |
8,808,462 NZD | 8,000,000 AUD | JPMorgan | 03/31/2023 | — | (57,218) |
800,000 NZD | 66,832,112 JPY | JPMorgan | 03/31/2023 | — | (1,679) |
2,887,754 PLN | 600,000 EUR | JPMorgan | 03/31/2023 | — | (11,940) |
9,822,115 PLN | 2,200,000 USD | JPMorgan | 03/31/2023 | — | (3,149) |
44,391,178 SEK | 4,000,000 EUR | JPMorgan | 03/31/2023 | — | (8,870) |
2,556,207 SEK | 2,500,000 NOK | JPMorgan | 03/31/2023 | — | (3,463) |
24,664,769 SEK | 2,400,000 USD | JPMorgan | 03/31/2023 | 39,979 | — |
60,115,667 TRY | 3,100,000 USD | JPMorgan | 03/31/2023 | — | (34,521) |
3,289,442 USD | 3,000,000 CHF | JPMorgan | 03/31/2023 | — | (93,362) |
900,000 USD | 325,015,839 HUF | JPMorgan | 03/31/2023 | — | (992) |
4,065,492 USD | 76,000,000 MXN | JPMorgan | 03/31/2023 | 64,181 | — |
126,733 USD | 200,000 NZD | JPMorgan | 03/31/2023 | — | (3,067) |
8,600,000 USD | 11,405,256 SGD | JPMorgan | 03/31/2023 | — | (135,457) |
28,633,233 ZAR | 1,600,000 USD | JPMorgan | 03/31/2023 | 44,993 | — |
4,471,564,400 KRW | 3,400,000 USD | JPMorgan | 04/03/2023 | 10,814 | — |
100,000 USD | 523,647 BRL | JPMorgan | 04/04/2023 | — | (640) |
477,614 AUD | 523,713 NZD | Morgan Stanley | 03/15/2023 | 2,268 | — |
510,657 CAD | 606,648 NZD | Morgan Stanley | 03/15/2023 | 807 | — |
376,909 CAD | 445,636 NZD | Morgan Stanley | 03/15/2023 | — | (717) |
1,471,250 EUR | 1,595,832 USD | Morgan Stanley | 03/15/2023 | 38,397 | — |
145,000 GBP | 174,641 USD | Morgan Stanley | 03/15/2023 | 184 | — |
81,408,327 JPY | 625,463 USD | Morgan Stanley | 03/15/2023 | 26,390 | — |
1,065,798 MXN | 75,000 CAD | Morgan Stanley | 03/15/2023 | — | (3,128) |
4,902,506 MXN | 266,218 USD | Morgan Stanley | 03/15/2023 | — | (1,032) |
1,903,674 NOK | 178,297 EUR | Morgan Stanley | 03/15/2023 | 5,295 | — |
136,406 NZD | 88,452 USD | Morgan Stanley | 03/15/2023 | 4,110 | — |
4,454,639 SGD | 3,352,100 USD | Morgan Stanley | 03/15/2023 | 47,437 | — |
53,228 USD | 75,000 AUD | Morgan Stanley | 03/15/2023 | — | (2,734) |
1,679,499 USD | 1,541,029 EUR | Morgan Stanley | 03/15/2023 | — | (48,197) |
561,295 USD | 73,410,887 JPY | Morgan Stanley | 03/15/2023 | — | (21,074) |
14,495 USD | 149,857 NOK | Morgan Stanley | 03/15/2023 | — | (54) |
60,795 USD | 81,543 SGD | Morgan Stanley | 03/15/2023 | — | (302) |
32,590,930 JPY | 257,381 USD | National Australia Bank | 03/15/2023 | 17,549 | — |
272,704 NOK | 26,341 USD | National Australia Bank | 03/15/2023 | 62 | — |
477,614 AUD | 524,464 NZD | RBC Capital Markets | 03/15/2023 | 2,733 | — |
75,000 CAD | 1,065,525 MXN | RBC Capital Markets | 03/15/2023 | 3,113 | — |
1,041,492 CAD | 778,996 USD | RBC Capital Markets | 03/15/2023 | 15,624 | — |
1,918,311 NOK | 176,198 EUR | RBC Capital Markets | 03/15/2023 | 1,663 | — |
274,305 USD | 374,253 CAD | RBC Capital Markets | 03/15/2023 | 8 | — |
567,756 USD | 514,854 EUR | RBC Capital Markets | 03/15/2023 | — | (22,741) |
455,495 USD | 727,500 NZD | RBC Capital Markets | 03/15/2023 | — | (5,672) |
152,769 EUR | 162,849 USD | Standard Chartered | 03/15/2023 | 1,131 | — |
6,027,070 JPY | 72,500 NZD | Standard Chartered | 03/15/2023 | 475 | — |
72,500 NZD | 457,027 NOK | Standard Chartered | 03/15/2023 | — | (787) |
27,522 SGD | 20,600 USD | Standard Chartered | 03/15/2023 | 183 | — |
100,000 EUR | 105,896 USD | State Street | 03/15/2023 | 38 | — |
7,458,000 JPY | 75,000 CAD | State Street | 03/15/2023 | 90 | — |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 35 |
February 28, 2023 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
3,511,825 MXN | 185,404 USD | State Street | 03/15/2023 | — | (6,036) |
11,850,358 NOK | 1,194,483 USD | State Street | 03/15/2023 | 52,533 | — |
3,981,435 NZD | 2,529,525 USD | State Street | 03/15/2023 | 67,752 | — |
499,906 SGD | 378,132 USD | State Street | 03/15/2023 | 7,278 | — |
320,022 USD | 436,790 CAD | State Street | 03/15/2023 | 128 | — |
257,238 USD | 33,417,402 JPY | State Street | 03/15/2023 | — | (11,324) |
205,827 USD | 3,989,391 MXN | State Street | 03/15/2023 | 11,646 | — |
231,081 USD | 368,125 NZD | State Street | 03/15/2023 | — | (3,465) |
376,661 USD | 499,810 SGD | State Street | 03/15/2023 | — | (5,878) |
485,000 EUR | 513,583 USD | TD Securities | 03/15/2023 | 172 | — |
525,375 AUD | 576,268 NZD | UBS | 03/15/2023 | 2,609 | — |
96,439 CAD | 72,500 USD | UBS | 03/15/2023 | 1,814 | — |
531,184 EUR | 5,802,528 NOK | UBS | 03/15/2023 | — | (3,144) |
3,688,267 EUR | 3,969,140 USD | UBS | 03/15/2023 | 64,815 | — |
9,383,892 JPY | 72,500 USD | UBS | 03/15/2023 | 3,445 | — |
3,803,284 NOK | 350,898 EUR | UBS | 03/15/2023 | 4,953 | — |
464,747 NOK | 72,500 NZD | UBS | 03/15/2023 | 43 | — |
1,090,000 NZD | 931,089 CAD | UBS | 03/15/2023 | 8,490 | — |
12,694 NZD | 8,244 USD | UBS | 03/15/2023 | 395 | — |
280,000 NZD | 173,092 USD | UBS | 03/15/2023 | — | (36) |
Total | 2,122,811 | (1,489,650) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
3-Month Copper | 6 | 05/2023 | USD | 1,344,150 | 31,633 | — |
Amsterdam Index | 7 | 03/2023 | EUR | 1,055,432 | — | (20,582) |
Amsterdam Index | 16 | 03/2023 | EUR | 2,412,416 | — | (32,458) |
Brazilian Real | 29 | 03/2023 | USD | 551,290 | — | (8,776) |
British Pound | 1 | 03/2023 | USD | 75,356 | — | (501) |
CAC40 Index | 65 | 03/2023 | EUR | 4,730,050 | 1,552 | — |
CAC40 Index | 17 | 03/2023 | EUR | 1,237,090 | — | (1,338) |
Cocoa | 3 | 05/2023 | USD | 83,670 | 4,323 | — |
Cocoa | 13 | 05/2023 | USD | 362,570 | 574 | — |
Cocoa | 3 | 05/2023 | GBP | 63,870 | 476 | — |
Cocoa | 4 | 05/2023 | USD | 111,560 | — | (459) |
Cocoa | 1 | 07/2023 | USD | 27,880 | 1,478 | — |
Cocoa | 1 | 07/2023 | GBP | 21,090 | 1,263 | — |
Copper | 6 | 05/2023 | USD | 613,425 | 653 | — |
Copper | 20 | 05/2023 | USD | 2,044,750 | — | (10,525) |
Copper | 1 | 06/2023 | USD | 224,075 | — | (8,378) |
Copper | 1 | 07/2023 | USD | 102,275 | 686 | — |
Corn | 21 | 05/2023 | USD | 661,763 | — | (47,334) |
Corn | 6 | 07/2023 | USD | 186,675 | — | (13,288) |
Corn | 3 | 12/2023 | USD | 85,463 | — | (5,319) |
Crude Palm Oil | 1 | 05/2023 | MYR | 103,550 | — | (172) |
DAX Index | 9 | 03/2023 | EUR | 3,466,350 | 44,601 | — |
DAX Index | 6 | 03/2023 | EUR | 2,310,900 | 33,118 | — |
DAX Index Mini | 2 | 03/2023 | EUR | 154,060 | 5,913 | — |
DJIA Index E-mini | 13 | 03/2023 | USD | 2,124,330 | — | (84,725) |
ECX Emissions EUA | 6 | 12/2023 | EUR | 598,800 | 40,453 | — |
Euro FX | 18 | 03/2023 | USD | 2,383,200 | — | (72,272) |
Euro STOXX 50 Index | 103 | 03/2023 | EUR | 4,374,410 | 112,508 | — |
Euro STOXX 50 Index | 60 | 03/2023 | EUR | 2,548,200 | 61,975 | — |
Euro STOXX 50 Index | 1 | 03/2023 | EUR | 38,880 | — | (561) |
Euro STOXX Banks Index | 61 | 03/2023 | EUR | 362,645 | 67,137 | — |
Euro/British Pound | 1 | 03/2023 | GBP | 109,813 | — | (388) |
36 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Feeder Cattle | 1 | 04/2023 | USD | 97,538 | 473 | — |
FTSE 100 Index | 99 | 03/2023 | GBP | 7,782,885 | 118,701 | — |
FTSE 100 Index | 31 | 03/2023 | GBP | 2,437,065 | 110,951 | — |
FTSE China A50 Index | 33 | 03/2023 | USD | 440,220 | — | (5,561) |
FTSE China A50 Index | 104 | 03/2023 | USD | 1,387,360 | — | (25,545) |
FTSE Taiwan Index | 1 | 03/2023 | USD | 54,050 | — | (431) |
FTSE Taiwan Index | 26 | 03/2023 | USD | 1,405,300 | — | (11,450) |
FTSE/JSE Top 40 Index | 22 | 03/2023 | ZAR | 15,774,880 | 4,467 | — |
FTSE/JSE Top 40 Index | 1 | 03/2023 | ZAR | 717,040 | — | (1,337) |
FTSE/MIB Index | 30 | 03/2023 | EUR | 4,126,500 | 264,555 | — |
FTSE/MIB Index | 11 | 03/2023 | EUR | 1,513,050 | 115,663 | — |
FTSE/MIB Index Mini | 1 | 03/2023 | EUR | 27,510 | 2,384 | — |
Gold | 5 | 12/2023 | JPY | 39,680,000 | — | (865) |
Gold 100 oz. | 2 | 04/2023 | USD | 367,340 | — | (19,690) |
IBEX 35 Index | 26 | 03/2023 | EUR | 2,447,276 | 42,001 | — |
IBEX 35 Index | 5 | 03/2023 | EUR | 470,630 | 6,420 | — |
Japanese Yen | 1 | 03/2023 | USD | 91,994 | 24 | — |
KOSPI 200 Index Mini | 2 | 03/2023 | KRW | 31,580,000 | — | (621) |
Live Cattle | 44 | 04/2023 | USD | 2,912,360 | 71,246 | — |
Live Cattle | 9 | 04/2023 | USD | 595,710 | 11,801 | — |
Live Cattle | 2 | 06/2023 | USD | 129,080 | 3,446 | — |
Live Cattle | 3 | 08/2023 | USD | 192,300 | 2,844 | — |
Live Cattle | 1 | 10/2023 | USD | 65,740 | 1,148 | — |
Mexican Peso | 230 | 03/2023 | USD | 6,262,900 | 506,897 | — |
Mexican Peso | 2 | 03/2023 | USD | 54,460 | 1,878 | — |
MSCI EAFE Index | 39 | 03/2023 | USD | 3,990,870 | — | (125,897) |
MSCI Singapore Index | 35 | 03/2023 | SGD | 1,027,775 | — | (16,375) |
NASDAQ 100 Index E-mini | 1 | 03/2023 | USD | 241,445 | — | (9,751) |
NASDAQ 100 Index E-mini | 4 | 03/2023 | USD | 965,780 | — | (42,248) |
NASDAQ 100 Index Micro E-mini | 1 | 03/2023 | USD | 24,145 | 900 | — |
Nickel | 1 | 06/2023 | USD | 149,160 | — | (13,173) |
Nikkei 225 Index | 10 | 03/2023 | JPY | 274,700,000 | 11,797 | — |
Nikkei 225 Index | 9 | 03/2023 | JPY | 123,502,500 | — | (2,035) |
Nikkei 225 Index | 8 | 03/2023 | JPY | 219,760,000 | — | (4,279) |
Nikkei 225 Index Mini | 95 | 03/2023 | JPY | 260,965,000 | — | (2,694) |
OMXS30 Index | 42 | 03/2023 | SEK | 9,357,600 | — | (4,855) |
OMXS30 Index | 131 | 03/2023 | SEK | 29,186,800 | — | (21,037) |
RBOB Gasoline | 7 | 03/2023 | USD | 776,748 | 10,976 | — |
Robusta Coffee | 3 | 05/2023 | USD | 64,200 | 2,807 | — |
Russell 2000 Index E-mini | 6 | 03/2023 | USD | 569,730 | — | (7,543) |
Russell 2000 Index E-mini | 18 | 03/2023 | USD | 1,709,190 | — | (66,263) |
Russell 2000 Index Micro E-Mini | 2 | 03/2023 | USD | 18,991 | 149 | — |
S&P 500 Index E-mini | 3 | 03/2023 | USD | 596,325 | — | (14,929) |
S&P 500 Index E-mini | 8 | 03/2023 | USD | 1,590,200 | — | (56,818) |
S&P Mid 400 Index E-mini | 2 | 03/2023 | USD | 520,640 | — | (9,423) |
S&P Mid 400 Index E-mini | 14 | 03/2023 | USD | 3,644,480 | — | (81,141) |
S&P/TSX 60 Index | 6 | 03/2023 | CAD | 1,459,920 | — | (17,606) |
S&P/TSX 60 Index | 19 | 03/2023 | CAD | 4,623,080 | — | (55,811) |
SGX CNX Nifty Index | 21 | 03/2023 | USD | 730,758 | — | (19,124) |
SGX TSI Iron Ore China 62% | 46 | 04/2023 | USD | 567,502 | 6,658 | — |
SGX TSI Iron Ore China 62% | 16 | 04/2023 | USD | 197,392 | 297 | — |
SGX USD/CNH FX | 1 | 03/2023 | CNH | 695,200 | 2,945 | — |
Soybean | 11 | 05/2023 | USD | 813,450 | — | (32,824) |
Soybean | 6 | 07/2023 | USD | 440,850 | — | (18,688) |
Soybean | 41 | 07/2023 | USD | 3,012,475 | — | (75,520) |
Soybean | 4 | 11/2023 | USD | 269,450 | — | (9,721) |
Soybean Meal | 13 | 05/2023 | USD | 607,230 | — | (17,599) |
Soybean Meal | 6 | 07/2023 | USD | 274,980 | — | (8,323) |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 37 |
February 28, 2023 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Soybean Meal | 60 | 07/2023 | USD | 2,749,800 | — | (15,681) |
Soybean Oil | 2 | 12/2023 | USD | 69,024 | — | (3,208) |
SPI 200 Index | 9 | 03/2023 | AUD | 1,619,550 | — | (17,230) |
SPI 200 Index | 53 | 03/2023 | AUD | 9,537,350 | — | (101,301) |
STOXX Europe 600 Bank Index | 2 | 03/2023 | EUR | 16,945 | 3,474 | — |
STOXX Europe 600 Index | 85 | 03/2023 | EUR | 1,959,250 | 45,118 | — |
STOXX Europe 600 Index | 17 | 03/2023 | EUR | 391,850 | 10,933 | — |
Sugar #11 | 131 | 04/2023 | USD | 2,944,670 | 174,116 | — |
Sugar #11 | 13 | 04/2023 | USD | 292,219 | 3,206 | — |
Sugar #11 | 4 | 06/2023 | USD | 87,718 | 1,055 | — |
Sugar #11 | 2 | 09/2023 | USD | 43,613 | 712 | — |
Swiss Franc | 1 | 03/2023 | USD | 133,094 | — | (2,495) |
Swiss Franc | 8 | 03/2023 | USD | 1,064,750 | — | (33,795) |
Thai SET50 Index | 119 | 03/2023 | THB | 22,986,040 | — | (21,623) |
TOPIX Index | 34 | 03/2023 | JPY | 678,300,000 | 51,951 | — |
TOPIX Index | 12 | 03/2023 | JPY | 239,400,000 | 13,024 | — |
TOPIX Index Mini | 4 | 03/2023 | JPY | 7,980,000 | 508 | — |
U.S. Dollar Index | 10 | 03/2023 | USD | 1,048,250 | 14,703 | — |
U.S. Treasury 2-Year Note | 83 | 06/2023 | USD | 16,909,305 | — | (49,041) |
U.S. Treasury 5-Year Note | 295 | 06/2023 | USD | 31,581,133 | — | (85,222) |
White Sugar #5 | 2 | 04/2023 | USD | 56,240 | — | (232) |
White Sugar #5 | 2 | 07/2023 | USD | 55,000 | 728 | — |
WIG 20 Index | 5 | 03/2023 | PLN | 185,100 | 505 | — |
Yen Denominated Nikkei 225 Index | 5 | 03/2023 | JPY | 68,562,500 | 3,857 | — |
Total | 2,033,661 | (1,436,081) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
1-Month SOFR | (1) | 07/2023 | USD | (394,615) | 478 | — |
3-Month Aluminum | (2) | 05/2023 | USD | (118,650) | — | (1,441) |
3-Month Euro Euribor | (265) | 06/2023 | EUR | (63,841,813) | 98,449 | — |
3-Month Euro Euribor | (14) | 03/2024 | EUR | (3,365,425) | 24,402 | — |
3-Month Euro Euribor | (3) | 03/2025 | EUR | (725,625) | 5,714 | — |
3-Month Euro Euribor | (2) | 03/2026 | EUR | (485,200) | 2,827 | — |
3-Month SOFR | (286) | 09/2023 | USD | (67,656,875) | 301,355 | — |
3-Month SOFR | (43) | 03/2024 | USD | (10,185,625) | 68,154 | — |
3-Month SONIA | (55) | 09/2023 | GBP | (13,111,313) | 19,781 | — |
3-Month Zinc | (2) | 05/2023 | USD | (150,025) | — | (1,893) |
90-Day AUD Bank Bill | (30) | 06/2023 | AUD | (29,691,050) | 42 | — |
Australian 10-Year Bond | (28) | 03/2023 | AUD | (3,294,486) | 66,279 | — |
Australian 10-Year Bond | (49) | 03/2023 | AUD | (5,765,351) | — | (3,154) |
Australian 3-Year Bond | (153) | 03/2023 | AUD | (16,330,911) | 34,410 | — |
Australian Dollar | (1) | 03/2023 | USD | (67,375) | 2,689 | — |
Australian Dollar | (11) | 03/2023 | USD | (741,125) | 702 | — |
Banker’s Acceptance | (51) | 06/2023 | CAD | (12,101,025) | 14,041 | — |
Brent Crude | (5) | 03/2023 | USD | (417,250) | 1,016 | — |
Brent Crude | (2) | 03/2023 | USD | (166,900) | — | (2,062) |
Brent Crude | (6) | 03/2023 | USD | (500,700) | — | (10,684) |
Brent Crude | (4) | 04/2023 | USD | (331,320) | 1,016 | — |
Brent Crude | (4) | 05/2023 | USD | (329,320) | 1,276 | — |
Brent Crude | (5) | 10/2023 | USD | (399,750) | 2,325 | — |
British Pound | (43) | 03/2023 | USD | (3,240,319) | 12,655 | — |
Canadian Dollar | (104) | 03/2023 | USD | (7,632,040) | 55,894 | — |
Canadian Dollar | (1) | 03/2023 | USD | (73,385) | 129 | — |
Canadian Government 10-Year Bond | (36) | 06/2023 | CAD | (4,373,280) | — | (11,499) |
Canadian Government 10-Year Bond | (73) | 06/2023 | CAD | (8,868,040) | — | (22,308) |
38 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Canadian Government 5-Year Bond | (1) | 06/2023 | CAD | (111,710) | — | (171) |
Canola | (4) | 05/2023 | CAD | (65,456) | 500 | — |
Class III Milk | (1) | 04/2023 | USD | (36,060) | — | (402) |
Coffee | (3) | 05/2023 | USD | (209,588) | — | (12,589) |
Coffee | (1) | 07/2023 | USD | (69,338) | — | (3,321) |
Consumer Staples Select Sector Index E-mini | (1) | 03/2023 | USD | (72,630) | 169 | — |
Corn | (12) | 07/2023 | USD | (373,350) | 4,327 | — |
Cotton | (17) | 05/2023 | USD | (714,255) | 16,613 | — |
Cotton | (2) | 05/2023 | USD | (84,030) | 620 | — |
Crude Oil E-mini | (3) | 03/2023 | USD | (115,575) | 2,608 | — |
Crude Oil E-mini | (1) | 03/2023 | USD | (38,525) | — | (576) |
Crude Palm Oil | (1) | 04/2023 | MYR | (103,225) | — | (1,331) |
Euro FX | (1) | 03/2023 | USD | (132,400) | 3,605 | — |
Euro FX | (1) | 03/2023 | USD | (66,200) | 512 | — |
Euro FX Micro E-mini | (2) | 03/2023 | USD | (26,480) | 173 | — |
Euro STOXX 50 Volatility Index Mini | (1) | 03/2023 | EUR | (1,945) | 148 | — |
Euro-Bobl | (139) | 03/2023 | EUR | (16,010,020) | 207,468 | — |
Euro-Bobl | (57) | 03/2023 | EUR | (6,565,260) | 170,794 | — |
Euro-BTP | (23) | 03/2023 | EUR | (2,591,870) | 82,575 | — |
Euro-BTP | (14) | 03/2023 | EUR | (1,577,660) | — | (20,703) |
Euro-Bund | (23) | 03/2023 | EUR | (3,056,930) | 174,001 | — |
Euro-Bund | (60) | 03/2023 | EUR | (7,974,600) | 118,168 | — |
Euro-Buxl 30-Year | (24) | 03/2023 | EUR | (3,222,720) | 147,590 | — |
Euro-Buxl 30-Year | (3) | 03/2023 | EUR | (402,840) | 24,640 | — |
Eurodollar 90-Day | (11) | 06/2023 | USD | (2,597,925) | 7,297 | — |
Eurodollar 90-Day | (2) | 09/2023 | USD | (471,675) | 872 | — |
Eurodollar 90-Day | (14) | 12/2023 | USD | (3,307,150) | 33,055 | — |
Eurodollar 90-Day | (1) | 03/2024 | USD | (237,025) | 1,461 | — |
Eurodollar 90-Day | (6) | 12/2024 | USD | (1,438,800) | 5,091 | — |
Eurodollar 90-Day | (2) | 03/2026 | USD | (481,900) | 2,672 | — |
Eurodollar 90-Day | (1) | 12/2026 | USD | (241,100) | — | (739) |
Euro-OAT | (85) | 03/2023 | EUR | (10,854,500) | 202,499 | — |
Euro-OAT | (25) | 03/2023 | EUR | (3,192,500) | 150,739 | — |
Euro-Schatz | (428) | 03/2023 | EUR | (44,931,440) | 554,088 | — |
Euro-Schatz | (150) | 03/2023 | EUR | (15,747,000) | 200,871 | — |
Gas Oil | (3) | 04/2023 | USD | (247,500) | — | (6,303) |
Gas Oil | (4) | 04/2023 | USD | (330,000) | — | (15,786) |
Gas Oil | (3) | 05/2023 | USD | (242,850) | — | (3,378) |
Gas Oil | (1) | 06/2023 | USD | (79,775) | — | (626) |
Gas Oil | (2) | 07/2023 | USD | (158,150) | — | (852) |
Gold 100 oz. | (7) | 04/2023 | USD | (1,285,690) | — | (9,692) |
Gold E-micro | (1) | 04/2023 | USD | (18,367) | — | (47) |
Indian Rupee | (1) | 03/2023 | USD | (24,184) | — | (73) |
Indian Rupee | (51) | 03/2023 | USD | (1,233,384) | — | (3,398) |
Industrials Select Sector Index | (1) | 03/2023 | USD | (101,760) | 9 | — |
Japanese 10-Year Government Bond | (5) | 03/2023 | JPY | (733,250,000) | — | (811) |
Japanese Yen | (56) | 03/2023 | USD | (5,151,650) | 61,523 | — |
KLCI Index | (2) | 03/2023 | MYR | (143,800) | — | (14) |
Korea 3-Year Bond | (152) | 03/2023 | KRW | (15,669,680,000) | 127,569 | — |
Lean Hogs | (33) | 04/2023 | USD | (1,124,310) | 31,254 | — |
Lean Hogs | (6) | 04/2023 | USD | (204,420) | 497 | — |
Lean Hogs | (1) | 06/2023 | USD | (40,690) | 898 | — |
Long Gilt | (37) | 06/2023 | GBP | (3,698,520) | 21,198 | — |
Long Gilt | (14) | 06/2023 | GBP | (1,399,440) | 13,339 | — |
Lumber | (2) | 05/2023 | USD | (95,832) | — | (6,044) |
Maize | (3) | 06/2023 | EUR | (41,175) | 1,650 | — |
Milling Wheat | (11) | 05/2023 | EUR | (151,663) | 5,074 | — |
Milling Wheat | (2) | 09/2023 | EUR | (27,150) | 355 | — |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 39 |
February 28, 2023 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | (6) | 03/2023 | USD | (613,980) | 3,721 | — |
MSCI Emerging Markets Index | (2) | 03/2023 | USD | (96,290) | 647 | — |
MSCI Emerging Markets Index | (3) | 03/2023 | USD | (144,435) | 471 | — |
MSCI Singapore Index | (6) | 03/2023 | SGD | (176,190) | 2,904 | — |
Natural Gas | (6) | 03/2023 | USD | (164,820) | — | (20,540) |
Natural Gas | (80) | 03/2023 | USD | (2,197,600) | — | (199,154) |
Natural Gas | (8) | 04/2023 | USD | (229,040) | — | (28,063) |
Natural Gas | (2) | 05/2023 | USD | (60,720) | — | (6,433) |
Natural Gas | (1) | 09/2023 | USD | (33,100) | 8,848 | — |
Natural Gas E-mini | (5) | 03/2023 | USD | (34,338) | — | (4,391) |
New Zealand Dollar | (1) | 03/2023 | USD | (61,890) | — | (296) |
New Zealand Dollar | (11) | 03/2023 | USD | (680,790) | — | (2,234) |
Nikkei 225 Index | (1) | 03/2023 | USD | (137,125) | — | (1,177) |
Norwegian Krone | (19) | 03/2023 | USD | (3,666,620) | 93,060 | — |
NY Harbor ULSD Heat Oil | (4) | 03/2023 | USD | (471,341) | 6,856 | — |
NY Harbor ULSD Heat Oil | (1) | 03/2023 | USD | (117,835) | — | (4,265) |
NY Harbor ULSD Heat Oil | (2) | 04/2023 | USD | (231,353) | 3,819 | — |
NY Harbor ULSD Heat Oil | (2) | 05/2023 | USD | (227,858) | 3,277 | — |
Oat | (1) | 05/2023 | USD | (16,750) | 585 | — |
Palladium | (3) | 06/2023 | USD | (426,270) | 27,866 | — |
Palladium | (1) | 06/2023 | USD | (142,090) | 3,688 | — |
Platinum | (1) | 04/2023 | USD | (47,775) | — | (422) |
Primary Aluminum | (7) | 06/2023 | USD | (417,200) | 9,779 | — |
Rapeseed | (2) | 04/2023 | EUR | (52,825) | 1,773 | — |
Rapeseed | (1) | 04/2023 | EUR | (26,413) | — | (332) |
Rapeseed | (1) | 07/2023 | EUR | (26,450) | 1,974 | — |
RBOB Gasoline | (2) | 03/2023 | USD | (221,928) | — | (1,053) |
RBOB Gasoline | (1) | 04/2023 | USD | (110,544) | — | (1,925) |
RBOB Gasoline | (2) | 05/2023 | USD | (218,173) | — | (142) |
Rubber | (1) | 07/2023 | JPY | (1,111,000) | 50 | — |
Short Term Euro-BTP | (31) | 03/2023 | EUR | (3,261,820) | 45,638 | — |
Short Term Euro-BTP | (84) | 03/2023 | EUR | (8,838,480) | 25,817 | — |
Silver | (1) | 05/2023 | USD | (105,355) | — | (1,207) |
Silver | (12) | 05/2023 | USD | (1,264,260) | — | (3,273) |
South African Rand | (130) | 03/2023 | USD | (3,536,000) | 144,250 | — |
South African Rand | (1) | 03/2023 | USD | (27,200) | 1,724 | — |
Soybean Oil | (6) | 05/2023 | USD | (216,144) | 7,505 | — |
Soybean Oil | (3) | 07/2023 | USD | (107,550) | 4,127 | — |
Soybean Oil | (9) | 07/2023 | USD | (322,650) | 1,111 | — |
Swedish Krona | (16) | 03/2023 | USD | (3,064,960) | — | (6,939) |
U.S. Long Bond | (40) | 06/2023 | USD | (5,008,750) | 11,132 | — |
U.S. Long Bond | (19) | 06/2023 | USD | (2,379,156) | 9,144 | — |
U.S. Treasury 10-Year Note | (115) | 06/2023 | USD | (12,840,469) | 3,555 | — |
U.S. Treasury 10-Year Note | (45) | 06/2023 | USD | (5,024,531) | 2,897 | — |
U.S. Treasury 2-Year Note | (233) | 06/2023 | USD | (47,468,289) | 138,379 | — |
U.S. Treasury 2-Year Note | (110) | 06/2023 | USD | (22,409,922) | 65,478 | — |
U.S. Treasury 5-Year Note | (207) | 06/2023 | USD | (22,160,320) | 42,618 | — |
U.S. Treasury 5-Year Note | (66) | 06/2023 | USD | (7,065,609) | 11,350 | — |
U.S. Treasury Ultra 10-Year Note | (76) | 06/2023 | USD | (8,906,250) | 64,358 | — |
U.S. Treasury Ultra 10-Year Note | (28) | 06/2023 | USD | (3,281,250) | 1,084 | — |
U.S. Treasury Ultra 10-Year Note | (61) | 06/2023 | USD | (7,148,438) | — | (9,681) |
U.S. Treasury Ultra 10-Year Note | (75) | 06/2023 | USD | (8,789,063) | — | (25,276) |
U.S. Treasury Ultra Bond | (6) | 06/2023 | USD | (810,375) | 3,931 | — |
U.S. Treasury Ultra Bond | (1) | 06/2023 | USD | (135,063) | 154 | — |
U.S. Treasury Ultra Bond | (23) | 06/2023 | USD | (3,106,438) | — | (8,456) |
U.S. Treasury Ultra Bond | (42) | 06/2023 | USD | (5,672,625) | — | (31,814) |
Volatility Index | (2) | 03/2023 | USD | (4,156) | 271 | — |
Volatility Index | (1) | 03/2023 | USD | (20,776) | — | (27) |
40 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Wheat | (14) | 05/2023 | USD | (493,850) | 40,532 | — |
Wheat | (4) | 05/2023 | USD | (162,550) | 12,253 | — |
Wheat | (38) | 07/2023 | USD | (1,356,125) | 118,251 | — |
Wheat | (5) | 07/2023 | USD | (201,625) | 18,719 | — |
Wheat | (1) | 07/2023 | USD | (35,688) | 2,223 | — |
Wheat | (3) | 12/2023 | USD | (111,150) | 11,231 | — |
WTI Crude | (2) | 03/2023 | USD | (154,100) | 1,328 | — |
WTI Crude | (3) | 03/2023 | USD | (231,150) | — | (285) |
WTI Crude | (25) | 03/2023 | USD | (1,926,250) | — | (20,509) |
WTI Crude | (1) | 04/2023 | USD | (77,190) | 1,249 | — |
WTI Crude | (4) | 04/2023 | USD | (308,760) | — | (2,466) |
WTI Crude | (4) | 05/2023 | USD | (308,560) | 664 | — |
WTI Crude | (1) | 06/2023 | USD | (76,900) | 2,599 | — |
WTI Crude | (2) | 06/2023 | USD | (153,800) | 947 | — |
WTI Crude | (3) | 11/2023 | USD | (223,770) | — | (1,645) |
Total | 4,053,993 | (521,902) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
NuVasive, Inc. | Goldman Sachs | USD | 121,044 | 28 | 50.00 | 03/17/2023 | 2,839 | 560 |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
Horizon Therapeutics PLC | Goldman Sachs | USD | 394,164 | 36 | 85.00 | 05/19/2023 | 2,485 | 2,250 |
Momentive Global, Inc. | Goldman Sachs | USD | 754,170 | 1,093 | 6.00 | 04/21/2023 | 60,135 | 24,592 |
Total | 62,620 | 26,842 |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 1.390% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Citi | 09/28/2025 | USD | 12,000,000 | (732,722) | — | — | — | (732,722) |
3-Month USD LIBOR | Fixed rate of 1.870% | Receives Quarterly, Pays SemiAnnually | Citi | 09/28/2053 | USD | 1,000,000 | 291,061 | — | — | 291,061 | — |
Total | (441,661) | — | — | 291,061 | (732,722) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
3-Month USD LIBOR | London Interbank Offered Rate | 4.971% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 28, 2023, the total value of these securities amounted to $88,158,692, which represents 16.44% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of February 28, 2023. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of February 28, 2023. |
(d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 28, 2023, the total value of these securities amounted to $9,072,513, which represents 1.69% of total net assets. |
(e) | Valuation based on significant unobservable inputs. |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 41 |
February 28, 2023 (Unaudited)
(f) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(g) | Represents a security purchased on a when-issued basis. |
(h) | Non-income producing investment. |
(i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(j) | This security or a portion of this security has been pledged as collateral in connection with investments sold short. |
(k) | Zero coupon bond. |
(l) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(m) | Represents a security purchased on a forward commitment basis. |
(n) | 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 February 28, 2023. |
(o) | Represents a security in default. |
(p) | Principal and interest may not be guaranteed by a governmental entity. |
(q) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 28, 2023, the total market value of these securities amounted to $159,408, which represents 0.03% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Abiomed, Inc., CVR | 12/21/2022 | 15,541 | — | 23,311 |
Cincor Pharma, Inc. | 01/09/2023-02/23/2023 | 44,405 | 135,474 | 136,097 |
135,474 | 159,408 |
(r) | The stated interest rate represents the weighted average interest rate at February 28, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(s) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(t) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
186,518,946 | 244,762,550 | (217,077,152) | 15,859 | 214,220,203 | 3,842 | 3,725,057 | 214,305,925 |
ADR | American Depositary Receipt |
BAM | Build America Mutual Assurance Co. |
BNY | Bank of New York |
CMO | Collateralized Mortgage Obligation |
CVR | Contingent Value Rights |
FGIC | Financial Guaranty Insurance Corporation |
FHLMC | Federal Home Loan Mortgage Corporation |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
NIBOR | Norwegian Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
42 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
TBA | To Be Announced |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
CNH | Yuan Offshore Renminbi |
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 |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai 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). |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 43 |
February 28, 2023 (Unaudited)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 13,136,659 | 119,883 | 13,256,542 |
Commercial Mortgage-Backed Securities - Agency | — | 1,906,001 | — | 1,906,001 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 14,368,767 | — | 14,368,767 |
Common Stocks | ||||
Communication Services | 13,064,552 | — | 0* | 13,064,552 |
Consumer Discretionary | 3,786,482 | — | 776,208 | 4,562,690 |
Consumer Staples | — | — | 0* | 0* |
Energy | 423,300 | — | — | 423,300 |
Financials | 8,192,118 | 143,398 | — | 8,335,516 |
Health Care | 14,741,788 | 1,851,297 | — | 16,593,085 |
Industrials | 14,874,286 | 1,367,278 | — | 16,241,564 |
Information Technology | 19,468,718 | — | 8,017,014 | 27,485,732 |
Materials | 1,670,786 | — | — | 1,670,786 |
Real Estate | 1,320,221 | — | — | 1,320,221 |
Utilities | 4,184,600 | 839,444 | — | 5,024,044 |
Total Common Stocks | 81,726,851 | 4,201,417 | 8,793,222 | 94,721,490 |
Convertible Bonds | — | 2,847,598 | — | 2,847,598 |
Convertible Preferred Stocks | ||||
Communication Services | — | 539,707 | — | 539,707 |
Health Care | — | 105,996 | — | 105,996 |
Utilities | — | 1,712,663 | — | 1,712,663 |
Total Convertible Preferred Stocks | — | 2,358,366 | — | 2,358,366 |
Corporate Bonds & Notes | — | 87,243,762 | — | 87,243,762 |
Foreign Government Obligations | — | 30,715,892 | — | 30,715,892 |
Limited Partnerships | ||||
Energy | 4,107,392 | — | — | 4,107,392 |
Total Limited Partnerships | 4,107,392 | — | — | 4,107,392 |
Municipal Bonds | — | 977,379 | — | 977,379 |
Preferred Debt | 195,154 | — | — | 195,154 |
Preferred Stocks | ||||
Financials | 299,466 | — | — | 299,466 |
Total Preferred Stocks | 299,466 | — | — | 299,466 |
Residential Mortgage-Backed Securities - Agency | — | 25,638,091 | — | 25,638,091 |
Residential Mortgage-Backed Securities - Non-Agency | — | 37,066,843 | — | 37,066,843 |
Rights | ||||
Health Care | — | — | 159,408 | 159,408 |
Total Rights | — | — | 159,408 | 159,408 |
Senior Loans | — | 905,893 | — | 905,893 |
44 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Treasury Bills | — | 9,207,509 | — | 9,207,509 |
U.S. Treasury Obligations | — | 12,531,533 | — | 12,531,533 |
Options Purchased Calls | 560 | — | — | 560 |
Options Purchased Puts | 26,842 | — | — | 26,842 |
Money Market Funds | 214,220,203 | — | — | 214,220,203 |
Total Investments in Securities | 300,576,468 | 243,105,710 | 9,072,513 | 552,754,691 |
Investments in Securities Sold Short | ||||
Common Stocks | ||||
Communication Services | (427,000) | — | — | (427,000) |
Energy | (220,874) | — | — | (220,874) |
Financials | (179,473) | — | — | (179,473) |
Health Care | (120,785) | — | — | (120,785) |
Industrials | (1,279,784) | — | — | (1,279,784) |
Information Technology | (2,969,686) | — | — | (2,969,686) |
Total Common Stocks | (5,197,602) | — | — | (5,197,602) |
Total Investments in Securities Sold Short | (5,197,602) | — | — | (5,197,602) |
Total Investments in Securities, Net of Securities Sold Short | 295,378,866 | 243,105,710 | 9,072,513 | 547,557,089 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 2,122,811 | — | 2,122,811 |
Futures Contracts | 6,087,654 | — | — | 6,087,654 |
Swap Contracts | — | 291,061 | — | 291,061 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (1,489,650) | — | (1,489,650) |
Futures Contracts | (1,957,983) | — | — | (1,957,983) |
Swap Contracts | — | (732,722) | — | (732,722) |
Total | 299,508,537 | 243,297,210 | 9,072,513 | 551,878,260 |
* | Rounds to zero. |
Balance as of 08/31/2022 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 02/28/2023 ($) | |
Asset-Backed Securities — Non-Agency | — | — | — | — | 119,883 | — | — | — | 119,883 |
Common Stocks | 10,610,268 | — | 105,455 | 10,747 | 1,061,714 | (10,249,689) | 7,254,727 | — | 8,793,222 |
Residential Mortgage-Backed Securities — Non-Agency | 556,698 | — | — | — | — | — | — | (556,698) | — |
Rights | 21,310 | — | 59,852 | 2,625 | 135,473 | (59,852) | — | — | 159,408 |
Senior Loans | 138,649 | (8) | (23,588) | 12,375 | — | (127,428) | — | — | — |
Common Stocks - Investments Sold Short | (20,890) | — | — | — | 20,890 | — | — | — | — |
Total | 11,306,035 | (8) | 141,719 | 25,747 | 1,337,960 | (10,436,969) | 7,254,727 | (556,698) | 9,072,513 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 45 |
February 28, 2023 (Unaudited)
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances.
46 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $362,066,229) | $338,507,086 |
Affiliated issuers (cost $214,213,567) | 214,220,203 |
Options purchased (cost $65,459) | 27,402 |
Cash | 13,406 |
Foreign currency (cost $109,704) | 109,659 |
Cash collateral held at broker for: | |
Forward foreign currency exchange contracts | 1,950,000 |
Other(a) | 4,817,439 |
Margin deposits on: | |
Futures contracts | 18,942,270 |
Swap contracts | 274,283 |
Unrealized appreciation on forward foreign currency exchange contracts | 2,122,811 |
Receivable for: | |
Investments sold | 2,807,786 |
Investments sold on a delayed delivery basis | 6,988,372 |
Capital shares sold | 514,020 |
Dividends | 759,201 |
Interest | 1,799,972 |
Foreign tax reclaims | 37,139 |
Variation margin for futures contracts | 845,106 |
Variation margin for swap contracts | 2,397 |
Prepaid expenses | 4,833 |
Trustees’ deferred compensation plan | 83,282 |
Other assets | 12,225 |
Total assets | 594,838,892 |
Liabilities | |
Securities sold short, at value (proceeds $4,944,004) | 5,197,602 |
Unrealized depreciation on forward foreign currency exchange contracts | 1,489,650 |
Cash collateral due to broker for: | |
TBA | 268,000 |
Payable for: | |
Investments purchased | 18,829,597 |
Investments purchased on a delayed delivery basis | 30,608,364 |
Capital shares purchased | 958,877 |
Dividends and interest on securities sold short | 2,805 |
Variation margin for futures contracts | 876,405 |
Variation margin for swap contracts | 1,251 |
Management services fees | 16,137 |
Transfer agent fees | 40,336 |
Compensation of board members | 17,827 |
Compensation of chief compliance officer | 50 |
Other expenses | 66,216 |
Trustees’ deferred compensation plan | 83,282 |
Total liabilities | 58,456,399 |
Net assets applicable to outstanding capital stock | $536,382,493 |
Represented by | |
Paid in capital | 624,739,415 |
Total distributable earnings (loss) | (88,356,922) |
Total - representing net assets applicable to outstanding capital stock | $536,382,493 |
Institutional Class | |
Net assets | $536,382,493 |
Shares outstanding | 58,910,702 |
Net asset value per share | $9.11 |
(a) | Includes collateral related to options purchased, forward foreign currency exchange contracts and securities sold short. |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 47 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $919,800 |
Dividends — affiliated issuers | 3,725,057 |
Interest | 4,990,306 |
Interfund lending | 930 |
Foreign taxes withheld | (10,617) |
Total income | 9,625,476 |
Expenses: | |
Management services fees | 2,880,855 |
Transfer agent fees | |
Institutional Class | 291,528 |
Compensation of board members | 12,586 |
Custodian fees | 46,932 |
Printing and postage fees | 22,512 |
Registration fees | 26,136 |
Audit fees | 25,342 |
Legal fees | 9,787 |
Interest on collateral | 90 |
Compensation of chief compliance officer | 50 |
Other | 9,858 |
Total expenses | 3,325,676 |
Net investment income | 6,299,800 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (3,015,150) |
Investments — affiliated issuers | 3,842 |
Foreign currency translations | (442,094) |
Forward foreign currency exchange contracts | (881,091) |
Futures contracts | 788,743 |
Options purchased | (372,134) |
Options contracts written | (60,692) |
Securities sold short | 325,506 |
Swap contracts | 7,502 |
Net realized loss | (3,645,568) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 186,286 |
Investments — affiliated issuers | 15,859 |
Foreign currency translations | 65,746 |
Forward foreign currency exchange contracts | (1,623,373) |
Futures contracts | (251,815) |
Options purchased | 96,521 |
Options contracts written | (14,670) |
Securities sold short | (265,509) |
Swap contracts | (203,583) |
Net change in unrealized appreciation (depreciation) | (1,994,538) |
Net realized and unrealized loss | (5,640,106) |
Net increase in net assets resulting from operations | $659,694 |
48 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income | $6,299,800 | $2,467,772 |
Net realized gain (loss) | (3,645,568) | 31,428,278 |
Net change in unrealized appreciation (depreciation) | (1,994,538) | (20,081,146) |
Net increase in net assets resulting from operations | 659,694 | 13,814,904 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Institutional Class | (37,236,968) | (7,521,528) |
Total distributions to shareholders | (37,236,968) | (7,521,528) |
Increase in net assets from capital stock activity | 38,590,887 | 3,155,658 |
Total increase in net assets | 2,013,613 | 9,449,034 |
Net assets at beginning of period | 534,368,880 | 524,919,846 |
Net assets at end of period | $536,382,493 | $534,368,880 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Institutional Class | ||||
Subscriptions | 6,997,427 | 66,117,232 | 13,339,999 | 128,899,389 |
Distributions reinvested | 4,119,134 | 37,236,968 | 797,617 | 7,521,528 |
Redemptions | (6,764,880) | (64,763,313) | (13,831,115) | (133,265,259) |
Net increase | 4,351,681 | 38,590,887 | 306,501 | 3,155,658 |
Total net increase | 4,351,681 | 38,590,887 | 306,501 | 3,155,658 |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 49 |
Institutional Class | Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Per share data | ||||||
Net asset value, beginning of period | $9.79 | $9.68 | $9.38 | $9.36 | $9.08 | $9.03 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.11 | 0.05 | 0.02 | 0.08 | 0.22 | 0.11 |
Net realized and unrealized gain (loss) | (0.09) | 0.20 | 0.36 | 0.13 | 0.19 | (0.06) |
Total from investment operations | 0.02 | 0.25 | 0.38 | 0.21 | 0.41 | 0.05 |
Distributions to shareholders | ||||||
Distributions from net investment income | (0.67) | (0.14) | (0.08) | (0.19) | (0.13) | — |
Distributions from net realized gains | (0.03) | — | — | — | — | — |
Total distributions to shareholders | (0.70) | (0.14) | (0.08) | (0.19) | (0.13) | — |
Net asset value, end of period | $9.11 | $9.79 | $9.68 | $9.38 | $9.36 | $9.08 |
Total return | 0.26% | 2.60% | 4.12% | 2.34% | 4.62% | 0.55% |
Ratios to average net assets | ||||||
Total gross expenses(a) | 1.27%(b),(c),(d) | 1.31%(c),(d) | 1.36%(c),(d) | 1.39%(c) | 1.27%(c) | 1.34%(c) |
Total net expenses(a),(e) | 1.27%(b),(c),(d) | 1.31%(c),(d) | 1.36%(c),(d) | 1.39%(c) | 1.27%(c) | 1.34%(c) |
Net investment income | 2.40%(b) | 0.47% | 0.23% | 0.91% | 2.43% | 1.18% |
Supplemental data | ||||||
Net assets, end of period (in thousands) | $536,382 | $534,369 | $524,920 | $480,367 | $502,726 | $570,839 |
Portfolio turnover | 103% | 171% | 203% | 188% | 226% | 256% |
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) | Annualized. |
(c) | Ratios include dividends and interest on securities sold short. If dividends and interest on securities sold short had been excluded, annualized expenses would have been lower by: |
Class | 2/28/2023 | 8/31/2022 | 8/31/2021 | 8/31/2020 | 8/31/2019 | 8/31/2018 |
Institutional Class | —% | 0.04% | 0.10% | 0.10% | —% | 0.07% |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
50 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
ASGM Offshore Fund, Ltd. | ASMF Offshore Fund, Ltd. | |
% of consolidated fund net assets | 1.37% | 1.71% |
Net assets | $7,336,477 | $9,161,863 |
Net investment income (loss) | 102,578 | 91,502 |
Net realized gain (loss) | (2,341,209) | (3,159,794) |
Net change in unrealized appreciation (depreciation) | (333,510) | (35,973) |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 51 |
February 28, 2023 (Unaudited)
52 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 53 |
February 28, 2023 (Unaudited)
54 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 55 |
February 28, 2023 (Unaudited)
56 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,142,502* |
Equity risk | Investments, at value — Options Purchased | 27,402 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 2,122,811 |
Foreign exchange risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 903,363* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 3,307,454* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 291,061* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 734,335* |
Total | 8,528,928 |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 883,810* |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 1,489,650 |
Foreign exchange risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 131,167* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 268,875* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 732,722* |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 674,131* |
Total | 4,180,355 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 57 |
February 28, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | (5,389,698) | — | — | — | (5,389,698) |
Equity risk | — | (2,774,219) | (60,692) | (372,134) | 7,519 | (3,199,526) |
Foreign exchange risk | (881,091) | 1,297,284 | — | — | — | 416,193 |
Interest rate risk | — | 7,655,376 | — | — | (17) | 7,655,359 |
Total | (881,091) | 788,743 | (60,692) | (372,134) | 7,502 | (517,672) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | (372,271) | — | — | — | (372,271) |
Equity risk | — | 249,020 | (14,670) | 96,521 | (11,482) | 319,389 |
Foreign exchange risk | (1,623,373) | (1,168,271) | — | — | — | (2,791,644) |
Interest rate risk | — | 1,039,707 | — | — | (192,101) | 847,606 |
Total | (1,623,373) | (251,815) | (14,670) | 96,521 | (203,583) | (1,996,920) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 158,135,752 |
Futures contracts — short | 533,872,001 |
Derivative instrument | Average value ($) |
Options contracts — purchased | 58,685* |
Options contracts — written | (47,245)** |
Derivative instrument | Average unrealized appreciation ($) | Average unrealized depreciation ($) |
Forward foreign currency exchange contracts | 2,343,541* | (3,145,103)* |
Interest rate swap contracts | 276,656* | (648,653)* |
Total return swap contracts | 1,393** | (1,524)** |
* | Based on the ending quarterly outstanding amounts for the six months ended February 28, 2023. |
** | Based on the ending daily outstanding amounts for the six months ended February 28, 2023. |
58 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 59 |
February 28, 2023 (Unaudited)
60 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
ANZ Securities ($) | Barclays ($) | BNY Capital Markets ($) | BMO Capital Markets Corp. ($) | Citi ($) (a) | Citi ($) (a) | CIBC ($) | Deutsche Bank ($) | Goldman Sachs ($) (a) | Goldman Sachs ($) (a) | |
Assets | ||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | 2,397 | - | - | - | - | - |
Forward foreign currency exchange contracts | 73,785 | 13,094 | 278 | - | - | 56,365 | 23,784 | 251,730 | 205,788 | 14,512 |
Options purchased calls | - | - | - | - | - | - | - | - | 560 | - |
Options purchased puts | - | - | - | - | - | - | - | - | 26,842 | - |
Total assets | 73,785 | 13,094 | 278 | - | 2,397 | 56,365 | 23,784 | 251,730 | 233,190 | 14,512 |
Liabilities | ||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | 1,251 | - | - | - | - | - |
Forward foreign currency exchange contracts | - | 4,721 | - | 1,740 | - | 158,312 | 9,755 | 95,880 | 93,301 | 114,092 |
Securities borrowed | - | - | - | - | - | - | - | - | 5,197,602 | - |
Total liabilities | - | 4,721 | - | 1,740 | 1,251 | 158,312 | 9,755 | 95,880 | 5,290,903 | 114,092 |
Total financial and derivative net assets | 73,785 | 8,373 | 278 | (1,740) | 1,146 | (101,947) | 14,029 | 155,850 | (5,057,713) | (99,580) |
Total collateral received (pledged) (c) | - | - | - | - | - | - | - | - | (5,057,713) | - |
Net amount (d) | 73,785 | 8,373 | 278 | (1,740) | 1,146 | (101,947) | 14,029 | 155,850 | - | (99,580) |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Consolidated Statement of Assets and Liabilities. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
HSBC ($) | JPMorgan ($) (a) | JPMorgan ($) (a) | Morgan Stanley ($) | National Australia Bank ($) | RBC Capital Markets ($) | Standard Chartered ($) | State Street ($) | TD Securities ($) | UBS ($) | Total ($) | |
Assets | |||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | - | - | - | - | 2,397 |
Forward foreign currency exchange contracts | 11,472 | 971,652 | 106,721 | 124,888 | 17,611 | 23,141 | 1,789 | 139,465 | 172 | 86,564 | 2,122,811 |
Options purchased calls | - | - | - | - | - | - | - | - | - | - | 560 |
Options purchased puts | - | - | - | - | - | - | - | - | - | - | 26,842 |
Total assets | 11,472 | 971,652 | 106,721 | 124,888 | 17,611 | 23,141 | 1,789 | 139,465 | 172 | 86,564 | 2,152,610 |
Liabilities | |||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | - | - | - | - | 1,251 |
Forward foreign currency exchange contracts | 18,618 | 805,543 | 51,367 | 77,238 | - | 28,413 | 787 | 26,703 | - | 3,180 | 1,489,650 |
Securities borrowed | - | - | - | - | - | - | - | - | - | - | 5,197,602 |
Total liabilities | 18,618 | 805,543 | 51,367 | 77,238 | - | 28,413 | 787 | 26,703 | - | 3,180 | 6,688,503 |
Total financial and derivative net assets | (7,146) | 166,109 | 55,354 | 47,650 | 17,611 | (5,272) | 1,002 | 112,762 | 172 | 83,384 | (4,535,893) |
Total collateral received (pledged) (c) | - | - | - | - | - | - | - | - | - | - | (5,057,713) |
Net amount (d) | (7,146) | 166,109 | 55,354 | 47,650 | 17,611 | (5,272) | 1,002 | 112,762 | 172 | 83,384 | 521,820 |
(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 on the Consolidated Statement of Assets and Liabilities. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 61 |
February 28, 2023 (Unaudited)
62 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 63 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Institutional Class | 0.11 |
64 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Fee rate(s) contractual through December 31, 2023 | |
Institutional Class | 1.37% |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
571,401,000 | 11,451,000 | (30,974,000) | (19,523,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
— | (8,594,898) | (8,594,898) |
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 65 |
February 28, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,433,333 | 4.18 | 6 |
66 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 67 |
February 28, 2023 (Unaudited)
68 | Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023 | 69 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/02 | -0.96 | -10.30 | 5.93 | 7.58 |
Including sales charges | -6.65 | -15.45 | 4.68 | 6.95 | ||
Advisor Class | 11/08/12 | -0.82 | -10.06 | 6.19 | 7.85 | |
Class C | Excluding sales charges | 10/13/03 | -1.30 | -10.94 | 5.14 | 6.79 |
Including sales charges | -2.25 | -11.80 | 5.14 | 6.79 | ||
Institutional Class | 10/01/91 | -0.81 | -10.05 | 6.20 | 7.85 | |
Institutional 2 Class | 03/07/11 | -0.81 | -10.03 | 6.24 | 7.93 | |
Institutional 3 Class | 11/08/12 | -0.78 | -9.97 | 6.29 | 7.98 | |
Class R | 09/27/10 | -1.08 | -10.52 | 5.67 | 7.32 | |
Blended Benchmark | 0.07 | -8.16 | 6.39 | 7.93 | ||
S&P 500 Index | 1.26 | -7.69 | 9.82 | 12.25 | ||
Bloomberg U.S. Aggregate Bond Index | -2.13 | -9.72 | 0.53 | 1.12 |
Columbia Balanced Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023) | |
Asset-Backed Securities — Non-Agency | 6.5 |
Commercial Mortgage-Backed Securities - Non-Agency | 6.3 |
Common Stocks | 51.2 |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 6.5 |
Exchange-Traded Equity Funds | 1.7 |
Foreign Government Obligations | 0.0(a) |
Money Market Funds | 6.0 |
Residential Mortgage-Backed Securities - Agency | 11.0 |
Residential Mortgage-Backed Securities - Non-Agency | 10.4 |
Senior Loans | 0.0(a) |
U.S. Treasury Obligations | 0.4 |
Total | 100.0 |
(a) | Rounds to zero. |
4 | Columbia Balanced Fund | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 990.40 | 1,020.13 | 4.64 | 4.71 | 0.94 |
Advisor Class | 1,000.00 | 1,000.00 | 991.80 | 1,021.37 | 3.41 | 3.46 | 0.69 |
Class C | 1,000.00 | 1,000.00 | 987.00 | 1,016.41 | 8.33 | 8.45 | 1.69 |
Institutional Class | 1,000.00 | 1,000.00 | 991.90 | 1,021.37 | 3.41 | 3.46 | 0.69 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 991.90 | 1,021.57 | 3.21 | 3.26 | 0.65 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 992.20 | 1,021.82 | 2.96 | 3.01 | 0.60 |
Class R | 1,000.00 | 1,000.00 | 989.20 | 1,018.89 | 5.87 | 5.96 | 1.19 |
Columbia Balanced Fund | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 7.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACM Auto Trust(a) | ||||
Subordinated Series 2022-1A Class C | ||||
04/20/2029 | 5.480% | 10,625,000 | 10,502,401 | |
ALM Ltd.(a),(b) | ||||
Series 2022-20A Class A2 | ||||
3-month Term SOFR + 2.000% Floor 2.000% 07/15/2037 | 6.658% | 8,450,000 | 8,459,540 | |
American Credit Acceptance Receivables Trust(a) | ||||
Series 2020-1 Class D | ||||
03/13/2026 | 2.390% | 12,809,225 | 12,679,314 | |
Subordinated Series 2021-1 Class C | ||||
03/15/2027 | 0.830% | 4,804,432 | 4,722,977 | |
Subordinated Series 2021-2 Class E | ||||
07/13/2027 | 2.540% | 3,850,000 | 3,566,036 | |
Apidos CLO XI(a),(b) | ||||
Series 2012-11A Class BR3 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 04/17/2034 | 6.442% | 12,575,000 | 12,303,569 | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class A1B | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 01/20/2031 | 5.958% | 5,925,000 | 5,797,079 | |
Aqua Finance Trust(a) | ||||
Series 2021-A Class A | ||||
07/17/2046 | 1.540% | 3,746,581 | 3,337,707 | |
Ares LVIII CLO Ltd.(a),(b) | ||||
Series 2020-58A Class DR | ||||
3-month Term SOFR + 3.200% Floor 3.200% 01/15/2035 | 7.832% | 3,025,000 | 2,794,096 | |
ARES XLVII CLO Ltd.(a),(b) | ||||
Series 2018-47A Class B | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 04/15/2030 | 6.242% | 3,450,000 | 3,363,712 | |
Avant Loans Funding Trust(a) | ||||
Subordinated Series 2021-REV1 Class C | ||||
07/15/2030 | 2.300% | 2,100,000 | 1,924,501 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2021-7A Class B | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 01/22/2035 | 6.465% | 15,750,000 | 15,260,474 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A1 | ||||
3-month USD LIBOR + 1.000% 04/20/2031 | 5.808% | 3,450,000 | 3,420,606 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2018-4A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 10/15/2030 | 6.492% | 22,000,000 | 21,724,956 | |
Basswood Park CLO Ltd.(a),(b) | ||||
Series 2021-1A Class A | ||||
3-month USD LIBOR + 1.000% Floor 1.000% 04/20/2034 | 5.808% | 6,725,000 | 6,593,143 | |
Carbone CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1 | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 01/20/2031 | 5.948% | 12,000,000 | 11,916,828 | |
Carlyle CLO Ltd.(a),(b) | ||||
Series C17A Class CR | ||||
3-month USD LIBOR + 2.800% Floor 2.800% 04/30/2031 | 7.602% | 1,925,000 | 1,754,470 | |
Carlyle Group LP(a),(b) | ||||
Series 2017-5A Class A2 | ||||
3-month USD LIBOR + 1.400% 01/20/2030 | 6.208% | 2,000,000 | 1,942,474 | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2016-4A Class A2R | ||||
3-month USD LIBOR + 1.450% Floor 1.450% 10/20/2027 | 6.258% | 21,575,000 | 21,232,130 | |
Carmax Auto Owner Trust | ||||
Subordinated Series 2021-1 Class C | ||||
12/15/2026 | 0.940% | 1,650,000 | 1,492,037 | |
Cascade Funding Mortgage Trust(a) | ||||
CMO Series 2021-GRN1 Class A | ||||
03/20/2041 | 1.100% | 3,395,483 | 3,126,720 | |
Crossroads Asset Trust(a) | ||||
Subordinated Series 2021-A Class B | ||||
06/20/2025 | 1.120% | 1,175,000 | 1,158,232 | |
Drive Auto Receivables Trust | ||||
Subordinated Series 2020-2 Class D | ||||
05/15/2028 | 3.050% | 1,875,000 | 1,831,265 | |
Subordinated Series 2021-2 Class D | ||||
03/15/2029 | 1.390% | 22,110,000 | 20,592,182 |
6 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2018-55A Class A1 | ||||
3-month USD LIBOR + 1.020% 04/15/2031 | 5.812% | 8,450,000 | 8,371,398 | |
Dryden Senior Loan Fund(a),(b) | ||||
Series 2015-41A Class AR | ||||
3-month USD LIBOR + 0.970% Floor 0.970% 04/15/2031 | 5.800% | 13,175,000 | 13,022,210 | |
Series 2016-42A Class BR | ||||
3-month USD LIBOR + 1.550% 07/15/2030 | 6.342% | 6,025,000 | 5,915,050 | |
DT Auto Owner Trust(a) | ||||
Series 2019-3A Class D | ||||
04/15/2025 | 2.960% | 6,578,452 | 6,497,041 | |
Series 2020-2A Class D | ||||
03/16/2026 | 4.730% | 3,235,000 | 3,190,651 | |
Subordinated Series 2020-1A Class D | ||||
11/17/2025 | 2.550% | 8,900,000 | 8,700,566 | |
Subordinated Series 2020-3A Class D | ||||
06/15/2026 | 1.840% | 6,125,000 | 5,705,722 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2019-4A Class D | ||||
09/15/2025 | 2.580% | 6,261,916 | 6,136,377 | |
Subordinated Series 2020-1A Class D | ||||
12/15/2025 | 2.730% | 5,667,611 | 5,553,831 | |
Subordinated Series 2020-2A Class D | ||||
04/15/2026 | 4.730% | 2,200,000 | 2,181,248 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2020-3A Class D | ||||
07/15/2026 | 1.730% | 3,775,000 | 3,649,929 | |
Subordinated Series 2021-1A Class D | ||||
11/16/2026 | 1.080% | 7,752,000 | 7,294,912 | |
Subordinated Series 2021-3A Class D | ||||
06/15/2027 | 1.550% | 25,630,000 | 23,385,696 | |
Foundation Finance Trust(a) | ||||
Series 2019-1A Class A | ||||
11/15/2034 | 3.860% | 990,138 | 971,288 | |
Foursight Capital Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-1 Class D | ||||
03/15/2027 | 1.320% | 5,075,000 | 4,741,836 | |
Freed ABS Trust(a) | ||||
Subordinated Series 2021-1CP Class C | ||||
03/20/2028 | 2.830% | 600,000 | 594,306 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2019-4A Class C | ||||
08/15/2025 | 3.060% | 4,952,008 | 4,888,954 | |
Subordinated Series 2020-1A Class C | ||||
11/17/2025 | 2.720% | 8,563,264 | 8,404,319 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GoldentTree Loan Management US CLO 1 Ltd.(a),(b) | ||||
Series 2021-10A Class A | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 07/20/2034 | 5.908% | 9,175,000 | 9,019,098 | |
Hilton Grand Vacations Trust(a) | ||||
Series 2018-AA Class A | ||||
02/25/2032 | 3.540% | 1,047,207 | 1,011,506 | |
Series 2019-AA Class A | ||||
07/25/2033 | 2.340% | 2,451,166 | 2,278,621 | |
Jay Park CLO Ltd.(a),(b) | ||||
Series 2016-1A Class A2R | ||||
3-month USD LIBOR + 1.450% 10/20/2027 | 6.258% | 17,575,000 | 17,422,045 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2020-REV1 Class B | ||||
10/15/2028 | 4.494% | 10,200,000 | 9,965,831 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 1,745,899 | 1,688,652 | |
Madison Park Funding XLVIII Ltd.(a),(b) | ||||
Series 2021-48A Class A | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/19/2033 | 5.948% | 3,025,000 | 2,998,126 | |
Madison Park Funding XXXIII Ltd.(a),(b) | ||||
Series 2019-33A Class BR | ||||
3-month Term SOFR + 1.800% Floor 1.800% 10/15/2032 | 6.458% | 16,325,000 | 15,731,505 | |
Magnetite XII Ltd.(a),(b) | ||||
Series 2015-12A Class ARR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 10/15/2031 | 5.892% | 13,830,000 | 13,724,131 | |
MVW Owner Trust(a) | ||||
Series 2017-1A Class A | ||||
12/20/2034 | 2.420% | 2,117,036 | 2,078,866 | |
Octagon Investment Partners 39 Ltd.(a),(b) | ||||
Series 2018-3A Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.650% 10/20/2030 | 6.658% | 22,575,000 | 22,233,305 | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2021-8A Class A | ||||
3-month USD LIBOR + 1.190% Floor 1.190% 01/18/2034 | 5.985% | 4,025,000 | 3,982,291 | |
Pagaya AI Debt Trust(a) | ||||
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 4,324,428 | 3,923,614 |
Columbia Balanced Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2021-4A Class B | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 10/15/2029 | 6.542% | 10,000,000 | 9,515,760 | |
Race Point IX CLO Ltd.(a),(b) | ||||
Series 2015-9A Class A2R | ||||
3-month USD LIBOR + 0.450% Floor 1.450% 10/15/2030 | 6.242% | 12,200,000 | 11,861,914 | |
Redding Ridge Asset Management Ltd.(a),(b) | ||||
Series 2018-4A Class A2 | ||||
3-month USD LIBOR + 1.550% 04/15/2030 | 6.342% | 3,000,000 | 2,956,698 | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 4,924,466 | 4,321,934 | |
Santander Consumer Auto Receivables Trust(a) | ||||
Subordinated Series 2021-AA Class C | ||||
11/16/2026 | 1.030% | 1,275,000 | 1,163,695 | |
Subordinated Series 2021-AA Class D | ||||
01/15/2027 | 1.570% | 1,050,000 | 950,538 | |
Santander Drive Auto Receivables Trust | ||||
Series 2020-2 Class D | ||||
09/15/2026 | 2.220% | 5,825,000 | 5,686,842 | |
Subordinated Series 2020-3 Class D | ||||
11/16/2026 | 1.640% | 41,490,000 | 40,116,793 | |
SCF Equipment Leasing LLC(a) | ||||
Series 2019-2A Class B | ||||
08/20/2026 | 2.760% | 8,025,000 | 7,766,921 | |
Series 2020-1A Class C | ||||
08/21/2028 | 2.600% | 4,850,000 | 4,506,070 | |
Sierra Timeshare Receivables Funding LLC(a) | ||||
Series 2018-2A Class A | ||||
06/20/2035 | 3.500% | 708,232 | 701,846 | |
Series 2018-3A Class A | ||||
09/20/2035 | 3.690% | 489,037 | 485,771 | |
Theorem Funding Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
12/15/2027 | 1.840% | 4,200,000 | 3,931,265 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST10 Class A | ||||
01/20/2030 | 2.250% | 11,647,828 | 11,167,568 | |
Series 2021-ST2 Class A | ||||
04/20/2027 | 2.500% | 756,251 | 718,697 | |
Series 2021-ST7 Class A | ||||
09/20/2029 | 1.850% | 2,367,531 | 2,296,362 | |
Series 2021-ST9 Class A | ||||
11/20/2029 | 1.700% | 1,491,974 | 1,417,150 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Upstart Securitization Trust(a) | ||||
Series 2020-2 Class A | ||||
11/20/2030 | 2.309% | 1,484,691 | 1,451,088 | |
Subordinated Series 2021-2 Class B | ||||
06/20/2031 | 1.750% | 2,860,000 | 2,739,339 | |
Subordinated Series 2021-3 Class B | ||||
07/20/2031 | 1.660% | 2,844,000 | 2,667,133 | |
VSE Voi Mortgage LLC(a) | ||||
Series 2018-A Class A | ||||
02/20/2036 | 3.560% | 1,210,062 | 1,166,865 | |
Total Asset-Backed Securities — Non-Agency (Cost $541,110,455) | 524,349,623 | |||
Commercial Mortgage-Backed Securities - Non-Agency 7.1% | ||||
1211 Avenue of the Americas Trust(a) | ||||
Series 2015-1211 Class A1A2 | ||||
08/10/2035 | 3.901% | 7,955,000 | 7,503,043 | |
American Homes 4 Rent Trust(a) | ||||
Series 2014-SFR2 Class A | ||||
10/17/2036 | 3.786% | 2,587,771 | 2,507,826 | |
Series 2014-SFR3 Class A | ||||
12/17/2036 | 3.678% | 3,011,129 | 2,906,007 | |
Series 2015-SFR1 Class A | ||||
04/17/2052 | 3.467% | 3,137,117 | 3,001,245 | |
Series 2015-SFR2 Class A | ||||
10/17/2052 | 3.732% | 2,373,498 | 2,271,835 | |
AMSR Trust(a) | ||||
Subordinated Series 2020-SFR2 Class C | ||||
07/17/2037 | 2.533% | 2,799,000 | 2,558,431 | |
Ashford Hospitality Trust(a),(b) | ||||
Series 2018-KEYS Class B | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 05/15/2035 | 6.038% | 16,800,000 | 16,383,997 | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class B | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 10/15/2037 | 5.838% | 7,370,000 | 7,053,003 | |
Subordinated Series 2018-BXH Class C | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 10/15/2037 | 6.088% | 3,975,000 | 3,796,183 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 8,475,000 | 7,878,813 |
8 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 07/15/2035 | 5.838% | 14,823,000 | 14,509,236 | |
BPR Trust(a),(b) | ||||
Subordinated Series 2021-TY Class D | ||||
1-month USD LIBOR + 2.350% Floor 2.350% 09/15/2038 | 6.938% | 6,000,000 | 5,658,038 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2019-XL Class C | ||||
1-month Term SOFR + 1.364% Floor 1.250% 10/15/2036 | 5.927% | 6,056,250 | 5,980,574 | |
BX Mortgage Trust(a),(b) | ||||
Series 2021-PAC Class D | ||||
1-month USD LIBOR + 1.298% Floor 1.298% 10/15/2036 | 5.886% | 14,175,000 | 13,537,125 | |
BX Trust(a),(b) | ||||
Series 2019-ATL Class C | ||||
1-month USD LIBOR + 1.587% Floor 1.587% 10/15/2036 | 6.175% | 4,422,000 | 4,305,972 | |
Subordinated Series 2019-ATL Class D | ||||
1-month USD LIBOR + 1.887% Floor 1.887% 10/15/2036 | 6.475% | 3,895,000 | 3,714,928 | |
BX Trust(a) | ||||
Series 2023-LIFE Class A | ||||
02/15/2028 | 5.045% | 7,225,000 | 7,066,365 | |
CIM Retail Portfolio Trust(a),(b) | ||||
Series 2021-RETL Class D | ||||
1-month USD LIBOR + 3.050% Floor 3.050% 08/15/2036 | 7.638% | 18,562,500 | 18,339,858 | |
Citigroup Commercial Mortgage Trust(a),(c) | ||||
Subordinated Series 2020-420K Class C | ||||
11/10/2042 | 3.312% | 2,500,000 | 2,000,456 | |
Subordinated Series 2020-420K Class D | ||||
11/10/2042 | 3.312% | 2,250,000 | 1,672,276 | |
CLNY Trust(a),(b) | ||||
Subordinated Series 2019-IKPR Class D | ||||
1-month USD LIBOR + 2.025% Floor 2.025% 11/15/2038 | 6.613% | 11,925,000 | 11,239,687 | |
COMM Mortgage Trust(a),(c) | ||||
Subordinated Series 2020-CBM Class D | ||||
02/10/2037 | 3.633% | 2,925,000 | 2,616,603 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COMM Mortgage Trust(a) | ||||
Subordinated Series 2020-CX Class B | ||||
11/10/2046 | 2.446% | 3,275,000 | 2,550,665 | |
CSAIL Commercial Mortgage Trust | ||||
Series 2019-C16 Class A3 | ||||
06/15/2052 | 3.329% | 23,720,000 | 21,212,855 | |
Extended Stay America Trust(a),(b) | ||||
Series 2021-ESH Class E | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 07/15/2038 | 7.438% | 1,879,170 | 1,833,367 | |
Series 2021-ESH Class F | ||||
1-month USD LIBOR + 3.700% Floor 3.700% 07/15/2038 | 8.288% | 1,952,384 | 1,881,609 | |
FirstKey Homes Trust(a) | ||||
Subordinated Series 2020-SFR1 Class D | ||||
08/17/2037 | 2.241% | 4,225,000 | 3,819,485 | |
Subordinated Series 2020-SFR2 Class D | ||||
10/19/2037 | 1.968% | 18,600,000 | 16,605,699 | |
GS Mortgage Securities Corp II(a),(b) | ||||
Series 2022-ECI Class A | ||||
1-month Term SOFR + 2.195% Floor 2.195% 08/15/2039 | 6.757% | 9,075,000 | 9,233,271 | |
GS Mortgage Securities Corp. Trust(a) | ||||
Series 2017-485L Class A | ||||
02/10/2037 | 3.721% | 3,835,000 | 3,290,086 | |
GS Mortgage Securities Corp. Trust(a),(b) | ||||
Subordinated CMO Series 2021-IP Class D | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 10/15/2036 | 6.688% | 5,425,000 | 4,992,834 | |
Home Partners of America Trust(a) | ||||
Subordinated Series 2019-2 Class D | ||||
10/19/2039 | 3.121% | 6,415,214 | 5,476,771 | |
Subordinated Series 2021-2 Class B | ||||
12/17/2026 | 2.302% | 41,290,086 | 36,502,170 | |
Invitation Homes Trust(a),(b) | ||||
Series 2018-SFR4 Class A | ||||
1-month USD LIBOR + 1.100% Floor 1.000% 01/17/2038 | 5.701% | 19,816,891 | 19,869,870 | |
JPMBB Commercial Mortgage Securities Trust(c) | ||||
Series 2013-C14 Class ASB | ||||
08/15/2046 | 3.761% | 703,261 | 698,156 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(c) | ||||
Subordinated Series 2021-2NU Class B | ||||
01/05/2040 | 2.077% | 3,800,000 | 2,955,067 |
Columbia Balanced Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-2NU Class C | ||||
01/05/2040 | 2.077% | 1,500,000 | 1,140,563 | |
KKR Industrial Portfolio Trust(a),(b) | ||||
Subordinated Series 2021-KDIP Class D | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 12/15/2037 | 5.838% | 2,325,000 | 2,255,066 | |
Life Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-BMR Class D | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 03/15/2038 | 5.988% | 4,472,514 | 4,332,380 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2015-C23 Class A4 | ||||
07/15/2050 | 3.719% | 18,624,000 | 17,827,718 | |
Series 2016-C29 Class A3 | ||||
05/15/2049 | 3.058% | 5,928,750 | 5,542,521 | |
Series 2017-C34 Class A3 | ||||
11/15/2052 | 3.276% | 14,135,000 | 12,757,922 | |
Morgan Stanley Capital I Trust | ||||
Series 2015-UBS8 Class A3 | ||||
12/15/2048 | 3.540% | 9,734,131 | 9,215,623 | |
Series 2017-HR2 Class A3 | ||||
12/15/2050 | 3.330% | 6,394,221 | 5,767,175 | |
Morgan Stanley Capital I Trust(a),(c) | ||||
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.283% | 7,392,500 | 6,431,510 | |
One New York Plaza Trust(a),(b) | ||||
Subordinated Series 2020-1NYP Class C | ||||
1-month USD LIBOR + 2.200% Floor 2.200% 01/15/2036 | 6.788% | 6,950,000 | 6,563,373 | |
Subordinated Series 2020-1NYP Class D | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 01/15/2036 | 7.338% | 2,600,000 | 2,397,550 | |
Progress Residential Trust(a) | ||||
Series 2019-SFR3 Class C | ||||
09/17/2036 | 2.721% | 4,750,000 | 4,495,417 | |
Series 2019-SFR3 Class D | ||||
09/17/2036 | 2.871% | 7,049,000 | 6,671,564 | |
Series 2019-SFR4 Class C | ||||
10/17/2036 | 3.036% | 17,766,000 | 16,853,984 | |
Series 2020-SFR1 Class C | ||||
04/17/2037 | 2.183% | 2,075,000 | 1,908,523 | |
Series 2020-SFR1 Class D | ||||
04/17/2037 | 2.383% | 4,200,000 | 3,859,910 | |
Series 2020-SFR2 Class A | ||||
06/17/2037 | 2.078% | 2,571,823 | 2,373,158 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2022-SFR5 Class A | ||||
06/17/2039 | 4.451% | 12,895,203 | 12,455,247 | |
Series 2023-SFR1 Class A | ||||
03/17/2040 | 4.300% | 7,650,000 | 7,296,616 | |
Subordinated Series 2020-SFR2 Class C | ||||
06/17/2037 | 3.077% | 600,000 | 560,185 | |
Subordinated Series 2020-SFR2 Class D | ||||
06/17/2037 | 3.874% | 775,000 | 732,563 | |
Subordinated Series 2021-SFR8 Class D | ||||
10/17/2038 | 2.082% | 11,910,000 | 10,046,180 | |
RBS Commercial Funding, Inc., Trust(a),(c) | ||||
Series 2013-GSP Class A | ||||
01/15/2032 | 3.834% | 7,141,000 | 6,897,365 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-555 Class E | ||||
1-month USD LIBOR + 2.900% Floor 2.900% 05/15/2038 | 7.488% | 3,025,000 | 2,386,461 | |
SPGN TFLM Mortgage Trust(a),(b) | ||||
Series 2022 Class A | ||||
1-month Term SOFR + 1.550% Floor 1.550% 02/15/2039 | 6.113% | 30,525,000 | 29,142,358 | |
STAR Trust(a),(b) | ||||
Series 2022-SFR3 Class A | ||||
1-month Term SOFR + 1.650% Floor 1.650% 05/17/2024 | 6.213% | 16,947,944 | 17,027,662 | |
Subordinated Series 2022-SFR3 Class B | ||||
1-month Term SOFR + 1.950% Floor 1.950% 05/17/2024 | 6.513% | 12,100,000 | 12,121,217 | |
Tricon American Homes(a) | ||||
Series 2020-SFR1 Class C | ||||
07/17/2038 | 2.249% | 4,100,000 | 3,620,500 | |
Tricon American Homes Trust(a) | ||||
Subordinated Series 2020-SFR2 Class D | ||||
11/17/2039 | 2.281% | 6,775,000 | 5,707,327 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2015-C28 Class A3 | ||||
05/15/2048 | 3.290% | 6,512,659 | 6,243,475 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2020-SDAL Class D | ||||
1-month USD LIBOR + 2.090% Floor 2.090%, Cap 4.500% 02/15/2037 | 6.678% | 3,400,000 | 3,249,179 | |
Series 2021-FCMT Class A | ||||
1-month USD LIBOR + 1.200% Floor 1.200% 05/15/2031 | 5.788% | 4,750,000 | 4,543,806 |
10 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2021-FCMT Class D | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 05/15/2031 | 8.088% | 3,925,000 | 3,564,557 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $553,958,790) | 513,412,061 |
Common Stocks 57.2% | ||
Issuer | Shares | Value ($) |
Communication Services 7.2% | ||
Entertainment 2.0% | ||
Endeavor Group Holdings, Inc., Class A(d) | 968,698 | 21,611,652 |
Take-Two Interactive Software, Inc.(d) | 599,954 | 65,724,961 |
Walt Disney Co. (The)(d) | 560,610 | 55,842,362 |
Total | 143,178,975 | |
Interactive Media & Services 3.6% | ||
Alphabet, Inc., Class A(d) | 823,544 | 74,168,373 |
Alphabet, Inc., Class C(d) | 820,008 | 74,046,722 |
Match Group, Inc.(d) | 497,751 | 20,616,846 |
Meta Platforms, Inc., Class A(d) | 396,498 | 69,363,360 |
ZoomInfo Technologies, Inc.(d) | 894,774 | 21,626,688 |
Total | 259,821,989 | |
Media 0.8% | ||
Comcast Corp., Class A | 1,530,472 | 56,887,644 |
Wireless Telecommunication Services 0.8% | ||
T-Mobile US, Inc.(d) | 434,576 | 61,788,016 |
Total Communication Services | 521,676,624 | |
Consumer Discretionary 4.0% | ||
Automobiles 0.8% | ||
Tesla, Inc.(d) | 264,615 | 54,433,952 |
Hotels, Restaurants & Leisure 0.4% | ||
McDonald’s Corp. | 98,534 | 26,004,108 |
Internet & Direct Marketing Retail 1.8% | ||
Amazon.com, Inc.(d) | 1,420,068 | 133,813,008 |
Specialty Retail 0.5% | ||
Lowe’s Companies, Inc. | 98,194 | 20,203,416 |
TJX Companies, Inc. (The) | 248,904 | 19,066,046 |
Total | 39,269,462 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 0.5% | ||
Tapestry, Inc. | 904,438 | 39,352,097 |
Total Consumer Discretionary | 292,872,627 | |
Consumer Staples 4.2% | ||
Beverages 0.2% | ||
Monster Beverage Corp.(d) | 138,991 | 14,143,724 |
Food & Staples Retailing 1.3% | ||
Sysco Corp. | 597,217 | 44,534,472 |
Walmart, Inc. | 387,278 | 55,043,822 |
Total | 99,578,294 | |
Food Products 1.0% | ||
Mondelez International, Inc., Class A | 1,086,193 | 70,798,060 |
Household Products 1.4% | ||
Procter & Gamble Co. (The) | 731,841 | 100,672,048 |
Personal Products 0.3% | ||
Coty, Inc., Class A(d) | 2,077,754 | 23,478,620 |
Total Consumer Staples | 308,670,746 | |
Energy 2.3% | ||
Oil, Gas & Consumable Fuels 2.3% | ||
Canadian Natural Resources Ltd. | 874,686 | 49,428,506 |
Chevron Corp. | 547,444 | 88,012,572 |
EOG Resources, Inc. | 276,697 | 31,272,295 |
Total | 168,713,373 | |
Total Energy | 168,713,373 | |
Financials 6.4% | ||
Banks 2.3% | ||
Bank of America Corp. | 1,097,880 | 37,657,284 |
JPMorgan Chase & Co. | 276,325 | 39,611,189 |
Wells Fargo & Co. | 1,930,074 | 90,269,561 |
Total | 167,538,034 | |
Capital Markets 1.9% | ||
BlackRock, Inc. | 41,431 | 28,563,775 |
MSCI, Inc. | 43,785 | 22,862,338 |
S&P Global, Inc. | 60,791 | 20,741,889 |
State Street Corp. | 742,259 | 65,823,528 |
Total | 137,991,530 |
Columbia Balanced Fund | Semiannual Report 2023 | 11 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Finance 0.1% | ||
American Express Co. | 30,217 | 5,257,456 |
Diversified Financial Services 1.6% | ||
Berkshire Hathaway, Inc., Class B(d) | 375,485 | 114,590,512 |
Insurance 0.5% | ||
Aon PLC, Class A | 119,128 | 36,220,868 |
Total Financials | 461,598,400 | |
Health Care 8.4% | ||
Biotechnology 1.4% | ||
BioMarin Pharmaceutical, Inc.(d) | 382,605 | 38,103,632 |
Vertex Pharmaceuticals, Inc.(d) | 214,802 | 62,354,872 |
Total | 100,458,504 | |
Health Care Equipment & Supplies 2.1% | ||
Abbott Laboratories | 373,823 | 38,025,275 |
Boston Scientific Corp.(d) | 980,258 | 45,797,654 |
GE HealthCare Technologies, Inc.(d) | 349,550 | 26,565,800 |
Medtronic PLC | 526,502 | 43,594,366 |
Total | 153,983,095 | |
Health Care Providers & Services 1.3% | ||
CVS Health Corp. | 350,613 | 29,290,210 |
Elevance Health, Inc. | 133,595 | 62,745,564 |
Total | 92,035,774 | |
Life Sciences Tools & Services 1.0% | ||
Avantor, Inc.(d) | 684,778 | 16,688,040 |
IQVIA Holdings, Inc.(d) | 102,489 | 21,365,882 |
Thermo Fisher Scientific, Inc. | 66,858 | 36,220,990 |
Total | 74,274,912 | |
Pharmaceuticals 2.6% | ||
Eli Lilly & Co. | 262,682 | 81,751,892 |
Johnson & Johnson | 704,021 | 107,898,258 |
Total | 189,650,150 | |
Total Health Care | 610,402,435 | |
Industrials 4.9% | ||
Aerospace & Defense 1.2% | ||
Raytheon Technologies Corp. | 888,119 | 87,115,593 |
Airlines 0.2% | ||
Southwest Airlines Co. | 315,708 | 10,601,474 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrial Conglomerates 1.0% | ||
General Electric Co. | 592,304 | 50,174,072 |
Honeywell International, Inc. | 131,681 | 25,214,278 |
Total | 75,388,350 | |
Machinery 0.8% | ||
Parker-Hannifin Corp. | 172,646 | 60,745,495 |
Road & Rail 1.7% | ||
Uber Technologies, Inc.(d) | 1,636,904 | 54,443,427 |
Union Pacific Corp. | 328,086 | 68,005,666 |
Total | 122,449,093 | |
Total Industrials | 356,300,005 | |
Information Technology 16.2% | ||
Electronic Equipment, Instruments & Components 0.7% | ||
TE Connectivity Ltd. | 358,758 | 45,677,069 |
Zebra Technologies Corp., Class A(d) | 26,384 | 7,921,796 |
Total | 53,598,865 | |
IT Services 2.7% | ||
Accenture PLC, Class A | 129,937 | 34,504,770 |
International Business Machines Corp. | 133,121 | 17,212,545 |
MasterCard, Inc., Class A | 198,748 | 70,613,177 |
Visa, Inc., Class A | 338,571 | 74,465,306 |
Total | 196,795,798 | |
Semiconductors & Semiconductor Equipment 3.3% | ||
Advanced Micro Devices, Inc.(d) | 267,752 | 21,039,952 |
Entegris, Inc. | 210,219 | 17,916,965 |
Lam Research Corp. | 97,083 | 47,183,309 |
Marvell Technology, Inc. | 433,585 | 19,576,363 |
Microchip Technology, Inc. | 157,105 | 12,730,218 |
NVIDIA Corp. | 409,075 | 94,970,852 |
QUALCOMM, Inc. | 192,813 | 23,818,190 |
Total | 237,235,849 | |
Software 6.1% | ||
Adobe, Inc.(d) | 207,516 | 67,224,808 |
Intuit, Inc. | 176,784 | 71,982,909 |
Microsoft Corp. | 1,113,898 | 277,828,439 |
Palo Alto Networks, Inc.(d) | 133,798 | 25,203,530 |
Total | 442,239,686 |
12 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Technology Hardware, Storage & Peripherals 3.4% | ||
Apple, Inc. | 1,675,259 | 246,949,929 |
Total Information Technology | 1,176,820,127 | |
Materials 1.6% | ||
Chemicals 1.6% | ||
Corteva, Inc. | 411,214 | 25,614,520 |
International Flavors & Fragrances, Inc. | 537,271 | 50,073,657 |
Sherwin-Williams Co. (The) | 167,591 | 37,096,268 |
Total | 112,784,445 | |
Total Materials | 112,784,445 | |
Real Estate 0.8% | ||
Equity Real Estate Investment Trusts (REITS) 0.8% | ||
American Tower Corp. | 308,217 | 61,030,048 |
Total Real Estate | 61,030,048 | |
Utilities 1.2% | ||
Electric Utilities 0.8% | ||
American Electric Power Co., Inc. | 654,165 | 57,546,895 |
Multi-Utilities 0.4% | ||
Public Service Enterprise Group, Inc. | 532,892 | 32,202,664 |
Total Utilities | 89,749,559 | |
Total Common Stocks (Cost $2,728,163,744) | 4,160,618,389 |
Convertible Bonds 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.0% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 438,000 | 279,917 | |
Total Convertible Bonds (Cost $418,773) | 279,917 | |||
Corporate Bonds & Notes 7.3% | ||||
Aerospace & Defense 0.3% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 8,500,000 | 7,574,299 | |
Boeing Co. (The) | ||||
05/01/2040 | 5.705% | 9,815,000 | 9,399,413 | |
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 285,000 | 283,144 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 114,000 | 120,775 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 393,000 | 401,671 | |
03/15/2026 | 6.250% | 1,044,000 | 1,030,810 | |
TransDigm, Inc. | ||||
11/15/2027 | 5.500% | 369,000 | 339,512 | |
05/01/2029 | 4.875% | 157,000 | 135,211 | |
TransDigm, Inc.(a),(e) | ||||
08/15/2028 | 6.750% | 250,000 | 248,699 | |
Total | 19,533,534 | |||
Airlines 0.0% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 183,000 | 165,176 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 827,175 | 806,467 | |
04/20/2029 | 5.750% | 237,298 | 225,470 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 288,390 | 268,132 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 245,000 | 230,750 | |
04/15/2029 | 4.625% | 252,000 | 223,761 | |
Total | 1,919,756 | |||
Automotive 0.1% | ||||
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 200,000 | 151,821 | |
Ford Motor Credit Co. LLC | ||||
02/10/2025 | 2.300% | 210,000 | 193,553 | |
06/16/2025 | 5.125% | 68,000 | 65,652 | |
11/13/2025 | 3.375% | 481,000 | 442,300 | |
03/06/2026 | 6.950% | 200,000 | 200,579 | |
01/09/2027 | 4.271% | 350,000 | 318,620 | |
05/28/2027 | 4.950% | 355,000 | 330,886 | |
08/17/2027 | 4.125% | 277,000 | 247,149 | |
11/04/2027 | 7.350% | 172,000 | 174,559 | |
02/16/2028 | 2.900% | 162,000 | 135,041 | |
11/13/2030 | 4.000% | 194,000 | 161,784 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 725,000 | 733,222 | |
IHO Verwaltungs GmbH(a),(f) | ||||
09/15/2026 | 4.750% | 264,544 | 244,196 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 625,000 | 609,156 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 93,000 | 91,281 | |
05/15/2027 | 8.500% | 353,000 | 350,912 | |
Total | 4,450,711 |
Columbia Balanced Fund | Semiannual Report 2023 | 13 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banking 1.9% | ||||
Bank of America Corp.(g) | ||||
04/23/2040 | 4.078% | 30,000,000 | 25,156,984 | |
Citigroup, Inc.(g) | ||||
01/25/2033 | 3.057% | 19,000,000 | 15,588,075 | |
Discover Bank | ||||
09/13/2028 | 4.650% | 4,000,000 | 3,801,801 | |
Goldman Sachs Group, Inc. (The)(g) | ||||
02/24/2033 | 3.102% | 21,500,000 | 17,721,290 | |
HSBC Holdings PLC(g) | ||||
05/24/2032 | 2.804% | 16,000,000 | 12,763,303 | |
JPMorgan Chase & Co.(g) | ||||
Subordinated | ||||
05/13/2031 | 2.956% | 30,000,000 | 25,208,793 | |
Morgan Stanley(g) | ||||
01/22/2031 | 2.699% | 16,000,000 | 13,364,692 | |
PNC Financial Services Group, Inc. (The)(g) | ||||
Subordinated | ||||
06/06/2033 | 4.626% | 3,500,000 | 3,253,053 | |
State Street Corp. | ||||
Subordinated | ||||
03/03/2031 | 2.200% | 4,001,000 | 3,217,009 | |
Wells Fargo & Co.(g) | ||||
04/30/2041 | 3.068% | 23,000,000 | 16,728,794 | |
Total | 136,803,794 | |||
Brokerage/Asset Managers/Exchanges 0.0% | ||||
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 229,000 | 232,374 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 293,000 | 249,461 | |
NFP Corp(a) | ||||
10/01/2030 | 7.500% | 262,000 | 249,918 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 290,000 | 254,607 | |
08/15/2028 | 6.875% | 867,000 | 738,216 | |
Total | 1,724,576 | |||
Building Materials 0.0% | ||||
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 310,000 | 291,106 | |
05/15/2029 | 4.125% | 186,000 | 159,267 | |
Interface, Inc.(a) | ||||
12/01/2028 | 5.500% | 145,000 | 118,894 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 238,000 | 223,426 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 142,000 | 124,477 | |
07/01/2029 | 6.125% | 276,000 | 232,286 | |
12/01/2029 | 6.000% | 344,000 | 286,729 | |
Standard Industries, Inc.(a) | ||||
02/15/2027 | 5.000% | 61,000 | 56,420 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 404,000 | 366,625 | |
Total | 1,859,230 | |||
Cable and Satellite 0.2% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 426,000 | 393,769 | |
02/01/2028 | 5.000% | 151,000 | 136,944 | |
03/01/2030 | 4.750% | 642,000 | 539,890 | |
08/15/2030 | 4.500% | 682,000 | 562,383 | |
03/01/2031 | 7.375% | 103,000 | 99,937 | |
02/01/2032 | 4.750% | 277,000 | 225,610 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 258,000 | 215,243 | |
02/01/2029 | 6.500% | 361,000 | 306,061 | |
01/15/2030 | 5.750% | 335,000 | 191,779 | |
12/01/2030 | 4.125% | 298,000 | 213,674 | |
02/15/2031 | 3.375% | 233,000 | 159,813 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 110,000 | 98,679 | |
DISH DBS Corp. | ||||
03/15/2023 | 5.000% | 33,000 | 32,982 | |
06/01/2029 | 5.125% | 324,000 | 191,514 | |
DISH DBS Corp.(a) | ||||
12/01/2028 | 5.750% | 388,000 | 309,897 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 544,000 | 551,599 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 316,000 | 236,682 | |
09/15/2028 | 6.500% | 419,000 | 197,041 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 204,000 | 180,460 | |
07/01/2029 | 5.500% | 227,000 | 204,624 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 9,210,000 | 8,771,540 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 197,000 | 166,011 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 299,000 | 244,668 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 303,000 | 274,131 | |
08/15/2030 | 4.500% | 192,000 | 159,002 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 387,000 | 320,091 |
14 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 241,000 | 193,921 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 332,000 | 309,180 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 425,000 | 360,194 | |
Total | 15,847,319 | |||
Chemicals 0.1% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 217,000 | 217,407 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 119,000 | 99,088 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 553,000 | 514,350 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 209,000 | 200,706 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 387,000 | 335,268 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 516,000 | 452,430 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 256,000 | 209,927 | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 162,000 | 142,700 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 198,000 | 169,791 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 278,000 | 276,260 | |
Iris Holdings, Inc.(a),(f) | ||||
02/15/2026 | 8.750% | 135,000 | 122,156 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 467,000 | 390,804 | |
10/01/2029 | 6.250% | 181,000 | 147,384 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 133,000 | 115,057 | |
WR Grace Holdings LLC(a) | ||||
10/01/2024 | 5.625% | 133,000 | 133,302 | |
06/15/2027 | 4.875% | 427,000 | 392,514 | |
08/15/2029 | 5.625% | 606,000 | 488,371 | |
03/01/2031 | 7.375% | 127,000 | 126,085 | |
Total | 4,533,600 | |||
Construction Machinery 0.0% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 106,000 | 91,286 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 117,000 | 110,241 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 34,000 | 33,993 | |
United Rentals North America, Inc. | ||||
01/15/2030 | 5.250% | 198,000 | 187,614 | |
Total | 423,134 | |||
Consumer Cyclical Services 0.0% | ||||
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 436,000 | 358,648 | |
12/01/2028 | 6.125% | 378,000 | 311,067 | |
Match Group, Inc.(a) | ||||
02/15/2029 | 5.625% | 191,000 | 176,008 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 117,000 | 104,086 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 359,000 | 362,608 | |
01/15/2028 | 6.250% | 247,000 | 243,063 | |
08/15/2029 | 4.500% | 558,000 | 494,363 | |
Total | 2,049,843 | |||
Consumer Products 0.0% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 473,000 | 412,541 | |
Mattel, Inc.(a) | ||||
04/01/2026 | 3.375% | 113,000 | 104,017 | |
04/01/2029 | 3.750% | 222,000 | 192,076 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 79,000 | 78,542 | |
09/15/2029 | 6.625% | 111,000 | 110,047 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 399,000 | 375,917 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 135,000 | 108,537 | |
02/01/2032 | 4.375% | 136,000 | 111,015 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 131,000 | 113,328 | |
07/15/2030 | 5.500% | 16,000 | 14,143 | |
Tempur Sealy International, Inc.(a) | ||||
10/15/2031 | 3.875% | 212,000 | 170,971 | |
Total | 1,791,134 | |||
Diversified Manufacturing 0.1% | ||||
Carrier Global Corp. | ||||
04/05/2040 | 3.377% | 5,000,000 | 3,747,840 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 136,000 | 138,082 | |
01/01/2031 | 9.500% | 47,000 | 49,122 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 524,000 | 511,778 |
Columbia Balanced Fund | Semiannual Report 2023 | 15 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 207,000 | 176,943 | |
06/30/2029 | 5.875% | 213,000 | 169,867 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 554,000 | 454,881 | |
Stevens Holding Co., Inc.(a) | ||||
10/01/2026 | 6.125% | 71,000 | 72,107 | |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 182,000 | 166,988 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 206,000 | 187,800 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 268,000 | 270,773 | |
06/15/2028 | 7.250% | 287,000 | 291,611 | |
Total | 6,237,792 | |||
Electric 0.6% | ||||
Calpine Corp.(a) | ||||
02/15/2028 | 4.500% | 188,000 | 169,283 | |
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 368,000 | 338,064 | |
02/15/2031 | 3.750% | 479,000 | 389,547 | |
01/15/2032 | 3.750% | 102,000 | 81,201 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 7,485,000 | 5,871,612 | |
Eversource Energy | ||||
03/01/2032 | 3.375% | 3,625,000 | 3,105,593 | |
Exelon Corp. | ||||
03/15/2052 | 4.100% | 4,430,000 | 3,516,019 | |
Indiana Michigan Power Co. | ||||
03/15/2037 | 6.050% | 2,500,000 | 2,603,785 | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 80,000 | 68,043 | |
NextEra Energy Operating Partners LP(a) | ||||
09/15/2027 | 4.500% | 305,000 | 279,648 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 190,000 | 154,870 | |
06/15/2029 | 5.250% | 154,000 | 136,991 | |
02/15/2031 | 3.625% | 272,000 | 211,124 | |
02/15/2032 | 3.875% | 483,000 | 374,417 | |
Ohio Edison Co.(a) | ||||
01/15/2033 | 5.500% | 7,000,000 | 7,009,650 | |
PG&E Corp. | ||||
07/01/2030 | 5.250% | 220,000 | 197,386 | |
Progress Energy, Inc. | ||||
03/01/2031 | 7.750% | 5,000,000 | 5,639,981 | |
Southern Co. (The) | ||||
07/01/2046 | 4.400% | 7,640,000 | 6,265,807 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 75,000 | 71,773 | |
02/15/2027 | 5.625% | 354,000 | 335,851 | |
07/31/2027 | 5.000% | 379,000 | 352,265 | |
05/01/2029 | 4.375% | 113,000 | 97,718 | |
Xcel Energy, Inc. | ||||
06/01/2030 | 3.400% | 3,000,000 | 2,657,197 | |
Total | 39,927,825 | |||
Environmental 0.1% | ||||
Clean Harbors, Inc.(a) | ||||
02/01/2031 | 6.375% | 39,000 | 38,870 | |
GFL Environmental, Inc.(a) | ||||
12/15/2026 | 5.125% | 319,000 | 305,927 | |
Waste Connections, Inc. | ||||
01/15/2033 | 4.200% | 5,300,000 | 4,897,232 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 517,000 | 471,936 | |
Total | 5,713,965 | |||
Finance Companies 0.0% | ||||
Navient Corp. | ||||
06/25/2025 | 6.750% | 200,000 | 197,198 | |
OneMain Finance Corp. | ||||
09/15/2030 | 4.000% | 16,000 | 12,217 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 247,000 | 223,427 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2031 | 3.875% | 353,000 | 273,954 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 587,000 | 434,373 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 221,000 | 218,434 | |
Total | 1,359,603 | |||
Food and Beverage 0.3% | ||||
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/15/2042 | 4.950% | 6,500,000 | 6,069,096 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 8,350,000 | 7,782,095 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 275,000 | 265,850 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 464,000 | 438,514 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
12/01/2031 | 3.750% | 191,000 | 153,156 | |
Kraft Heinz Foods Co. | ||||
06/01/2046 | 4.375% | 7,000,000 | 5,725,644 |
16 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pilgrim’s Pride Corp. | ||||
04/15/2031 | 4.250% | 515,000 | 430,039 | |
03/01/2032 | 3.500% | 556,000 | 433,248 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 182,000 | 177,896 | |
01/15/2028 | 5.625% | 152,000 | 145,853 | |
04/15/2030 | 4.625% | 322,000 | 279,266 | |
09/15/2031 | 4.500% | 115,000 | 97,141 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 621,000 | 532,735 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 149,000 | 121,530 | |
US Foods, Inc.(a) | ||||
04/15/2025 | 6.250% | 58,000 | 57,947 | |
02/15/2029 | 4.750% | 269,000 | 242,684 | |
06/01/2030 | 4.625% | 175,000 | 153,393 | |
Total | 23,106,087 | |||
Gaming 0.0% | ||||
Boyd Gaming Corp. | ||||
12/01/2027 | 4.750% | 240,000 | 225,883 | |
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 166,000 | 146,584 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 594,000 | 508,217 | |
02/15/2030 | 7.000% | 396,000 | 398,812 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 310,000 | 309,097 | |
07/01/2025 | 6.250% | 371,000 | 368,174 | |
07/01/2027 | 8.125% | 269,000 | 271,609 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 113,000 | 113,312 | |
04/15/2026 | 4.125% | 122,000 | 113,363 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 261,000 | 223,910 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 434,000 | 382,107 | |
Total | 3,061,068 | |||
Health Care 0.4% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 318,000 | 298,497 | |
04/15/2029 | 5.000% | 161,000 | 146,620 | |
AdaptHealth LLC(a) | ||||
03/01/2030 | 5.125% | 616,000 | 531,248 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 283,000 | 260,260 | |
11/01/2029 | 3.875% | 339,000 | 293,249 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Becton Dickinson and Co. | ||||
12/15/2044 | 4.685% | 3,502,000 | 3,105,630 | |
Catalent Pharma Solutions, Inc.(a) | ||||
04/01/2030 | 3.500% | 136,000 | 118,017 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 160,000 | 144,438 | |
03/15/2029 | 3.750% | 122,000 | 105,973 | |
CHS/Community Health Systems, Inc.(a) | ||||
03/15/2027 | 5.625% | 75,000 | 65,949 | |
04/15/2029 | 6.875% | 240,000 | 168,537 | |
05/15/2030 | 5.250% | 587,000 | 471,789 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 6,500,000 | 5,826,881 | |
GE Healthcare Holding LLC(a) | ||||
11/22/2052 | 6.377% | 4,286,000 | 4,627,339 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 12,000,000 | 9,439,355 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 58,000 | 48,365 | |
10/01/2029 | 5.250% | 577,000 | 473,790 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 811,000 | 776,024 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 106,000 | 104,360 | |
02/01/2027 | 6.250% | 370,000 | 360,428 | |
11/01/2027 | 5.125% | 237,000 | 222,808 | |
10/01/2028 | 6.125% | 331,000 | 306,356 | |
01/15/2030 | 4.375% | 186,000 | 162,797 | |
Tenet Healthcare Corp.(a) | ||||
06/15/2030 | 6.125% | 179,000 | 170,642 | |
Total | 28,229,352 | |||
Healthcare Insurance 0.1% | ||||
Anthem, Inc. | ||||
03/01/2028 | 4.101% | 1,500,000 | 1,430,998 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 476,000 | 436,571 | |
UnitedHealth Group, Inc. | ||||
05/15/2062 | 4.950% | 8,000,000 | 7,529,087 | |
Total | 9,396,656 | |||
Home Construction 0.0% | ||||
Meritage Homes Corp. | ||||
06/01/2025 | 6.000% | 302,000 | 301,674 | |
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 276,000 | 237,755 |
Columbia Balanced Fund | Semiannual Report 2023 | 17 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Taylor Morrison Communities, Inc.(a) | ||||
06/15/2027 | 5.875% | 70,000 | 67,049 | |
08/01/2030 | 5.125% | 201,000 | 177,322 | |
Total | 783,800 | |||
Independent Energy 0.1% | ||||
Apache Corp. | ||||
09/01/2040 | 5.100% | 180,000 | 148,209 | |
02/01/2042 | 5.250% | 70,000 | 56,843 | |
Callon Petroleum Co. | ||||
07/01/2026 | 6.375% | 478,000 | 452,694 | |
Centennial Resource Production LLC(a) | ||||
04/01/2027 | 6.875% | 51,000 | 49,094 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 31,000 | 30,752 | |
01/15/2029 | 6.000% | 176,000 | 159,538 | |
01/15/2031 | 7.375% | 70,000 | 66,780 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 502,000 | 450,957 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 329,000 | 318,828 | |
05/01/2029 | 5.000% | 267,000 | 242,139 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2028 | 5.750% | 346,000 | 333,462 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 379,000 | 352,686 | |
02/01/2029 | 5.750% | 103,000 | 93,468 | |
04/15/2030 | 6.000% | 131,000 | 118,913 | |
04/15/2032 | 6.250% | 121,000 | 109,601 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 425,000 | 410,237 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 1,487,000 | 1,527,765 | |
09/15/2036 | 6.450% | 649,000 | 650,846 | |
SM Energy Co. | ||||
09/15/2026 | 6.750% | 253,000 | 244,067 | |
Southwestern Energy Co. | ||||
02/01/2032 | 4.750% | 725,000 | 623,698 | |
Total | 6,440,577 | |||
Integrated Energy 0.0% | ||||
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 3,500,000 | 2,478,241 | |
Leisure 0.1% | ||||
Carnival Corp.(a) | ||||
03/01/2027 | 5.750% | 697,000 | 572,626 | |
08/01/2028 | 4.000% | 341,000 | 288,289 | |
05/01/2029 | 6.000% | 274,000 | 213,481 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 181,000 | 193,677 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 139,000 | 137,450 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 359,000 | 347,760 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 88,000 | 89,839 | |
03/15/2026 | 5.875% | 411,000 | 376,229 | |
07/15/2028 | 5.250% | 9,000 | 7,533 | |
Live Nation Entertainment, Inc.(a) | ||||
03/15/2026 | 5.625% | 291,000 | 280,244 | |
05/15/2027 | 6.500% | 204,000 | 200,524 | |
10/15/2027 | 4.750% | 109,000 | 98,071 | |
NCL Corp., Ltd.(a) | ||||
03/15/2026 | 5.875% | 127,000 | 110,342 | |
NCL Finance Ltd.(a) | ||||
03/15/2028 | 6.125% | 78,000 | 64,981 | |
Royal Caribbean Cruises Ltd.(a) | ||||
07/01/2026 | 4.250% | 392,000 | 342,900 | |
08/31/2026 | 5.500% | 120,000 | 110,329 | |
07/15/2027 | 5.375% | 118,000 | 103,906 | |
04/01/2028 | 5.500% | 70,000 | 61,024 | |
01/15/2030 | 7.250% | 274,000 | 274,686 | |
Royal Caribbean Cruises Ltd. | ||||
03/15/2028 | 3.700% | 208,000 | 166,210 | |
Six Flags Entertainment Corp.(a) | ||||
07/31/2024 | 4.875% | 335,000 | 329,130 | |
Total | 4,369,231 | |||
Life Insurance 0.3% | ||||
CoreBridge Financial, Inc.(a) | ||||
04/05/2052 | 4.400% | 3,200,000 | 2,541,037 | |
Five Corners Funding Trust II(a) | ||||
05/15/2030 | 2.850% | 9,000,000 | 7,607,770 | |
MetLife, Inc. | ||||
07/15/2052 | 5.000% | 4,193,000 | 4,008,844 | |
Pacific LifeCorp(a) | ||||
09/15/2052 | 5.400% | 5,000,000 | 4,889,932 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 4,028,000 | 3,367,657 | |
Total | 22,415,240 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2028 | 5.750% | 230,000 | 223,829 |
18 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Media and Entertainment 0.2% | ||||
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 176,000 | 171,600 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 312,000 | 259,848 | |
06/01/2029 | 7.500% | 290,000 | 234,634 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 559,000 | 498,959 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 40,481 | 38,134 | |
05/01/2027 | 8.375% | 551,365 | 484,710 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 170,000 | 148,321 | |
01/15/2028 | 4.750% | 318,000 | 268,303 | |
Magallanes, Inc.(a) | ||||
03/15/2062 | 5.391% | 13,797,000 | 10,731,072 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 287,000 | 258,997 | |
03/15/2030 | 4.625% | 194,000 | 159,080 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 381,000 | 313,210 | |
Scripps Escrow II, Inc.(a) | ||||
01/15/2029 | 3.875% | 46,000 | 36,649 | |
01/15/2031 | 5.375% | 88,000 | 62,221 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 71,000 | 57,065 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 157,000 | 132,428 | |
06/30/2030 | 7.375% | 210,000 | 199,252 | |
Total | 14,054,483 | |||
Metals and Mining 0.1% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 189,000 | 169,708 | |
10/01/2031 | 5.125% | 301,000 | 265,937 | |
Constellium NV(a) | ||||
02/15/2026 | 5.875% | 523,000 | 510,704 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 595,000 | 553,992 | |
04/15/2029 | 3.750% | 849,000 | 703,574 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2026 | 4.500% | 803,000 | 720,634 | |
04/01/2029 | 6.125% | 274,000 | 241,839 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 187,000 | 160,813 | |
06/01/2031 | 4.500% | 479,000 | 379,268 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 177,000 | 155,910 | |
01/30/2030 | 4.750% | 420,000 | 368,794 | |
08/15/2031 | 3.875% | 170,000 | 137,484 | |
Total | 4,368,657 | |||
Midstream 0.6% | ||||
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 122,000 | 110,598 | |
03/01/2031 | 4.000% | 237,000 | 204,708 | |
01/31/2032 | 3.250% | 302,000 | 241,969 | |
Cheniere Energy, Inc. | ||||
10/15/2028 | 4.625% | 158,000 | 146,399 | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 220,000 | 180,650 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 194,000 | 190,429 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 199,000 | 170,600 | |
06/15/2031 | 4.375% | 232,000 | 194,402 | |
Energy Transfer Partners LP | ||||
02/01/2042 | 6.500% | 3,000,000 | 2,984,725 | |
EQM Midstream Partners LP | ||||
08/01/2024 | 4.000% | 141,000 | 135,159 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 358,000 | 345,487 | |
06/01/2027 | 7.500% | 91,000 | 89,205 | |
07/01/2027 | 6.500% | 202,000 | 191,482 | |
06/01/2030 | 7.500% | 109,000 | 104,269 | |
01/15/2031 | 4.750% | 791,000 | 642,768 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 236,000 | 229,058 | |
02/01/2028 | 5.000% | 267,000 | 242,132 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2044 | 5.500% | 7,000,000 | 6,300,868 | |
MPLX LP | ||||
02/15/2049 | 5.500% | 5,500,000 | 4,924,505 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 220,000 | 210,383 | |
04/28/2027 | 5.625% | 245,000 | 228,407 | |
10/01/2030 | 6.375% | 246,000 | 230,266 | |
Plains All American Pipeline LP/Finance Corp. | ||||
01/15/2037 | 6.650% | 10,060,000 | 10,056,970 | |
Targa Resources Partners LP/Finance Corp. | ||||
03/01/2030 | 5.500% | 257,000 | 243,638 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 235,000 | 200,684 |
Columbia Balanced Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 308,000 | 266,058 | |
08/15/2031 | 4.125% | 514,000 | 440,950 | |
11/01/2033 | 3.875% | 267,000 | 217,775 | |
Western Gas Partners LP | ||||
08/15/2048 | 5.500% | 177,000 | 148,052 | |
Western Midstream Operating LP | ||||
03/01/2028 | 4.500% | 397,000 | 366,499 | |
Western Midstream Operating LP(g) | ||||
02/01/2050 | 5.500% | 6,375,000 | 5,204,283 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 6,500,000 | 5,713,689 | |
Total | 41,157,067 | |||
Natural Gas 0.1% | ||||
NiSource, Inc. | ||||
02/15/2044 | 4.800% | 9,002,000 | 8,013,367 | |
Oil Field Services 0.0% | ||||
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 169,000 | 160,086 | |
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 181,000 | 172,189 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 15,000 | 14,430 | |
Transocean Titan Financing Ltd.(a) | ||||
02/01/2028 | 8.375% | 197,000 | 201,040 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 161,000 | 152,367 | |
Total | 700,112 | |||
Other Industry 0.0% | ||||
Picasso Finance Sub, Inc.(a) | ||||
06/15/2025 | 6.125% | 219,000 | 215,927 | |
Other REIT 0.0% | ||||
Blackstone Mortgage Trust, Inc.(a) | ||||
01/15/2027 | 3.750% | 175,000 | 149,056 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 498,000 | 466,989 | |
02/01/2027 | 4.250% | 169,000 | 144,281 | |
06/15/2029 | 4.750% | 510,000 | 416,519 | |
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) | ||||
10/01/2028 | 5.875% | 276,000 | 246,004 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 155,000 | 129,658 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 138,000 | 124,925 | |
09/15/2029 | 4.000% | 129,000 | 106,374 | |
Total | 1,783,806 | |||
Packaging 0.0% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 354,000 | 342,400 | |
09/01/2029 | 4.000% | 602,000 | 482,336 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 226,000 | 206,482 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 428,000 | 343,171 | |
Sealed Air Corp.(a) | ||||
02/01/2028 | 6.125% | 38,000 | 37,420 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 388,000 | 366,796 | |
Total | 1,778,605 | |||
Pharmaceuticals 0.3% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 42,000 | 41,940 | |
AbbVie, Inc. | ||||
11/06/2042 | 4.400% | 8,000,000 | 6,938,866 | |
Amgen, Inc. | ||||
09/01/2053 | 2.770% | 15,184,000 | 9,162,800 | |
AstraZeneca Finance LLC | ||||
05/28/2031 | 2.250% | 3,500,000 | 2,913,936 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 130,000 | 89,605 | |
08/15/2027 | 5.750% | 170,000 | 113,049 | |
06/01/2028 | 4.875% | 96,000 | 59,871 | |
09/30/2028 | 11.000% | 75,000 | 58,983 | |
10/15/2030 | 14.000% | 14,000 | 8,916 | |
Bristol Myers Squibb Co. | ||||
02/20/2048 | 4.550% | 2,848,000 | 2,588,542 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 211,000 | 180,254 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 144,000 | 127,052 | |
04/30/2031 | 5.125% | 415,000 | 353,708 | |
Total | 22,637,522 | |||
Property & Casualty 0.2% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 451,000 | 399,992 | |
10/15/2027 | 6.750% | 721,000 | 655,465 | |
04/15/2028 | 6.750% | 463,000 | 452,863 | |
11/01/2029 | 5.875% | 197,000 | 165,152 |
20 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American International Group, Inc. | ||||
06/30/2050 | 4.375% | 4,150,000 | 3,490,976 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 120,000 | 117,610 | |
01/15/2029 | 5.625% | 372,000 | 316,017 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 7,500,000 | 6,049,326 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 417,000 | 359,507 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 295,000 | 291,046 | |
12/01/2029 | 5.625% | 378,000 | 325,111 | |
Loews Corp. | ||||
05/15/2030 | 3.200% | 3,000,000 | 2,661,794 | |
Radian Group, Inc. | ||||
03/15/2027 | 4.875% | 160,000 | 149,740 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 232,000 | 228,847 | |
Total | 15,663,446 | |||
Railroads 0.1% | ||||
CSX Corp. | ||||
03/15/2044 | 4.100% | 4,500,000 | 3,790,560 | |
Restaurants 0.0% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
01/15/2028 | 3.875% | 359,000 | 320,282 | |
10/15/2030 | 4.000% | 117,000 | 96,628 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 361,000 | 361,000 | |
Total | 777,910 | |||
Retailers 0.2% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 248,000 | 215,346 | |
02/15/2032 | 5.000% | 270,000 | 231,313 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 237,000 | 203,390 | |
Hanesbrands, Inc.(a) | ||||
02/15/2031 | 9.000% | 110,000 | 111,262 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 33,000 | 34,923 | |
10/01/2030 | 6.625% | 406,000 | 384,824 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 143,000 | 143,426 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 120,000 | 99,881 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lowe’s Companies, Inc. | ||||
04/01/2052 | 4.250% | 12,000,000 | 9,444,799 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 263,000 | 240,733 | |
02/15/2029 | 7.750% | 217,000 | 211,543 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 133,000 | 107,212 | |
Total | 11,428,652 | |||
Supermarkets 0.0% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 7.500% | 95,000 | 96,904 | |
02/15/2028 | 5.875% | 158,000 | 152,813 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 130,000 | 119,336 | |
Total | 369,053 | |||
Technology 0.4% | ||||
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 254,000 | 222,153 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 88,000 | 87,333 | |
Broadcom, Inc.(a) | ||||
02/15/2051 | 3.750% | 10,832,000 | 7,553,029 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 118,000 | 108,559 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 160,000 | 138,128 | |
07/01/2029 | 4.875% | 466,000 | 402,444 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 168,000 | 161,310 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 489,000 | 386,928 | |
Dun & Bradstreet Corp. (The)(a) | ||||
12/15/2029 | 5.000% | 233,000 | 194,283 | |
Entegris Escrow Corp.(a) | ||||
06/15/2030 | 5.950% | 319,000 | 297,481 | |
Gartner, Inc.(a) | ||||
10/01/2030 | 3.750% | 260,000 | 221,077 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 165,000 | 144,171 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 176,000 | 143,408 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 200,000 | 163,263 |
Columbia Balanced Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 91,000 | 84,103 | |
03/15/2028 | 5.250% | 159,000 | 146,346 | |
07/15/2028 | 5.000% | 350,000 | 317,146 | |
07/15/2030 | 5.250% | 167,000 | 145,643 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 532,000 | 255,082 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 409,000 | 325,225 | |
NCR Corp.(a) | ||||
09/01/2027 | 5.750% | 154,000 | 149,882 | |
10/01/2028 | 5.000% | 499,000 | 432,359 | |
04/15/2029 | 5.125% | 393,000 | 335,612 | |
10/01/2030 | 5.250% | 18,000 | 15,062 | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 604,000 | 571,413 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 9,000,000 | 7,797,071 | |
Oracle Corp. | ||||
04/15/2038 | 6.500% | 4,500,000 | 4,687,698 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 426,000 | 369,175 | |
RELX Capital, Inc. | ||||
05/20/2032 | 4.750% | 2,768,000 | 2,645,189 | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 207,000 | 197,603 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 354,000 | 325,220 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 284,000 | 281,225 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 409,000 | 411,287 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 575,000 | 479,582 | |
Total | 30,195,490 | |||
Transportation Services 0.1% | ||||
ERAC USA Finance LLC(a) | ||||
10/15/2037 | 7.000% | 5,050,000 | 5,692,591 | |
Wireless 0.2% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 547,000 | 377,406 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 209,000 | 195,415 | |
01/15/2028 | 5.500% | 582,000 | 479,454 | |
07/15/2029 | 5.125% | 200,000 | 154,977 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 4,750,000 | 4,282,983 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sprint Capital Corp. | ||||
03/15/2032 | 8.750% | 236,000 | 280,844 | |
Sprint Corp. | ||||
03/01/2026 | 7.625% | 282,000 | 292,799 | |
T-Mobile US, Inc. | ||||
01/15/2053 | 5.650% | 5,000,000 | 4,904,233 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 165,000 | 132,786 | |
07/15/2031 | 4.750% | 331,000 | 272,960 | |
Total | 11,373,857 | |||
Wirelines 0.1% | ||||
AT&T, Inc. | ||||
09/15/2053 | 3.500% | 12,115,000 | 8,317,293 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 207,000 | 158,986 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 163,000 | 164,853 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 339,000 | 317,177 | |
10/15/2028 | 7.000% | 505,000 | 466,327 | |
Total | 9,424,636 | |||
Total Corporate Bonds & Notes (Cost $610,582,315) | 528,105,638 |
Exchange-Traded Equity Funds 1.9% | ||
Shares | Value ($) | |
International Mid Large Cap 1.9% | ||
iShares Core MSCI EAFE ETF | 2,163,578 | 140,697,477 |
Total Exchange-Traded Equity Funds (Cost $145,112,086) | 140,697,477 |
Foreign Government Obligations(h) 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
06/01/2024 | 4.875% | 145,000 | 142,857 | |
06/01/2027 | 5.250% | 217,000 | 195,338 | |
05/15/2029 | 4.250% | 290,000 | 239,761 | |
Total | 577,956 | |||
Total Foreign Government Obligations (Cost $633,887) | 577,956 | |||
22 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 12.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
07/01/2029- 09/01/2043 | 3.500% | 603,334 | 575,821 | |
10/01/2031- 10/01/2039 | 6.000% | 113,306 | 115,641 | |
06/01/2032- 07/01/2032 | 7.000% | 107,281 | 109,460 | |
12/01/2036- 01/01/2039 | 5.500% | 51,743 | 53,214 | |
03/01/2038 | 6.500% | 1,342 | 1,377 | |
10/01/2038- 05/01/2041 | 5.000% | 118,253 | 119,297 | |
05/01/2039- 10/01/2040 | 4.500% | 334,606 | 332,175 | |
12/01/2051 | 2.500% | 30,014,149 | 25,436,231 | |
CMO Series 1614 Class MZ | ||||
11/15/2023 | 6.500% | 359 | 359 | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month USD LIBOR + 1.708% Cap 11.198% 08/01/2036 | 3.825% | 5,637 | 5,711 | |
Federal Home Loan Mortgage Corp.(i) | ||||
01/01/2038 | 6.000% | 154,861 | 160,492 | |
05/01/2038 | 5.500% | 68,550 | 69,730 | |
11/01/2039- 06/01/2041 | 4.500% | 841,650 | 836,471 | |
05/01/2041 | 5.000% | 211,678 | 212,123 | |
01/01/2043- 06/01/2046 | 3.500% | 550,511 | 512,808 | |
Federal National Mortgage Association(i) | ||||
12/01/2025- 03/01/2046 | 3.500% | 4,378,755 | 4,137,210 | |
07/01/2027- 02/01/2031 | 3.000% | 1,242,673 | 1,178,369 | |
10/01/2043- 02/01/2044 | 4.500% | 540,621 | 532,248 | |
08/01/2044 | 4.000% | 134,451 | 128,939 | |
Federal National Mortgage Association | ||||
01/01/2026- 05/01/2027 | 3.500% | 308,170 | 300,303 | |
01/01/2029- 06/01/2044 | 4.000% | 561,446 | 545,933 | |
06/01/2031 | 7.000% | 47,311 | 48,164 | |
07/01/2032- 03/01/2037 | 6.500% | 129,474 | 133,155 | |
06/01/2037- 02/01/2038 | 5.500% | 58,975 | 60,563 | |
05/01/2040- 06/01/2044 | 4.500% | 787,719 | 779,055 | |
08/01/2043 | 3.000% | 102,423 | 92,693 | |
Series 2006-M2 Class A2A | ||||
10/25/2032 | 5.271% | 178,703 | 177,110 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(j) | ||||
03/16/2038- 03/13/2053 | 3.000% | 173,650,000 | 153,653,059 | |
03/16/2038- 03/13/2053 | 3.500% | 108,475,000 | 100,176,654 | |
03/13/2053 | 2.000% | 51,775,000 | 42,163,254 | |
03/13/2053 | 2.500% | 124,975,000 | 105,852,848 | |
03/13/2053 | 4.000% | 222,800,000 | 209,118,687 | |
03/13/2053 | 4.500% | 152,075,000 | 146,514,758 | |
03/13/2053 | 5.000% | 104,200,000 | 102,425,344 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $914,687,118) | 896,559,256 | |||
Residential Mortgage-Backed Securities - Non-Agency 11.6% | ||||
510 Asset Backed Trust(a),(c) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 8,580,701 | 7,975,388 | |
Ajax Mortgage Loan Trust(a),(c) | ||||
CMO Series 2021-A Class A1 | ||||
09/25/2065 | 1.065% | 14,445,227 | 12,443,516 | |
CMO Series 2021-B Class A | ||||
06/25/2066 | 2.239% | 6,986,673 | 6,521,231 | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2020-6 Class A3 | ||||
05/25/2065 | 1.775% | 814,219 | 707,883 | |
CMO Series 2020-6 Class M1 | ||||
05/25/2065 | 2.805% | 2,575,000 | 1,962,487 | |
CMO Series 2020-R1 Class A1 | ||||
04/25/2053 | 0.990% | 3,691,378 | 3,278,698 | |
CMO Series 2022-6 Class A1 | ||||
07/25/2067 | 4.300% | 27,723,768 | 26,173,333 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 2.950% Floor 2.950% 03/25/2031 | 7.434% | 5,337,000 | 5,272,633 | |
CMO Series 2021-3A Class M1A | ||||
30-day Average SOFR + 1.000% Floor 1.000% 09/25/2031 | 5.484% | 9,350,061 | 9,237,992 | |
BRAVO Residential Funding Trust(a),(c) | ||||
CMO Series 2020-NQM1 Class A1 | ||||
05/25/2060 | 1.449% | 1,170,369 | 1,090,604 | |
CMO Series 2020-RPL1 Class A1 | ||||
05/26/2059 | 2.500% | 3,942,655 | 3,649,328 | |
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 7,813,970 | 7,294,453 | |
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 5,458,736 | 5,183,328 |
Columbia Balanced Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-NQM1 Class A1 | ||||
02/25/2049 | 0.941% | 7,718,781 | 6,744,602 | |
CMO Series 2021-NQM1 Class A3 | ||||
02/25/2049 | 1.332% | 3,126,786 | 2,708,291 | |
CMO Series 2021-NQM2 Class A3 | ||||
03/25/2060 | 1.435% | 1,712,764 | 1,603,825 | |
CMO Series 2022-NQM3 Class A1 | ||||
07/25/2062 | 5.108% | 6,796,745 | 6,725,213 | |
Subordinated CMO Series 2021-NQM2 Class B1 | ||||
03/25/2060 | 3.044% | 2,725,000 | 2,142,728 | |
CHNGE Mortgage Trust(a),(c) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 3.007% | 14,208,636 | 12,972,172 | |
CMO Series 2022-NQM1 Class A1 | ||||
06/25/2067 | 5.528% | 5,807,933 | 5,608,691 | |
CIM Trust(a),(c) | ||||
CMO Series 2021-NR1 Class A1 | ||||
07/25/2055 | 2.569% | 5,154,777 | 4,887,002 | |
CMO Series 2021-NR2 Class A1 | ||||
07/25/2059 | 2.568% | 4,135,877 | 3,915,848 | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2020-2 Class A1 | ||||
03/25/2065 | 1.853% | 186,832 | 182,945 | |
CMO Series 2021-HX1 Class M1 | ||||
10/25/2066 | 2.355% | 3,250,000 | 2,082,552 | |
CMO Series 2022-1 Class A1 | ||||
12/27/2066 | 2.284% | 14,589,508 | 12,637,562 | |
CMO Series 2022-4 Class A1 | ||||
03/25/2067 | 4.301% | 12,577,589 | 11,974,784 | |
COLT Mortgage Loan Trust(a) | ||||
CMO Series 2021-2R Class A1 | ||||
07/27/2054 | 0.798% | 2,416,138 | 2,023,621 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2020-R01 Class 1M2 | ||||
1-month USD LIBOR + 2.050% 01/25/2040 | 6.667% | 3,066,797 | 3,091,754 | |
CMO Series 2022-R04 Class 1M2 | ||||
30-day Average SOFR + 3.100% 03/25/2042 | 7.584% | 7,200,000 | 7,223,683 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2021-AFC1 Class A1 | ||||
03/25/2056 | 0.830% | 4,381,572 | 3,335,271 | |
CMO Series 2021-NQM1 Class A3 | ||||
05/25/2065 | 1.199% | 1,545,397 | 1,307,582 | |
CMO Series 2021-NQM1 Class M1 | ||||
05/25/2065 | 2.130% | 1,075,000 | 708,449 | |
CMO Series 2021-RPL1 Class A1 | ||||
09/27/2060 | 1.668% | 10,383,152 | 9,870,031 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-RPL2 Class M1 | ||||
01/25/2060 | 2.750% | 4,775,000 | 3,563,178 | |
CMO Series 2021-RPL2 Class M2 | ||||
01/25/2060 | 3.250% | 2,525,000 | 1,866,117 | |
CMO Series 2022-ATH3 Class A1 | ||||
08/25/2067 | 4.991% | 6,939,356 | 6,687,587 | |
CSMC Trust(a),(c) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 9,614,311 | 8,984,186 | |
CMO Series 2021-RPL4 Class A1 | ||||
12/27/2060 | 1.796% | 7,241,153 | 6,413,210 | |
Subordinated CMO Series 2020-RPL3 Class A1 | ||||
03/25/2060 | 2.691% | 5,029,678 | 4,869,567 | |
Subordinated CMO Series 2020-RPL4 Class A1 | ||||
01/25/2060 | 2.000% | 4,068,794 | 3,551,966 | |
CSMC Trust(a) | ||||
CMO Series 2019-AFC1 Class A1 | ||||
07/25/2049 | 2.573% | 2,660,657 | 2,478,588 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 10/25/2033 | 7.010% | 2,925,000 | 2,927,844 | |
CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 04/25/2034 | 6.534% | 11,950,000 | 11,872,251 | |
Ellington Financial Mortgage Trust(a),(c) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2059 | 3.046% | 692,215 | 637,596 | |
CMO Series 2020-1 Class A1 | ||||
05/25/2065 | 2.006% | 199,583 | 190,424 | |
CMO Series 2022-2 Class A1 | ||||
04/25/2067 | 4.299% | 34,177,873 | 32,483,098 | |
Equifirst Mortgage Loan Trust(c) | ||||
CMO Series 2003-1 Class IF1 | ||||
12/25/2032 | 4.010% | 23,500 | 21,330 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2020-DNA1 Class M2 | ||||
1-month USD LIBOR + 1.700% 01/25/2050 | 6.317% | 3,235,503 | 3,227,039 | |
CMO Series 2021-DNA1 Class M2 | ||||
30-day Average SOFR + 1.800% 01/25/2051 | 6.284% | 3,423,276 | 3,401,216 | |
CMO Series 2021-DNA5 Class M2 | ||||
30-day Average SOFR + 1.650% 01/25/2034 | 6.134% | 2,950,075 | 2,930,542 |
24 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-HQA1 Class M1 | ||||
30-day Average SOFR + 0.700% 08/25/2033 | 5.184% | 185,319 | 185,088 | |
CMO Series 2022-DNA3 Class M1B | ||||
30-day Average SOFR + 2.900% 04/25/2042 | 7.384% | 7,000,000 | 6,979,220 | |
CMO Series 2022-DNA4 Class M1A | ||||
30-day Average SOFR + 2.200% 05/25/2042 | 6.684% | 16,950,455 | 17,108,164 | |
Subordinated CMO Series 2022-DNA6 Class M1A | ||||
30-day Average SOFR + 2.150% 09/25/2042 | 6.634% | 3,412,121 | 3,422,781 | |
Freddie Mac STACR Trust(a),(b) | ||||
CMO Series 2019-DNA4 Class M2 | ||||
1-month USD LIBOR + 1.950% 10/25/2049 | 6.567% | 704,941 | 704,946 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2022-DNA2 Class M1B | ||||
30-day Average SOFR + 2.400% 02/25/2042 | 6.884% | 16,150,000 | 15,738,043 | |
CMO Series 2022-DNA5 Class M1A | ||||
30-day Average SOFR + 2.950% 06/25/2042 | 7.434% | 11,877,781 | 12,164,119 | |
Subordinated CMO Series 2021-DNA7 Class M1 | ||||
30-day Average SOFR + 0.850% 11/25/2041 | 5.334% | 25,175,458 | 24,850,043 | |
GCAT LLC(a),(c) | ||||
CMO Series 2020-3 Class A1 | ||||
09/25/2025 | 2.981% | 6,137,964 | 5,937,352 | |
GCAT Trust(a),(c) | ||||
CMO Series 2019-RPL1 Class A1 | ||||
10/25/2068 | 2.650% | 5,200,509 | 4,874,294 | |
CMO Series 2021-CM2 Class A1 | ||||
08/25/2066 | 2.352% | 19,191,906 | 17,335,574 | |
CMO Series 2022-NQM3 Class A1 | ||||
04/25/2067 | 4.349% | 33,592,880 | 31,940,157 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2021-3 Class M1A | ||||
30-day Average SOFR + 1.900% Floor 1.900% 02/25/2034 | 6.210% | 1,828,750 | 1,819,613 | |
GS Mortgage-Backed Securities Trust(a),(c) | ||||
CMO Series 2019-SL1 Class A1 | ||||
01/25/2059 | 2.625% | 433,029 | 430,727 | |
CMO Series 2020-NQM1 Class A1 | ||||
09/27/2060 | 1.382% | 2,325,420 | 2,084,049 | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1B | ||||
1-month USD LIBOR + 1.550% 07/25/2033 | 6.167% | 4,794,581 | 4,787,392 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Homeward Opportunities Fund I Trust(a),(c) | ||||
CMO Series 2020-2 Class A3 | ||||
05/25/2065 | 3.196% | 3,450,000 | 3,149,289 | |
Homeward Opportunities Fund Trust(a),(g) | ||||
CMO Series 2020-BPL1 Class A1 | ||||
08/25/2025 | 3.228% | 1,475,274 | 1,456,407 | |
Imperial Fund Mortgage Trust(a),(c) | ||||
CMO Series 2021-NQM2 Class A3 | ||||
09/25/2056 | 1.516% | 5,851,706 | 4,569,905 | |
Legacy Mortgage Asset Trust(a),(c) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 7,394,329 | 6,730,996 | |
CMO Series 2021-GS2 Class A1 | ||||
04/25/2061 | 1.750% | 14,588,256 | 13,465,225 | |
MetLife Securitization Trust(a),(c) | ||||
CMO Series 2018-1A Class A | ||||
03/25/2057 | 3.750% | 2,414,675 | 2,263,094 | |
MFA Trust(a),(c) | ||||
CMO Series 2020-NQM3 Class M1 | ||||
01/26/2065 | 2.654% | 2,925,000 | 2,370,199 | |
CMO Series 2021-NQM1 Class A1 | ||||
04/25/2065 | 1.153% | 4,462,767 | 3,842,322 | |
CMO Series 2022-NQM2 Class A1 | ||||
05/25/2067 | 4.000% | 32,081,987 | 29,995,481 | |
MFRA Trust(a),(c) | ||||
CMO Series 2021-INV1 Class A1 | ||||
01/25/2056 | 0.852% | 1,510,803 | 1,347,270 | |
CMO Series 2021-INV1 Class A2 | ||||
01/25/2056 | 1.057% | 313,018 | 280,335 | |
CMO Series 2021-INV1 Class A3 | ||||
01/25/2056 | 1.262% | 482,942 | 428,545 | |
Mill City Mortgage Loan Trust(a),(c) | ||||
CMO Series 2018-3 Class A1 | ||||
08/25/2058 | 3.482% | 4,771,671 | 4,502,695 | |
CMO Series 2021-NMR1 Class M1 | ||||
11/25/2060 | 1.850% | 7,225,000 | 6,205,602 | |
New Residential Mortgage Loan Trust(a) | ||||
CMO Series 2016-3A Class A1 | ||||
09/25/2056 | 3.750% | 823,397 | 757,016 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 2,651,393 | 2,444,783 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 10/25/2033 | 6.534% | 5,275,000 | 5,252,141 |
Columbia Balanced Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OBX Trust(a),(b) | ||||
CMO Series 2020-EXP3 Class 2A1A | ||||
1-month USD LIBOR + 0.950% 01/25/2060 | 5.517% | 1,031,049 | 1,021,113 | |
Oceanview Mortgage Loan Trust(a) | ||||
CMO Series 2020-1 Class A1A | ||||
05/28/2050 | 1.733% | 1,912,584 | 1,696,017 | |
Preston Ridge Partners Mortgage(a),(c) | ||||
CMO Series 2021-4 Class A1 | ||||
04/25/2026 | 1.867% | 14,610,851 | 13,706,896 | |
Preston Ridge Partners Mortgage Trust(a),(c) | ||||
CMO Series 2020-6 Class A1 | ||||
11/25/2025 | 2.363% | 3,605,551 | 3,387,135 | |
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 6,148,799 | 5,845,177 | |
CMO Series 2021-10 Class A1 | ||||
10/25/2026 | 2.487% | 8,562,259 | 7,843,328 | |
CMO Series 2021-2 Class A1 | ||||
03/25/2026 | 2.115% | 4,943,947 | 4,655,325 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 8,509,590 | 7,821,456 | |
CMO Series 2021-9 Class A1 | ||||
10/25/2026 | 2.363% | 13,460,521 | 12,579,748 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
07/25/2051 | 2.487% | 20,985,905 | 19,548,264 | |
PRKCM Trust(a),(c) | ||||
CMO Series 2021-AFC2 Class A3 | ||||
11/25/2056 | 2.893% | 12,941,000 | 7,875,490 | |
CMO Series 2021-AFC2 Class M1 | ||||
11/25/2056 | 3.443% | 9,528,000 | 6,163,755 | |
Subordinated CMO Series 2021-AFC2 Class B1 | ||||
11/25/2056 | 3.701% | 8,383,000 | 5,294,091 | |
PRPM LLC(a),(c) | ||||
CMO Series 2021-RPL1 Class A1 | ||||
07/25/2051 | 1.319% | 3,896,171 | 3,410,674 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2020-1 Class M1A | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 01/25/2030 | 5.567% | 83,503 | 83,422 | |
Subordinated CMO Series 2021-2 Class M1A | ||||
30-day Average SOFR + 1.850% Floor 1.850% 11/25/2031 | 6.334% | 2,413,633 | 2,403,376 | |
Subordinated CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 3.700% Floor 3.700% 11/25/2031 | 8.184% | 4,775,000 | 4,785,814 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Residential Mortgage Loan Trust(a),(c) | ||||
CMO Series 2020-1 Class A3 | ||||
01/26/2060 | 2.684% | 969,582 | 912,222 | |
Starwood Mortgage Residential Trust(a),(c) | ||||
CMO Series 2019-INV1 Class A3 | ||||
09/27/2049 | 2.916% | 3,470,593 | 3,264,086 | |
CMO Series 2020-2 Class A3 | ||||
04/25/2060 | 3.000% | 5,483,808 | 5,293,423 | |
CMO Series 2020-INV1 Class A3 | ||||
11/25/2055 | 1.593% | 915,010 | 818,355 | |
CMO Series 2021-4 Class M1 | ||||
08/25/2056 | 2.400% | 3,475,000 | 2,204,275 | |
Toorak Mortgage Corp., Ltd.(a),(c) | ||||
CMO Series 2020-1 Class A1 | ||||
03/25/2023 | 2.734% | 7,394,556 | 7,299,296 | |
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 5,800,000 | 5,487,116 | |
Towd Point HE Trust(a),(c) | ||||
CMO Series 2021-HE1 Class M2 | ||||
02/25/2063 | 2.500% | 2,800,000 | 2,389,664 | |
Towd Point Mortgage Trust(a),(c) | ||||
CMO Series 2018-1 Class A1 | ||||
01/25/2058 | 3.000% | 944,440 | 915,234 | |
CMO Series 2018-6 Class A1A | ||||
03/25/2058 | 3.750% | 3,544,206 | 3,408,611 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2019-HY1 Class A1 | ||||
1-month USD LIBOR + 1.000% 10/25/2048 | 5.617% | 2,943,884 | 2,935,655 | |
CMO Series 2019-HY2 Class A1 | ||||
1-month USD LIBOR + 1.000% 05/25/2058 | 5.617% | 3,496,165 | 3,488,223 | |
TVC Mortgage Trust(a) | ||||
CMO Series 2020-RTL1 Class A1 | ||||
09/25/2024 | 3.474% | 423,649 | 422,315 | |
VCAT Asset Securitization LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 25,501,638 | 23,345,227 | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
12/26/2050 | 2.289% | 927,820 | 877,416 | |
Vericrest Opportunity Loan Transferee(a),(c) | ||||
CMO Series 2021-NP11 Class A1 | ||||
08/25/2051 | 1.868% | 13,186,468 | 11,931,465 | |
Vericrest Opportunity Loan Transferee XCII LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
02/27/2051 | 1.893% | 9,301,743 | 8,457,276 |
26 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vericrest Opportunity Loan Transferee XCIII LLC(a),(c) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
02/27/2051 | 1.893% | 7,790,636 | 6,928,256 | |
Vericrest Opportunity Loan Transferee XCIV LLC(a),(c) | ||||
CMO Series 2021-NPL3 Class A1 | ||||
02/27/2051 | 2.240% | 9,396,680 | 8,855,792 | |
Vericrest Opportunity Loan Transferee XCIX LLC(a),(c) | ||||
CMO Series 2021-NPL8 Class A1 | ||||
04/25/2051 | 2.116% | 5,988,522 | 5,451,304 | |
Vericrest Opportunity Loan Transferee XCVI LLC(a),(c) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
03/27/2051 | 2.116% | 5,664,047 | 5,240,559 | |
Vericrest Opportunity Loan Transferee XCVII LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
04/25/2051 | 2.240% | 23,464,738 | 21,339,074 | |
Vericrest Opportunity Loan Trust CI LLC(a),(c) | ||||
CMO Series 2021-NP10 Class A1 | ||||
05/25/2051 | 1.992% | 16,763,590 | 15,083,577 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 3,523,573 | 3,325,333 | |
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 6,350,000 | 5,032,930 | |
CMO Series 2020-2 Class A1 | ||||
05/25/2060 | 2.226% | 694,422 | 669,112 | |
CMO Series 2020-INV1 Class A1 | ||||
03/25/2060 | 1.977% | 240,655 | 234,596 | |
CMO Series 2021-R1 Class A2 | ||||
10/25/2063 | 1.057% | 1,211,944 | 1,081,488 | |
CMO Series 2021-R1 Class A3 | ||||
10/25/2063 | 1.262% | 1,544,251 | 1,373,121 | |
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 2.724% | 22,933,371 | 20,457,512 | |
CMO Series 2022-4 Class A1 | ||||
04/25/2067 | 4.474% | 2,931,287 | 2,791,381 | |
CMO Series 2023-INV1 Class A1 | ||||
02/25/2068 | 5.999% | 21,300,000 | 21,242,701 | |
Visio Trust(a),(c) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 2,007,602 | 1,862,422 | |
Visio Trust(a) | ||||
CMO Series 2020-1R Class A2 | ||||
11/25/2055 | 1.567% | 1,081,641 | 976,183 | |
CMO Series 2020-1R Class A3 | ||||
11/25/2055 | 1.873% | 1,230,794 | 1,113,317 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $913,260,931) | 842,695,684 | |||
Senior Loans 0.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemicals 0.0% | ||||
WR Grace Holdings LLC(b),(k) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 09/22/2028 | 8.500% | 212,850 | 211,405 | |
Consumer Cyclical Services 0.0% | ||||
8th Avenue Food & Provisions, Inc.(b),(k) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% 10/01/2026 | 12.385% | 32,969 | 20,523 | |
Media and Entertainment 0.0% | ||||
Cengage Learning, Inc.(b),(k) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 9.880% | 351,101 | 331,151 | |
Technology 0.0% | ||||
Ascend Learning LLC(b),(k) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/11/2028 | 8.218% | 248,490 | 232,925 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% Floor 0.500% 12/10/2029 | 10.385% | 150,000 | 130,032 | |
DCert Buyer, Inc.(b),(k) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.000% 02/19/2029 | 11.696% | 233,000 | 215,816 | |
UKG, Inc.(b),(k) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 05/04/2026 | 8.032% | 149,395 | 146,258 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.250% Floor 0.500% 05/03/2027 | 10.032% | 291,000 | 282,511 | |
Total | 1,007,542 | |||
Total Senior Loans (Cost $1,666,205) | 1,570,621 | |||
Columbia Balanced Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
U.S. Treasury Obligations 0.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(i) | ||||
02/15/2045 | 2.500% | 36,025,000 | 27,525,352 | |
Total U.S. Treasury Obligations (Cost $34,358,977) | 27,525,352 |
Money Market Funds 6.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(l),(m) | 488,674,509 | 488,479,040 |
Total Money Market Funds (Cost $488,453,581) | 488,479,040 | |
Total Investments in Securities (Cost: $6,932,406,862) | 8,124,871,014 | |
Other Assets & Liabilities, Net | (848,663,417) | |
Net Assets | 7,276,207,597 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 3,245 | 06/2023 | USD | 362,324,531 | — | (741,687) |
U.S. Treasury 5-Year Note | 2,135 | 06/2023 | USD | 228,561,759 | — | (264,297) |
U.S. Treasury Ultra Bond | 502 | 06/2023 | USD | 67,801,375 | — | (737,521) |
Total | — | (1,743,505) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | (985) | 06/2023 | USD | (200,670,664) | 452,251 | — |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 28, 2023, the total value of these securities amounted to $1,853,066,235, which represents 25.47% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of February 28, 2023. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of February 28, 2023. |
(d) | Non-income producing investment. |
(e) | Represents a security purchased on a forward commitment basis. |
(f) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(g) | 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 February 28, 2023. |
(h) | Principal and interest may not be guaranteed by a governmental entity. |
(i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(j) | Represents a security purchased on a when-issued basis. |
28 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
(k) | The stated interest rate represents the weighted average interest rate at February 28, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(l) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(m) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 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, 4.748% | ||||||||
626,292,933 | 1,075,129,488 | (1,213,043,485) | 100,104 | 488,479,040 | (58,700) | 9,597,721 | 488,674,509 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
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 Balanced Fund | Semiannual Report 2023 | 29 |
February 28, 2023 (Unaudited)
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 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. Representatives of Columbia Management Investment Advisers, LLC report to 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 | — | 524,349,623 | — | 524,349,623 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 513,412,061 | — | 513,412,061 |
Common Stocks | ||||
Communication Services | 521,676,624 | — | — | 521,676,624 |
Consumer Discretionary | 292,872,627 | — | — | 292,872,627 |
Consumer Staples | 308,670,746 | — | — | 308,670,746 |
Energy | 168,713,373 | — | — | 168,713,373 |
Financials | 461,598,400 | — | — | 461,598,400 |
Health Care | 610,402,435 | — | — | 610,402,435 |
Industrials | 356,300,005 | — | — | 356,300,005 |
Information Technology | 1,176,820,127 | — | — | 1,176,820,127 |
Materials | 112,784,445 | — | — | 112,784,445 |
Real Estate | 61,030,048 | — | — | 61,030,048 |
Utilities | 89,749,559 | — | — | 89,749,559 |
Total Common Stocks | 4,160,618,389 | — | — | 4,160,618,389 |
Convertible Bonds | — | 279,917 | — | 279,917 |
Corporate Bonds & Notes | — | 528,105,638 | — | 528,105,638 |
Exchange-Traded Equity Funds | 140,697,477 | — | — | 140,697,477 |
Foreign Government Obligations | — | 577,956 | — | 577,956 |
Residential Mortgage-Backed Securities - Agency | — | 896,559,256 | — | 896,559,256 |
Residential Mortgage-Backed Securities - Non-Agency | — | 842,695,684 | — | 842,695,684 |
Senior Loans | — | 1,570,621 | — | 1,570,621 |
U.S. Treasury Obligations | — | 27,525,352 | — | 27,525,352 |
Money Market Funds | 488,479,040 | — | — | 488,479,040 |
Total Investments in Securities | 4,789,794,906 | 3,335,076,108 | — | 8,124,871,014 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 452,251 | — | — | 452,251 |
Liability | ||||
Futures Contracts | (1,743,505) | — | — | (1,743,505) |
Total | 4,788,503,652 | 3,335,076,108 | — | 8,123,579,760 |
30 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $6,443,953,281) | $7,636,391,974 |
Affiliated issuers (cost $488,453,581) | 488,479,040 |
Cash collateral held at broker for: | |
TBA | 18,321,000 |
Receivable for: | |
Investments sold | 21,385,979 |
Investments sold on a delayed delivery basis | 103,740 |
Capital shares sold | 4,915,716 |
Dividends | 8,025,814 |
Interest | 13,913,649 |
Foreign tax reclaims | 2,549 |
Variation margin for futures contracts | 175,196 |
Prepaid expenses | 60,667 |
Trustees’ deferred compensation plan | 349,895 |
Other assets | 73,911 |
Total assets | 8,192,199,130 |
Liabilities | |
Due to custodian | 125,763 |
Payable for: | |
Investments purchased | 29,876,365 |
Investments purchased on a delayed delivery basis | 877,687,904 |
Capital shares purchased | 6,821,554 |
Variation margin for futures contracts | 63,741 |
Management services fees | 114,947 |
Distribution and/or service fees | 51,172 |
Transfer agent fees | 685,331 |
Compensation of board members | 97,187 |
Compensation of chief compliance officer | 714 |
Other expenses | 116,960 |
Trustees’ deferred compensation plan | 349,895 |
Total liabilities | 915,991,533 |
Net assets applicable to outstanding capital stock | $7,276,207,597 |
Represented by | |
Paid in capital | 6,159,379,263 |
Total distributable earnings (loss) | 1,116,828,334 |
Total - representing net assets applicable to outstanding capital stock | $7,276,207,597 |
Columbia Balanced Fund | Semiannual Report 2023 | 31 |
February 28, 2023 (Unaudited)
Class A | |
Net assets | $2,944,469,844 |
Shares outstanding | 70,636,260 |
Net asset value per share | $41.68 |
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) | $44.22 |
Advisor Class | |
Net assets | $305,898,926 |
Shares outstanding | 7,265,918 |
Net asset value per share | $42.10 |
Class C | |
Net assets | $1,070,112,902 |
Shares outstanding | 25,818,358 |
Net asset value per share | $41.45 |
Institutional Class | |
Net assets | $1,917,059,263 |
Shares outstanding | 46,095,749 |
Net asset value per share | $41.59 |
Institutional 2 Class | |
Net assets | $318,862,362 |
Shares outstanding | 7,660,785 |
Net asset value per share | $41.62 |
Institutional 3 Class | |
Net assets | $606,774,431 |
Shares outstanding | 14,406,538 |
Net asset value per share | $42.12 |
Class R | |
Net assets | $113,029,869 |
Shares outstanding | 2,711,577 |
Net asset value per share | $41.68 |
32 | Columbia Balanced Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $31,111,223 |
Dividends — affiliated issuers | 9,597,721 |
Interest | 50,980,603 |
Interfund lending | 1,774 |
Foreign taxes withheld | (163,831) |
Total income | 91,527,490 |
Expenses: | |
Management services fees | 21,138,063 |
Distribution and/or service fees | |
Class A | 3,665,596 |
Class C | 5,610,489 |
Class R | 279,353 |
Transfer agent fees | |
Class A | 1,415,435 |
Advisor Class | 149,326 |
Class C | 541,525 |
Institutional Class | 946,182 |
Institutional 2 Class | 92,946 |
Institutional 3 Class | 24,006 |
Class R | 53,942 |
Compensation of board members | 68,621 |
Custodian fees | 34,021 |
Printing and postage fees | 168,244 |
Registration fees | 117,568 |
Audit fees | 19,979 |
Legal fees | 57,649 |
Interest on collateral | 2,706 |
Compensation of chief compliance officer | 714 |
Other | 61,231 |
Total expenses | 34,447,596 |
Expense reduction | (1,548) |
Total net expenses | 34,446,048 |
Net investment income | 57,081,442 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (14,101,994) |
Investments — affiliated issuers | (58,700) |
Foreign currency translations | (10,516) |
Futures contracts | (49,364,113) |
Net realized loss | (63,535,323) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (74,455,197) |
Investments — affiliated issuers | 100,104 |
Futures contracts | (34,304) |
Net change in unrealized appreciation (depreciation) | (74,389,397) |
Net realized and unrealized loss | (137,924,720) |
Net decrease in net assets resulting from operations | $(80,843,278) |
Columbia Balanced Fund | Semiannual Report 2023 | 33 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income | $57,081,442 | $69,557,213 |
Net realized gain (loss) | (63,535,323) | 366,340,581 |
Net change in unrealized appreciation (depreciation) | (74,389,397) | (1,592,887,976) |
Net decrease in net assets resulting from operations | (80,843,278) | (1,156,990,182) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (128,207,294) | (301,333,013) |
Advisor Class | (13,555,748) | (33,598,968) |
Class C | (44,973,759) | (124,430,082) |
Institutional Class | (88,520,726) | (217,188,113) |
Institutional 2 Class | (14,846,503) | (37,022,415) |
Institutional 3 Class | (26,923,152) | (64,433,085) |
Class R | (4,776,345) | (11,695,427) |
Total distributions to shareholders | (321,803,527) | (789,701,103) |
Increase (decrease) in net assets from capital stock activity | (164,626,083) | 464,141,127 |
Total decrease in net assets | (567,272,888) | (1,482,550,158) |
Net assets at beginning of period | 7,843,480,485 | 9,326,030,643 |
Net assets at end of period | $7,276,207,597 | $7,843,480,485 |
34 | Columbia Balanced Fund | Semiannual Report 2023 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 4,778,575 | 200,858,791 | 10,083,787 | 492,333,678 |
Distributions reinvested | 2,926,737 | 121,883,936 | 5,680,179 | 286,850,006 |
Redemptions | (7,235,907) | (303,601,061) | (10,295,565) | (500,840,484) |
Net increase | 469,405 | 19,141,666 | 5,468,401 | 278,343,200 |
Advisor Class | ||||
Subscriptions | 566,534 | 24,006,632 | 1,822,291 | 91,396,595 |
Distributions reinvested | 322,205 | 13,551,702 | 659,706 | 33,574,129 |
Redemptions | (1,176,962) | (49,905,410) | (1,838,487) | (89,442,525) |
Net increase (decrease) | (288,223) | (12,347,076) | 643,510 | 35,528,199 |
Class C | ||||
Subscriptions | 1,339,928 | 56,049,327 | 3,488,168 | 172,317,393 |
Distributions reinvested | 1,052,366 | 43,579,684 | 2,369,562 | 119,709,620 |
Redemptions | (4,578,526) | (191,327,592) | (7,425,517) | (358,773,357) |
Net decrease | (2,186,232) | (91,698,581) | (1,567,787) | (66,746,344) |
Institutional Class | ||||
Subscriptions | 3,495,651 | 146,496,855 | 8,968,338 | 439,290,675 |
Distributions reinvested | 1,833,529 | 76,176,189 | 3,732,782 | 187,780,068 |
Redemptions | (7,102,894) | (297,706,000) | (9,666,031) | (465,381,836) |
Net increase (decrease) | (1,773,714) | (75,032,956) | 3,035,089 | 161,688,907 |
Institutional 2 Class | ||||
Subscriptions | 1,268,891 | 52,680,153 | 1,749,381 | 85,011,500 |
Distributions reinvested | 356,954 | 14,839,590 | 734,813 | 37,002,816 |
Redemptions | (1,552,606) | (64,897,933) | (3,051,743) | (149,515,640) |
Net increase (decrease) | 73,239 | 2,621,810 | (567,549) | (27,501,324) |
Institutional 3 Class | ||||
Subscriptions | 1,344,545 | 57,202,268 | 3,081,999 | 152,927,781 |
Distributions reinvested | 564,991 | 23,767,753 | 1,122,400 | 57,108,962 |
Redemptions | (2,160,059) | (93,044,568) | (2,590,162) | (127,143,105) |
Net increase (decrease) | (250,523) | (12,074,547) | 1,614,237 | 82,893,638 |
Class R | ||||
Subscriptions | 241,759 | 10,136,953 | 363,397 | 17,819,827 |
Distributions reinvested | 112,398 | 4,680,505 | 225,446 | 11,406,732 |
Redemptions | (239,390) | (10,053,857) | (606,040) | (29,291,708) |
Net increase (decrease) | 114,767 | 4,763,601 | (17,197) | (65,149) |
Total net increase (decrease) | (3,841,281) | (164,626,083) | 8,608,704 | 464,141,127 |
Columbia Balanced Fund | Semiannual Report 2023 | 35 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $43.97 | 0.32 | (0.75) | (0.43) | (0.30) | (1.56) | (1.86) |
Year Ended 8/31/2022 | $54.93 | 0.40 | (6.73) | (6.33) | (0.34) | (4.29) | (4.63) |
Year Ended 8/31/2021 | $47.73 | 0.36 | 9.19 | 9.55 | (0.37) | (1.98) | (2.35) |
Year Ended 8/31/2020 | $42.24 | 0.53 | 6.67 | 7.20 | (0.63) | (1.08) | (1.71) |
Year Ended 8/31/2019 | $42.53 | 0.63 | 1.19 | 1.82 | (0.60) | (1.51) | (2.11) |
Year Ended 8/31/2018 | $40.56 | 0.48 | 2.57 | 3.05 | (0.46) | (0.62) | (1.08) |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $44.39 | 0.38 | (0.75) | (0.37) | (0.36) | (1.56) | (1.92) |
Year Ended 8/31/2022 | $55.42 | 0.52 | (6.79) | (6.27) | (0.47) | (4.29) | (4.76) |
Year Ended 8/31/2021 | $48.13 | 0.49 | 9.27 | 9.76 | (0.49) | (1.98) | (2.47) |
Year Ended 8/31/2020 | $42.58 | 0.64 | 6.72 | 7.36 | (0.73) | (1.08) | (1.81) |
Year Ended 8/31/2019 | $42.86 | 0.73 | 1.21 | 1.94 | (0.71) | (1.51) | (2.22) |
Year Ended 8/31/2018 | $40.87 | 0.58 | 2.59 | 3.17 | (0.56) | (0.62) | (1.18) |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $43.72 | 0.17 | (0.74) | (0.57) | (0.14) | (1.56) | (1.70) |
Year Ended 8/31/2022 | $54.68 | 0.03 | (6.69) | (6.66) | (0.01) | (4.29) | (4.30) |
Year Ended 8/31/2021 | $47.56 | (0.02) | 9.16 | 9.14 | (0.04) | (1.98) | (2.02) |
Year Ended 8/31/2020 | $42.08 | 0.21 | 6.65 | 6.86 | (0.30) | (1.08) | (1.38) |
Year Ended 8/31/2019 | $42.38 | 0.32 | 1.19 | 1.51 | (0.30) | (1.51) | (1.81) |
Year Ended 8/31/2018 | $40.42 | 0.17 | 2.56 | 2.73 | (0.15) | (0.62) | (0.77) |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $43.87 | 0.38 | (0.74) | (0.36) | (0.36) | (1.56) | (1.92) |
Year Ended 8/31/2022 | $54.83 | 0.52 | (6.72) | (6.20) | (0.47) | (4.29) | (4.76) |
Year Ended 8/31/2021 | $47.65 | 0.48 | 9.17 | 9.65 | (0.49) | (1.98) | (2.47) |
Year Ended 8/31/2020 | $42.17 | 0.64 | 6.65 | 7.29 | (0.73) | (1.08) | (1.81) |
Year Ended 8/31/2019 | $42.47 | 0.73 | 1.19 | 1.92 | (0.71) | (1.51) | (2.22) |
Year Ended 8/31/2018 | $40.50 | 0.58 | 2.57 | 3.15 | (0.56) | (0.62) | (1.18) |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $43.91 | 0.38 | (0.75) | (0.37) | (0.36) | (1.56) | (1.92) |
Year Ended 8/31/2022 | $54.87 | 0.53 | (6.71) | (6.18) | (0.49) | (4.29) | (4.78) |
Year Ended 8/31/2021 | $47.68 | 0.50 | 9.18 | 9.68 | (0.51) | (1.98) | (2.49) |
Year Ended 8/31/2020 | $42.20 | 0.66 | 6.65 | 7.31 | (0.75) | (1.08) | (1.83) |
Year Ended 8/31/2019 | $42.50 | 0.75 | 1.19 | 1.94 | (0.73) | (1.51) | (2.24) |
Year Ended 8/31/2018 | $40.53 | 0.60 | 2.57 | 3.17 | (0.58) | (0.62) | (1.20) |
36 | Columbia Balanced Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $41.68 | (0.96%) | 0.94%(c),(d) | 0.94%(c),(d),(e) | 1.55%(c) | 82% | $2,944,470 |
Year Ended 8/31/2022 | $43.97 | (12.57%) | 0.92%(d),(f) | 0.92%(d),(e),(f) | 0.81% | 121% | $3,085,213 |
Year Ended 8/31/2021 | $54.93 | 20.72% | 0.93%(d) | 0.93%(d),(e) | 0.71% | 124% | $3,553,866 |
Year Ended 8/31/2020 | $47.73 | 17.59% | 0.95% | 0.95%(e) | 1.23% | 140% | $2,954,559 |
Year Ended 8/31/2019 | $42.24 | 4.79% | 0.95% | 0.95% | 1.55% | 119% | $2,685,001 |
Year Ended 8/31/2018 | $42.53 | 7.63% | 0.95% | 0.95%(e) | 1.16% | 76% | $2,798,246 |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $42.10 | (0.82%) | 0.69%(c),(d) | 0.69%(c),(d),(e) | 1.80%(c) | 82% | $305,899 |
Year Ended 8/31/2022 | $44.39 | (12.36%) | 0.67%(d),(f) | 0.67%(d),(e),(f) | 1.06% | 121% | $335,333 |
Year Ended 8/31/2021 | $55.42 | 21.03% | 0.68%(d) | 0.68%(d),(e) | 0.95% | 124% | $382,964 |
Year Ended 8/31/2020 | $48.13 | 17.89% | 0.70% | 0.70%(e) | 1.48% | 140% | $253,954 |
Year Ended 8/31/2019 | $42.58 | 5.04% | 0.70% | 0.70% | 1.80% | 119% | $248,877 |
Year Ended 8/31/2018 | $42.86 | 7.89% | 0.70% | 0.70%(e) | 1.41% | 76% | $262,644 |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $41.45 | (1.30%) | 1.69%(c),(d) | 1.69%(c),(d),(e) | 0.80%(c) | 82% | $1,070,113 |
Year Ended 8/31/2022 | $43.72 | (13.23%) | 1.67%(d),(f) | 1.67%(d),(e),(f) | 0.05% | 121% | $1,224,470 |
Year Ended 8/31/2021 | $54.68 | 19.82% | 1.68%(d) | 1.68%(d),(e) | (0.04%) | 124% | $1,616,952 |
Year Ended 8/31/2020 | $47.56 | 16.73% | 1.70% | 1.70%(e) | 0.48% | 140% | $1,512,696 |
Year Ended 8/31/2019 | $42.08 | 4.00% | 1.70% | 1.70% | 0.80% | 119% | $1,443,468 |
Year Ended 8/31/2018 | $42.38 | 6.83% | 1.70% | 1.70%(e) | 0.42% | 76% | $1,591,465 |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $41.59 | (0.81%) | 0.69%(c),(d) | 0.69%(c),(d),(e) | 1.80%(c) | 82% | $1,917,059 |
Year Ended 8/31/2022 | $43.87 | (12.36%) | 0.67%(d),(f) | 0.67%(d),(e),(f) | 1.06% | 121% | $2,100,254 |
Year Ended 8/31/2021 | $54.83 | 21.01% | 0.68%(d) | 0.68%(d),(e) | 0.96% | 124% | $2,458,182 |
Year Ended 8/31/2020 | $47.65 | 17.90% | 0.70% | 0.70%(e) | 1.48% | 140% | $1,876,178 |
Year Ended 8/31/2019 | $42.17 | 5.04% | 0.70% | 0.70% | 1.80% | 119% | $1,672,560 |
Year Ended 8/31/2018 | $42.47 | 7.91% | 0.70% | 0.70%(e) | 1.42% | 76% | $1,872,366 |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $41.62 | (0.81%) | 0.65%(c),(d) | 0.65%(c),(d) | 1.84%(c) | 82% | $318,862 |
Year Ended 8/31/2022 | $43.91 | (12.32%) | 0.64%(d),(f) | 0.64%(d),(f) | 1.09% | 121% | $333,148 |
Year Ended 8/31/2021 | $54.87 | 21.07% | 0.64%(d) | 0.64%(d) | 1.00% | 124% | $447,431 |
Year Ended 8/31/2020 | $47.68 | 17.95% | 0.65% | 0.65% | 1.52% | 140% | $286,454 |
Year Ended 8/31/2019 | $42.20 | 5.09% | 0.65% | 0.65% | 1.84% | 119% | $245,737 |
Year Ended 8/31/2018 | $42.50 | 7.96% | 0.65% | 0.65% | 1.46% | 76% | $279,242 |
Columbia Balanced Fund | Semiannual Report 2023 | 37 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $44.41 | 0.40 | (0.75) | (0.35) | (0.38) | (1.56) | (1.94) |
Year Ended 8/31/2022 | $55.44 | 0.57 | (6.79) | (6.22) | (0.52) | (4.29) | (4.81) |
Year Ended 8/31/2021 | $48.15 | 0.53 | 9.27 | 9.80 | (0.53) | (1.98) | (2.51) |
Year Ended 8/31/2020 | $42.60 | 0.68 | 6.72 | 7.40 | (0.77) | (1.08) | (1.85) |
Year Ended 8/31/2019 | $42.88 | 0.78 | 1.20 | 1.98 | (0.75) | (1.51) | (2.26) |
Year Ended 8/31/2018 | $40.88 | 0.63 | 2.59 | 3.22 | (0.60) | (0.62) | (1.22) |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $43.97 | 0.27 | (0.75) | (0.48) | (0.25) | (1.56) | (1.81) |
Year Ended 8/31/2022 | $54.92 | 0.27 | (6.71) | (6.44) | (0.22) | (4.29) | (4.51) |
Year Ended 8/31/2021 | $47.73 | 0.23 | 9.18 | 9.41 | (0.24) | (1.98) | (2.22) |
Year Ended 8/31/2020 | $42.23 | 0.42 | 6.68 | 7.10 | (0.52) | (1.08) | (1.60) |
Year Ended 8/31/2019 | $42.53 | 0.53 | 1.18 | 1.71 | (0.50) | (1.51) | (2.01) |
Year Ended 8/31/2018 | $40.56 | 0.38 | 2.57 | 2.95 | (0.36) | (0.62) | (0.98) |
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) | Annualized. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(f) | Ratios include interfund lending expense which is less than 0.01%. |
38 | Columbia Balanced Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $42.12 | (0.78%) | 0.60%(c),(d) | 0.60%(c),(d) | 1.89%(c) | 82% | $606,774 |
Year Ended 8/31/2022 | $44.41 | (12.27%) | 0.59%(d),(f) | 0.59%(d),(f) | 1.15% | 121% | $650,889 |
Year Ended 8/31/2021 | $55.44 | 21.13% | 0.59%(d) | 0.59%(d) | 1.05% | 124% | $723,074 |
Year Ended 8/31/2020 | $48.15 | 18.00% | 0.61% | 0.61% | 1.56% | 140% | $573,567 |
Year Ended 8/31/2019 | $42.60 | 5.14% | 0.61% | 0.61% | 1.90% | 119% | $377,342 |
Year Ended 8/31/2018 | $42.88 | 8.01% | 0.60% | 0.60% | 1.53% | 76% | $308,783 |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $41.68 | (1.08%) | 1.19%(c),(d) | 1.19%(c),(d),(e) | 1.31%(c) | 82% | $113,030 |
Year Ended 8/31/2022 | $43.97 | (12.78%) | 1.17%(d),(f) | 1.17%(d),(e),(f) | 0.56% | 121% | $114,174 |
Year Ended 8/31/2021 | $54.92 | 20.40% | 1.18%(d) | 1.18%(d),(e) | 0.47% | 124% | $143,562 |
Year Ended 8/31/2020 | $47.73 | 17.32% | 1.20% | 1.20%(e) | 0.98% | 140% | $134,948 |
Year Ended 8/31/2019 | $42.23 | 4.50% | 1.20% | 1.20% | 1.30% | 119% | $127,735 |
Year Ended 8/31/2018 | $42.53 | 7.36% | 1.20% | 1.20%(e) | 0.91% | 76% | $133,485 |
Columbia Balanced Fund | Semiannual Report 2023 | 39 |
February 28, 2023 (Unaudited)
40 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Balanced Fund | Semiannual Report 2023 | 41 |
February 28, 2023 (Unaudited)
42 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 452,251* |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 1,743,505* |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Balanced Fund | Semiannual Report 2023 | 43 |
February 28, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (49,364,113) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (34,304) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 714,185,692 |
Futures contracts — short | 163,483,340 |
* | Based on the ending quarterly outstanding amounts for the six months ended February 28, 2023. |
44 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Balanced Fund | Semiannual Report 2023 | 45 |
February 28, 2023 (Unaudited)
46 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Balanced Fund | Semiannual Report 2023 | 47 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Class A | 0.10 |
Advisor Class | 0.10 |
Class C | 0.10 |
Institutional Class | 0.10 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.10 |
48 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 1,159,282 |
Class C | — | 1.00(b) | 32,028 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
Fee rate(s) contractual through December 31, 2023 | |
Class A | 1.08% |
Advisor Class | 0.83 |
Class C | 1.83 |
Institutional Class | 0.83 |
Institutional 2 Class | 0.80 |
Institutional 3 Class | 0.75 |
Class R | 1.33 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
6,932,407,000 | 1,501,892,000 | (310,719,000) | 1,191,173,000 |
Columbia Balanced Fund | Semiannual Report 2023 | 49 |
February 28, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,533,333 | 4.10 | 6 |
50 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Balanced Fund | Semiannual Report 2023 | 51 |
February 28, 2023 (Unaudited)
52 | Columbia Balanced Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Balanced Fund | Semiannual Report 2023 | 53 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/98 | -0.06 | -10.60 | 8.84 | 11.41 |
Including sales charges | -5.81 | -15.75 | 7.56 | 10.75 | ||
Advisor Class | 11/08/12 | 0.03 | -10.38 | 9.12 | 11.69 | |
Class C | Excluding sales charges | 12/09/02 | -0.45 | -11.27 | 8.03 | 10.58 |
Including sales charges | -1.34 | -12.07 | 8.03 | 10.58 | ||
Institutional Class | 12/14/92 | 0.04 | -10.37 | 9.12 | 11.69 | |
Institutional 2 Class | 11/08/12 | 0.07 | -10.32 | 9.20 | 11.81 | |
Institutional 3 Class | 11/08/12 | 0.13 | -10.23 | 9.26 | 11.87 | |
Class R | 09/27/10 | -0.20 | -10.81 | 8.57 | 11.14 | |
Class V | Excluding sales charges | 02/12/93 | -0.06 | -10.58 | 8.84 | 11.40 |
Including sales charges | -5.79 | -15.72 | 7.56 | 10.74 | ||
Russell 1000 Index | 1.37 | -8.21 | 9.68 | 12.09 |
Columbia Contrarian Core Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023) | |
Common Stocks | 98.4 |
Money Market Funds | 1.6 |
Total | 100.0 |
Equity sector breakdown (%) (at February 28, 2023) | |
Communication Services | 12.5 |
Consumer Discretionary | 7.0 |
Consumer Staples | 7.4 |
Energy | 4.1 |
Financials | 11.1 |
Health Care | 14.7 |
Industrials | 8.6 |
Information Technology | 28.2 |
Materials | 2.7 |
Real Estate | 1.5 |
Utilities | 2.2 |
Total | 100.0 |
4 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 999.40 | 1,019.89 | 4.91 | 4.96 | 0.99 |
Advisor Class | 1,000.00 | 1,000.00 | 1,000.30 | 1,021.12 | 3.67 | 3.71 | 0.74 |
Class C | 1,000.00 | 1,000.00 | 995.50 | 1,016.17 | 8.61 | 8.70 | 1.74 |
Institutional Class | 1,000.00 | 1,000.00 | 1,000.40 | 1,021.12 | 3.67 | 3.71 | 0.74 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,000.70 | 1,021.47 | 3.32 | 3.36 | 0.67 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,001.30 | 1,021.72 | 3.08 | 3.11 | 0.62 |
Class R | 1,000.00 | 1,000.00 | 998.00 | 1,018.65 | 6.14 | 6.21 | 1.24 |
Class V | 1,000.00 | 1,000.00 | 999.40 | 1,019.89 | 4.91 | 4.96 | 0.99 |
Columbia Contrarian Core Fund | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Common Stocks 98.5% | ||
Issuer | Shares | Value ($) |
Communication Services 12.4% | ||
Entertainment 3.4% | ||
Endeavor Group Holdings, Inc., Class A(a) | 2,313,827 | 51,621,480 |
Take-Two Interactive Software, Inc.(a) | 1,432,018 | 156,877,572 |
Walt Disney Co. (The)(a) | 1,338,413 | 133,319,319 |
Total | 341,818,371 | |
Interactive Media & Services 6.2% | ||
Alphabet, Inc., Class A(a) | 1,970,322 | 177,447,199 |
Alphabet, Inc., Class C(a) | 1,961,835 | 177,153,701 |
Match Group, Inc.(a) | 1,193,909 | 49,451,711 |
Meta Platforms, Inc., Class A(a) | 951,018 | 166,371,089 |
ZoomInfo Technologies, Inc.(a) | 2,147,935 | 51,915,589 |
Total | 622,339,289 | |
Media 1.3% | ||
Comcast Corp., Class A | 3,655,249 | 135,865,605 |
Wireless Telecommunication Services 1.5% | ||
T-Mobile US, Inc.(a) | 1,038,131 | 147,601,466 |
Total Communication Services | 1,247,624,731 | |
Consumer Discretionary 6.9% | ||
Automobiles 1.3% | ||
Tesla, Inc.(a) | 634,620 | 130,547,680 |
Hotels, Restaurants & Leisure 0.6% | ||
McDonald’s Corp. | 235,983 | 62,278,273 |
Internet & Direct Marketing Retail 3.2% | ||
Amazon.com, Inc.(a) | 3,389,985 | 319,438,287 |
Specialty Retail 0.9% | ||
Lowe’s Companies, Inc. | 234,222 | 48,191,176 |
TJX Companies, Inc. (The) | 597,206 | 45,745,980 |
Total | 93,937,156 | |
Textiles, Apparel & Luxury Goods 0.9% | ||
Tapestry, Inc. | 2,157,568 | 93,875,784 |
Total Consumer Discretionary | 700,077,180 | |
Consumer Staples 7.3% | ||
Beverages 0.3% | ||
Monster Beverage Corp.(a) | 332,770 | 33,862,675 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Food & Staples Retailing 2.4% | ||
Sysco Corp. | 1,432,412 | 106,814,963 |
Walmart, Inc. | 925,514 | 131,543,305 |
Total | 238,358,268 | |
Food Products 1.7% | ||
Mondelez International, Inc., Class A | 2,596,600 | 169,246,388 |
Household Products 2.4% | ||
Procter & Gamble Co. (The) | 1,748,633 | 240,541,956 |
Personal Products 0.5% | ||
Coty, Inc., Class A(a) | 4,935,591 | 55,772,178 |
Total Consumer Staples | 737,781,465 | |
Energy 4.0% | ||
Oil, Gas & Consumable Fuels 4.0% | ||
Canadian Natural Resources Ltd. | 2,081,521 | 117,626,752 |
Chevron Corp. | 1,311,091 | 210,784,100 |
EOG Resources, Inc. | 663,512 | 74,990,126 |
Total | 403,400,978 | |
Total Energy | 403,400,978 | |
Financials 10.9% | ||
Banks 4.0% | ||
Bank of America Corp. | 2,619,416 | 89,845,969 |
JPMorgan Chase & Co. | 659,858 | 94,590,644 |
Wells Fargo & Co. | 4,605,619 | 215,404,801 |
Total | 399,841,414 | |
Capital Markets 3.2% | ||
BlackRock, Inc. | 98,815 | 68,126,025 |
MSCI, Inc. | 104,258 | 54,438,315 |
S&P Global, Inc. | 144,949 | 49,456,599 |
State Street Corp. | 1,770,765 | 157,031,440 |
Total | 329,052,379 | |
Consumer Finance 0.1% | ||
American Express Co. | 72,216 | 12,564,862 |
Diversified Financial Services 2.7% | ||
Berkshire Hathaway, Inc., Class B(a) | 898,335 | 274,153,875 |
6 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 0.9% | ||
Aon PLC, Class A | 284,725 | 86,570,636 |
Total Financials | 1,102,183,166 | |
Health Care 14.5% | ||
Biotechnology 2.4% | ||
BioMarin Pharmaceutical, Inc.(a) | 913,605 | 90,985,922 |
Vertex Pharmaceuticals, Inc.(a) | 513,030 | 148,927,479 |
Total | 239,913,401 | |
Health Care Equipment & Supplies 3.6% | ||
Abbott Laboratories | 896,654 | 91,207,645 |
Boston Scientific Corp.(a) | 2,338,809 | 109,269,156 |
GE HealthCare Technologies, Inc.(a) | 838,388 | 63,717,488 |
Medtronic PLC | 1,263,891 | 104,650,175 |
Total | 368,844,464 | |
Health Care Providers & Services 2.2% | ||
CVS Health Corp. | 840,767 | 70,237,675 |
Elevance Health, Inc. | 320,425 | 150,494,010 |
Total | 220,731,685 | |
Life Sciences Tools & Services 1.8% | ||
Avantor, Inc.(a) | 1,642,598 | 40,030,113 |
IQVIA Holdings, Inc.(a) | 244,834 | 51,040,544 |
Thermo Fisher Scientific, Inc. | 159,422 | 86,368,463 |
Total | 177,439,120 | |
Pharmaceuticals 4.5% | ||
Eli Lilly & Co. | 627,320 | 195,234,530 |
Johnson & Johnson | 1,684,765 | 258,207,084 |
Total | 453,441,614 | |
Total Health Care | 1,460,370,284 | |
Industrials 8.5% | ||
Aerospace & Defense 2.1% | ||
Raytheon Technologies Corp. | 2,119,708 | 207,922,158 |
Airlines 0.2% | ||
Southwest Airlines Co. | 757,258 | 25,428,724 |
Industrial Conglomerates 1.8% | ||
General Electric Co. | 1,414,150 | 119,792,646 |
Honeywell International, Inc. | 315,850 | 60,478,958 |
Total | 180,271,604 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 1.5% | ||
Parker-Hannifin Corp. | 433,443 | 152,506,920 |
Road & Rail 2.9% | ||
Uber Technologies, Inc.(a) | 3,926,291 | 130,588,438 |
Union Pacific Corp. | 786,949 | 163,118,789 |
Total | 293,707,227 | |
Total Industrials | 859,836,633 | |
Information Technology 27.8% | ||
Electronic Equipment, Instruments & Components 1.3% | ||
TE Connectivity Ltd. | 854,518 | 108,797,232 |
Zebra Technologies Corp., Class A(a) | 63,270 | 18,996,817 |
Total | 127,794,049 | |
IT Services 4.7% | ||
Accenture PLC, Class A | 311,001 | 82,586,315 |
International Business Machines Corp. | 318,246 | 41,149,208 |
MasterCard, Inc., Class A | 474,437 | 168,562,722 |
Visa, Inc., Class A | 808,453 | 177,811,153 |
Total | 470,109,398 | |
Semiconductors & Semiconductor Equipment 5.6% | ||
Advanced Micro Devices, Inc.(a) | 642,588 | 50,494,565 |
Entegris, Inc. | 504,101 | 42,964,528 |
Lam Research Corp. | 231,545 | 112,533,186 |
Marvell Technology, Inc. | 1,032,745 | 46,628,437 |
Microchip Technology, Inc. | 376,813 | 30,533,157 |
NVIDIA Corp. | 976,351 | 226,669,648 |
QUALCOMM, Inc. | 459,906 | 56,812,188 |
Total | 566,635,709 | |
Software 10.4% | ||
Adobe, Inc.(a) | 495,287 | 160,448,224 |
Intuit, Inc. | 421,608 | 171,670,345 |
Microsoft Corp. | 2,659,139 | 663,242,449 |
Palo Alto Networks, Inc.(a) | 319,129 | 60,114,330 |
Total | 1,055,475,348 | |
Technology Hardware, Storage & Peripherals 5.8% | ||
Apple, Inc. | 3,999,191 | 589,520,746 |
Total Information Technology | 2,809,535,250 |
Columbia Contrarian Core Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 2.7% | ||
Chemicals 2.7% | ||
Corteva, Inc. | 986,288 | 61,435,879 |
International Flavors & Fragrances, Inc. | 1,288,790 | 120,115,228 |
Sherwin-Williams Co. (The) | 399,822 | 88,500,600 |
Total | 270,051,707 | |
Total Materials | 270,051,707 | |
Real Estate 1.4% | ||
Equity Real Estate Investment Trusts (REITS) 1.4% | ||
American Tower Corp. | 735,422 | 145,620,910 |
Total Real Estate | 145,620,910 | |
Utilities 2.1% | ||
Electric Utilities 1.4% | ||
American Electric Power Co., Inc. | 1,569,165 | 138,039,445 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multi-Utilities 0.7% | ||
Public Service Enterprise Group, Inc. | 1,274,268 | 77,004,015 |
Total Utilities | 215,043,460 | |
Total Common Stocks (Cost $6,563,356,406) | 9,951,525,764 | |
Money Market Funds 1.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(b),(c) | 157,174,325 | 157,111,456 |
Total Money Market Funds (Cost $157,095,336) | 157,111,456 | |
Total Investments in Securities (Cost: $6,720,451,742) | 10,108,637,220 | |
Other Assets & Liabilities, Net | (982,269) | |
Net Assets | 10,107,654,951 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
289,176,047 | 1,016,972,571 | (1,149,039,601) | 2,439 | 157,111,456 | 20,964 | 3,402,278 | 157,174,325 |
■ | 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). |
8 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 1,247,624,731 | — | — | 1,247,624,731 |
Consumer Discretionary | 700,077,180 | — | — | 700,077,180 |
Consumer Staples | 737,781,465 | — | — | 737,781,465 |
Energy | 403,400,978 | — | — | 403,400,978 |
Financials | 1,102,183,166 | — | — | 1,102,183,166 |
Health Care | 1,460,370,284 | — | — | 1,460,370,284 |
Industrials | 859,836,633 | — | — | 859,836,633 |
Information Technology | 2,809,535,250 | — | — | 2,809,535,250 |
Materials | 270,051,707 | — | — | 270,051,707 |
Real Estate | 145,620,910 | — | — | 145,620,910 |
Utilities | 215,043,460 | — | — | 215,043,460 |
Total Common Stocks | 9,951,525,764 | — | — | 9,951,525,764 |
Money Market Funds | 157,111,456 | — | — | 157,111,456 |
Total Investments in Securities | 10,108,637,220 | — | — | 10,108,637,220 |
Columbia Contrarian Core Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $6,563,356,406) | $9,951,525,764 |
Affiliated issuers (cost $157,095,336) | 157,111,456 |
Receivable for: | |
Investments sold | 48,626,891 |
Capital shares sold | 2,988,060 |
Dividends | 15,275,428 |
Foreign tax reclaims | 632,859 |
Expense reimbursement due from Investment Manager | 9,835 |
Prepaid expenses | 84,255 |
Trustees’ deferred compensation plan | 788,192 |
Other assets | 89,988 |
Total assets | 10,177,132,728 |
Liabilities | |
Payable for: | |
Investments purchased | 60,745,751 |
Capital shares purchased | 6,555,811 |
Management services fees | 170,362 |
Distribution and/or service fees | 22,136 |
Transfer agent fees | 948,813 |
Compensation of board members | 131,088 |
Compensation of chief compliance officer | 984 |
Other expenses | 114,640 |
Trustees’ deferred compensation plan | 788,192 |
Total liabilities | 69,477,777 |
Net assets applicable to outstanding capital stock | $10,107,654,951 |
Represented by | |
Paid in capital | 6,793,025,587 |
Total distributable earnings (loss) | 3,314,629,364 |
Total - representing net assets applicable to outstanding capital stock | $10,107,654,951 |
10 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Class A | |
Net assets | $1,600,589,699 |
Shares outstanding | 63,435,519 |
Net asset value per share | $25.23 |
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) | $26.77 |
Advisor Class | |
Net assets | $508,301,668 |
Shares outstanding | 19,398,565 |
Net asset value per share | $26.20 |
Class C | |
Net assets | $311,127,669 |
Shares outstanding | 14,585,682 |
Net asset value per share | $21.33 |
Institutional Class | |
Net assets | $4,184,626,140 |
Shares outstanding | 163,953,737 |
Net asset value per share | $25.52 |
Institutional 2 Class | |
Net assets | $709,343,050 |
Shares outstanding | 27,100,379 |
Net asset value per share | $26.17 |
Institutional 3 Class | |
Net assets | $2,526,295,237 |
Shares outstanding | 96,437,481 |
Net asset value per share | $26.20 |
Class R | |
Net assets | $104,511,650 |
Shares outstanding | 4,140,350 |
Net asset value per share | $25.24 |
Class V | |
Net assets | $162,859,838 |
Shares outstanding | 6,553,699 |
Net asset value per share | $24.85 |
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) | $26.37 |
Columbia Contrarian Core Fund | Semiannual Report 2023 | 11 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $72,246,322 |
Dividends — affiliated issuers | 3,402,278 |
Interfund lending | 1,959 |
Foreign taxes withheld | (378,685) |
Total income | 75,271,874 |
Expenses: | |
Management services fees | 31,179,470 |
Distribution and/or service fees | |
Class A | 1,995,893 |
Class C | 1,688,825 |
Class R | 267,013 |
Class V | 202,496 |
Transfer agent fees | |
Class A | 1,050,925 |
Advisor Class | 343,856 |
Class C | 222,273 |
Institutional Class | 2,783,448 |
Institutional 2 Class | 195,936 |
Institutional 3 Class | 86,616 |
Class R | 70,294 |
Class V | 106,632 |
Compensation of board members | 92,026 |
Custodian fees | 24,256 |
Printing and postage fees | 192,223 |
Registration fees | 135,009 |
Audit fees | 15,818 |
Legal fees | 77,146 |
Compensation of chief compliance officer | 984 |
Other | 82,538 |
Total expenses | 40,813,677 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (620,848) |
Expense reduction | (5,966) |
Total net expenses | 40,186,863 |
Net investment income | 35,085,011 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (7,728,935) |
Investments — affiliated issuers | 20,964 |
Foreign currency translations | (23,652) |
Net realized loss | (7,731,623) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (17,901,175) |
Investments — affiliated issuers | 2,439 |
Foreign currency translations | (13,540) |
Net change in unrealized appreciation (depreciation) | (17,912,276) |
Net realized and unrealized loss | (25,643,899) |
Net increase in net assets resulting from operations | $9,441,112 |
12 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income | $35,085,011 | $61,840,347 |
Net realized gain (loss) | (7,731,623) | 1,156,760,456 |
Net change in unrealized appreciation (depreciation) | (17,912,276) | (2,864,242,888) |
Net increase (decrease) in net assets resulting from operations | 9,441,112 | (1,645,642,085) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (149,270,484) | (248,040,955) |
Advisor Class | (48,346,525) | (83,993,104) |
Class C | (35,779,204) | (71,648,177) |
Institutional Class | (403,323,638) | (648,750,792) |
Institutional 2 Class | (65,673,680) | (101,640,489) |
Institutional 3 Class | (238,634,908) | (399,260,986) |
Class R | (9,716,828) | (16,900,701) |
Class V | (15,368,822) | (25,882,833) |
Total distributions to shareholders | (966,114,089) | (1,596,118,037) |
Increase in net assets from capital stock activity | 499,240,082 | 624,160,386 |
Total decrease in net assets | (457,432,895) | (2,617,599,736) |
Net assets at beginning of period | 10,565,087,846 | 13,182,687,582 |
Net assets at end of period | $10,107,654,951 | $10,565,087,846 |
Columbia Contrarian Core Fund | Semiannual Report 2023 | 13 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 3,638,407 | 94,338,226 | 7,173,174 | 225,974,029 |
Distributions reinvested | 5,523,577 | 137,095,179 | 7,052,274 | 228,282,119 |
Redemptions | (5,797,945) | (150,689,480) | (10,586,589) | (331,438,652) |
Net increase | 3,364,039 | 80,743,925 | 3,638,859 | 122,817,496 |
Advisor Class | ||||
Subscriptions | 1,795,877 | 48,366,219 | 3,894,443 | 126,057,847 |
Distributions reinvested | 1,825,854 | 47,034,007 | 2,426,602 | 81,266,896 |
Redemptions | (4,015,430) | (108,990,876) | (5,207,867) | (168,960,931) |
Net increase (decrease) | (393,699) | (13,590,650) | 1,113,178 | 38,363,812 |
Class C | ||||
Subscriptions | 606,800 | 13,462,560 | 1,356,379 | 37,187,816 |
Distributions reinvested | 1,660,206 | 34,897,527 | 2,477,529 | 69,370,813 |
Redemptions | (3,496,665) | (77,502,958) | (5,166,302) | (140,541,479) |
Net decrease | (1,229,659) | (29,142,871) | (1,332,394) | (33,982,850) |
Institutional Class | ||||
Subscriptions | 14,007,502 | 374,123,650 | 18,000,362 | 572,977,701 |
Distributions reinvested | 15,126,987 | 379,536,090 | 18,595,718 | 608,079,971 |
Redemptions | (19,733,722) | (519,939,049) | (25,901,207) | (821,657,440) |
Net increase | 9,400,767 | 233,720,691 | 10,694,873 | 359,400,232 |
Institutional 2 Class | ||||
Subscriptions | 3,905,769 | 102,574,211 | 2,116,482 | 68,996,293 |
Distributions reinvested | 2,550,154 | 65,615,470 | 3,036,132 | 101,558,621 |
Redemptions | (2,518,763) | (67,763,189) | (4,780,790) | (156,247,153) |
Net increase | 3,937,160 | 100,426,492 | 371,824 | 14,307,761 |
Institutional 3 Class | ||||
Subscriptions | 6,552,388 | 176,491,323 | 11,315,637 | 364,235,729 |
Distributions reinvested | 7,428,333 | 191,279,561 | 9,291,200 | 310,976,452 |
Redemptions | (9,142,561) | (250,742,925) | (17,531,135) | (567,306,226) |
Net increase | 4,838,160 | 117,027,959 | 3,075,702 | 107,905,955 |
Class R | ||||
Subscriptions | 162,329 | 4,263,649 | 414,445 | 13,254,917 |
Distributions reinvested | 388,765 | 9,656,926 | 517,344 | 16,761,949 |
Redemptions | (492,519) | (12,828,408) | (775,349) | (24,498,125) |
Net increase | 58,575 | 1,092,167 | 156,440 | 5,518,741 |
Class V | ||||
Subscriptions | 134,889 | 3,302,408 | 198,920 | 6,295,381 |
Distributions reinvested | 458,280 | 11,200,364 | 586,499 | 18,726,926 |
Redemptions | (215,477) | (5,540,403) | (491,137) | (15,193,068) |
Net increase | 377,692 | 8,962,369 | 294,282 | 9,829,239 |
Total net increase | 20,353,035 | 499,240,082 | 18,012,764 | 624,160,386 |
14 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $27.82 | 0.06 | (0.12) | (0.06) | (0.06) | (2.47) | (2.53) |
Year Ended 8/31/2022 | $36.54 | 0.10 | (4.35) | (4.25) | (0.07) | (4.40) | (4.47) |
Year Ended 8/31/2021 | $29.79 | 0.09 | 8.94 | 9.03 | (0.17) | (2.11) | (2.28) |
Year Ended 8/31/2020 | $25.48 | 0.18 | 5.65 | 5.83 | (0.23) | (1.29) | (1.52) |
Year Ended 8/31/2019 | $27.19 | 0.22 | 0.19 | 0.41 | (0.22) | (1.90) | (2.12) |
Year Ended 8/31/2018 | $25.41 | 0.18 | 3.05 | 3.23 | (0.18) | (1.27) | (1.45) |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $28.84 | 0.10 | (0.13) | (0.03) | (0.14) | (2.47) | (2.61) |
Year Ended 8/31/2022 | $37.70 | 0.19 | (4.49) | (4.30) | (0.16) | (4.40) | (4.56) |
Year Ended 8/31/2021 | $30.66 | 0.18 | 9.21 | 9.39 | (0.24) | (2.11) | (2.35) |
Year Ended 8/31/2020 | $26.19 | 0.25 | 5.80 | 6.05 | (0.29) | (1.29) | (1.58) |
Year Ended 8/31/2019 | $27.89 | 0.29 | 0.19 | 0.48 | (0.28) | (1.90) | (2.18) |
Year Ended 8/31/2018 | $26.02 | 0.25 | 3.13 | 3.38 | (0.24) | (1.27) | (1.51) |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $23.94 | (0.03) | (0.11) | (0.14) | — | (2.47) | (2.47) |
Year Ended 8/31/2022 | $32.19 | (0.12) | (3.73) | (3.85) | — | (4.40) | (4.40) |
Year Ended 8/31/2021 | $26.53 | (0.13) | 7.90 | 7.77 | — | (2.11) | (2.11) |
Year Ended 8/31/2020 | $22.84 | (0.02) | 5.04 | 5.02 | (0.04) | (1.29) | (1.33) |
Year Ended 8/31/2019 | $24.57 | 0.04 | 0.15 | 0.19 | (0.02) | (1.90) | (1.92) |
Year Ended 8/31/2018 | $23.09 | (0.01) | 2.76 | 2.75 | — | (1.27) | (1.27) |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $28.16 | 0.10 | (0.13) | (0.03) | (0.14) | (2.47) | (2.61) |
Year Ended 8/31/2022 | $36.92 | 0.18 | (4.38) | (4.20) | (0.16) | (4.40) | (4.56) |
Year Ended 8/31/2021 | $30.07 | 0.18 | 9.02 | 9.20 | (0.24) | (2.11) | (2.35) |
Year Ended 8/31/2020 | $25.71 | 0.24 | 5.70 | 5.94 | (0.29) | (1.29) | (1.58) |
Year Ended 8/31/2019 | $27.42 | 0.29 | 0.18 | 0.47 | (0.28) | (1.90) | (2.18) |
Year Ended 8/31/2018 | $25.61 | 0.25 | 3.07 | 3.32 | (0.24) | (1.27) | (1.51) |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $28.82 | 0.11 | (0.13) | (0.02) | (0.16) | (2.47) | (2.63) |
Year Ended 8/31/2022 | $37.68 | 0.21 | (4.49) | (4.28) | (0.18) | (4.40) | (4.58) |
Year Ended 8/31/2021 | $30.64 | 0.20 | 9.21 | 9.41 | (0.26) | (2.11) | (2.37) |
Year Ended 8/31/2020 | $26.17 | 0.27 | 5.80 | 6.07 | (0.31) | (1.29) | (1.60) |
Year Ended 8/31/2019 | $27.88 | 0.32 | 0.18 | 0.50 | (0.31) | (1.90) | (2.21) |
Year Ended 8/31/2018 | $26.01 | 0.28 | 3.13 | 3.41 | (0.27) | (1.27) | (1.54) |
16 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $25.23 | (0.06%) | 1.01%(c) | 0.99%(c),(d) | 0.49%(c) | 21% | $1,600,590 |
Year Ended 8/31/2022 | $27.82 | (13.34%) | 0.99% | 0.99%(d) | 0.32% | 49% | $1,671,377 |
Year Ended 8/31/2021 | $36.54 | 32.15% | 1.00%(e) | 1.00%(d),(e) | 0.29% | 47% | $2,061,801 |
Year Ended 8/31/2020 | $29.79 | 23.80% | 1.02% | 1.02%(d) | 0.67% | 51% | $1,648,211 |
Year Ended 8/31/2019 | $25.48 | 2.49% | 1.03%(e) | 1.03%(e) | 0.91% | 53% | $1,568,622 |
Year Ended 8/31/2018 | $27.19 | 13.09% | 1.02% | 1.02%(d) | 0.70% | 63% | $1,912,203 |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $26.20 | 0.03% | 0.76%(c) | 0.74%(c),(d) | 0.73%(c) | 21% | $508,302 |
Year Ended 8/31/2022 | $28.84 | (13.09%) | 0.74% | 0.74%(d) | 0.57% | 49% | $570,718 |
Year Ended 8/31/2021 | $37.70 | 32.47% | 0.75%(e) | 0.75%(d),(e) | 0.54% | 47% | $704,253 |
Year Ended 8/31/2020 | $30.66 | 24.06% | 0.77% | 0.77%(d) | 0.92% | 51% | $586,655 |
Year Ended 8/31/2019 | $26.19 | 2.74% | 0.78%(e) | 0.78%(e) | 1.16% | 53% | $610,686 |
Year Ended 8/31/2018 | $27.89 | 13.39% | 0.77% | 0.77%(d) | 0.95% | 63% | $743,515 |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.33 | (0.45%) | 1.76%(c) | 1.74%(c),(d) | (0.27%)(c) | 21% | $311,128 |
Year Ended 8/31/2022 | $23.94 | (13.95%) | 1.74% | 1.74%(d) | (0.44%) | 49% | $378,576 |
Year Ended 8/31/2021 | $32.19 | 31.14% | 1.75%(e) | 1.75%(d),(e) | (0.45%) | 47% | $552,047 |
Year Ended 8/31/2020 | $26.53 | 22.85% | 1.77% | 1.77%(d) | (0.08%) | 51% | $548,126 |
Year Ended 8/31/2019 | $22.84 | 1.73% | 1.78%(e) | 1.78%(e) | 0.16% | 53% | $561,716 |
Year Ended 8/31/2018 | $24.57 | 12.23% | 1.77% | 1.77%(d) | (0.05%) | 63% | $708,041 |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $25.52 | 0.04% | 0.76%(c) | 0.74%(c),(d) | 0.73%(c) | 21% | $4,184,626 |
Year Ended 8/31/2022 | $28.16 | (13.09%) | 0.74% | 0.74%(d) | 0.57% | 49% | $4,351,597 |
Year Ended 8/31/2021 | $36.92 | 32.47% | 0.75%(e) | 0.75%(d),(e) | 0.54% | 47% | $5,311,382 |
Year Ended 8/31/2020 | $30.07 | 24.08% | 0.77% | 0.77%(d) | 0.92% | 51% | $4,230,127 |
Year Ended 8/31/2019 | $25.71 | 2.75% | 0.78%(e) | 0.78%(e) | 1.16% | 53% | $3,961,440 |
Year Ended 8/31/2018 | $27.42 | 13.37% | 0.77% | 0.77%(d) | 0.95% | 63% | $4,889,699 |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $26.17 | 0.07% | 0.68%(c) | 0.67%(c) | 0.81%(c) | 21% | $709,343 |
Year Ended 8/31/2022 | $28.82 | (13.03%) | 0.67% | 0.67% | 0.64% | 49% | $667,505 |
Year Ended 8/31/2021 | $37.68 | 32.58% | 0.68%(e) | 0.68%(e) | 0.61% | 47% | $858,820 |
Year Ended 8/31/2020 | $30.64 | 24.19% | 0.69% | 0.69% | 1.00% | 51% | $653,968 |
Year Ended 8/31/2019 | $26.17 | 2.81% | 0.68%(e) | 0.68%(e) | 1.25% | 53% | $638,213 |
Year Ended 8/31/2018 | $27.88 | 13.50% | 0.68% | 0.68% | 1.04% | 63% | $894,849 |
Columbia Contrarian Core Fund | Semiannual Report 2023 | 17 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $28.85 | 0.12 | (0.13) | (0.01) | (0.17) | (2.47) | (2.64) |
Year Ended 8/31/2022 | $37.72 | 0.22 | (4.49) | (4.27) | (0.20) | (4.40) | (4.60) |
Year Ended 8/31/2021 | $30.67 | 0.22 | 9.21 | 9.43 | (0.27) | (2.11) | (2.38) |
Year Ended 8/31/2020 | $26.19 | 0.28 | 5.81 | 6.09 | (0.32) | (1.29) | (1.61) |
Year Ended 8/31/2019 | $27.89 | 0.33 | 0.19 | 0.52 | (0.32) | (1.90) | (2.22) |
Year Ended 8/31/2018 | $26.03 | 0.29 | 3.12 | 3.41 | (0.28) | (1.27) | (1.55) |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $27.80 | 0.03 | (0.12) | (0.09) | — | (2.47) | (2.47) |
Year Ended 8/31/2022 | $36.52 | 0.02 | (4.34) | (4.32) | — | (4.40) | (4.40) |
Year Ended 8/31/2021 | $29.78 | 0.01 | 8.94 | 8.95 | (0.10) | (2.11) | (2.21) |
Year Ended 8/31/2020 | $25.48 | 0.11 | 5.64 | 5.75 | (0.16) | (1.29) | (1.45) |
Year Ended 8/31/2019 | $27.18 | 0.16 | 0.19 | 0.35 | (0.15) | (1.90) | (2.05) |
Year Ended 8/31/2018 | $25.41 | 0.12 | 3.04 | 3.16 | (0.12) | (1.27) | (1.39) |
Class V | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $27.44 | 0.06 | (0.12) | (0.06) | (0.06) | (2.47) | (2.53) |
Year Ended 8/31/2022 | $36.09 | 0.10 | (4.28) | (4.18) | (0.07) | (4.40) | (4.47) |
Year Ended 8/31/2021 | $29.45 | 0.09 | 8.83 | 8.92 | (0.17) | (2.11) | (2.28) |
Year Ended 8/31/2020 | $25.22 | 0.17 | 5.58 | 5.75 | (0.23) | (1.29) | (1.52) |
Year Ended 8/31/2019 | $26.93 | 0.22 | 0.19 | 0.41 | (0.22) | (1.90) | (2.12) |
Year Ended 8/31/2018 | $25.18 | 0.18 | 3.02 | 3.20 | (0.18) | (1.27) | (1.45) |
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) | Annualized. |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Ratios include interfund lending expense which is less than 0.01%. |
18 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $26.20 | 0.13% | 0.63%(c) | 0.62%(c) | 0.86%(c) | 21% | $2,526,295 |
Year Ended 8/31/2022 | $28.85 | (13.00%) | 0.62% | 0.62% | 0.69% | 49% | $2,642,362 |
Year Ended 8/31/2021 | $37.72 | 32.64% | 0.63%(e) | 0.63%(e) | 0.66% | 47% | $3,338,749 |
Year Ended 8/31/2020 | $30.67 | 24.26% | 0.64% | 0.64% | 1.05% | 51% | $2,487,886 |
Year Ended 8/31/2019 | $26.19 | 2.90% | 0.64%(e) | 0.64%(e) | 1.30% | 53% | $2,123,062 |
Year Ended 8/31/2018 | $27.89 | 13.50% | 0.63% | 0.63% | 1.10% | 63% | $2,101,809 |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $25.24 | (0.20%) | 1.26%(c) | 1.24%(c),(d) | 0.23%(c) | 21% | $104,512 |
Year Ended 8/31/2022 | $27.80 | (13.55%) | 1.24% | 1.24%(d) | 0.07% | 49% | $113,472 |
Year Ended 8/31/2021 | $36.52 | 31.83% | 1.25%(e) | 1.25%(d),(e) | 0.04% | 47% | $143,336 |
Year Ended 8/31/2020 | $29.78 | 23.47% | 1.27% | 1.27%(d) | 0.42% | 51% | $124,853 |
Year Ended 8/31/2019 | $25.48 | 2.24% | 1.28%(e) | 1.28%(e) | 0.66% | 53% | $124,951 |
Year Ended 8/31/2018 | $27.18 | 12.78% | 1.27% | 1.27%(d) | 0.45% | 63% | $145,912 |
Class V | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $24.85 | (0.06%) | 1.01%(c) | 0.99%(c),(d) | 0.49%(c) | 21% | $162,860 |
Year Ended 8/31/2022 | $27.44 | (13.32%) | 0.99% | 0.99%(d) | 0.32% | 49% | $169,480 |
Year Ended 8/31/2021 | $36.09 | 32.14% | 1.00%(e) | 1.00%(d),(e) | 0.29% | 47% | $212,301 |
Year Ended 8/31/2020 | $29.45 | 23.73% | 1.02% | 1.02%(d) | 0.67% | 51% | $172,192 |
Year Ended 8/31/2019 | $25.22 | 2.52% | 1.03%(e) | 1.03%(e) | 0.91% | 53% | $150,836 |
Year Ended 8/31/2018 | $26.93 | 13.09% | 1.02% | 1.02%(d) | 0.70% | 63% | $163,335 |
Columbia Contrarian Core Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
20 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Contrarian Core Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
22 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Contrarian Core Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Class A | 0.13 |
Advisor Class | 0.13 |
Class C | 0.13 |
Institutional Class | 0.13 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.13 |
Class V | 0.13 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 466,070 |
Class C | — | 1.00(b) | 8,238 |
Class V | 5.75 | 0.50 - 1.00(a) | 34 |
24 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2023 through December 31, 2023 | Prior to January 1, 2023 | |
Class A | 0.97% | 1.03% |
Advisor Class | 0.72 | 0.78 |
Class C | 1.72 | 1.78 |
Institutional Class | 0.72 | 0.78 |
Institutional 2 Class | 0.65 | 0.71 |
Institutional 3 Class | 0.60 | 0.66 |
Class R | 1.22 | 1.28 |
Class V | 0.97 | 1.03 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
6,720,452,000 | 3,553,436,000 | (165,251,000) | 3,388,185,000 |
Columbia Contrarian Core Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 8,900,000 | 3.60 | 2 |
26 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Contrarian Core Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
28 | Columbia Contrarian Core Fund | Semiannual Report 2023 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 09/28/07 | -4.79 | -22.62 | -3.58 | 1.13 |
Including sales charges | -10.30 | -27.06 | -4.72 | 0.53 | ||
Advisor Class* | 03/19/13 | -4.68 | -22.46 | -3.34 | 1.39 | |
Class C | Excluding sales charges | 09/28/07 | -5.11 | -23.19 | -4.29 | 0.38 |
Including sales charges | -6.06 | -23.96 | -4.29 | 0.38 | ||
Institutional Class | 01/02/98 | -4.72 | -22.44 | -3.35 | 1.39 | |
Institutional 2 Class | 11/08/12 | -4.68 | -22.34 | -3.21 | 1.53 | |
Institutional 3 Class | 11/08/12 | -4.66 | -22.30 | -3.18 | 1.58 | |
Class R | 09/27/10 | -4.89 | -22.77 | -3.81 | 0.89 | |
MSCI Emerging Markets Index (Net) | -2.29 | -15.28 | -1.87 | 1.52 | ||
MSCI EAFE Index (Net) | 12.58 | -3.14 | 2.64 | 4.83 |
* | 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 Emerging Markets Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at February 28, 2023) | |
Communication Services | 8.7 |
Consumer Discretionary | 20.8 |
Consumer Staples | 6.7 |
Energy | 4.0 |
Financials | 27.0 |
Health Care | 4.1 |
Industrials | 6.8 |
Information Technology | 21.1 |
Materials | 0.5 |
Real Estate | 0.3 |
Total | 100.0 |
Country breakdown (%) (at February 28, 2023) | |
Argentina | 1.7 |
Brazil | 7.5 |
Canada | 0.8 |
China | 31.7 |
Greece | 1.4 |
Hong Kong | 1.7 |
India | 15.1 |
Indonesia | 7.7 |
Kazakhstan | 0.5 |
Malaysia | 0.7 |
Mexico | 3.8 |
Philippines | 0.3 |
Poland | 0.8 |
Russian Federation | 0.0(a) |
South Africa | 2.9 |
South Korea | 11.2 |
Taiwan | 9.6 |
Thailand | 1.7 |
United States(b) | 0.9 |
Total | 100.0 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds. |
4 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 952.10 | 1,017.55 | 7.07 | 7.30 | 1.46 |
Advisor Class | 1,000.00 | 1,000.00 | 953.20 | 1,018.79 | 5.86 | 6.06 | 1.21 |
Class C | 1,000.00 | 1,000.00 | 948.90 | 1,013.84 | 10.68 | 11.03 | 2.21 |
Institutional Class | 1,000.00 | 1,000.00 | 952.80 | 1,018.79 | 5.86 | 6.06 | 1.21 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 953.20 | 1,019.34 | 5.33 | 5.51 | 1.10 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 953.40 | 1,019.54 | 5.13 | 5.31 | 1.06 |
Class R | 1,000.00 | 1,000.00 | 951.10 | 1,016.31 | 8.27 | 8.55 | 1.71 |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Common Stocks 97.7% | ||
Issuer | Shares | Value ($) |
Argentina 1.7% | ||
Globant SA(a) | 37,977 | 6,269,243 |
MercadoLibre, Inc.(a) | 13,795 | 16,829,900 |
Total | 23,099,143 | |
Brazil 7.5% | ||
Afya Ltd., Class A(a) | 410,188 | 4,749,977 |
B3 SA - Brasil Bolsa Balcao | 7,078,287 | 14,317,596 |
Banco BTG Pactual SA | 2,126,289 | 8,183,580 |
Banco do Brasil SA | 615,978 | 4,749,741 |
Itaú Unibanco Holding SA, ADR | 3,674,624 | 17,674,942 |
JBS SA | 398,334 | 1,453,965 |
Localiza Rent a Car SA | 1,390,090 | 14,767,939 |
Localiza Rent a Car SA, ADR(a) | 6,075 | 64,539 |
Petro Rio SA(a) | 1,893,807 | 12,360,234 |
Petroreconcavo SA | 601,084 | 3,266,355 |
Sendas Distribuidora SA | 3,392,860 | 11,755,719 |
WEG SA | 941,212 | 7,009,494 |
Total | 100,354,081 | |
Canada 0.8% | ||
Parex Resources, Inc. | 668,344 | 10,893,346 |
China 31.6% | ||
Alibaba Group Holding Ltd.(a) | 1,029,100 | 11,311,295 |
Bafang Electric Suzhou Co., Ltd., Class A | 289,303 | 5,168,048 |
Beijing Kingsoft Office Software, Inc., Class A | 168,410 | 7,064,197 |
Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A | 1,410,847 | 6,984,742 |
China Animal Healthcare Ltd.(a),(b),(c) | 6,354,000 | 1 |
China Tourism Group Duty Free Corp., Ltd., Class A | 509,487 | 14,513,975 |
Contemporary Amperex Technology Co., Ltd., Class A | 125,000 | 7,253,211 |
Eastroc Beverage Group Co., Ltd., Class A | 139,403 | 4,117,803 |
Full Truck Alliance Co., Ltd., ADR(a) | 1,037,098 | 7,259,686 |
Inner Mongolia Yili Industrial Group Co., Ltd., Class A | 3,558,047 | 15,624,651 |
JD.com, Inc., ADR | 608,874 | 27,058,361 |
JD.com, Inc., Class A | 277,088 | 6,159,647 |
Kingdee International Software Group Co., Ltd.(a) | 3,238,000 | 6,050,085 |
Kuaishou Technology(a) | 643,900 | 4,315,073 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Kweichow Moutai Co., Ltd., Class A | 39,373 | 10,300,627 |
Li Ning Co., Ltd. | 2,952,000 | 25,188,546 |
Medlive Technology Co., Ltd.(d) | 3,037,573 | 3,713,983 |
Meituan, Class B(a) | 2,093,140 | 36,326,304 |
Midea Group Co., Ltd., Class A | 2,347,100 | 17,718,646 |
NetEase, Inc. | 1,607,505 | 24,981,363 |
PDD Holdings, Inc., ADR(a) | 339,360 | 29,772,053 |
Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 386,047 | 17,443,020 |
Shenzhou International Group Holdings Ltd. | 673,200 | 7,365,860 |
Silergy Corp. | 211,000 | 3,970,195 |
Songcheng Performance Development Co., Ltd., Class A | 6,556,272 | 14,814,367 |
Sungrow Power Supply Co., Ltd., Class A | 388,524 | 6,680,664 |
Tencent Holdings Ltd. | 1,945,200 | 85,449,537 |
WuXi Biologics Cayman, Inc.(a) | 908,000 | 6,356,140 |
Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | 2,645,751 | 9,734,413 |
Total | 422,696,493 | |
Greece 1.4% | ||
Eurobank Ergasias SA(a) | 2,999,262 | 4,597,639 |
JUMBO SA | 191,361 | 3,821,088 |
National Bank of Greece SA(a) | 1,013,759 | 5,672,240 |
OPAP SA | 293,222 | 4,551,087 |
Total | 18,642,054 | |
Hong Kong 1.7% | ||
AIA Group Ltd. | 1,574,200 | 16,730,625 |
Hong Kong Exchanges and Clearing Ltd. | 79,700 | 3,192,197 |
Techtronic Industries Co., Ltd. | 299,264 | 2,980,450 |
Total | 22,903,272 | |
India 15.0% | ||
Apollo Hospitals Enterprise Ltd. | 355,362 | 18,906,272 |
Astral Ltd. | 198,005 | 4,519,491 |
AU Small Finance Bank Ltd. | 1,638,870 | 11,742,989 |
Balkrishna Industries Ltd. | 340,270 | 8,285,113 |
Cholamandalam Investment and Finance Co., Ltd. | 1,630,543 | 14,907,182 |
Dixon Technologies India Ltd. | 87,253 | 3,047,680 |
Eicher Motors Ltd. | 220,920 | 8,291,279 |
6 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
HDFC Bank Ltd., ADR | 584,050 | 39,505,142 |
ICICI Bank Ltd., ADR | 1,798,687 | 37,196,847 |
Infosys Ltd., ADR | 384,894 | 6,904,998 |
Larsen & Toubro Ltd. | 740,181 | 18,864,899 |
Mahindra & Mahindra Ltd. | 661,638 | 10,151,548 |
Reliance Industries Ltd. | 669,194 | 18,769,642 |
Total | 201,093,082 | |
Indonesia 7.7% | ||
Bank Negara Indonesia Persero Tbk PT | 22,968,100 | 13,209,567 |
PT Astra International Tbk | 26,911,400 | 10,764,773 |
PT Bank BTPN Syariah Tbk | 42,338,800 | 6,495,190 |
PT Bank Central Asia Tbk | 62,132,600 | 35,635,464 |
PT Bank Rakyat Indonesia Persero Tbk | 120,415,229 | 36,854,947 |
Total | 102,959,941 | |
Kazakhstan 0.5% | ||
Kaspi.KZ JSC, GDR(b),(c),(d) | 85,683 | 6,374,815 |
Malaysia 0.7% | ||
CIMB Group Holdings Bhd | 3,501,400 | 4,377,219 |
Public Bank Bhd | 5,196,000 | 4,781,919 |
Total | 9,159,138 | |
Mexico 3.8% | ||
Grupo Aeroportuario del Centro Norte SAB de CV | 519,504 | 4,967,181 |
Grupo Aeroportuario del Pacifico SAB de CV | 293,050 | 5,559,245 |
Grupo Financiero Banorte SAB de CV, Class O | 2,575,037 | 21,797,706 |
Wal-Mart de Mexico SAB de CV, Class V | 4,756,288 | 18,742,840 |
Total | 51,066,972 | |
Philippines 0.3% | ||
Ayala Land, Inc. | 6,758,500 | 3,473,898 |
Poland 0.8% | ||
Dino Polska SA(a) | 130,983 | 10,934,923 |
Russian Federation 0.0% | ||
Detsky Mir PJSC(a),(b),(c),(e) | 5,893,953 | 0 |
Fix Price Group PLC, GDR(a),(b),(c),(d),(e) | 2,678,663 | 3 |
Ozon Holdings PLC, ADR(a),(b),(c),(e) | 375,545 | 0 |
TCS Group Holding PLC, GDR(a),(b),(c),(e) | 171,169 | 0 |
Yandex NV, Class A(a),(b),(c),(e) | 477,611 | 1 |
Total | 4 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
South Africa 2.9% | ||
Absa Group Ltd. | 1,183,039 | 12,772,803 |
Capitec Bank Holdings Ltd. | 107,216 | 10,228,869 |
Clicks Group Ltd. | 403,712 | 5,880,368 |
Shoprite Holdings Ltd. | 779,619 | 9,440,565 |
Total | 38,322,605 | |
South Korea 9.9% | ||
Coupang, Inc.(a) | 582,100 | 9,028,371 |
Hana Financial Group, Inc. | 199,348 | 6,837,093 |
Samsung Biologics Co., Ltd.(a) | 12,976 | 7,581,084 |
Samsung Electro-Mechanics Co., Ltd. | 112,710 | 12,254,512 |
Samsung Electronics Co., Ltd. | 1,300,582 | 59,508,033 |
Samsung SDI Co., Ltd. | 40,424 | 21,237,799 |
SK Hynix, Inc. | 241,104 | 16,294,962 |
Total | 132,741,854 | |
Taiwan 9.7% | ||
Chailease Holding Co., Ltd. | 728,700 | 5,341,150 |
Delta Electronics | 1,515,000 | 14,173,916 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 6,342,048 | 104,922,180 |
Unimicron Technology Corp. | 1,080,281 | 4,461,787 |
Total | 128,899,033 | |
Thailand 1.7% | ||
Kasikornbank PCL, Foreign Registered Shares | 3,760,900 | 14,575,330 |
PTT Exploration & Production PCL | 1,811,800 | 7,668,348 |
Total | 22,243,678 | |
Total Common Stocks (Cost $1,090,610,486) | 1,305,858,332 |
Preferred Stocks 1.2% | |||
Issuer | Shares | Value ($) | |
South Korea 1.2% | |||
Samsung Electronics Co., Ltd. | 408,983 | 16,491,853 | |
Total Preferred Stocks (Cost $9,843,439) | 16,491,853 |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
Money Market Funds 0.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(f),(g) | 12,047,596 | 12,042,777 |
Total Money Market Funds (Cost $12,042,773) | 12,042,777 | |
Total Investments in Securities (Cost $1,112,496,698) | 1,334,392,962 | |
Other Assets & Liabilities, Net | 2,831,946 | |
Net Assets | $1,337,224,908 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 28, 2023, the total value of these securities amounted to $6,374,820, which represents 0.48% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(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 February 28, 2023, the total value of these securities amounted to $10,088,801, which represents 0.75% of total net assets. |
(e) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 28, 2023, the total market value of these securities amounted to $4, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Detsky Mir PJSC | 02/08/2017-12/13/2021 | 5,893,953 | 8,677,339 | — |
Fix Price Group PLC, GDR | 03/05/2021-03/08/2021 | 2,678,663 | 26,134,618 | 3 |
Ozon Holdings PLC, ADR | 11/24/2020-12/13/2021 | 375,545 | 16,861,518 | — |
TCS Group Holding PLC, GDR | 11/21/2017-01/25/2022 | 171,169 | 3,700,340 | — |
Yandex NV, Class A | 10/30/2015-12/13/2021 | 477,611 | 10,731,002 | 1 |
66,104,817 | 4 |
(f) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
8,433,007 | 215,152,285 | (211,542,518) | 3 | 12,042,777 | 1,208 | 193,935 | 12,047,596 |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
8 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | 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 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Argentina | 23,099,143 | — | — | 23,099,143 |
Brazil | 100,354,081 | — | — | 100,354,081 |
Canada | 10,893,346 | — | — | 10,893,346 |
China | 64,090,100 | 358,606,392 | 1 | 422,696,493 |
Greece | — | 18,642,054 | — | 18,642,054 |
Hong Kong | — | 22,903,272 | — | 22,903,272 |
India | 83,606,987 | 117,486,095 | — | 201,093,082 |
Indonesia | — | 102,959,941 | — | 102,959,941 |
Kazakhstan | — | — | 6,374,815 | 6,374,815 |
Malaysia | — | 9,159,138 | — | 9,159,138 |
Mexico | 51,066,972 | — | — | 51,066,972 |
Philippines | — | 3,473,898 | — | 3,473,898 |
Poland | — | 10,934,923 | — | 10,934,923 |
Russian Federation | — | — | 4 | 4 |
South Africa | — | 38,322,605 | — | 38,322,605 |
South Korea | 9,028,371 | 123,713,483 | — | 132,741,854 |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Taiwan | — | 128,899,033 | — | 128,899,033 |
Thailand | — | 22,243,678 | — | 22,243,678 |
Total Common Stocks | 342,139,000 | 957,344,512 | 6,374,820 | 1,305,858,332 |
Preferred Stocks | ||||
South Korea | — | 16,491,853 | — | 16,491,853 |
Total Preferred Stocks | — | 16,491,853 | — | 16,491,853 |
Money Market Funds | 12,042,777 | — | — | 12,042,777 |
Total Investments in Securities | 354,181,777 | 973,836,365 | 6,374,820 | 1,334,392,962 |
10 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,100,453,925) | $1,322,350,185 |
Affiliated issuers (cost $12,042,773) | 12,042,777 |
Foreign currency (cost $3,183,087) | 2,853,468 |
Receivable for: | |
Investments sold | 3,902,947 |
Capital shares sold | 1,148,285 |
Dividends | 2,343,631 |
Foreign tax reclaims | 207,203 |
Expense reimbursement due from Investment Manager | 2,151 |
Prepaid expenses | 15,300 |
Trustees’ deferred compensation plan | 139,284 |
Other assets | 26,081 |
Total assets | 1,345,031,312 |
Liabilities | |
Payable for: | |
Investments purchased | 2,502,107 |
Capital shares purchased | 1,319,449 |
Foreign capital gains taxes deferred | 3,404,816 |
Management services fees | 37,724 |
Distribution and/or service fees | 1,547 |
Transfer agent fees | 150,736 |
Compensation of board members | 31,252 |
Compensation of chief compliance officer | 134 |
Other expenses | 219,355 |
Trustees’ deferred compensation plan | 139,284 |
Total liabilities | 7,806,404 |
Net assets applicable to outstanding capital stock | $1,337,224,908 |
Represented by | |
Paid in capital | 1,367,399,129 |
Total distributable earnings (loss) | (30,174,221) |
Total - representing net assets applicable to outstanding capital stock | $1,337,224,908 |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 11 |
February 28, 2023 (Unaudited)
Class A | |
Net assets | $180,573,345 |
Shares outstanding | 15,946,599 |
Net asset value per share | $11.32 |
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) | $12.01 |
Advisor Class | |
Net assets | $45,495,542 |
Shares outstanding | 3,921,199 |
Net asset value per share | $11.60 |
Class C | |
Net assets | $8,736,562 |
Shares outstanding | 840,140 |
Net asset value per share | $10.40 |
Institutional Class | |
Net assets | $503,056,212 |
Shares outstanding | 43,692,154 |
Net asset value per share | $11.51 |
Institutional 2 Class | |
Net assets | $126,809,498 |
Shares outstanding | 10,919,700 |
Net asset value per share | $11.61 |
Institutional 3 Class | |
Net assets | $467,875,264 |
Shares outstanding | 40,082,107 |
Net asset value per share | $11.67 |
Class R | |
Net assets | $4,678,485 |
Shares outstanding | 421,907 |
Net asset value per share | $11.09 |
12 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $8,686,349 |
Dividends — affiliated issuers | 193,935 |
Foreign taxes withheld | (1,266,741) |
Total income | 7,613,543 |
Expenses: | |
Management services fees | 7,048,742 |
Distribution and/or service fees | |
Class A | 232,827 |
Class C | 45,988 |
Class R | 11,366 |
Transfer agent fees | |
Class A | 147,463 |
Advisor Class | 41,161 |
Class C | 7,280 |
Institutional Class | 389,944 |
Institutional 2 Class | 40,593 |
Institutional 3 Class | 17,997 |
Class R | 3,598 |
Compensation of board members | 19,156 |
Custodian fees | 162,314 |
Printing and postage fees | 54,739 |
Registration fees | 65,349 |
Audit fees | 20,496 |
Legal fees | 15,694 |
Interest on interfund lending | 11,850 |
Compensation of chief compliance officer | 134 |
Other | 108,501 |
Total expenses | 8,445,192 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (272,962) |
Fees waived by transfer agent | |
Institutional 2 Class | (1,519) |
Expense reduction | (1,708) |
Total net expenses | 8,169,003 |
Net investment loss | (555,460) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (101,149,312) |
Investments — affiliated issuers | 1,208 |
Foreign currency translations | (257,781) |
Net realized loss | (101,405,885) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 30,425,451 |
Investments — affiliated issuers | 3 |
Foreign currency translations | (286,794) |
Foreign capital gains tax | 1,460,690 |
Net change in unrealized appreciation (depreciation) | 31,599,350 |
Net realized and unrealized loss | (69,806,535) |
Net decrease in net assets resulting from operations | $(70,361,995) |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 13 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income (loss) | $(555,460) | $440,257 |
Net realized loss | (101,405,885) | (98,694,657) |
Net change in unrealized appreciation (depreciation) | 31,599,350 | (828,376,249) |
Net decrease in net assets resulting from operations | (70,361,995) | (926,630,649) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | — | (4,204,394) |
Advisor Class | — | (1,411,194) |
Class C | — | (218,247) |
Institutional Class | — | (7,979,325) |
Institutional 2 Class | — | (5,275,351) |
Institutional 3 Class | — | (11,836,745) |
Class R | — | (81,634) |
Return of capital | ||
Class A | — | (408,081) |
Advisor Class | — | (128,585) |
Class C | — | (26,609) |
Institutional Class | — | (727,061) |
Institutional 2 Class | — | (467,543) |
Institutional 3 Class | — | (1,036,205) |
Class R | — | (8,502) |
Total distributions to shareholders | — | (33,809,476) |
Increase (decrease) in net assets from capital stock activity | (108,018,636) | 118,266,067 |
Total decrease in net assets | (178,380,631) | (842,174,058) |
Net assets at beginning of period | 1,515,605,539 | 2,357,779,597 |
Net assets at end of period | $1,337,224,908 | $1,515,605,539 |
14 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 892,466 | 10,226,170 | 2,357,203 | 35,630,861 |
Fund reorganization | — | — | 269,775 | 4,637,897 |
Distributions reinvested | — | — | 258,838 | 4,467,536 |
Redemptions | (2,279,688) | (25,565,021) | (4,236,227) | (62,139,731) |
Net decrease | (1,387,222) | (15,338,851) | (1,350,411) | (17,403,437) |
Advisor Class | ||||
Subscriptions | 468,589 | 5,404,175 | 7,901,905 | 117,952,439 |
Fund reorganization | — | — | 9,411,874 | 165,298,388 |
Distributions reinvested | — | — | 87,134 | 1,536,164 |
Redemptions | (2,283,337) | (26,496,396) | (17,456,431) | (261,311,962) |
Net increase (decrease) | (1,814,748) | (21,092,221) | (55,518) | 23,475,029 |
Class C | ||||
Subscriptions | 33,148 | 347,282 | 143,007 | 2,013,232 |
Distributions reinvested | — | — | 14,975 | 239,603 |
Redemptions | (169,529) | (1,723,898) | (465,227) | (6,552,094) |
Net decrease | (136,381) | (1,376,616) | (307,245) | (4,299,259) |
Institutional Class | ||||
Subscriptions | 12,742,031 | 146,538,764 | 37,723,359 | 563,198,392 |
Distributions reinvested | — | — | 338,369 | 5,921,453 |
Redemptions | (12,111,376) | (140,586,997) | (23,369,942) | (329,853,633) |
Net increase | 630,655 | 5,951,767 | 14,691,786 | 239,266,212 |
Institutional 2 Class | ||||
Subscriptions | 1,090,186 | 12,659,897 | 5,843,799 | 90,934,570 |
Distributions reinvested | — | — | 325,360 | 5,732,848 |
Redemptions | (4,515,462) | (51,389,545) | (11,926,285) | (167,447,607) |
Net decrease | (3,425,276) | (38,729,648) | (5,757,126) | (70,780,189) |
Institutional 3 Class | ||||
Subscriptions | 7,040,963 | 81,487,709 | 13,440,227 | 198,900,011 |
Distributions reinvested | — | — | 320,281 | 5,672,176 |
Redemptions | (10,208,725) | (118,932,310) | (17,589,054) | (257,209,551) |
Net decrease | (3,167,762) | (37,444,601) | (3,828,546) | (52,637,364) |
Class R | ||||
Subscriptions | 77,012 | 867,294 | 182,414 | 2,680,376 |
Distributions reinvested | — | — | 4,809 | 81,518 |
Redemptions | (77,068) | (855,760) | (139,013) | (2,116,819) |
Net increase (decrease) | (56) | 11,534 | 48,210 | 645,075 |
Total net increase (decrease) | (9,300,790) | (108,018,636) | 3,441,150 | 118,266,067 |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 15 |
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 | Tax return of capital | Total distributions to shareholders | |
Class A | ||||||||
Six Months Ended 2/28/2023 (Unaudited) | $11.89 | (0.02) | (0.55) | (0.57) | — | — | — | — |
Year Ended 8/31/2022 | $19.06 | (0.04) | (6.88) | (6.92) | (0.16) | (0.07) | (0.02) | (0.25) |
Year Ended 8/31/2021 | $15.60 | (0.08) | 3.72 | 3.64 | (0.18) | — | — | (0.18) |
Year Ended 8/31/2020 | $12.15 | (0.04) | 3.51 | 3.47 | (0.02) | — | — | (0.02) |
Year Ended 8/31/2019 | $12.15 | 0.01 | (0.01) | 0.00(g) | — | — | — | — |
Year Ended 8/31/2018 | $12.62 | 0.02 | (0.47) | (0.45) | (0.02) | — | — | (0.02) |
Advisor Class | ||||||||
Six Months Ended 2/28/2023 (Unaudited) | $12.17 | (0.01) | (0.56) | (0.57) | — | — | — | — |
Year Ended 8/31/2022 | $19.46 | 0.00(g) | (7.02) | (7.02) | (0.18) | (0.07) | (0.02) | (0.27) |
Year Ended 8/31/2021 | $15.92 | (0.03) | 3.79 | 3.76 | (0.22) | — | — | (0.22) |
Year Ended 8/31/2020 | $12.39 | (0.01) | 3.59 | 3.58 | (0.05) | — | — | (0.05) |
Year Ended 8/31/2019 | $12.38 | 0.04 | (0.02) | 0.02 | (0.01) | — | — | (0.01) |
Year Ended 8/31/2018 | $12.84 | 0.02 | (0.43) | (0.41) | (0.05) | — | — | (0.05) |
Class C | ||||||||
Six Months Ended 2/28/2023 (Unaudited) | $10.96 | (0.06) | (0.50) | (0.56) | — | — | — | — |
Year Ended 8/31/2022 | $17.67 | (0.15) | (6.35) | (6.50) | (0.12) | (0.07) | (0.02) | (0.21) |
Year Ended 8/31/2021 | $14.50 | (0.20) | 3.45 | 3.25 | (0.08) | — | — | (0.08) |
Year Ended 8/31/2020 | $11.36 | (0.13) | 3.27 | 3.14 | — | — | — | — |
Year Ended 8/31/2019 | $11.45 | (0.08) | (0.01) | (0.09) | — | — | — | — |
Year Ended 8/31/2018 | $11.96 | (0.08) | (0.43) | (0.51) | — | — | — | — |
Institutional Class | ||||||||
Six Months Ended 2/28/2023 (Unaudited) | $12.08 | (0.01) | (0.56) | (0.57) | — | — | — | — |
Year Ended 8/31/2022 | $19.32 | 0.01 | (6.98) | (6.97) | (0.18) | (0.07) | (0.02) | (0.27) |
Year Ended 8/31/2021 | $15.80 | (0.03) | 3.77 | 3.74 | (0.22) | — | — | (0.22) |
Year Ended 8/31/2020 | $12.30 | (0.01) | 3.56 | 3.55 | (0.05) | — | — | (0.05) |
Year Ended 8/31/2019 | $12.29 | 0.05 | (0.03) | 0.02 | (0.01) | — | — | (0.01) |
Year Ended 8/31/2018 | $12.76 | 0.05 | (0.47) | (0.42) | (0.05) | — | — | (0.05) |
Institutional 2 Class | ||||||||
Six Months Ended 2/28/2023 (Unaudited) | $12.18 | (0.00)(g) | (0.57) | (0.57) | — | — | — | — |
Year Ended 8/31/2022 | $19.46 | 0.01 | (7.02) | (7.01) | (0.18) | (0.07) | (0.02) | (0.27) |
Year Ended 8/31/2021 | $15.92 | (0.02) | 3.79 | 3.77 | (0.23) | — | — | (0.23) |
Year Ended 8/31/2020 | $12.38 | 0.01 | 3.60 | 3.61 | (0.07) | — | — | (0.07) |
Year Ended 8/31/2019 | $12.37 | 0.07 | (0.03) | 0.04 | (0.03) | — | — | (0.03) |
Year Ended 8/31/2018 | $12.84 | 0.08 | (0.49) | (0.41) | (0.06) | — | — | (0.06) |
16 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $11.32 | (4.79%) | 1.50%(c),(d) | 1.46%(c),(d),(e) | (0.35%)(c) | 21% | $180,573 |
Year Ended 8/31/2022 | $11.89 | (36.71%) | 1.44%(d),(f) | 1.44%(d),(e),(f) | (0.27%) | 48% | $206,162 |
Year Ended 8/31/2021 | $19.06 | 23.40% | 1.43%(d) | 1.43%(d),(e) | (0.45%) | 16% | $356,033 |
Year Ended 8/31/2020 | $15.60 | 28.56% | 1.55%(d) | 1.54%(d),(e) | (0.29%) | 29% | $280,741 |
Year Ended 8/31/2019 | $12.15 | 0.00% | 1.58%(d) | 1.58%(d) | 0.12% | 38% | $249,512 |
Year Ended 8/31/2018 | $12.15 | (3.58%) | 1.54% | 1.54%(e) | 0.12% | 39% | $276,209 |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $11.60 | (4.68%) | 1.24%(c),(d) | 1.21%(c),(d),(e) | (0.12%)(c) | 21% | $45,496 |
Year Ended 8/31/2022 | $12.17 | (36.52%) | 1.19%(d),(f) | 1.19%(d),(e),(f) | 0.03% | 48% | $69,818 |
Year Ended 8/31/2021 | $19.46 | 23.65% | 1.18%(d) | 1.18%(d),(e) | (0.17%) | 16% | $112,719 |
Year Ended 8/31/2020 | $15.92 | 28.92% | 1.30%(d) | 1.29%(d),(e) | (0.07%) | 29% | $43,986 |
Year Ended 8/31/2019 | $12.39 | 0.20% | 1.33%(d) | 1.33%(d) | 0.36% | 38% | $23,161 |
Year Ended 8/31/2018 | $12.38 | (3.26%) | 1.29% | 1.29%(e) | 0.14% | 39% | $24,379 |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $10.40 | (5.11%) | 2.25%(c),(d) | 2.21%(c),(d),(e) | (1.10%)(c) | 21% | $8,737 |
Year Ended 8/31/2022 | $10.96 | (37.18%) | 2.19%(d),(f) | 2.19%(d),(e),(f) | (1.04%) | 48% | $10,706 |
Year Ended 8/31/2021 | $17.67 | 22.45% | 2.18%(d) | 2.18%(d),(e) | (1.19%) | 16% | $22,680 |
Year Ended 8/31/2020 | $14.50 | 27.64% | 2.30%(d) | 2.29%(d),(e) | (1.04%) | 29% | $15,742 |
Year Ended 8/31/2019 | $11.36 | (0.79%) | 2.33%(d) | 2.33%(d) | (0.69%) | 38% | $14,830 |
Year Ended 8/31/2018 | $11.45 | (4.26%) | 2.29% | 2.29%(e) | (0.62%) | 39% | $22,177 |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $11.51 | (4.72%) | 1.25%(c),(d) | 1.21%(c),(d),(e) | (0.09%)(c) | 21% | $503,056 |
Year Ended 8/31/2022 | $12.08 | (36.52%) | 1.20%(d),(f) | 1.20%(d),(e),(f) | 0.05% | 48% | $520,117 |
Year Ended 8/31/2021 | $19.32 | 23.70% | 1.18%(d) | 1.18%(d),(e) | (0.18%) | 16% | $547,997 |
Year Ended 8/31/2020 | $15.80 | 28.89% | 1.30%(d) | 1.29%(d),(e) | (0.04%) | 29% | $260,558 |
Year Ended 8/31/2019 | $12.30 | 0.20% | 1.33%(d) | 1.33%(d) | 0.41% | 38% | $210,844 |
Year Ended 8/31/2018 | $12.29 | (3.35%) | 1.29% | 1.29%(e) | 0.40% | 39% | $203,193 |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $11.61 | (4.68%) | 1.14%(c),(d) | 1.10%(c),(d) | (0.00%)(c),(g) | 21% | $126,809 |
Year Ended 8/31/2022 | $12.18 | (36.44%) | 1.09%(d),(f) | 1.09%(d),(f) | 0.04% | 48% | $174,660 |
Year Ended 8/31/2021 | $19.46 | 23.77% | 1.08%(d) | 1.08%(d) | (0.09%) | 16% | $391,145 |
Year Ended 8/31/2020 | $15.92 | 29.19% | 1.16%(d) | 1.15%(d) | 0.10% | 29% | $238,994 |
Year Ended 8/31/2019 | $12.38 | 0.36% | 1.18%(d) | 1.18%(d) | 0.55% | 38% | $161,554 |
Year Ended 8/31/2018 | $12.37 | (3.22%) | 1.16% | 1.16% | 0.58% | 39% | $155,442 |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 17 |
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 | Tax return of capital | Total distributions to shareholders | |
Institutional 3 Class | ||||||||
Six Months Ended 2/28/2023 (Unaudited) | $12.24 | 0.00(g) | (0.57) | (0.57) | — | — | — | — |
Year Ended 8/31/2022 | $19.55 | 0.02 | (7.05) | (7.03) | (0.19) | (0.07) | (0.02) | (0.28) |
Year Ended 8/31/2021 | $15.99 | (0.01) | 3.81 | 3.80 | (0.24) | — | — | (0.24) |
Year Ended 8/31/2020 | $12.44 | 0.02 | 3.60 | 3.62 | (0.07) | — | — | (0.07) |
Year Ended 8/31/2019 | $12.43 | 0.07 | (0.02) | 0.05 | (0.04) | — | — | (0.04) |
Year Ended 8/31/2018 | $12.90 | 0.07 | (0.47) | (0.40) | (0.07) | — | — | (0.07) |
Class R | ||||||||
Six Months Ended 2/28/2023 (Unaudited) | $11.66 | (0.03) | (0.54) | (0.57) | — | — | — | — |
Year Ended 8/31/2022 | $18.72 | (0.07) | (6.75) | (6.82) | (0.15) | (0.07) | (0.02) | (0.24) |
Year Ended 8/31/2021 | $15.34 | (0.13) | 3.66 | 3.53 | (0.15) | — | — | (0.15) |
Year Ended 8/31/2020 | $11.96 | (0.07) | 3.45 | 3.38 | — | — | — | — |
Year Ended 8/31/2019 | $11.99 | (0.02) | (0.01) | (0.03) | — | — | — | — |
Year Ended 8/31/2018 | $12.47 | (0.02) | (0.46) | (0.48) | — | — | — | — |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 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%. |
(g) | Rounds to zero. |
18 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $11.67 | (4.66%) | 1.09%(c),(d) | 1.06%(c),(d) | 0.04%(c) | 21% | $467,875 |
Year Ended 8/31/2022 | $12.24 | (36.41%) | 1.04%(d),(f) | 1.04%(d),(f) | 0.13% | 48% | $529,223 |
Year Ended 8/31/2021 | $19.55 | 23.84% | 1.03%(d) | 1.03%(d) | (0.03%) | 16% | $920,211 |
Year Ended 8/31/2020 | $15.99 | 29.18% | 1.11%(d) | 1.10%(d) | 0.16% | 29% | $661,552 |
Year Ended 8/31/2019 | $12.44 | 0.43% | 1.13%(d) | 1.13%(d) | 0.58% | 38% | $609,791 |
Year Ended 8/31/2018 | $12.43 | (3.18%) | 1.10% | 1.10% | 0.54% | 39% | $673,688 |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $11.09 | (4.89%) | 1.75%(c),(d) | 1.71%(c),(d),(e) | (0.60%)(c) | 21% | $4,678 |
Year Ended 8/31/2022 | $11.66 | (36.85%) | 1.69%(d),(f) | 1.69%(d),(e),(f) | (0.50%) | 48% | $4,921 |
Year Ended 8/31/2021 | $18.72 | 23.04% | 1.68%(d) | 1.68%(d),(e) | (0.69%) | 16% | $6,996 |
Year Ended 8/31/2020 | $15.34 | 28.26% | 1.80%(d) | 1.79%(d),(e) | (0.54%) | 29% | $5,731 |
Year Ended 8/31/2019 | $11.96 | (0.25%) | 1.83%(d) | 1.83%(d) | (0.16%) | 38% | $7,125 |
Year Ended 8/31/2018 | $11.99 | (3.85%) | 1.79% | 1.79%(e) | (0.17%) | 39% | $9,847 |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
20 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Emerging Markets Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
22 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Class A | 0.16 |
Advisor Class | 0.16 |
Class C | 0.16 |
Institutional Class | 0.16 |
Institutional 2 Class | 0.05 |
Institutional 3 Class | 0.01 |
Class R | 0.16 |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 25,301 |
Class C | — | 1.00(b) | 370 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2023 through December 31, 2023 | Prior to January 1, 2023 | |
Class A | 1.43% | 1.47% |
Advisor Class | 1.18 | 1.22 |
Class C | 2.18 | 2.22 |
Institutional Class | 1.18 | 1.22 |
Institutional 2 Class | 1.07 | 1.11 |
Institutional 3 Class | 1.03 | 1.07 |
Class R | 1.68 | 1.72 |
24 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,112,497,000 | 387,343,000 | (165,447,000) | 221,896,000 |
Late year ordinary losses ($) | Post-October capital losses ($) |
20,808,706 | 108,399,274 |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 7,428,571 | 4.19 | 14 |
26 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Shares | |
Class A | 269,775 |
Advisor Class | 9,411,874 |
($) | |
Net investment income | 47,000 |
Net realized loss | (47,692,000) |
Net change in unrealized appreciation/(depreciation) | (895,002,000) |
Net decrease in net assets from operations | (942,647,000) |
Columbia Emerging Markets Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
28 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Emerging Markets Fund | Semiannual Report 2023 | 29 |
February 28, 2023 (Unaudited)
30 | Columbia Emerging Markets Fund | Semiannual Report 2023 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 05/16/97 | -5.54 | -22.26 | -4.80 | 3.93 |
Including sales charges | -10.97 | -26.72 | -5.92 | 3.31 | ||
Advisor Class* | 03/19/13 | -5.40 | -22.05 | -4.55 | 4.19 | |
Class C | Excluding sales charges | 05/16/97 | -5.87 | -22.82 | -5.51 | 3.15 |
Including sales charges | -6.82 | -23.60 | -5.51 | 3.15 | ||
Institutional Class | 05/16/97 | -5.51 | -22.13 | -4.58 | 4.18 | |
Institutional 2 Class | 11/08/12 | -5.37 | -21.98 | -4.48 | 4.30 | |
Institutional 3 Class* | 03/01/17 | -5.35 | -21.95 | -4.43 | 4.16 | |
MSCI China Index (Net) | -2.83 | -16.14 | -5.49 | 2.44 | ||
Hang Seng Index | -0.85 | -13.28 | -8.55 | -1.62 |
* | 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 Greater China Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at February 28, 2023) | |
Communication Services | 20.2 |
Consumer Discretionary | 35.7 |
Consumer Staples | 11.4 |
Financials | 12.8 |
Health Care | 6.2 |
Industrials | 5.8 |
Information Technology | 4.3 |
Materials | 1.9 |
Real Estate | 1.7 |
Total | 100.0 |
Country breakdown (%) (at February 28, 2023) | |
China | 90.5 |
Hong Kong | 7.2 |
United States(a) | 2.3 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Greater China Fund | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
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 | 944.60 | 1,016.86 | 7.71 | 8.00 | 1.60 |
Advisor Class | 1,000.00 | 1,000.00 | 946.00 | 1,018.10 | 6.51 | 6.76 | 1.35 |
Class C | 1,000.00 | 1,000.00 | 941.30 | 1,013.09 | 11.36 | 11.78 | 2.36 |
Institutional Class | 1,000.00 | 1,000.00 | 944.90 | 1,018.05 | 6.56 | 6.80 | 1.36 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 946.30 | 1,018.50 | 6.13 | 6.36 | 1.27 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 946.50 | 1,018.94 | 5.69 | 5.91 | 1.18 |
Columbia Greater China Fund | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Common Stocks 97.4% | ||
Issuer | Shares | Value ($) |
Communication Services 19.7% | ||
Entertainment 3.3% | ||
NetEase, Inc. | 218,800 | 3,400,252 |
Interactive Media & Services 16.4% | ||
Autohome, Inc., ADR | 10,396 | 317,078 |
Baidu, Inc. Class A(a) | 67,676 | 1,163,576 |
Kuaishou Technology(a) | 288,300 | 1,932,032 |
Tencent Holdings Ltd. | 307,100 | 13,490,414 |
Total | 16,903,100 | |
Total Communication Services | 20,303,352 | |
Consumer Discretionary 34.8% | ||
Auto Components 0.7% | ||
Hesai Group, ADR(a) | 35,684 | 668,005 |
Hotels, Restaurants & Leisure 3.8% | ||
Huazhu Group Ltd., ADR | 14,879 | 704,818 |
Sands China Ltd.(a) | 306,800 | 1,064,784 |
Songcheng Performance Development Co., Ltd., Class A | 925,200 | 2,090,556 |
Total | 3,860,158 | |
Household Durables 1.5% | ||
Midea Group Co., Ltd., Class A | 209,475 | 1,581,361 |
Internet & Direct Marketing Retail 20.7% | ||
Alibaba Group Holding Ltd.(a) | 542,868 | 5,966,903 |
JD.com, Inc., Class A | 241,402 | 5,366,350 |
Meituan, Class B(a) | 337,770 | 5,861,976 |
PDD Holdings, Inc., ADR(a) | 47,083 | 4,130,592 |
Total | 21,325,821 | |
Leisure Products 0.7% | ||
Bafang Electric Suzhou Co., Ltd., Class A | 39,093 | 698,349 |
Specialty Retail 2.4% | ||
China Tourism Group Duty Free Corp., Ltd., Class A | 69,400 | 1,977,027 |
Topsports International Holdings Ltd. | 601,000 | 525,675 |
Total | 2,502,702 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 5.0% | ||
Li Ning Co., Ltd. | 387,000 | 3,302,157 |
Shenzhou International Group Holdings Ltd. | 169,700 | 1,856,783 |
Total | 5,158,940 | |
Total Consumer Discretionary | 35,795,336 | |
Consumer Staples 11.1% | ||
Beverages 5.7% | ||
China Resources Beer Holdings Co., Ltd. | 206,000 | 1,524,004 |
Eastroc Beverage Group Co., Ltd., Class A | 29,600 | 874,350 |
Kweichow Moutai Co., Ltd., Class A | 9,700 | 2,537,680 |
Wuliangye Yibin Co., Ltd., Class A | 31,933 | 938,505 |
Total | 5,874,539 | |
Food Products 4.8% | ||
China Mengniu Dairy Co., Ltd.(a) | 580,000 | 2,552,971 |
Foshan Haitian Flavouring & Food Co., Ltd., Class A | 86,357 | 1,023,294 |
Inner Mongolia Yili Industrial Group Co., Ltd., Class A | 317,100 | 1,392,499 |
Total | 4,968,764 | |
Personal Products 0.6% | ||
Proya Cosmetics Co., Ltd., Class A | 20,580 | 541,225 |
Total Consumer Staples | 11,384,528 | |
Financials 12.4% | ||
Banks 4.6% | ||
China Construction Bank Corp., Class H | 1,947,340 | 1,190,366 |
China Merchants Bank Co., Ltd., Class H | 453,000 | 2,458,205 |
Industrial & Commercial Bank of China Ltd., Class H | 2,228,000 | 1,111,688 |
Total | 4,760,259 | |
Capital Markets 2.3% | ||
Hong Kong Exchanges and Clearing Ltd. | 58,500 | 2,343,081 |
Insurance 5.5% | ||
AIA Group Ltd. | 336,400 | 3,575,265 |
Ping An Insurance Group Co. of China Ltd., Class H | 314,500 | 2,146,945 |
Total | 5,722,210 | |
Total Financials | 12,825,550 |
6 | Columbia Greater China Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 6.1% | ||
Biotechnology 0.8% | ||
BeiGene Ltd., ADR(a) | 1,821 | 409,051 |
Zai Lab Ltd., ADR(a) | 11,882 | 441,417 |
Total | 850,468 | |
Health Care Equipment & Supplies 2.1% | ||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 47,400 | 2,141,706 |
Health Care Providers & Services 0.9% | ||
New Horizon Health Ltd.(a) | 206,500 | 864,141 |
Health Care Technology 0.4% | ||
Medlive Technology Co., Ltd.(b) | 362,484 | 443,202 |
Life Sciences Tools & Services 1.9% | ||
WuXi AppTec Co., Ltd., Class H | 62,378 | 665,508 |
WuXi Biologics Cayman, Inc.(a) | 181,500 | 1,270,528 |
Total | 1,936,036 | |
Pharmaceuticals —% | ||
China Animal Healthcare Ltd.(a),(c),(d) | 1,050,000 | 0 |
Total Health Care | 6,235,553 | |
Industrials 5.6% | ||
Electrical Equipment 2.1% | ||
Contemporary Amperex Technology Co., Ltd., Class A | 17,600 | 1,021,252 |
Sungrow Power Supply Co., Ltd., Class A | 66,300 | 1,140,028 |
Total | 2,161,280 | |
Machinery 2.2% | ||
Shenzhen Inovance Technology Co., Ltd., Class A | 58,975 | 622,223 |
Techtronic Industries Co., Ltd. | 41,500 | 413,309 |
Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | 331,000 | 1,217,836 |
Total | 2,253,368 | |
Road & Rail 1.3% | ||
Full Truck Alliance Co., Ltd., ADR(a) | 197,576 | 1,383,032 |
Total Industrials | 5,797,680 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 4.2% | ||
Semiconductors & Semiconductor Equipment 1.6% | ||
JinkoSolar Holding Co., Ltd., ADR(a) | 5,782 | 306,446 |
LONGi Green Energy Technology Co., Ltd., Class A | 51,300 | 327,178 |
Silergy Corp. | 55,000 | 1,034,885 |
Total | 1,668,509 | |
Software 2.6% | ||
Beijing Kingsoft Office Software, Inc., Class A | 18,696 | 784,231 |
Glodon Co., Ltd., Class A | 119,200 | 1,030,717 |
Kingdee International Software Group Co., Ltd.(a) | 434,000 | 810,913 |
Total | 2,625,861 | |
Total Information Technology | 4,294,370 | |
Materials 1.8% | ||
Chemicals 0.3% | ||
Skshu Paint Co., Ltd., Class A(a) | 20,239 | 356,960 |
Construction Materials 1.5% | ||
Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A | 312,000 | 1,544,632 |
Total Materials | 1,901,592 | |
Real Estate 1.7% | ||
Real Estate Management & Development 1.7% | ||
China Resources Land Ltd. | 386,000 | 1,715,102 |
Total Real Estate | 1,715,102 | |
Total Common Stocks (Cost $77,120,999) | 100,253,063 | |
Money Market Funds 2.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(e),(f) | 2,399,138 | 2,398,178 |
Total Money Market Funds (Cost $2,398,172) | 2,398,178 | |
Total Investments in Securities (Cost: $79,519,171) | 102,651,241 | |
Other Assets & Liabilities, Net | 343,703 | |
Net Assets | 102,994,944 |
Columbia Greater China Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
(a) | Non-income producing investment. |
(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 February 28, 2023, the total value of these securities amounted to $443,202, which represents 0.43% of total net assets. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 28, 2023, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
5,041,311 | 39,662,440 | (42,305,264) | (309) | 2,398,178 | 1,013 | 43,402 | 2,399,138 |
ADR | American Depositary Receipt |
■ | 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). |
8 | Columbia Greater China Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
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. Representatives of Columbia Management Investment Advisers, LLC report to 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 | ||||
Common Stocks | ||||
Communication Services | 317,078 | 19,986,274 | — | 20,303,352 |
Consumer Discretionary | 5,503,415 | 30,291,921 | — | 35,795,336 |
Consumer Staples | — | 11,384,528 | — | 11,384,528 |
Financials | — | 12,825,550 | — | 12,825,550 |
Health Care | 850,468 | 5,385,085 | 0* | 6,235,553 |
Industrials | 1,383,032 | 4,414,648 | — | 5,797,680 |
Information Technology | 306,446 | 3,987,924 | — | 4,294,370 |
Materials | — | 1,901,592 | — | 1,901,592 |
Real Estate | — | 1,715,102 | — | 1,715,102 |
Total Common Stocks | 8,360,439 | 91,892,624 | 0* | 100,253,063 |
Money Market Funds | 2,398,178 | — | — | 2,398,178 |
Total Investments in Securities | 10,758,617 | 91,892,624 | 0* | 102,651,241 |
* | Rounds to zero. |
Columbia Greater China Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $77,120,999) | $100,253,063 |
Affiliated issuers (cost $2,398,172) | 2,398,178 |
Receivable for: | |
Investments sold | 421,456 |
Capital shares sold | 8,468 |
Dividends | 6,065 |
Expense reimbursement due from Investment Manager | 209 |
Prepaid expenses | 2,766 |
Trustees’ deferred compensation plan | 77,819 |
Other assets | 14,362 |
Total assets | 103,182,386 |
Liabilities | |
Payable for: | |
Capital shares purchased | 51,092 |
Management services fees | 2,662 |
Distribution and/or service fees | 331 |
Transfer agent fees | 10,481 |
Compensation of board members | 14,599 |
Compensation of chief compliance officer | 9 |
Audit fees | 13,202 |
Custodian fees | 12,259 |
Other expenses | 4,988 |
Trustees’ deferred compensation plan | 77,819 |
Total liabilities | 187,442 |
Net assets applicable to outstanding capital stock | $102,994,944 |
Represented by | |
Paid in capital | 103,295,996 |
Total distributable earnings (loss) | (301,052) |
Total - representing net assets applicable to outstanding capital stock | $102,994,944 |
10 | Columbia Greater China Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Class A | |
Net assets | $42,555,803 |
Shares outstanding | 1,154,704 |
Net asset value per share | $36.85 |
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) | $39.10 |
Advisor Class | |
Net assets | $641,286 |
Shares outstanding | 15,390 |
Net asset value per share | $41.67 |
Class C | |
Net assets | $1,378,342 |
Shares outstanding | 42,375 |
Net asset value per share | $32.53 |
Institutional Class | |
Net assets | $18,542,102 |
Shares outstanding | 454,667 |
Net asset value per share | $40.78 |
Institutional 2 Class | |
Net assets | $2,648,174 |
Shares outstanding | 63,173 |
Net asset value per share | $41.92 |
Institutional 3 Class | |
Net assets | $37,229,237 |
Shares outstanding | 911,756 |
Net asset value per share | $40.83 |
Columbia Greater China Fund | Semiannual Report 2023 | 11 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $168,643 |
Dividends — affiliated issuers | 43,402 |
Interfund lending | 27 |
Foreign taxes withheld | (6,774) |
Total income | 205,298 |
Expenses: | |
Management services fees | 450,303 |
Distribution and/or service fees | |
Class A | 51,982 |
Class C | 7,375 |
Transfer agent fees | |
Class A | 32,678 |
Advisor Class | 484 |
Class C | 1,163 |
Institutional Class | 17,933 |
Institutional 2 Class | 847 |
Institutional 3 Class | 915 |
Compensation of board members | 9,490 |
Custodian fees | 14,017 |
Printing and postage fees | 8,974 |
Registration fees | 45,182 |
Audit fees | 16,330 |
Legal fees | 6,810 |
Line of credit interest | 6,434 |
Interest on interfund lending | 580 |
Compensation of chief compliance officer | 9 |
Other | 23,354 |
Total expenses | 694,860 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (14,531) |
Fees waived by transfer agent | |
Class A | (1,311) |
Advisor Class | (19) |
Class C | (49) |
Institutional Class | (848) |
Expense reduction | (366) |
Total net expenses | 677,736 |
Net investment loss | (472,438) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (4,336,037) |
Investments — affiliated issuers | 1,013 |
Foreign currency translations | (8,579) |
Net realized loss | (4,343,603) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (4,000,824) |
Investments — affiliated issuers | (309) |
Foreign currency translations | (2) |
Net change in unrealized appreciation (depreciation) | (4,001,135) |
Net realized and unrealized loss | (8,344,738) |
Net decrease in net assets resulting from operations | $(8,817,176) |
12 | Columbia Greater China Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment loss | $(472,438) | $(412,292) |
Net realized loss | (4,343,603) | (15,314,467) |
Net change in unrealized appreciation (depreciation) | (4,001,135) | (56,050,989) |
Net decrease in net assets resulting from operations | (8,817,176) | (71,777,748) |
Decrease in net assets from capital stock activity | (21,625,519) | (6,138,495) |
Total decrease in net assets | (30,442,695) | (77,916,243) |
Net assets at beginning of period | 133,437,639 | 211,353,882 |
Net assets at end of period | $102,994,944 | $133,437,639 |
Columbia Greater China Fund | Semiannual Report 2023 | 13 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 73,591 | 2,457,820 | 254,962 | 11,442,751 |
Redemptions | (101,766) | (3,560,639) | (457,054) | (20,899,443) |
Net decrease | (28,175) | (1,102,819) | (202,092) | (9,456,692) |
Advisor Class | ||||
Subscriptions | 7,411 | 329,215 | 5,986 | 324,200 |
Redemptions | (7,330) | (314,783) | (17,189) | (978,233) |
Net increase (decrease) | 81 | 14,432 | (11,203) | (654,033) |
Class C | ||||
Subscriptions | 5,746 | 182,468 | 14,355 | 574,846 |
Redemptions | (13,818) | (441,458) | (33,041) | (1,455,956) |
Net decrease | (8,072) | (258,990) | (18,686) | (881,110) |
Institutional Class | ||||
Subscriptions | 341,938 | 12,506,129 | 1,413,896 | 73,432,999 |
Redemptions | (1,412,268) | (54,234,804) | (990,458) | (53,556,308) |
Net increase (decrease) | (1,070,330) | (41,728,675) | 423,438 | 19,876,691 |
Institutional 2 Class | ||||
Subscriptions | 2,215 | 92,626 | 22,085 | 1,323,234 |
Redemptions | (9,225) | (380,544) | (61,369) | (3,559,081) |
Net decrease | (7,010) | (287,918) | (39,284) | (2,235,847) |
Institutional 3 Class | ||||
Subscriptions | 638,441 | 25,672,941 | 116,611 | 6,916,413 |
Redemptions | (96,325) | (3,934,490) | (418,998) | (19,703,917) |
Net increase (decrease) | 542,116 | 21,738,451 | (302,387) | (12,787,504) |
Total net decrease | (571,390) | (21,625,519) | (150,214) | (6,138,495) |
14 | Columbia Greater China Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $39.01 | (0.21) | (1.95) | (2.16) | — | — | — |
Year Ended 8/31/2022 | $59.43 | (0.23) | (20.19) | (20.42) | — | — | — |
Year Ended 8/31/2021 | $67.81 | (0.51) | (4.70) | (5.21) | — | (3.17) | (3.17) |
Year Ended 8/31/2020 | $45.00 | (0.24) | 23.82 | 23.58 | — | (0.77) | (0.77) |
Year Ended 8/31/2019 | $47.25 | 0.00(h) | 0.20(i) | 0.20 | — | (2.45) | (2.45) |
Year Ended 8/31/2018 | $45.67 | (0.10) | 2.62 | 2.52 | (0.28) | (0.66) | (0.94) |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $44.05 | (0.19) | (2.19) | (2.38) | — | — | — |
Year Ended 8/31/2022 | $66.94 | (0.16) | (22.73) | (22.89) | — | — | — |
Year Ended 8/31/2021 | $75.94 | (0.46) | (5.24) | (5.70) | — | (3.30) | (3.30) |
Year Ended 8/31/2020 | $50.19 | 0.00(h) | 26.52 | 26.52 | — | (0.77) | (0.77) |
Year Ended 8/31/2019 | $52.25 | (0.12) | 0.51(i) | 0.39 | — | (2.45) | (2.45) |
Year Ended 8/31/2018 | $50.38 | 0.12 | 2.80 | 2.92 | (0.39) | (0.66) | (1.05) |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $34.56 | (0.31) | (1.72) | (2.03) | — | — | — |
Year Ended 8/31/2022 | $53.05 | (0.53) | (17.96) | (18.49) | — | — | — |
Year Ended 8/31/2021 | $61.16 | (0.87) | (4.22) | (5.09) | — | (3.02) | (3.02) |
Year Ended 8/31/2020 | $40.96 | (0.59) | 21.56 | 20.97 | — | (0.77) | (0.77) |
Year Ended 8/31/2019 | $43.57 | (0.41) | 0.25(i) | (0.16) | — | (2.45) | (2.45) |
Year Ended 8/31/2018 | $42.24 | (0.43) | 2.42 | 1.99 | — | (0.66) | (0.66) |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $43.16 | (0.15) | (2.23) | (2.38) | — | — | — |
Year Ended 8/31/2022 | $65.59 | (0.00)(h) | (22.43) | (22.43) | — | — | — |
Year Ended 8/31/2021 | $74.47 | (0.34) | (5.24) | (5.58) | — | (3.30) | (3.30) |
Year Ended 8/31/2020 | $49.23 | (0.12) | 26.13 | 26.01 | — | (0.77) | (0.77) |
Year Ended 8/31/2019 | $51.30 | 0.08 | 0.30(i) | 0.38 | — | (2.45) | (2.45) |
Year Ended 8/31/2018 | $49.49 | 0.03 | 2.83 | 2.86 | (0.39) | (0.66) | (1.05) |
16 | Columbia Greater China Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $36.85 | (5.54%) | 1.64%(c),(d),(e) | 1.60%(c),(d),(e),(f) | (1.20%)(c) | 41% | $42,556 |
Year Ended 8/31/2022 | $39.01 | (34.36%) | 1.50%(d),(e) | 1.50%(d),(e),(f),(g) | (0.47%) | 65% | $46,148 |
Year Ended 8/31/2021 | $59.43 | (8.26%) | 1.44% | 1.44%(f) | (0.72%) | 19% | $82,311 |
Year Ended 8/31/2020 | $67.81 | 53.06% | 1.50%(d) | 1.50%(d),(f) | (0.47%) | 27% | $91,892 |
Year Ended 8/31/2019 | $45.00 | 1.28% | 1.53%(d) | 1.53%(d) | 0.00%(h) | 18% | $65,762 |
Year Ended 8/31/2018 | $47.25 | 5.41% | 1.51%(e) | 1.51%(e),(f) | (0.20%) | 26% | $73,210 |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $41.67 | (5.40%) | 1.38%(c),(d),(e) | 1.35%(c),(d),(e),(f) | (0.95%)(c) | 41% | $641 |
Year Ended 8/31/2022 | $44.05 | (34.19%) | 1.24%(d),(e) | 1.24%(d),(e),(f),(g) | (0.29%) | 65% | $674 |
Year Ended 8/31/2021 | $66.94 | (8.03%) | 1.19% | 1.19%(f) | (0.58%) | 19% | $1,775 |
Year Ended 8/31/2020 | $75.94 | 53.43% | 1.25%(d) | 1.25%(d),(f) | 0.01% | 27% | $3,084 |
Year Ended 8/31/2019 | $50.19 | 1.53% | 1.29%(d) | 1.29%(d) | (0.23%) | 18% | $1,027 |
Year Ended 8/31/2018 | $52.25 | 5.69% | 1.26%(e) | 1.26%(e),(f) | 0.22% | 26% | $2,008 |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $32.53 | (5.87%) | 2.39%(c),(d),(e) | 2.36%(c),(d),(e),(f) | (1.94%)(c) | 41% | $1,378 |
Year Ended 8/31/2022 | $34.56 | (34.85%) | 2.25%(d),(e) | 2.25%(d),(e),(f),(g) | (1.24%) | 65% | $1,743 |
Year Ended 8/31/2021 | $53.05 | (8.95%) | 2.19% | 2.19%(f) | (1.38%) | 19% | $3,667 |
Year Ended 8/31/2020 | $61.16 | 51.91% | 2.25%(d) | 2.25%(d),(f) | (1.28%) | 27% | $2,517 |
Year Ended 8/31/2019 | $40.96 | 0.53% | 2.28%(d) | 2.28%(d) | (1.02%) | 18% | $2,554 |
Year Ended 8/31/2018 | $43.57 | 4.63% | 2.26%(e) | 2.26%(e),(f) | (0.90%) | 26% | $5,585 |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $40.78 | (5.51%) | 1.39%(c),(d),(e) | 1.36%(c),(d),(e),(f) | (0.75%)(c) | 41% | $18,542 |
Year Ended 8/31/2022 | $43.16 | (34.20%) | 1.25%(d),(e) | 1.25%(d),(e),(f),(g) | (0.00%)(h) | 65% | $65,817 |
Year Ended 8/31/2021 | $65.59 | (8.03%) | 1.20% | 1.20%(f) | (0.44%) | 19% | $72,247 |
Year Ended 8/31/2020 | $74.47 | 53.44% | 1.25%(d) | 1.25%(d),(f) | (0.22%) | 27% | $31,844 |
Year Ended 8/31/2019 | $49.23 | 1.54% | 1.28%(d) | 1.28%(d) | 0.17% | 18% | $31,244 |
Year Ended 8/31/2018 | $51.30 | 5.68% | 1.26%(e) | 1.26%(e),(f) | 0.05% | 26% | $42,542 |
Columbia Greater China Fund | Semiannual Report 2023 | 17 |
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 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $44.30 | (0.17) | (2.21) | (2.38) | — | — | — |
Year Ended 8/31/2022 | $67.26 | (0.11) | (22.85) | (22.96) | — | — | — |
Year Ended 8/31/2021 | $76.28 | (0.19) | (5.49) | (5.68) | — | (3.34) | (3.34) |
Year Ended 8/31/2020 | $50.38 | (0.10) | 26.77 | 26.67 | — | (0.77) | (0.77) |
Year Ended 8/31/2019 | $52.38 | 0.16 | 0.29(i) | 0.45 | — | (2.45) | (2.45) |
Year Ended 8/31/2018 | $50.52 | 0.11 | 2.84 | 2.95 | (0.43) | (0.66) | (1.09) |
Institutional 3 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $43.14 | (0.17) | (2.14) | (2.31) | — | — | — |
Year Ended 8/31/2022 | $65.46 | (0.15) | (22.17) | (22.32) | — | — | — |
Year Ended 8/31/2021 | $74.32 | (0.17) | (5.32) | (5.49) | — | (3.37) | (3.37) |
Year Ended 8/31/2020 | $49.08 | (0.02) | 26.03 | 26.01 | — | (0.77) | (0.77) |
Year Ended 8/31/2019 | $51.08 | 0.20 | 0.25(i) | 0.45 | — | (2.45) | (2.45) |
Year Ended 8/31/2018 | $49.25 | 0.09 | 2.83 | 2.92 | (0.43) | (0.66) | (1.09) |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense. For the periods indicated below, if line of credit interest expense had been excluded, expenses would have been lower by: |
Class | 2/28/2023 | 8/31/2022 | 8/31/2021 | 8/31/2020 | 8/31/2019 | 8/31/2018 |
Class A | 0.02% | less than .01% | —% | —% | —% | less than .01% |
Advisor Class | 0.01% | less than .01% | —% | —% | —% | less than .01% |
Class C | 0.02% | less than .01% | —% | —% | —% | less than .01% |
Institutional Class | 0.02% | less than .01% | —% | —% | —% | less than .01% |
Institutional 2 Class | 0.02% | less than .01% | —% | —% | —% | less than .01% |
Institutional 3 Class | 0.01% | less than .01% | —% | —% | —% | less than .01% |
(f) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(g) | Ratios include the impact of voluntary waivers paid by the Investment Manager. If the Investment Manager had not paid these voluntary waivers, the Fund’s net expense ratio would increase by less than 0.01%. |
(h) | Rounds to zero. |
(i) | 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. |
18 | Columbia Greater China Fund | Semiannual Report 2023 |
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 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $41.92 | (5.37%) | 1.30%(c),(d),(e) | 1.27%(c),(d),(e) | (0.86%)(c) | 41% | $2,648 |
Year Ended 8/31/2022 | $44.30 | (34.14%) | 1.16%(d),(e) | 1.16%(d),(e) | (0.20%) | 65% | $3,109 |
Year Ended 8/31/2021 | $67.26 | (7.97%) | 1.14% | 1.14% | (0.24%) | 19% | $7,362 |
Year Ended 8/31/2020 | $76.28 | 53.53% | 1.17%(d) | 1.17%(d) | (0.17%) | 27% | $2,842 |
Year Ended 8/31/2019 | $50.38 | 1.65% | 1.20%(d) | 1.20%(d) | 0.32% | 18% | $3,001 |
Year Ended 8/31/2018 | $52.38 | 5.73% | 1.18%(e) | 1.18%(e) | 0.19% | 26% | $2,330 |
Institutional 3 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $40.83 | (5.35%) | 1.22%(c),(d),(e) | 1.18%(c),(d),(e) | (0.85%)(c) | 41% | $37,229 |
Year Ended 8/31/2022 | $43.14 | (34.10%) | 1.11%(d),(e) | 1.11%(d),(e) | (0.27%) | 65% | $15,946 |
Year Ended 8/31/2021 | $65.46 | (7.93%) | 1.08% | 1.08% | (0.22%) | 19% | $43,992 |
Year Ended 8/31/2020 | $74.32 | 53.60% | 1.12%(d) | 1.12%(d) | (0.04%) | 27% | $31,974 |
Year Ended 8/31/2019 | $49.08 | 1.69% | 1.14%(d) | 1.14%(d) | 0.42% | 18% | $5,391 |
Year Ended 8/31/2018 | $51.08 | 5.82% | 1.13%(e) | 1.13%(e) | 0.17% | 26% | $4,768 |
Columbia Greater China Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
20 | Columbia Greater China Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Greater China Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
22 | Columbia Greater China Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Class A | 0.15 |
Advisor Class | 0.15 |
Class C | 0.15 |
Institutional Class | 0.15 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Columbia Greater China Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 21,489 |
Class C | — | 1.00(b) | 78 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2023 through December 31, 2023 | Prior to January 1, 2023 | |
Class A | 1.48% | 1.72% |
Advisor Class | 1.23 | 1.47 |
Class C | 2.23 | 2.47 |
Institutional Class | 1.23 | 1.47 |
Institutional 2 Class | 1.14 | 1.40 |
Institutional 3 Class | 1.09 | 1.35 |
24 | Columbia Greater China Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
79,519,000 | 27,618,000 | (4,486,000) | 23,132,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(16,156,260) | — | (16,156,260) |
Late year ordinary losses ($) | Post-October capital losses ($) |
26,739 | — |
Columbia Greater China Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 2,400,000 | 4.35 | 2 |
Lender | 100,000 | 4.86 | 2 |
Average loan balance ($) | Weighted average interest rate (%) | Days outstanding |
15,450,000 | 3.77 | 4 |
26 | Columbia Greater China Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Greater China Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
28 | Columbia Greater China Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Greater China Fund | Semiannual Report 2023 | 29 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/02 | 2.02 | -11.52 | 7.91 | 9.90 |
Including sales charges | -3.86 | -16.61 | 6.63 | 9.25 | ||
Advisor Class | 11/08/12 | 2.12 | -11.30 | 8.17 | 10.16 | |
Class C | Excluding sales charges | 10/13/03 | 1.66 | -12.15 | 7.10 | 9.08 |
Including sales charges | 0.66 | -13.03 | 7.10 | 9.08 | ||
Institutional Class | 11/20/85 | 2.10 | -11.32 | 8.17 | 10.17 | |
Institutional 2 Class | 03/07/11 | 2.11 | -11.26 | 8.23 | 10.27 | |
Institutional 3 Class | 07/15/09 | 2.15 | -11.20 | 8.29 | 10.33 | |
Class R | 01/23/06 | 1.86 | -11.72 | 7.64 | 9.62 | |
Class V | Excluding sales charges | 11/01/02 | 1.98 | -11.51 | 7.90 | 9.88 |
Including sales charges | -3.89 | -16.61 | 6.63 | 9.23 | ||
Russell Midcap Growth Index | 5.31 | -8.31 | 8.74 | 11.45 | ||
Russell Midcap Index | 4.69 | -4.99 | 8.40 | 10.68 |
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023) | |
Common Stocks | 94.1 |
Money Market Funds | 5.9 |
Total | 100.0 |
Equity sector breakdown (%) (at February 28, 2023) | |
Communication Services | 6.9 |
Consumer Discretionary | 17.8 |
Consumer Staples | 1.1 |
Energy | 3.8 |
Financials | 4.5 |
Health Care | 18.8 |
Industrials | 14.4 |
Information Technology | 28.9 |
Materials | 3.8 |
Total | 100.0 |
4 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,020.20 | 1,018.99 | 5.86 | 5.86 | 1.17 |
Advisor Class | 1,000.00 | 1,000.00 | 1,021.20 | 1,020.23 | 4.61 | 4.61 | 0.92 |
Class C | 1,000.00 | 1,000.00 | 1,016.60 | 1,015.27 | 9.60 | 9.59 | 1.92 |
Institutional Class | 1,000.00 | 1,000.00 | 1,021.00 | 1,020.23 | 4.61 | 4.61 | 0.92 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,021.10 | 1,020.53 | 4.31 | 4.31 | 0.86 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,021.50 | 1,020.78 | 4.06 | 4.06 | 0.81 |
Class R | 1,000.00 | 1,000.00 | 1,018.60 | 1,017.75 | 7.11 | 7.10 | 1.42 |
Class V | 1,000.00 | 1,000.00 | 1,019.80 | 1,018.99 | 5.86 | 5.86 | 1.17 |
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Common Stocks 95.3% | ||
Issuer | Shares | Value ($) |
Communication Services 6.6% | ||
Entertainment 3.7% | ||
Activision Blizzard, Inc. | 228,826 | 17,447,983 |
Spotify Technology SA(a) | 71,064 | 8,264,743 |
Take-Two Interactive Software, Inc.(a) | 137,048 | 15,013,609 |
Warner Bros Discovery, Inc.(a) | 734,157 | 11,467,532 |
Total | 52,193,867 | |
Interactive Media & Services 0.9% | ||
Pinterest, Inc., Class A(a) | 535,799 | 13,453,913 |
Media 2.0% | ||
Trade Desk, Inc. (The), Class A(a) | 505,846 | 28,307,142 |
Total Communication Services | 93,954,922 | |
Consumer Discretionary 16.9% | ||
Auto Components 1.2% | ||
Aptiv PLC(a) | 151,962 | 17,670,141 |
Hotels, Restaurants & Leisure 7.8% | ||
Booking Holdings, Inc.(a) | 14,160 | 35,739,840 |
Caesars Entertainment, Inc.(a) | 317,926 | 16,137,924 |
Chipotle Mexican Grill, Inc.(a) | 11,251 | 16,776,141 |
Churchill Downs, Inc. | 81,614 | 20,059,089 |
Hilton Worldwide Holdings, Inc. | 149,192 | 21,559,736 |
Total | 110,272,730 | |
Internet & Direct Marketing Retail 1.4% | ||
Etsy, Inc.(a) | 164,034 | 19,915,368 |
Specialty Retail 6.5% | ||
Five Below, Inc.(a) | 204,875 | 41,855,962 |
Tractor Supply Co. | 149,568 | 34,888,232 |
Williams-Sonoma, Inc. | 130,909 | 16,353,152 |
Total | 93,097,346 | |
Total Consumer Discretionary | 240,955,585 | |
Consumer Staples 1.0% | ||
Food Products 1.0% | ||
Hershey Co. (The) | 60,876 | 14,507,968 |
Total Consumer Staples | 14,507,968 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 3.7% | ||
Oil, Gas & Consumable Fuels 3.7% | ||
Hess Corp. | 306,548 | 41,292,016 |
Marathon Petroleum Corp. | 85,487 | 10,566,193 |
Total | 51,858,209 | |
Total Energy | 51,858,209 | |
Financials 4.3% | ||
Capital Markets 3.2% | ||
MarketAxess Holdings, Inc. | 30,945 | 10,566,170 |
MSCI, Inc. | 67,248 | 35,113,543 |
Total | 45,679,713 | |
Insurance 1.1% | ||
Ryan Specialty Holdings, Inc., Class A(a) | 364,356 | 15,346,675 |
Total Financials | 61,026,388 | |
Health Care 17.9% | ||
Biotechnology 1.5% | ||
BioMarin Pharmaceutical, Inc.(a) | 99,480 | 9,907,213 |
Natera, Inc.(a) | 230,459 | 11,188,785 |
Total | 21,095,998 | |
Health Care Equipment & Supplies 7.1% | ||
DexCom, Inc.(a) | 270,629 | 30,042,525 |
IDEXX Laboratories, Inc.(a) | 36,782 | 17,406,714 |
Insulet Corp.(a) | 117,885 | 32,578,699 |
Intuitive Surgical, Inc.(a) | 90,626 | 20,788,698 |
Total | 100,816,636 | |
Health Care Providers & Services 0.6% | ||
Amedisys, Inc.(a) | 99,201 | 9,121,532 |
Life Sciences Tools & Services 8.7% | ||
Bio-Techne Corp. | 448,607 | 32,586,812 |
Repligen Corp.(a) | 203,052 | 35,406,177 |
West Pharmaceutical Services, Inc. | 177,130 | 56,155,524 |
Total | 124,148,513 | |
Total Health Care | 255,182,679 |
6 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 13.7% | ||
Aerospace & Defense 3.1% | ||
Axon Enterprise, Inc.(a) | 59,387 | 11,895,810 |
HEICO Corp. | 41,959 | 6,947,151 |
Howmet Aerospace, Inc. | 425,528 | 17,948,771 |
TransDigm Group, Inc. | 9,710 | 7,222,978 |
Total | 44,014,710 | |
Commercial Services & Supplies 1.5% | ||
Rollins, Inc. | 630,841 | 22,205,603 |
Electrical Equipment 2.4% | ||
AMETEK, Inc. | 123,745 | 17,517,343 |
Generac Holdings, Inc.(a) | 139,239 | 16,710,073 |
Total | 34,227,416 | |
Machinery 0.8% | ||
Ingersoll Rand, Inc. | 192,031 | 11,151,240 |
Professional Services 3.0% | ||
CoStar Group, Inc.(a) | 608,751 | 43,014,346 |
Trading Companies & Distributors 2.9% | ||
Ferguson PLC | 76,073 | 10,962,119 |
SiteOne Landscape Supply, Inc.(a) | 201,813 | 29,936,941 |
Total | 40,899,060 | |
Total Industrials | 195,512,375 | |
Information Technology 27.5% | ||
Electronic Equipment, Instruments & Components 3.5% | ||
CDW Corp. | 98,926 | 20,024,601 |
TE Connectivity Ltd. | 110,467 | 14,064,659 |
Teledyne Technologies, Inc.(a) | 38,563 | 16,584,789 |
Total | 50,674,049 | |
IT Services 4.0% | ||
Gartner, Inc.(a) | 29,595 | 9,701,537 |
MongoDB, Inc.(a) | 97,201 | 20,365,554 |
Okta, Inc.(a) | 211,450 | 15,074,270 |
Snowflake, Inc., Class A(a) | 80,219 | 12,384,209 |
Total | 57,525,570 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 6.2% | ||
Lam Research Corp. | 81,030 | 39,381,390 |
Microchip Technology, Inc. | 172,764 | 13,999,067 |
Monolithic Power Systems, Inc. | 70,880 | 34,326,475 |
Total | 87,706,932 | |
Software 13.8% | ||
Cadence Design Systems, Inc.(a) | 195,317 | 37,684,462 |
DocuSign, Inc.(a) | 169,154 | 10,377,598 |
Fortinet, Inc.(a) | 386,493 | 22,973,144 |
HubSpot, Inc.(a) | 39,093 | 15,123,518 |
Palo Alto Networks, Inc.(a) | 121,196 | 22,829,691 |
Paycom Software, Inc.(a) | 98,913 | 28,591,792 |
Smartsheet, Inc., Class A(a) | 259,671 | 11,430,717 |
Splunk, Inc.(a) | 224,471 | 23,008,277 |
Zscaler, Inc.(a) | 183,724 | 24,095,403 |
Total | 196,114,602 | |
Total Information Technology | 392,021,153 | |
Materials 3.7% | ||
Construction Materials 2.0% | ||
Vulcan Materials Co. | 154,490 | 27,948,786 |
Containers & Packaging 1.7% | ||
Avery Dennison Corp. | 133,076 | 24,245,116 |
Total Materials | 52,193,902 | |
Total Common Stocks (Cost $1,283,228,508) | 1,357,213,181 | |
Money Market Funds 6.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(b),(c) | 85,557,625 | 85,523,402 |
Total Money Market Funds (Cost $85,523,335) | 85,523,402 | |
Total Investments in Securities (Cost: $1,368,751,843) | 1,442,736,583 | |
Other Assets & Liabilities, Net | (18,997,989) | |
Net Assets | 1,423,738,594 |
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
31,091,075 | 377,914,389 | (323,480,264) | (1,798) | 85,523,402 | (2,364) | 780,699 | 85,557,625 |
■ | 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 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 93,954,922 | — | — | 93,954,922 |
Consumer Discretionary | 240,955,585 | — | — | 240,955,585 |
Consumer Staples | 14,507,968 | — | — | 14,507,968 |
Energy | 51,858,209 | — | — | 51,858,209 |
Financials | 61,026,388 | — | — | 61,026,388 |
Health Care | 255,182,679 | — | — | 255,182,679 |
Industrials | 195,512,375 | — | — | 195,512,375 |
8 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | 392,021,153 | — | — | 392,021,153 |
Materials | 52,193,902 | — | — | 52,193,902 |
Total Common Stocks | 1,357,213,181 | — | — | 1,357,213,181 |
Money Market Funds | 85,523,402 | — | — | 85,523,402 |
Total Investments in Securities | 1,442,736,583 | — | — | 1,442,736,583 |
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,283,228,508) | $1,357,213,181 |
Affiliated issuers (cost $85,523,335) | 85,523,402 |
Receivable for: | |
Capital shares sold | 192,723 |
Dividends | 945,399 |
Prepaid expenses | 15,877 |
Trustees’ deferred compensation plan | 235,287 |
Other assets | 36,036 |
Total assets | 1,444,161,905 |
Liabilities | |
Payable for: | |
Investments purchased | 18,995,232 |
Capital shares purchased | 919,061 |
Management services fees | 30,201 |
Distribution and/or service fees | 5,040 |
Transfer agent fees | 119,558 |
Compensation of board members | 72,320 |
Compensation of chief compliance officer | 135 |
Other expenses | 46,477 |
Trustees’ deferred compensation plan | 235,287 |
Total liabilities | 20,423,311 |
Net assets applicable to outstanding capital stock | $1,423,738,594 |
Represented by | |
Paid in capital | 1,422,513,790 |
Total distributable earnings (loss) | 1,224,804 |
Total - representing net assets applicable to outstanding capital stock | $1,423,738,594 |
10 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Class A | |
Net assets | $682,752,066 |
Shares outstanding | 36,575,025 |
Net asset value per share | $18.67 |
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) | $19.81 |
Advisor Class | |
Net assets | $10,147,142 |
Shares outstanding | 449,024 |
Net asset value per share | $22.60 |
Class C | |
Net assets | $5,570,163 |
Shares outstanding | 455,965 |
Net asset value per share | $12.22 |
Institutional Class | |
Net assets | $591,255,028 |
Shares outstanding | 27,638,829 |
Net asset value per share | $21.39 |
Institutional 2 Class | |
Net assets | $34,017,465 |
Shares outstanding | 1,563,023 |
Net asset value per share | $21.76 |
Institutional 3 Class | |
Net assets | $75,544,903 |
Shares outstanding | 3,463,141 |
Net asset value per share | $21.81 |
Class R | |
Net assets | $4,732,675 |
Shares outstanding | 278,106 |
Net asset value per share | $17.02 |
Class V | |
Net assets | $19,719,152 |
Shares outstanding | 1,064,687 |
Net asset value per share | $18.52 |
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) | $19.65 |
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $4,047,627 |
Dividends — affiliated issuers | 780,699 |
Interfund lending | 690 |
Total income | 4,829,016 |
Expenses: | |
Management services fees | 5,400,642 |
Distribution and/or service fees | |
Class A | 841,123 |
Class C | 28,179 |
Class R | 11,882 |
Class V | 23,683 |
Transfer agent fees | |
Class A | 395,863 |
Advisor Class | 5,646 |
Class C | 3,315 |
Institutional Class | 339,305 |
Institutional 2 Class | 9,424 |
Institutional 3 Class | 2,509 |
Class R | 2,794 |
Class V | 11,149 |
Compensation of board members | 20,155 |
Custodian fees | 5,843 |
Printing and postage fees | 42,102 |
Registration fees | 83,823 |
Audit fees | 14,922 |
Legal fees | 15,964 |
Compensation of chief compliance officer | 135 |
Other | 16,960 |
Total expenses | 7,275,418 |
Expense reduction | (3,980) |
Total net expenses | 7,271,438 |
Net investment loss | (2,442,422) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (15,673,129) |
Investments — affiliated issuers | (2,364) |
Net realized loss | (15,675,493) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 44,309,252 |
Investments — affiliated issuers | (1,798) |
Net change in unrealized appreciation (depreciation) | 44,307,454 |
Net realized and unrealized gain | 28,631,961 |
Net increase in net assets resulting from operations | $26,189,539 |
12 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment loss | $(2,442,422) | $(12,745,786) |
Net realized gain (loss) | (15,675,493) | 10,612,745 |
Net change in unrealized appreciation (depreciation) | 44,307,454 | (647,571,881) |
Net increase (decrease) in net assets resulting from operations | 26,189,539 | (649,704,922) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | — | (211,060,179) |
Advisor Class | — | (2,100,305) |
Class C | — | (2,510,037) |
Institutional Class | — | (162,847,839) |
Institutional 2 Class | — | (8,803,972) |
Institutional 3 Class | — | (23,347,460) |
Class R | — | (1,960,122) |
Class V | — | (6,008,042) |
Total distributions to shareholders | — | (418,637,956) |
Increase (decrease) in net assets from capital stock activity | (85,052,567) | 212,842,508 |
Total decrease in net assets | (58,863,028) | (855,500,370) |
Net assets at beginning of period | 1,482,601,622 | 2,338,101,992 |
Net assets at end of period | $1,423,738,594 | $1,482,601,622 |
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 13 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 419,733 | 7,479,964 | 1,462,100 | 34,861,392 |
Fund reorganization | — | — | 727,078 | 14,957,282 |
Distributions reinvested | — | — | 8,139,033 | 203,720,000 |
Redemptions | (3,095,943) | (55,161,393) | (6,554,585) | (143,283,045) |
Net increase (decrease) | (2,676,210) | (47,681,429) | 3,773,626 | 110,255,629 |
Advisor Class | ||||
Subscriptions | 72,239 | 1,564,734 | 139,671 | 3,904,665 |
Fund reorganization | — | — | 61,087 | 1,517,138 |
Distributions reinvested | — | — | 35,264 | 1,065,327 |
Redemptions | (66,613) | (1,415,826) | (150,115) | (4,047,003) |
Net increase | 5,626 | 148,908 | 85,907 | 2,440,127 |
Class C | ||||
Subscriptions | 29,015 | 338,563 | 105,087 | 1,550,433 |
Distributions reinvested | — | — | 151,433 | 2,503,191 |
Redemptions | (78,172) | (913,877) | (178,899) | (2,489,140) |
Net increase (decrease) | (49,157) | (575,314) | 77,621 | 1,564,484 |
Institutional Class | ||||
Subscriptions | 513,321 | 10,421,780 | 1,168,096 | 32,137,960 |
Distributions reinvested | — | — | 5,250,416 | 150,161,894 |
Redemptions | (1,846,879) | (37,761,523) | (4,498,134) | (113,565,009) |
Net increase (decrease) | (1,333,558) | (27,339,743) | 1,920,378 | 68,734,845 |
Institutional 2 Class | ||||
Subscriptions | 122,933 | 2,540,999 | 585,260 | 16,330,560 |
Distributions reinvested | — | — | 301,920 | 8,776,807 |
Redemptions | (199,468) | (4,158,693) | (604,231) | (15,665,304) |
Net increase (decrease) | (76,535) | (1,617,694) | 282,949 | 9,442,063 |
Institutional 3 Class | ||||
Subscriptions | 172,094 | 3,614,567 | 1,129,985 | 33,690,941 |
Distributions reinvested | — | — | 328,192 | 9,556,950 |
Redemptions | (513,156) | (10,582,870) | (1,065,826) | (25,416,292) |
Net increase (decrease) | (341,062) | (6,968,303) | 392,351 | 17,831,599 |
Class R | ||||
Subscriptions | 24,032 | 400,139 | 70,282 | 1,493,540 |
Distributions reinvested | — | — | 81,682 | 1,869,702 |
Redemptions | (65,102) | (1,046,100) | (181,645) | (3,746,730) |
Net decrease | (41,070) | (645,961) | (29,681) | (383,488) |
Class V | ||||
Subscriptions | 4,812 | 84,997 | 26,778 | 657,348 |
Distributions reinvested | — | — | 209,642 | 5,205,418 |
Redemptions | (25,671) | (458,028) | (155,777) | (2,905,517) |
Net increase (decrease) | (20,859) | (373,031) | 80,643 | 2,957,249 |
Total net increase (decrease) | (4,532,825) | (85,052,567) | 6,583,794 | 212,842,508 |
14 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class A | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $18.30 | (0.04) | 0.41 | 0.37 | — | — |
Year Ended 8/31/2022 | $31.98 | (0.18) | (7.46) | (7.64) | (6.04) | (6.04) |
Year Ended 8/31/2021 | $27.17 | (0.24) | 9.61 | 9.37 | (4.56) | (4.56) |
Year Ended 8/31/2020 | $23.44 | (0.14) | 6.01 | 5.87 | (2.14) | (2.14) |
Year Ended 8/31/2019 | $28.83 | (0.07) | 0.09 | 0.02 | (5.41) | (5.41) |
Year Ended 8/31/2018 | $26.90 | (0.10) | 5.54 | 5.44 | (3.51) | (3.51) |
Advisor Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $22.13 | (0.02) | 0.49 | 0.47 | — | — |
Year Ended 8/31/2022 | $37.34 | (0.15) | (8.97) | (9.12) | (6.09) | (6.09) |
Year Ended 8/31/2021 | $31.03 | (0.19) | 11.12 | 10.93 | (4.62) | (4.62) |
Year Ended 8/31/2020 | $26.43 | (0.09) | 6.83 | 6.74 | (2.14) | (2.14) |
Year Ended 8/31/2019 | $31.71 | (0.02) | 0.20 | 0.18 | (5.46) | (5.46) |
Year Ended 8/31/2018 | $29.26 | (0.05) | 6.07 | 6.02 | (3.57) | (3.57) |
Class C | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $12.02 | (0.07) | 0.27 | 0.20 | — | — |
Year Ended 8/31/2022 | $23.12 | (0.24) | (4.97) | (5.21) | (5.89) | (5.89) |
Year Ended 8/31/2021 | $20.72 | (0.33) | 7.09 | 6.76 | (4.36) | (4.36) |
Year Ended 8/31/2020 | $18.48 | (0.24) | 4.62 | 4.38 | (2.14) | (2.14) |
Year Ended 8/31/2019 | $23.99 | (0.20) | (0.04)(f) | (0.24) | (5.27) | (5.27) |
Year Ended 8/31/2018 | $22.91 | (0.26) | 4.64 | 4.38 | (3.30) | (3.30) |
Institutional Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $20.95 | (0.02) | 0.46 | 0.44 | — | — |
Year Ended 8/31/2022 | $35.68 | (0.15) | (8.49) | (8.64) | (6.09) | (6.09) |
Year Ended 8/31/2021 | $29.83 | (0.18) | 10.65 | 10.47 | (4.62) | (4.62) |
Year Ended 8/31/2020 | $25.49 | (0.08) | 6.56 | 6.48 | (2.14) | (2.14) |
Year Ended 8/31/2019 | $30.80 | (0.01) | 0.16 | 0.15 | (5.46) | (5.46) |
Year Ended 8/31/2018 | $28.52 | (0.04) | 5.89 | 5.85 | (3.57) | (3.57) |
Institutional 2 Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.31 | (0.02) | 0.47 | 0.45 | — | — |
Year Ended 8/31/2022 | $36.18 | (0.13) | (8.64) | (8.77) | (6.10) | (6.10) |
Year Ended 8/31/2021 | $30.19 | (0.17) | 10.79 | 10.62 | (4.63) | (4.63) |
Year Ended 8/31/2020 | $25.75 | (0.07) | 6.65 | 6.58 | (2.14) | (2.14) |
Year Ended 8/31/2019 | $31.06 | 0.00(g) | 0.16 | 0.16 | (5.47) | (5.47) |
Year Ended 8/31/2018 | $28.73 | (0.02) | 5.95 | 5.93 | (3.60) | (3.60) |
16 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $18.67 | 2.02% | 1.17%(c) | 1.17%(c),(d) | (0.48%)(c) | 67% | $682,752 |
Year Ended 8/31/2022 | $18.30 | (28.97%) | 1.13% | 1.13%(d) | (0.81%) | 70% | $718,493 |
Year Ended 8/31/2021 | $31.98 | 38.29% | 1.11%(e) | 1.11%(d),(e) | (0.83%) | 82% | $1,134,636 |
Year Ended 8/31/2020 | $27.17 | 26.66% | 1.15% | 1.15%(d) | (0.58%) | 63% | $967,087 |
Year Ended 8/31/2019 | $23.44 | 2.78% | 1.17% | 1.17% | (0.31%) | 89% | $810,161 |
Year Ended 8/31/2018 | $28.83 | 22.23% | 1.16% | 1.16%(d) | (0.38%) | 140% | $922,862 |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $22.60 | 2.12% | 0.92%(c) | 0.92%(c),(d) | (0.23%)(c) | 67% | $10,147 |
Year Ended 8/31/2022 | $22.13 | (28.79%) | 0.88% | 0.88%(d) | (0.56%) | 70% | $9,813 |
Year Ended 8/31/2021 | $37.34 | 38.65% | 0.86%(e) | 0.86%(d),(e) | (0.58%) | 82% | $13,348 |
Year Ended 8/31/2020 | $31.03 | 26.95% | 0.90% | 0.90%(d) | (0.33%) | 63% | $8,071 |
Year Ended 8/31/2019 | $26.43 | 3.08% | 0.92% | 0.92% | (0.06%) | 89% | $17,075 |
Year Ended 8/31/2018 | $31.71 | 22.50% | 0.91% | 0.91%(d) | (0.16%) | 140% | $15,488 |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $12.22 | 1.66% | 1.92%(c) | 1.92%(c),(d) | (1.23%)(c) | 67% | $5,570 |
Year Ended 8/31/2022 | $12.02 | (29.50%) | 1.88% | 1.88%(d) | (1.56%) | 70% | $6,073 |
Year Ended 8/31/2021 | $23.12 | 37.28% | 1.86%(e) | 1.86%(d),(e) | (1.57%) | 82% | $9,886 |
Year Ended 8/31/2020 | $20.72 | 25.67% | 1.90% | 1.90%(d) | (1.32%) | 63% | $11,759 |
Year Ended 8/31/2019 | $18.48 | 2.03% | 1.92% | 1.92% | (1.05%) | 89% | $12,863 |
Year Ended 8/31/2018 | $23.99 | 21.27% | 1.91% | 1.91%(d) | (1.15%) | 140% | $17,458 |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.39 | 2.10% | 0.92%(c) | 0.92%(c),(d) | (0.23%)(c) | 67% | $591,255 |
Year Ended 8/31/2022 | $20.95 | (28.78%) | 0.88% | 0.88%(d) | (0.56%) | 70% | $607,008 |
Year Ended 8/31/2021 | $35.68 | 38.67% | 0.86%(e) | 0.86%(d),(e) | (0.58%) | 82% | $965,229 |
Year Ended 8/31/2020 | $29.83 | 26.92% | 0.90% | 0.90%(d) | (0.33%) | 63% | $748,236 |
Year Ended 8/31/2019 | $25.49 | 3.07% | 0.92% | 0.92% | (0.05%) | 89% | $652,043 |
Year Ended 8/31/2018 | $30.80 | 22.49% | 0.91% | 0.91%(d) | (0.13%) | 140% | $758,444 |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.76 | 2.11% | 0.86%(c) | 0.86%(c) | (0.17%)(c) | 67% | $34,017 |
Year Ended 8/31/2022 | $21.31 | (28.75%) | 0.83% | 0.83% | (0.51%) | 70% | $34,937 |
Year Ended 8/31/2021 | $36.18 | 38.73% | 0.82%(e) | 0.82%(e) | (0.53%) | 82% | $49,076 |
Year Ended 8/31/2020 | $30.19 | 27.05% | 0.84% | 0.84% | (0.26%) | 63% | $43,423 |
Year Ended 8/31/2019 | $25.75 | 3.11% | 0.84% | 0.84% | 0.02% | 89% | $46,284 |
Year Ended 8/31/2018 | $31.06 | 22.60% | 0.83% | 0.83% | (0.06%) | 140% | $48,792 |
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 17 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.35 | (0.01) | 0.47 | 0.46 | — | — |
Year Ended 8/31/2022 | $36.23 | (0.12) | (8.65) | (8.77) | (6.11) | (6.11) |
Year Ended 8/31/2021 | $30.22 | (0.16) | 10.81 | 10.65 | (4.64) | (4.64) |
Year Ended 8/31/2020 | $25.77 | (0.06) | 6.65 | 6.59 | (2.14) | (2.14) |
Year Ended 8/31/2019 | $31.07 | 0.02 | 0.16 | 0.18 | (5.48) | (5.48) |
Year Ended 8/31/2018 | $28.74 | (0.00)(g) | 5.94 | 5.94 | (3.61) | (3.61) |
Class R | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $16.71 | (0.06) | 0.37 | 0.31 | — | — |
Year Ended 8/31/2022 | $29.74 | (0.23) | (6.81) | (7.04) | (5.99) | (5.99) |
Year Ended 8/31/2021 | $25.55 | (0.29) | 8.97 | 8.68 | (4.49) | (4.49) |
Year Ended 8/31/2020 | $22.22 | (0.18) | 5.65 | 5.47 | (2.14) | (2.14) |
Year Ended 8/31/2019 | $27.64 | (0.12) | 0.07 | (0.05) | (5.37) | (5.37) |
Year Ended 8/31/2018 | $25.93 | (0.16) | 5.31 | 5.15 | (3.44) | (3.44) |
Class V | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $18.16 | (0.04) | 0.40 | 0.36 | — | — |
Year Ended 8/31/2022 | $31.78 | (0.18) | (7.40) | (7.58) | (6.04) | (6.04) |
Year Ended 8/31/2021 | $27.02 | (0.24) | 9.56 | 9.32 | (4.56) | (4.56) |
Year Ended 8/31/2020 | $23.33 | (0.14) | 5.97 | 5.83 | (2.14) | (2.14) |
Year Ended 8/31/2019 | $28.71 | (0.07) | 0.10 | 0.03 | (5.41) | (5.41) |
Year Ended 8/31/2018 | $26.81 | (0.10) | 5.51 | 5.41 | (3.51) | (3.51) |
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) | Annualized. |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Ratios include interfund lending expense which is less than 0.01%. |
(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. |
(g) | Rounds to zero. |
18 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.81 | 2.15% | 0.81%(c) | 0.81%(c) | (0.12%)(c) | 67% | $75,545 |
Year Ended 8/31/2022 | $21.35 | (28.71%) | 0.78% | 0.78% | (0.46%) | 70% | $81,229 |
Year Ended 8/31/2021 | $36.23 | 38.80% | 0.77%(e) | 0.77%(e) | (0.48%) | 82% | $123,615 |
Year Ended 8/31/2020 | $30.22 | 27.07% | 0.79% | 0.79% | (0.22%) | 63% | $95,842 |
Year Ended 8/31/2019 | $25.77 | 3.18% | 0.79% | 0.79% | 0.08% | 89% | $86,115 |
Year Ended 8/31/2018 | $31.07 | 22.66% | 0.78% | 0.78% | (0.01%) | 140% | $135,728 |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.02 | 1.86% | 1.42%(c) | 1.42%(c),(d) | (0.72%)(c) | 67% | $4,733 |
Year Ended 8/31/2022 | $16.71 | (29.11%) | 1.38% | 1.38%(d) | (1.06%) | 70% | $5,333 |
Year Ended 8/31/2021 | $29.74 | 37.94% | 1.36%(e) | 1.36%(d),(e) | (1.08%) | 82% | $10,376 |
Year Ended 8/31/2020 | $25.55 | 26.31% | 1.40% | 1.40%(d) | (0.82%) | 63% | $7,717 |
Year Ended 8/31/2019 | $22.22 | 2.56% | 1.42% | 1.42% | (0.55%) | 89% | $10,593 |
Year Ended 8/31/2018 | $27.64 | 21.89% | 1.41% | 1.41%(d) | (0.63%) | 140% | $13,414 |
Class V | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $18.52 | 1.98% | 1.17%(c) | 1.17%(c),(d) | (0.48%)(c) | 67% | $19,719 |
Year Ended 8/31/2022 | $18.16 | (28.96%) | 1.13% | 1.13%(d) | (0.81%) | 70% | $19,715 |
Year Ended 8/31/2021 | $31.78 | 38.32% | 1.11%(e) | 1.11%(d),(e) | (0.83%) | 82% | $31,936 |
Year Ended 8/31/2020 | $27.02 | 26.61% | 1.15% | 1.15%(d) | (0.57%) | 63% | $25,875 |
Year Ended 8/31/2019 | $23.33 | 2.83% | 1.17% | 1.17% | (0.31%) | 89% | $23,279 |
Year Ended 8/31/2018 | $28.71 | 22.19% | 1.16% | 1.16%(d) | (0.37%) | 140% | $25,566 |
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
20 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
22 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Class A | 0.12 |
Advisor Class | 0.12 |
Class C | 0.12 |
Institutional Class | 0.12 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.12 |
Class V | 0.12 |
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 36,664 |
Class C | — | 1.00(b) | 20 |
Class V | 5.75 | 0.50 - 1.00(a) | 1,733 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2023 through December 31, 2023 | Prior to January 1, 2023 | |
Class A | 1.20% | 1.20% |
Advisor Class | 0.95 | 0.95 |
Class C | 1.95 | 1.95 |
Institutional Class | 0.95 | 0.95 |
Institutional 2 Class | 0.89 | 0.91 |
Institutional 3 Class | 0.85 | 0.86 |
Class R | 1.45 | 1.45 |
Class V | 1.20 | 1.20 |
24 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,368,752,000 | 122,744,000 | (48,759,000) | 73,985,000 |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,966,667 | 4.10 | 3 |
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
Shares | |
Class A | 727,078 |
Advisor Class | 61,087 |
($) | |
Net investment loss | (12,840,000) |
Net realized gain | 16,706,000 |
Net change in unrealized appreciation/(depreciation) | (654,550,000) |
Net decrease in net assets from operations | (650,684,000) |
26 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
28 | Columbia Select Mid Cap Growth Fund | Semiannual Report 2023 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/05 | 1.59 | -17.93 | 8.88 | 11.17 |
Including sales charges | -4.27 | -22.64 | 7.60 | 10.51 | ||
Advisor Class | 11/08/12 | 1.72 | -17.70 | 9.14 | 11.44 | |
Class C | Excluding sales charges | 11/01/05 | 1.27 | -18.53 | 8.07 | 10.34 |
Including sales charges | 0.27 | -19.35 | 8.07 | 10.34 | ||
Institutional Class | 10/01/96 | 1.70 | -17.75 | 9.14 | 11.44 | |
Institutional 2 Class | 02/28/13 | 1.77 | -17.62 | 9.26 | 11.61 | |
Institutional 3 Class | 07/15/09 | 1.79 | -17.61 | 9.31 | 11.62 | |
Class R | 09/27/10 | 1.47 | -18.16 | 8.60 | 10.89 | |
Russell 2000 Growth Index | 3.06 | -7.92 | 5.06 | 9.31 | ||
Russell 2000 Index | 3.63 | -6.02 | 6.01 | 9.06 |
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023) | |
Common Stocks | 93.6 |
Money Market Funds | 6.4 |
Total | 100.0 |
Equity sector breakdown (%) (at February 28, 2023) | |
Communication Services | 2.8 |
Consumer Discretionary | 13.5 |
Consumer Staples | 2.0 |
Energy | 5.2 |
Financials | 4.2 |
Health Care | 26.3 |
Industrials | 24.0 |
Information Technology | 18.4 |
Materials | 3.6 |
Total | 100.0 |
4 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
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 | 1,015.90 | 1,018.40 | 6.45 | 6.46 | 1.29 |
Advisor Class | 1,000.00 | 1,000.00 | 1,017.20 | 1,019.64 | 5.20 | 5.21 | 1.04 |
Class C | 1,000.00 | 1,000.00 | 1,012.70 | 1,014.68 | 10.18 | 10.19 | 2.04 |
Institutional Class | 1,000.00 | 1,000.00 | 1,017.00 | 1,019.64 | 5.20 | 5.21 | 1.04 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,017.70 | 1,020.28 | 4.55 | 4.56 | 0.91 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,017.90 | 1,020.53 | 4.30 | 4.31 | 0.86 |
Class R | 1,000.00 | 1,000.00 | 1,014.70 | 1,017.16 | 7.69 | 7.70 | 1.54 |
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Common Stocks 94.2% | ||
Issuer | Shares | Value ($) |
Communication Services 2.7% | ||
Entertainment 2.7% | ||
World Wrestling Entertainment, Inc., Class A | 478,931 | 40,230,204 |
Total Communication Services | 40,230,204 | |
Consumer Discretionary 12.7% | ||
Hotels, Restaurants & Leisure 7.8% | ||
Bowlero Corp.(a) | 2,033,648 | 31,277,506 |
Churchill Downs, Inc. | 76,078 | 18,698,451 |
Kura Sushi USA, Inc., Class A(a) | 227,947 | 14,274,041 |
Texas Roadhouse, Inc. | 150,315 | 15,262,985 |
Wingstop, Inc. | 110,865 | 18,885,853 |
Xponential Fitness, Inc., Class A(a) | 762,368 | 19,356,524 |
Total | 117,755,360 | |
Household Durables 1.1% | ||
TopBuild Corp.(a) | 77,526 | 16,093,622 |
Specialty Retail 2.9% | ||
Boot Barn Holdings, Inc.(a) | 243,022 | 18,822,054 |
Five Below, Inc.(a) | 82,909 | 16,938,309 |
Floor & Decor Holdings, Inc., Class A(a) | 83,295 | 7,647,314 |
Total | 43,407,677 | |
Textiles, Apparel & Luxury Goods 0.9% | ||
Crocs, Inc.(a) | 114,171 | 13,895,752 |
Total Consumer Discretionary | 191,152,411 | |
Consumer Staples 1.8% | ||
Beverages 1.8% | ||
Celsius Holdings, Inc.(a) | 306,580 | 27,837,464 |
Total Consumer Staples | 27,837,464 | |
Energy 4.9% | ||
Energy Equipment & Services 0.8% | ||
ChampionX Corp. | 386,040 | 11,801,243 |
Oil, Gas & Consumable Fuels 4.1% | ||
Matador Resources Co. | 400,832 | 21,560,753 |
Northern Oil and Gas, Inc. | 1,294,576 | 40,183,639 |
Total | 61,744,392 | |
Total Energy | 73,545,635 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financials 4.0% | ||
Banks 1.5% | ||
Live Oak Bancshares, Inc. | 649,123 | 22,433,691 |
Insurance 2.5% | ||
Kinsale Capital Group, Inc. | 77,835 | 24,806,014 |
Ryan Specialty Holdings, Inc., Class A(a) | 303,013 | 12,762,908 |
Total | 37,568,922 | |
Total Financials | 60,002,613 | |
Health Care 24.8% | ||
Biotechnology 3.4% | ||
IVERIC bio, Inc.(a) | 494,549 | 10,276,728 |
Natera, Inc.(a) | 755,812 | 36,694,673 |
Revolution Medicines, Inc.(a) | 167,596 | 4,484,869 |
Total | 51,456,270 | |
Health Care Equipment & Supplies 6.9% | ||
Axonics, Inc.(a) | 210,015 | 12,619,801 |
Heska Corp.(a) | 375,208 | 30,553,187 |
ICU Medical, Inc.(a) | 160,306 | 27,354,616 |
Inspire Medical Systems, Inc.(a) | 124,835 | 32,448,362 |
Total | 102,975,966 | |
Health Care Providers & Services 6.4% | ||
Addus HomeCare Corp.(a) | 279,795 | 30,396,929 |
Amedisys, Inc.(a) | 127,975 | 11,767,301 |
Chemed Corp. | 101,794 | 53,093,715 |
Total | 95,257,945 | |
Life Sciences Tools & Services 8.1% | ||
BioLife Solutions, Inc.(a) | 599,755 | 13,950,301 |
Bio-Techne Corp. | 457,589 | 33,239,265 |
Caris Life Sciences, Inc.(a),(b),(c),(d) | 2,777,778 | 9,777,778 |
DNA Script(a),(b),(c),(d) | 11,675 | 3,562,585 |
Olink Holding AB ADR(a) | 613,604 | 14,382,878 |
Pacific Biosciences of California, Inc.(a) | 1,362,473 | 12,371,255 |
Repligen Corp.(a) | 198,603 | 34,630,405 |
Total | 121,914,467 | |
Total Health Care | 371,604,648 |
6 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 22.6% | ||
Aerospace & Defense 5.7% | ||
Aerovironment, Inc.(a) | 288,971 | 24,776,374 |
Axon Enterprise, Inc.(a) | 121,742 | 24,386,140 |
Curtiss-Wright Corp. | 211,584 | 36,982,767 |
Total | 86,145,281 | |
Air Freight & Logistics 0.5% | ||
Forward Air Corp. | 66,828 | 6,897,318 |
Building Products 2.5% | ||
Advanced Drainage Systems, Inc. | 162,797 | 14,444,978 |
Simpson Manufacturing Co., Inc. | 209,941 | 22,644,236 |
Total | 37,089,214 | |
Commercial Services & Supplies 1.4% | ||
Casella Waste Systems, Inc., Class A(a) | 276,456 | 21,513,806 |
Machinery 4.3% | ||
Helios Technologies, Inc. | 146,856 | 9,948,026 |
Hillman Solutions Corp.(a) | 2,460,000 | 21,869,400 |
RBC Bearings, Inc.(a) | 139,788 | 32,124,680 |
Total | 63,942,106 | |
Professional Services 1.4% | ||
FTI Consulting, Inc.(a) | 114,940 | 21,115,627 |
Road & Rail 1.0% | ||
Saia, Inc.(a) | 55,569 | 15,051,975 |
Trading Companies & Distributors 5.8% | ||
FTAI Aviation Ltd. | 1,173,430 | 29,652,576 |
SiteOne Landscape Supply, Inc.(a) | 311,793 | 46,251,373 |
Xometry, Inc., Class A(a) | 383,865 | 11,673,335 |
Total | 87,577,284 | |
Total Industrials | 339,332,611 | |
Information Technology 17.3% | ||
Communications Equipment 0.6% | ||
Calix, Inc.(a) | 163,910 | 8,383,997 |
Electronic Equipment, Instruments & Components 0.6% | ||
908 Devices, Inc.(a) | 1,058,565 | 9,527,085 |
IT Services 1.2% | ||
Flywire Corp.(a) | 741,443 | 18,335,885 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 5.8% | ||
Aehr Test Systems(a) | 704,816 | 23,505,614 |
Axcelis Technologies, Inc.(a) | 246,147 | 31,639,735 |
Lattice Semiconductor Corp.(a) | 119,928 | 10,189,083 |
Onto Innovation, Inc.(a) | 252,356 | 20,811,799 |
Total | 86,146,231 | |
Software 9.1% | ||
DocuSign, Inc.(a) | 250,115 | 15,344,555 |
Five9, Inc.(a) | 385,331 | 25,431,846 |
LiveVox Holdings, Inc.(a) | 2,839,934 | 6,475,049 |
Paylocity Holding Corp.(a) | 170,519 | 32,843,665 |
Smartsheet, Inc., Class A(a) | 634,284 | 27,921,182 |
Workiva, Inc., Class A(a) | 325,358 | 29,021,934 |
Total | 137,038,231 | |
Total Information Technology | 259,431,429 | |
Materials 3.4% | ||
Chemicals 0.8% | ||
Valvoline, Inc. | 320,707 | 11,288,887 |
Construction Materials 1.9% | ||
Summit Materials, Inc., Class A(a) | 954,487 | 28,195,546 |
Metals & Mining 0.7% | ||
Hecla Mining Co. | 2,151,596 | 11,080,719 |
Total Materials | 50,565,152 | |
Total Common Stocks (Cost $1,365,307,118) | 1,413,702,167 | |
Money Market Funds 6.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(e),(f) | 96,785,107 | 96,746,393 |
Total Money Market Funds (Cost $96,743,057) | 96,746,393 | |
Total Investments in Securities (Cost: $1,462,050,175) | 1,510,448,560 | |
Other Assets & Liabilities, Net | (9,648,727) | |
Net Assets | 1,500,799,833 |
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 28, 2023, the total value of these securities amounted to $13,340,363, which represents 0.89% of total net assets. |
(c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 28, 2023, the total market value of these securities amounted to $13,340,363, which represents 0.89% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Caris Life Sciences, Inc. | 05/11/2021 | 2,777,778 | 22,520,810 | 9,777,778 |
DNA Script | 10/01/2021 | 11,675 | 10,180,303 | 3,562,585 |
32,701,113 | 13,340,363 |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
13,473,261 | 474,017,921 | (390,747,286) | 2,497 | 96,746,393 | 6,624 | 1,145,051 | 96,785,107 |
ADR | American Depositary Receipt |
■ | 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). |
8 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
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 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. Representatives of Columbia Management Investment Advisers, LLC report to 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 | ||||
Common Stocks | ||||
Communication Services | 40,230,204 | — | — | 40,230,204 |
Consumer Discretionary | 191,152,411 | — | — | 191,152,411 |
Consumer Staples | 27,837,464 | — | — | 27,837,464 |
Energy | 73,545,635 | — | — | 73,545,635 |
Financials | 60,002,613 | — | — | 60,002,613 |
Health Care | 358,264,285 | — | 13,340,363 | 371,604,648 |
Industrials | 339,332,611 | — | — | 339,332,611 |
Information Technology | 259,431,429 | — | — | 259,431,429 |
Materials | 50,565,152 | — | — | 50,565,152 |
Total Common Stocks | 1,400,361,804 | — | 13,340,363 | 1,413,702,167 |
Money Market Funds | 96,746,393 | — | — | 96,746,393 |
Total Investments in Securities | 1,497,108,197 | — | 13,340,363 | 1,510,448,560 |
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,365,307,118) | $1,413,702,167 |
Affiliated issuers (cost $96,743,057) | 96,746,393 |
Receivable for: | |
Capital shares sold | 1,707,553 |
Dividends | 502,954 |
Prepaid expenses | 19,876 |
Trustees’ deferred compensation plan | 146,752 |
Other assets | 12,998 |
Total assets | 1,512,838,693 |
Liabilities | |
Payable for: | |
Investments purchased | 9,733,019 |
Capital shares purchased | 1,802,764 |
Management services fees | 33,774 |
Distribution and/or service fees | 3,108 |
Transfer agent fees | 216,104 |
Compensation of board members | 37,427 |
Compensation of chief compliance officer | 144 |
Other expenses | 65,768 |
Trustees’ deferred compensation plan | 146,752 |
Total liabilities | 12,038,860 |
Net assets applicable to outstanding capital stock | $1,500,799,833 |
Represented by | |
Paid in capital | 1,952,866,047 |
Total distributable earnings (loss) | (452,066,214) |
Total - representing net assets applicable to outstanding capital stock | $1,500,799,833 |
10 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Class A | |
Net assets | $334,336,362 |
Shares outstanding | 18,639,764 |
Net asset value per share | $17.94 |
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) | $19.03 |
Advisor Class | |
Net assets | $57,548,491 |
Shares outstanding | 2,703,360 |
Net asset value per share | $21.29 |
Class C | |
Net assets | $26,158,258 |
Shares outstanding | 2,052,338 |
Net asset value per share | $12.75 |
Institutional Class | |
Net assets | $700,646,203 |
Shares outstanding | 35,488,331 |
Net asset value per share | $19.74 |
Institutional 2 Class | |
Net assets | $46,048,273 |
Shares outstanding | 2,289,992 |
Net asset value per share | $20.11 |
Institutional 3 Class | |
Net assets | $329,068,397 |
Shares outstanding | 16,095,437 |
Net asset value per share | $20.44 |
Class R | |
Net assets | $6,993,849 |
Shares outstanding | 404,196 |
Net asset value per share | $17.30 |
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $1,621,702 |
Dividends — affiliated issuers | 1,145,051 |
Interfund lending | 858 |
Total income | 2,767,611 |
Expenses: | |
Management services fees | 6,079,482 |
Distribution and/or service fees | |
Class A | 409,595 |
Class C | 130,626 |
Class R | 16,880 |
Transfer agent fees | |
Class A | 308,694 |
Advisor Class | 53,990 |
Class C | 24,611 |
Institutional Class | 653,745 |
Institutional 2 Class | 13,539 |
Institutional 3 Class | 11,923 |
Class R | 6,357 |
Compensation of board members | 19,988 |
Custodian fees | 5,781 |
Printing and postage fees | 73,122 |
Registration fees | 75,894 |
Audit fees | 14,922 |
Legal fees | 16,657 |
Compensation of chief compliance officer | 144 |
Other | 30,925 |
Total expenses | 7,946,875 |
Expense reduction | (4,023) |
Total net expenses | 7,942,852 |
Net investment loss | (5,175,241) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (130,825,053) |
Investments — affiliated issuers | 6,624 |
Net realized loss | (130,818,429) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 154,939,982 |
Investments — affiliated issuers | 2,497 |
Net change in unrealized appreciation (depreciation) | 154,942,479 |
Net realized and unrealized gain | 24,124,050 |
Net increase in net assets resulting from operations | $18,948,809 |
12 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment loss | $(5,175,241) | $(19,984,208) |
Net realized loss | (130,818,429) | (351,142,830) |
Net change in unrealized appreciation (depreciation) | 154,942,479 | (892,663,748) |
Net increase (decrease) in net assets resulting from operations | 18,948,809 | (1,263,790,786) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | — | (57,492,433) |
Advisor Class | — | (12,410,914) |
Class C | — | (5,910,264) |
Institutional Class | — | (136,485,916) |
Institutional 2 Class | — | (17,426,341) |
Institutional 3 Class | — | (45,889,170) |
Class R | — | (1,203,822) |
Total distributions to shareholders | — | (276,818,860) |
Decrease in net assets from capital stock activity | (138,885,903) | (204,178,262) |
Total decrease in net assets | (119,937,094) | (1,744,787,908) |
Net assets at beginning of period | 1,620,736,927 | 3,365,524,835 |
Net assets at end of period | $1,500,799,833 | $1,620,736,927 |
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 13 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 567,776 | 9,748,643 | 2,473,026 | 56,656,316 |
Distributions reinvested | — | — | 1,898,399 | 50,307,569 |
Redemptions | (1,797,784) | (30,747,600) | (4,844,423) | (110,340,811) |
Net decrease | (1,230,008) | (20,998,957) | (472,998) | (3,376,926) |
Advisor Class | ||||
Subscriptions | 190,632 | 3,868,228 | 600,209 | 16,430,183 |
Distributions reinvested | — | — | 384,942 | 12,071,778 |
Redemptions | (547,025) | (11,056,391) | (2,747,685) | (77,859,742) |
Net decrease | (356,393) | (7,188,163) | (1,762,534) | (49,357,781) |
Class C | ||||
Subscriptions | 141,421 | 1,722,919 | 515,889 | 8,935,276 |
Distributions reinvested | — | — | 294,340 | 5,595,396 |
Redemptions | (313,825) | (3,808,263) | (669,130) | (10,484,224) |
Net increase (decrease) | (172,404) | (2,085,344) | 141,099 | 4,046,448 |
Institutional Class | ||||
Subscriptions | 6,311,074 | 121,016,887 | 21,144,653 | 530,673,815 |
Distributions reinvested | — | — | 3,767,302 | 109,553,154 |
Redemptions | (10,477,096) | (197,753,801) | (31,695,388) | (761,043,563) |
Net decrease | (4,166,022) | (76,736,914) | (6,783,433) | (120,816,594) |
Institutional 2 Class | ||||
Subscriptions | 83,409 | 1,612,954 | 275,940 | 6,876,592 |
Distributions reinvested | — | — | 588,823 | 17,417,388 |
Redemptions | (582,847) | (11,167,723) | (4,642,383) | (118,704,973) |
Net decrease | (499,438) | (9,554,769) | (3,777,620) | (94,410,993) |
Institutional 3 Class | ||||
Subscriptions | 1,232,046 | 24,151,752 | 6,466,302 | 170,183,577 |
Distributions reinvested | — | — | 1,434,744 | 43,114,069 |
Redemptions | (2,361,931) | (46,206,190) | (5,955,910) | (153,259,675) |
Net increase (decrease) | (1,129,885) | (22,054,438) | 1,945,136 | 60,037,971 |
Class R | ||||
Subscriptions | 33,932 | 565,249 | 87,559 | 1,903,952 |
Distributions reinvested | — | — | 46,933 | 1,203,822 |
Redemptions | (50,338) | (832,567) | (154,475) | (3,408,161) |
Net decrease | (16,406) | (267,318) | (19,983) | (300,387) |
Total net decrease | (7,570,556) | (138,885,903) | (10,730,333) | (204,178,262) |
14 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class A | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.66 | (0.08) | 0.36 | 0.28 | — | — |
Year Ended 8/31/2022 | $32.70 | (0.25) | (11.90) | (12.15) | (2.89) | (2.89) |
Year Ended 8/31/2021 | $25.05 | (0.31) | 10.14 | 9.83 | (2.18) | (2.18) |
Year Ended 8/31/2020 | $19.72 | (0.18) | 7.28 | 7.10 | (1.77) | (1.77) |
Year Ended 8/31/2019 | $22.05 | (0.15) | 1.12 | 0.97 | (3.30) | (3.30) |
Year Ended 8/31/2018 | $19.46 | (0.15) | 5.87 | 5.72 | (3.13) | (3.13) |
Advisor Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $20.93 | (0.07) | 0.43 | 0.36 | — | — |
Year Ended 8/31/2022 | $38.14 | (0.23) | (14.03) | (14.26) | (2.95) | (2.95) |
Year Ended 8/31/2021 | $28.90 | (0.28) | 11.76 | 11.48 | (2.24) | (2.24) |
Year Ended 8/31/2020 | $22.48 | (0.15) | 8.38 | 8.23 | (1.81) | (1.81) |
Year Ended 8/31/2019 | $24.61 | (0.11) | 1.33 | 1.22 | (3.35) | (3.35) |
Year Ended 8/31/2018 | $21.38 | (0.12) | 6.53 | 6.41 | (3.18) | (3.18) |
Class C | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $12.59 | (0.10) | 0.26 | 0.16 | — | — |
Year Ended 8/31/2022 | $24.22 | (0.30) | (8.60) | (8.90) | (2.73) | (2.73) |
Year Ended 8/31/2021 | $19.01 | (0.41) | 7.63 | 7.22 | (2.01) | (2.01) |
Year Ended 8/31/2020 | $15.34 | (0.25) | 5.54 | 5.29 | (1.62) | (1.62) |
Year Ended 8/31/2019 | $17.93 | (0.22) | 0.78 | 0.56 | (3.15) | (3.15) |
Year Ended 8/31/2018 | $16.35 | (0.25) | 4.82 | 4.57 | (2.99) | (2.99) |
Institutional Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $19.41 | (0.06) | 0.39 | 0.33 | — | — |
Year Ended 8/31/2022 | $35.61 | (0.21) | (13.04) | (13.25) | (2.95) | (2.95) |
Year Ended 8/31/2021 | $27.10 | (0.26) | 11.01 | 10.75 | (2.24) | (2.24) |
Year Ended 8/31/2020 | $21.20 | (0.14) | 7.85 | 7.71 | (1.81) | (1.81) |
Year Ended 8/31/2019 | $23.42 | (0.11) | 1.24 | 1.13 | (3.35) | (3.35) |
Year Ended 8/31/2018 | $20.49 | (0.11) | 6.22 | 6.11 | (3.18) | (3.18) |
Institutional 2 Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $19.76 | (0.05) | 0.40 | 0.35 | — | — |
Year Ended 8/31/2022 | $36.17 | (0.20) | (13.24) | (13.44) | (2.97) | (2.97) |
Year Ended 8/31/2021 | $27.49 | (0.24) | 11.18 | 10.94 | (2.26) | (2.26) |
Year Ended 8/31/2020 | $21.47 | (0.13) | 7.98 | 7.85 | (1.83) | (1.83) |
Year Ended 8/31/2019 | $23.68 | (0.09) | 1.26 | 1.17 | (3.38) | (3.38) |
Year Ended 8/31/2018 | $20.68 | (0.09) | 6.29 | 6.20 | (3.20) | (3.20) |
16 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.94 | 1.59% | 1.29%(c) | 1.29%(c),(d) | (0.92%)(c) | 51% | $334,336 |
Year Ended 8/31/2022 | $17.66 | (40.10%) | 1.24%(e) | 1.24%(d),(e) | (1.07%) | 56% | $350,816 |
Year Ended 8/31/2021 | $32.70 | 40.63% | 1.21% | 1.21%(d) | (1.03%) | 50% | $665,217 |
Year Ended 8/31/2020 | $25.05 | 39.06% | 1.29%(e),(f) | 1.29%(d),(e),(f) | (0.89%) | 76% | $414,360 |
Year Ended 8/31/2019 | $19.72 | 7.76% | 1.33%(e) | 1.33%(e) | (0.79%) | 113% | $265,473 |
Year Ended 8/31/2018 | $22.05 | 33.62% | 1.35%(f) | 1.34%(d),(f) | (0.79%) | 156% | $249,156 |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.29 | 1.72% | 1.04%(c) | 1.04%(c),(d) | (0.67%)(c) | 51% | $57,548 |
Year Ended 8/31/2022 | $20.93 | (39.96%) | 0.99%(e) | 0.99%(d),(e) | (0.82%) | 56% | $64,035 |
Year Ended 8/31/2021 | $38.14 | 40.97% | 0.96% | 0.96%(d) | (0.80%) | 50% | $183,909 |
Year Ended 8/31/2020 | $28.90 | 39.42% | 1.04%(e),(f) | 1.04%(d),(e),(f) | (0.66%) | 76% | $83,934 |
Year Ended 8/31/2019 | $22.48 | 8.05% | 1.07%(e) | 1.07%(e) | (0.54%) | 113% | $20,203 |
Year Ended 8/31/2018 | $24.61 | 33.91% | 1.10%(f) | 1.09%(d),(f) | (0.53%) | 156% | $8,913 |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $12.75 | 1.27% | 2.04%(c) | 2.04%(c),(d) | (1.67%)(c) | 51% | $26,158 |
Year Ended 8/31/2022 | $12.59 | (40.57%) | 1.99%(e) | 1.99%(d),(e) | (1.82%) | 56% | $28,016 |
Year Ended 8/31/2021 | $24.22 | 39.58% | 1.96% | 1.96%(d) | (1.79%) | 50% | $50,471 |
Year Ended 8/31/2020 | $19.01 | 38.03% | 2.04%(e),(f) | 2.04%(d),(e),(f) | (1.65%) | 76% | $20,142 |
Year Ended 8/31/2019 | $15.34 | 6.93% | 2.08%(e) | 2.08%(e) | (1.54%) | 113% | $8,887 |
Year Ended 8/31/2018 | $17.93 | 32.58% | 2.10%(f) | 2.09%(d),(f) | (1.54%) | 156% | $8,401 |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $19.74 | 1.70% | 1.04%(c) | 1.04%(c),(d) | (0.67%)(c) | 51% | $700,646 |
Year Ended 8/31/2022 | $19.41 | (39.96%) | 0.99%(e) | 0.99%(d),(e) | (0.82%) | 56% | $769,677 |
Year Ended 8/31/2021 | $35.61 | 41.00% | 0.96% | 0.96%(d) | (0.79%) | 50% | $1,653,559 |
Year Ended 8/31/2020 | $27.10 | 39.35% | 1.04%(e),(f) | 1.04%(d),(e),(f) | (0.65%) | 76% | $773,636 |
Year Ended 8/31/2019 | $21.20 | 8.08% | 1.08%(e) | 1.08%(e) | (0.54%) | 113% | $283,781 |
Year Ended 8/31/2018 | $23.42 | 33.91% | 1.10%(f) | 1.09%(d),(f) | (0.54%) | 156% | $226,120 |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $20.11 | 1.77% | 0.91%(c) | 0.91%(c) | (0.54%)(c) | 51% | $46,048 |
Year Ended 8/31/2022 | $19.76 | (39.89%) | 0.88%(e) | 0.88%(e) | (0.72%) | 56% | $55,108 |
Year Ended 8/31/2021 | $36.17 | 41.11% | 0.88% | 0.88% | (0.72%) | 50% | $237,521 |
Year Ended 8/31/2020 | $27.49 | 39.50% | 0.96%(e),(f) | 0.96%(e),(f) | (0.58%) | 76% | $104,108 |
Year Ended 8/31/2019 | $21.47 | 8.16% | 0.97%(e) | 0.97%(e) | (0.45%) | 113% | $26,190 |
Year Ended 8/31/2018 | $23.68 | 34.07% | 0.99%(f) | 0.98%(f) | (0.43%) | 156% | $21,024 |
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 17 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $20.08 | (0.05) | 0.41 | 0.36 | — | — |
Year Ended 8/31/2022 | $36.71 | (0.17) | (13.48) | (13.65) | (2.98) | (2.98) |
Year Ended 8/31/2021 | $27.87 | (0.23) | 11.34 | 11.11 | (2.27) | (2.27) |
Year Ended 8/31/2020 | $21.75 | (0.12) | 8.08 | 7.96 | (1.84) | (1.84) |
Year Ended 8/31/2019 | $23.93 | (0.08) | 1.29 | 1.21 | (3.39) | (3.39) |
Year Ended 8/31/2018 | $20.87 | (0.08) | 6.35 | 6.27 | (3.21) | (3.21) |
Class R | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.05 | (0.10) | 0.35 | 0.25 | — | — |
Year Ended 8/31/2022 | $31.70 | (0.30) | (11.51) | (11.81) | (2.84) | (2.84) |
Year Ended 8/31/2021 | $24.35 | (0.38) | 9.86 | 9.48 | (2.13) | (2.13) |
Year Ended 8/31/2020 | $19.22 | (0.23) | 7.08 | 6.85 | (1.72) | (1.72) |
Year Ended 8/31/2019 | $21.57 | (0.19) | 1.09 | 0.90 | (3.25) | (3.25) |
Year Ended 8/31/2018 | $19.10 | (0.20) | 5.75 | 5.55 | (3.08) | (3.08) |
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) | Annualized. |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Ratios include interfund lending expense which is less than 0.01%. |
(f) | Ratios include line of credit interest expense which is less than 0.01%. |
18 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $20.44 | 1.79% | 0.86%(c) | 0.86%(c) | (0.49%)(c) | 51% | $329,068 |
Year Ended 8/31/2022 | $20.08 | (39.88%) | 0.84%(e) | 0.84%(e) | (0.66%) | 56% | $345,912 |
Year Ended 8/31/2021 | $36.71 | 41.18% | 0.83% | 0.83% | (0.67%) | 50% | $560,880 |
Year Ended 8/31/2020 | $27.87 | 39.55% | 0.90%(e),(f) | 0.90%(e),(f) | (0.52%) | 76% | $163,142 |
Year Ended 8/31/2019 | $21.75 | 8.26% | 0.92%(e) | 0.92%(e) | (0.38%) | 113% | $66,685 |
Year Ended 8/31/2018 | $23.93 | 34.12% | 0.94%(f) | 0.93%(f) | (0.38%) | 156% | $64,214 |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.30 | 1.47% | 1.54%(c) | 1.54%(c),(d) | (1.16%)(c) | 51% | $6,994 |
Year Ended 8/31/2022 | $17.05 | (40.26%) | 1.49%(e) | 1.49%(d),(e) | (1.32%) | 56% | $7,173 |
Year Ended 8/31/2021 | $31.70 | 40.27% | 1.46% | 1.46%(d) | (1.30%) | 50% | $13,968 |
Year Ended 8/31/2020 | $24.35 | 38.67% | 1.54%(e),(f) | 1.54%(d),(e),(f) | (1.16%) | 76% | $4,674 |
Year Ended 8/31/2019 | $19.22 | 7.53% | 1.58%(e) | 1.58%(e) | (1.03%) | 113% | $1,511 |
Year Ended 8/31/2018 | $21.57 | 33.26% | 1.60%(f) | 1.59%(d),(f) | (1.04%) | 156% | $1,651 |
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
20 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
22 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Class A | 0.19 |
Advisor Class | 0.19 |
Class C | 0.19 |
Institutional Class | 0.19 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.19 |
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 59,759 |
Class C | — | 1.00(b) | 569 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
Voluntary expense cap effective April 1, 2023 | Contractual expense cap January 1, 2023 through March 31, 2023 | Contractual expense cap prior to January 1, 2023 | |
Class A | 1.28% | 1.30% | 1.30% |
Advisor Class | 1.03 | 1.05 | 1.05 |
Class C | 2.03 | 2.05 | 2.05 |
Institutional Class | 1.03 | 1.05 | 1.05 |
Institutional 2 Class | 0.91 | 0.93 | 0.96 |
Institutional 3 Class | 0.86 | 0.88 | 0.92 |
Class R | 1.53 | 1.55 | 1.55 |
24 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,462,050,000 | 176,641,000 | (128,242,000) | 48,399,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(349,596,766) | (234,883) | (349,831,649) |
Late year ordinary losses ($) | Post-October capital losses ($) |
11,054,142 | — |
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,200,000 | 4.03 | 4 |
26 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Small Cap Growth Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
28 | Columbia Small Cap Growth Fund | Semiannual Report 2023 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 04/21/77 | -0.99 | -7.17 | 1.38 | 2.39 |
Including sales charges | -5.70 | -11.57 | 0.40 | 1.89 | ||
Advisor Class | 11/08/12 | -0.89 | -6.95 | 1.62 | 2.65 | |
Class C | Excluding sales charges | 07/01/97 | -1.36 | -7.90 | 0.62 | 1.65 |
Including sales charges | -2.32 | -8.79 | 0.62 | 1.65 | ||
Institutional Class | 01/29/99 | -0.89 | -6.94 | 1.64 | 2.66 | |
Institutional 2 Class | 03/07/11 | -0.87 | -6.90 | 1.67 | 2.72 | |
Institutional 3 Class* | 06/13/13 | -0.85 | -6.88 | 1.71 | 2.75 | |
Class R | 09/27/10 | -1.15 | -7.43 | 1.12 | 2.14 | |
Bloomberg U.S. Aggregate Bond Index | -2.13 | -9.72 | 0.53 | 1.12 | ||
ICE BofA US Cash Pay High Yield Constrained Index | 2.43 | -5.41 | 2.69 | 4.01 | ||
FTSE Non-U.S. World Government Bond (All Maturities) Index - Unhedged | -1.03 | -19.79 | -4.83 | -2.01 | ||
JPMorgan Emerging Markets Bond Index-Global | 1.76 | -8.20 | -0.41 | 1.59 |
* | 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 Strategic Income Fund | Semiannual Report 2023 | 3 |
(Unaudited)
4 | Columbia Strategic Income Fund | Semiannual Report 2023 |
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023) | |
Asset-Backed Securities — Non-Agency | 2.7 |
Commercial Mortgage-Backed Securities - Non-Agency | 3.1 |
Common Stocks | 0.0(a) |
Convertible Bonds | 0.1 |
Convertible Preferred Stocks | 0.0(a) |
Corporate Bonds & Notes | 34.9 |
Foreign Government Obligations | 5.9 |
Money Market Funds | 5.2 |
Options Purchased Calls | 0.1 |
Residential Mortgage-Backed Securities - Agency | 26.6 |
Residential Mortgage-Backed Securities - Non-Agency | 15.7 |
Senior Loans | 5.6 |
U.S. Government & Agency Obligations | 0.1 |
Warrants | 0.0(a) |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at February 28, 2023) | |
AAA rating | 28.2 |
AA rating | 0.8 |
A rating | 9.2 |
BBB rating | 18.2 |
BB rating | 19.7 |
B rating | 15.2 |
CCC rating | 2.5 |
CC rating | 0.1 |
C rating | 0.0(a) |
D rating | 0.1 |
Not rated | 6.0 |
Total | 100.0 |
(a) | Rounds to zero. |
Columbia Strategic Income Fund | Semiannual Report 2023 | 5 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
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 | 990.10 | 1,020.13 | 4.64 | 4.71 | 0.94 |
Advisor Class | 1,000.00 | 1,000.00 | 991.10 | 1,021.37 | 3.41 | 3.46 | 0.69 |
Class C | 1,000.00 | 1,000.00 | 986.40 | 1,016.41 | 8.32 | 8.45 | 1.69 |
Institutional Class | 1,000.00 | 1,000.00 | 991.10 | 1,021.37 | 3.41 | 3.46 | 0.69 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 991.30 | 1,021.57 | 3.21 | 3.26 | 0.65 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 991.50 | 1,021.82 | 2.96 | 3.01 | 0.60 |
Class R | 1,000.00 | 1,000.00 | 988.50 | 1,018.89 | 5.87 | 5.96 | 1.19 |
6 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 3.3% | ||||
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 | 11.662% | 15,000,000 | 13,292,145 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2021-5A Class E | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 10/23/2034 | 11.315% | 13,320,000 | 11,414,534 | |
Series 2021-6A Class E | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 10/21/2034 | 11.315% | 11,450,000 | 9,824,008 | |
Series 2021-7A Class E | ||||
3-month USD LIBOR + 6.750% Floor 6.750% 01/22/2035 | 11.565% | 15,350,000 | 13,209,627 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2021-18A Class D | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 01/15/2035 | 11.292% | 13,050,000 | 11,355,510 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2021-2A Class E | ||||
3-month USD LIBOR + 6.250% Floor 6.250% 07/15/2034 | 11.042% | 8,350,000 | 7,453,527 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2016-3A Class ERR | ||||
3-month USD LIBOR + 7.000% Floor 7.000% 07/20/2034 | 11.808% | 11,400,000 | 9,790,810 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2021-A Class C | ||||
12/15/2028 | 2.750% | 16,000,000 | 15,251,832 | |
Madison Park Funding XXII Ltd.(a),(b) | ||||
Series 2016-22A Class DR | ||||
3-month USD LIBOR + 3.500% Floor 3.500% 01/15/2033 | 8.292% | 10,900,000 | 10,345,801 | |
Netcredit Combined Receivables LLC(a),(c),(d),(e) | ||||
Series 2023-A Class A | ||||
12/20/2027 | 7.780% | 20,500,000 | 20,293,358 | |
Octagon 55 Ltd.(a),(b) | ||||
Series 2021-1A Class E | ||||
3-month USD LIBOR + 6.500% Floor 6.500% 07/20/2034 | 11.308% | 9,700,000 | 8,618,052 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Octagon Investment Partners 48 Ltd.(a),(b) | ||||
Series 2020-3A Class ER | ||||
3-month USD LIBOR + 6.700% Floor 6.700% 10/20/2034 | 11.508% | 12,750,000 | 11,532,171 | |
PAGAYA AI Debt Trust(a) | ||||
Subordinated Series 2022-3 Class B | ||||
03/15/2030 | 8.050% | 13,933,649 | 13,804,204 | |
Prosper Pass-Through Trust(a),(d) | ||||
Series 2019-ST2 Class A | ||||
11/15/2025 | 3.750% | 492,215 | 492,216 | |
Upstart Pass-Through Trust(a) | ||||
Series 2020-ST6 Class A | ||||
01/20/2027 | 3.000% | 3,781,935 | 3,607,416 | |
Total Asset-Backed Securities — Non-Agency (Cost $175,548,243) | 160,285,211 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.8% | ||||
BFLD Trust(a),(b) | ||||
Subordinated Series 2019-DPLO Class D | ||||
1-month USD LIBOR + 1.840% Floor 1.840% 10/15/2034 | 6.428% | 3,485,000 | 3,423,722 | |
Subordinated Series 2019-DPLO Class E | ||||
1-month USD LIBOR + 2.240% Floor 2.240% 10/15/2034 | 6.828% | 11,510,000 | 11,294,631 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035 | 6.988% | 8,700,000 | 8,166,145 | |
Subordinated Series 2018-PRME Class D | ||||
1-month USD LIBOR + 1.800% Floor 1.925% 06/15/2035 | 6.388% | 13,700,000 | 13,194,507 | |
BX Trust(a) | ||||
Series 2019-OC11 Class E | ||||
12/09/2041 | 4.076% | 7,208,000 | 5,741,393 | |
BX Trust(a),(f) | ||||
Subordinated Series 2019-OC11 Class D | ||||
12/09/2041 | 3.944% | 6,000,000 | 4,938,260 | |
CLNY Trust(a),(b) | ||||
Subordinated Series 2019-IKPR Class E | ||||
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038 | 7.309% | 8,490,000 | 7,916,915 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2019-IKPR Class F | ||||
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038 | 8.005% | 16,035,000 | 14,843,718 | |
Cold Storage Trust(a),(b) | ||||
Subordinated Series 2020-ICE5 Class F | ||||
1-month USD LIBOR + 3.492% Floor 3.492% 11/15/2037 | 8.080% | 6,536,887 | 6,408,744 | |
COMM Mortgage Trust(a),(f) | ||||
Subordinated Series 2020-CBM Class F | ||||
02/10/2037 | 3.633% | 4,000,000 | 3,439,060 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 7,525,000 | 4,349,638 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 19,910,000 | 10,495,431 | |
CSMC Trust(a),(f) | ||||
Subordinated Series 2019-UVIL Class E | ||||
12/15/2041 | 3.283% | 15,300,000 | 10,797,687 | |
Hilton USA Trust(a),(f) | ||||
Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 28,590,000 | 23,931,002 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 11,500,000 | 10,622,628 | |
Morgan Stanley Capital I Trust(a),(f) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 15,500,000 | 13,369,026 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 17,000,000 | 15,394,700 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/17/2037 | 6.152% | 12,000,000 | 11,464,612 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-SMP Class D | ||||
1-month USD LIBOR + 1.900% Floor 1.650% 12/15/2034 | 6.363% | 9,790,000 | 9,038,351 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $208,918,311) | 188,830,170 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Communication Services 0.0% | ||
Media 0.0% | ||
iHeartMedia, Inc., Class A(g) | 11,995 | 87,084 |
Total Communication Services | 87,084 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Discretionary 0.0% | ||
Multiline Retail 0.0% | ||
Belk, Inc.(d),(g) | 50 | 462 |
Total Consumer Discretionary | 462 | |
Energy 0.0% | ||
Energy Equipment & Services 0.0% | ||
Covia Holdings Corp.(g) | 74,466 | 1,005,291 |
McDermott International Ltd.(g) | 47,856 | 18,185 |
Total | 1,023,476 | |
Oil, Gas & Consumable Fuels 0.0% | ||
New Frontera Holdings(d),(g) | 14,302 | 215 |
Southcross Energy Partners LLC(d),(g) | 14,393 | 108 |
Southcross Energy Partners LLC, Class A(d),(g) | 272,263 | 14,974 |
Total | 15,297 | |
Total Energy | 1,038,773 | |
Industrials 0.0% | ||
Machinery 0.0% | ||
TNT Crane and Rigging, Inc.(g) | 23,468 | 178,943 |
Total Industrials | 178,943 | |
Information Technology 0.0% | ||
Communications Equipment 0.0% | ||
Riverbed Technology, Inc.(d),(g) | 13,308 | 3,394 |
Total Information Technology | 3,394 | |
Total Common Stocks (Cost $1,389,098) | 1,308,656 |
Convertible Bonds 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.1% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 9,468,000 | 6,050,811 | |
Total Convertible Bonds (Cost $8,994,157) | 6,050,811 |
8 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Convertible Preferred Stocks 0.0% | |||
Issuer | Shares | Value ($) | |
Information Technology 0.0% | |||
Communications Equipment 0.0% | |||
Riverbed Technology, Inc.(d) | 7.000% | 14,204 | 3,622 |
Total Information Technology | 3,622 | ||
Total Convertible Preferred Stocks (Cost $307,751) | 3,622 |
Corporate Bonds & Notes(h) 43.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 1.3% | ||||
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 12,470,000 | 9,828,157 | |
Boeing Co. (The) | ||||
08/01/2059 | 3.950% | 22,683,000 | 15,689,967 | |
05/01/2060 | 5.930% | 7,549,000 | 7,102,418 | |
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 2,516,000 | 2,499,611 | |
Howmet Aerospace, Inc. | ||||
01/15/2029 | 3.000% | 5,006,000 | 4,295,365 | |
Northrop Grumman Corp. | ||||
03/15/2053 | 4.950% | 2,771,000 | 2,611,395 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 1,135,000 | 1,202,451 | |
TransDigm, Inc.(a) | ||||
12/15/2025 | 8.000% | 2,772,000 | 2,833,163 | |
03/15/2026 | 6.250% | 8,643,000 | 8,533,804 | |
TransDigm, Inc. | ||||
06/15/2026 | 6.375% | 991,000 | 963,057 | |
11/15/2027 | 5.500% | 4,131,000 | 3,800,882 | |
TransDigm, Inc.(a),(i) | ||||
08/15/2028 | 6.750% | 2,450,000 | 2,437,247 | |
Total | 61,797,517 | |||
Airlines 0.4% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 2,022,000 | 1,825,067 | |
American Airlines, Inc.(a) | ||||
07/15/2025 | 11.750% | 2,307,000 | 2,527,715 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 7,804,098 | 7,608,723 | |
04/20/2029 | 5.750% | 1,412,465 | 1,342,060 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 5,437,955 | 5,055,962 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 1,693,000 | 1,594,533 | |
Total | 19,954,060 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Automotive 0.7% | ||||
American Axle & Manufacturing, Inc. | ||||
04/01/2027 | 6.500% | 195,000 | 179,899 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 3,984,000 | 3,024,269 | |
01/15/2043 | 4.750% | 4,953,000 | 3,632,882 | |
Ford Motor Credit Co. LLC | ||||
09/08/2024 | 3.664% | 3,700,000 | 3,548,539 | |
06/16/2025 | 5.125% | 4,449,000 | 4,295,380 | |
11/13/2025 | 3.375% | 1,036,000 | 952,646 | |
08/17/2027 | 4.125% | 4,839,000 | 4,317,525 | |
11/04/2027 | 7.350% | 1,788,000 | 1,814,606 | |
02/16/2028 | 2.900% | 1,231,000 | 1,026,145 | |
11/13/2030 | 4.000% | 498,000 | 415,301 | |
Goodyear Tire & Rubber Co. (The) | ||||
07/15/2029 | 5.000% | 4,437,000 | 3,860,874 | |
IAA Spinco, Inc.(a) | ||||
06/15/2027 | 5.500% | 1,497,000 | 1,513,977 | |
IHO Verwaltungs GmbH(a),(j) | ||||
09/15/2026 | 4.750% | 565,000 | 521,541 | |
05/15/2029 | 6.375% | 643,000 | 584,549 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 1,518,000 | 1,479,519 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2027 | 8.500% | 3,927,000 | 3,903,772 | |
Total | 35,071,424 | |||
Banking 7.6% | ||||
Bank of America Corp.(k) | ||||
10/22/2030 | 2.884% | 41,540,000 | 35,190,508 | |
10/24/2031 | 1.922% | 47,155,000 | 36,577,864 | |
10/20/2032 | 2.572% | 19,830,000 | 15,796,987 | |
02/04/2033 | 2.972% | 35,980,000 | 29,449,324 | |
Citigroup, Inc.(k) | ||||
01/25/2033 | 3.057% | 33,061,000 | 27,124,070 | |
Goldman Sachs Group, Inc. (The)(k) | ||||
07/21/2032 | 2.383% | 42,449,000 | 33,357,868 | |
10/21/2032 | 2.650% | 9,206,000 | 7,341,554 | |
HSBC Holdings PLC(k) | ||||
05/24/2032 | 2.804% | 12,449,000 | 9,930,647 | |
11/22/2032 | 2.871% | 36,469,000 | 28,855,619 | |
JPMorgan Chase & Co.(k) | ||||
10/15/2030 | 2.739% | 3,322,000 | 2,798,767 | |
11/19/2031 | 1.764% | 195,000 | 150,193 | |
04/22/2032 | 2.580% | 48,337,000 | 39,146,300 | |
11/08/2032 | 2.545% | 53,175,000 | 42,426,964 | |
Morgan Stanley(k) | ||||
07/21/2032 | 2.239% | 7,279,000 | 5,664,000 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
09/16/2036 | 2.484% | 2,990,000 | 2,229,225 | |
Wells Fargo & Co.(k) | ||||
10/30/2030 | 2.879% | 21,295,000 | 18,119,160 | |
02/11/2031 | 2.572% | 45,120,000 | 37,610,545 | |
Total | 371,769,595 | |||
Brokerage/Asset Managers/Exchanges 0.4% | ||||
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 57,000 | 53,374 | |
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 3,743,000 | 3,798,144 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 2,280,000 | 1,941,195 | |
NFP Corp(a) | ||||
10/01/2030 | 7.500% | 2,568,000 | 2,449,576 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 2,419,000 | 2,123,776 | |
08/15/2028 | 6.875% | 8,366,000 | 7,123,321 | |
Total | 17,489,386 | |||
Building Materials 0.3% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 2,879,000 | 2,576,705 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 2,420,000 | 2,272,503 | |
05/15/2029 | 4.125% | 1,447,000 | 1,239,025 | |
Cemex SAB de CV(a) | ||||
06/05/2027 | 7.375% | 350,000 | 355,335 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 1,493,000 | 1,401,576 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 3,231,000 | 2,832,298 | |
07/01/2029 | 6.125% | 2,178,000 | 1,833,043 | |
12/01/2029 | 6.000% | 2,378,000 | 1,982,094 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 1,730,000 | 1,569,952 | |
Total | 16,062,531 | |||
Cable and Satellite 2.4% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 3,596,000 | 3,323,928 | |
02/01/2028 | 5.000% | 2,860,000 | 2,593,774 | |
06/01/2029 | 5.375% | 1,545,000 | 1,378,610 | |
03/01/2030 | 4.750% | 1,653,000 | 1,390,090 | |
08/15/2030 | 4.500% | 4,927,000 | 4,062,844 | |
02/01/2031 | 4.250% | 866,000 | 694,783 | |
02/01/2032 | 4.750% | 2,722,000 | 2,217,006 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 9,589,000 | 7,590,516 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 4,290,000 | 3,403,941 | |
12/01/2061 | 4.400% | 11,338,000 | 7,336,327 | |
06/30/2062 | 3.950% | 14,232,000 | 8,478,346 | |
04/01/2063 | 5.500% | 8,090,000 | 6,262,645 | |
CSC Holdings LLC(a) | ||||
12/01/2030 | 4.125% | 3,068,000 | 2,199,840 | |
12/01/2030 | 4.625% | 4,562,000 | 2,455,971 | |
02/15/2031 | 3.375% | 10,059,000 | 6,899,408 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 2,147,000 | 1,926,027 | |
DISH DBS Corp.(a) | ||||
12/01/2028 | 5.750% | 2,502,000 | 1,998,359 | |
DISH DBS Corp. | ||||
06/01/2029 | 5.125% | 9,845,000 | 5,819,308 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 3,755,000 | 3,807,450 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 3,415,000 | 2,557,813 | |
09/15/2028 | 6.500% | 5,130,000 | 2,412,459 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 2,513,000 | 2,223,023 | |
08/01/2027 | 5.000% | 574,000 | 526,765 | |
07/15/2028 | 4.000% | 500,000 | 427,913 | |
07/01/2029 | 5.500% | 1,278,000 | 1,152,025 | |
07/01/2030 | 4.125% | 2,187,000 | 1,785,517 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 18,114,000 | 15,264,575 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 4,644,000 | 3,800,126 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 2,577,000 | 2,331,474 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 5,066,000 | 4,190,128 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 1,818,000 | 1,462,856 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 1,956,000 | 1,821,551 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 5,065,000 | 4,292,662 | |
Total | 118,088,060 | |||
Chemicals 0.9% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 2,176,000 | 2,180,080 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 1,492,000 | 1,242,349 |
10 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 1,456,000 | 1,354,238 | |
Braskem Netherlands Finance BV(a) | ||||
01/10/2028 | 4.500% | 500,000 | 451,120 | |
01/31/2030 | 4.500% | 9,000,000 | 7,587,835 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 2,823,000 | 2,710,977 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 4,241,000 | 3,674,086 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 3,430,000 | 3,007,433 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 2,382,000 | 1,953,306 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 2,058,000 | 1,841,913 | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 1,561,000 | 1,375,028 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 2,159,000 | 1,851,403 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 1,917,000 | 1,905,001 | |
Iris Holdings, Inc.(a),(j) | ||||
02/15/2026 | 8.750% | 1,047,000 | 947,389 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 3,005,000 | 2,514,703 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 1,001,000 | 865,951 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2028 | 5.250% | 1,512,000 | 1,173,320 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 4,613,000 | 4,240,439 | |
08/15/2029 | 5.625% | 5,715,000 | 4,605,675 | |
03/01/2031 | 7.375% | 612,000 | 607,593 | |
Total | 46,089,839 | |||
Construction Machinery 0.2% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 6,880,000 | 5,925,002 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 1,295,000 | 1,220,188 | |
Ritchie Bros. Auctioneers, Inc.(a) | ||||
01/15/2025 | 5.375% | 1,649,000 | 1,648,644 | |
United Rentals North America, Inc. | ||||
07/15/2030 | 4.000% | 897,000 | 790,798 | |
01/15/2032 | 3.750% | 997,000 | 837,259 | |
Total | 10,421,891 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.5% | ||||
APX Group, Inc.(a) | ||||
07/15/2029 | 5.750% | 685,000 | 573,416 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 3,340,000 | 2,747,444 | |
12/01/2028 | 6.125% | 3,159,000 | 2,599,626 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 2,024,000 | 1,828,360 | |
Staples, Inc.(a) | ||||
04/15/2026 | 7.500% | 2,014,000 | 1,791,707 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 2,461,000 | 2,485,736 | |
08/15/2029 | 4.500% | 11,992,000 | 10,624,373 | |
Total | 22,650,662 | |||
Consumer Products 0.3% | ||||
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 4,962,000 | 4,327,756 | |
Mattel, Inc.(a) | ||||
12/15/2027 | 5.875% | 1,314,000 | 1,283,188 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 879,000 | 873,900 | |
09/15/2029 | 6.625% | 1,242,000 | 1,231,339 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 934,000 | 879,966 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 1,475,000 | 1,185,870 | |
Spectrum Brands, Inc. | ||||
07/15/2025 | 5.750% | 1,006,000 | 989,676 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 2,915,000 | 2,521,761 | |
07/15/2030 | 5.500% | 183,000 | 161,764 | |
Tempur Sealy International, Inc.(a) | ||||
10/15/2031 | 3.875% | 1,884,000 | 1,519,385 | |
Total | 14,974,605 | |||
Diversified Manufacturing 0.6% | ||||
Carrier Global Corp. | ||||
02/15/2030 | 2.722% | 16,226,000 | 13,685,215 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 1,355,000 | 1,375,747 | |
01/01/2031 | 9.500% | 465,000 | 485,993 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 2,554,000 | 2,494,428 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 1,254,000 | 1,071,916 | |
06/30/2029 | 5.875% | 2,297,000 | 1,831,857 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 11 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 1,882,000 | 1,545,283 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 608,000 | 554,283 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 3,205,000 | 3,238,166 | |
06/15/2028 | 7.250% | 1,539,000 | 1,563,724 | |
Total | 27,846,612 | |||
Electric 1.7% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 7,720,000 | 5,528,330 | |
Calpine Corp.(a) | ||||
02/15/2028 | 4.500% | 2,035,000 | 1,832,400 | |
Clearway Energy Operating LLC(a) | ||||
02/15/2031 | 3.750% | 8,354,000 | 6,793,897 | |
01/15/2032 | 3.750% | 4,484,000 | 3,569,680 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 7,780,000 | 5,720,352 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 15,730,000 | 12,339,407 | |
Georgia Power Co. | ||||
03/15/2042 | 4.300% | 3,993,000 | 3,360,522 | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 3,086,000 | 2,624,758 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 2,319,000 | 2,243,062 | |
09/15/2027 | 4.500% | 6,630,000 | 6,078,912 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 1,229,000 | 1,001,767 | |
06/15/2029 | 5.250% | 2,109,000 | 1,876,065 | |
02/15/2032 | 3.875% | 10,895,000 | 8,445,708 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 14,340,075 | 11,328,921 | |
Pattern Energy Operations LP/Inc.(a) | ||||
08/15/2028 | 4.500% | 1,034,000 | 922,687 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 1,845,000 | 1,683,395 | |
TerraForm Power Operating LLC(a) | ||||
01/31/2028 | 5.000% | 1,141,000 | 1,050,908 | |
01/15/2030 | 4.750% | 4,591,000 | 3,974,776 | |
Vistra Operations Co. LLC(a) | ||||
02/15/2027 | 5.625% | 1,291,000 | 1,224,811 | |
07/31/2027 | 5.000% | 1,280,000 | 1,189,707 | |
05/01/2029 | 4.375% | 1,871,000 | 1,617,963 | |
Total | 84,408,028 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Environmental 0.3% | ||||
Clean Harbors, Inc.(a) | ||||
02/01/2031 | 6.375% | 372,000 | 370,758 | |
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 1,809,000 | 1,730,973 | |
08/01/2025 | 3.750% | 2,533,000 | 2,383,495 | |
12/15/2026 | 5.125% | 1,425,000 | 1,366,600 | |
08/01/2028 | 4.000% | 2,000,000 | 1,752,439 | |
09/01/2028 | 3.500% | 2,070,000 | 1,807,884 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 5,139,000 | 4,691,066 | |
Total | 14,103,215 | |||
Finance Companies 0.6% | ||||
Navient Corp. | ||||
09/25/2023 | 7.250% | 524,000 | 525,359 | |
06/25/2025 | 6.750% | 878,000 | 865,698 | |
OneMain Finance Corp. | ||||
09/15/2030 | 4.000% | 182,000 | 138,972 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 2,662,000 | 2,407,939 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2029 | 3.625% | 4,226,000 | 3,407,067 | |
03/01/2031 | 3.875% | 3,811,000 | 2,957,617 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 19,824,000 | 14,669,528 | |
Springleaf Finance Corp. | ||||
03/15/2023 | 5.625% | 2,537,000 | 2,537,044 | |
03/15/2024 | 6.125% | 3,440,000 | 3,400,061 | |
Total | 30,909,285 | |||
Food and Beverage 1.7% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2036 | 4.700% | 7,335,000 | 6,882,302 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 17,883,000 | 16,146,313 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 2,845,000 | 2,743,220 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 10,218,000 | 9,656,752 | |
Grupo Bimbo SAB de CV(a) | ||||
06/27/2024 | 3.875% | 2,166,000 | 2,117,584 | |
Lamb Weston Holdings, Inc.(a) | ||||
05/15/2028 | 4.875% | 893,000 | 842,917 | |
01/31/2030 | 4.125% | 2,124,000 | 1,871,330 | |
01/31/2032 | 4.375% | 2,110,000 | 1,854,826 | |
Pilgrim’s Pride Corp.(a) | ||||
09/30/2027 | 5.875% | 3,370,000 | 3,303,013 |
12 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pilgrim’s Pride Corp. | ||||
04/15/2031 | 4.250% | 4,780,000 | 3,991,426 | |
03/01/2032 | 3.500% | 28,039,000 | 21,848,661 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 1,840,000 | 1,798,513 | |
04/15/2030 | 4.625% | 1,287,000 | 1,116,198 | |
09/15/2031 | 4.500% | 2,918,000 | 2,464,843 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 2,296,000 | 1,969,663 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 3,314,000 | 2,703,014 | |
US Foods, Inc.(a) | ||||
04/15/2025 | 6.250% | 177,000 | 176,837 | |
02/15/2029 | 4.750% | 967,000 | 872,399 | |
06/01/2030 | 4.625% | 1,757,000 | 1,540,064 | |
Total | 83,899,875 | |||
Gaming 0.9% | ||||
Boyd Gaming Corp. | ||||
12/01/2027 | 4.750% | 1,260,000 | 1,185,885 | |
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 2,548,000 | 2,249,978 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 5,516,000 | 4,719,404 | |
02/15/2030 | 7.000% | 3,769,000 | 3,795,763 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 5.750% | 4,172,000 | 4,159,849 | |
07/01/2025 | 6.250% | 5,374,000 | 5,333,064 | |
07/01/2027 | 8.125% | 2,116,000 | 2,136,521 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 559,000 | 560,546 | |
04/15/2026 | 4.125% | 1,446,000 | 1,343,629 | |
MGM Resorts International | ||||
05/01/2025 | 6.750% | 200,000 | 200,244 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 4,992,000 | 4,282,608 | |
Penn National Gaming, Inc.(a) | ||||
07/01/2029 | 4.125% | 1,853,000 | 1,506,563 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 3,087,000 | 2,717,887 | |
Scientific Games International, Inc.(a) | ||||
07/01/2025 | 8.625% | 1,839,000 | 1,881,004 | |
05/15/2028 | 7.000% | 1,446,000 | 1,413,786 | |
11/15/2029 | 7.250% | 2,450,000 | 2,416,260 | |
Wynn Las Vegas LLC/Capital Corp.(a) | ||||
03/01/2025 | 5.500% | 2,369,000 | 2,305,181 | |
Total | 42,208,172 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Health Care 2.2% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 1,125,000 | 1,056,003 | |
04/15/2029 | 5.000% | 1,372,000 | 1,249,458 | |
AdaptHealth LLC(a) | ||||
08/01/2029 | 4.625% | 1,012,000 | 849,705 | |
03/01/2030 | 5.125% | 3,344,000 | 2,883,915 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 1,819,000 | 1,672,834 | |
11/01/2029 | 3.875% | 4,553,000 | 3,938,533 | |
Becton Dickinson Euro Finance SARL | ||||
08/13/2041 | 1.336% | EUR | 8,469,000 | 5,402,115 |
Catalent Pharma Solutions, Inc.(a) | ||||
02/15/2029 | 3.125% | 586,000 | 505,927 | |
04/01/2030 | 3.500% | 1,731,000 | 1,502,107 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 455,000 | 410,746 | |
03/15/2029 | 3.750% | 1,124,000 | 976,345 | |
03/15/2031 | 4.000% | 975,000 | 838,576 | |
CHS/Community Health Systems, Inc.(a) | ||||
04/15/2029 | 6.875% | 2,712,000 | 1,904,470 | |
05/15/2030 | 5.250% | 5,131,000 | 4,123,938 | |
02/15/2031 | 4.750% | 3,273,000 | 2,529,715 | |
CVS Health Corp. | ||||
07/20/2045 | 5.125% | 15,095,000 | 13,600,260 | |
GE Healthcare Holding LLC(a) | ||||
11/15/2027 | 5.650% | 17,075,000 | 17,307,895 | |
HCA, Inc. | ||||
02/01/2029 | 5.875% | 2,135,000 | 2,133,786 | |
HCA, Inc.(a) | ||||
03/15/2052 | 4.625% | 25,887,000 | 20,363,049 | |
Indigo Merger Sub, Inc.(a) | ||||
07/15/2026 | 2.875% | 1,424,000 | 1,269,012 | |
IQVIA, Inc.(a) | ||||
10/15/2026 | 5.000% | 823,000 | 788,193 | |
05/15/2027 | 5.000% | 1,864,000 | 1,774,182 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
10/01/2029 | 5.250% | 3,152,000 | 2,588,191 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 4,045,000 | 3,870,552 | |
Surgery Center Holdings, Inc.(a) | ||||
07/01/2025 | 6.750% | 917,000 | 904,882 | |
04/15/2027 | 10.000% | 799,000 | 813,060 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 342,000 | 336,710 | |
02/01/2027 | 6.250% | 2,592,000 | 2,524,945 | |
11/01/2027 | 5.125% | 2,761,000 | 2,595,669 | |
10/01/2028 | 6.125% | 4,212,000 | 3,898,409 | |
01/15/2030 | 4.375% | 1,872,000 | 1,638,468 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 13 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
US Acute Care Solutions LLC(a) | ||||
03/01/2026 | 6.375% | 2,468,000 | 2,187,558 | |
Total | 108,439,208 | |||
Healthcare Insurance 1.0% | ||||
Aetna, Inc. | ||||
11/15/2042 | 4.125% | 2,786,000 | 2,273,041 | |
Centene Corp. | ||||
10/15/2030 | 3.000% | 29,371,000 | 24,003,823 | |
08/01/2031 | 2.625% | 7,507,000 | 5,869,001 | |
UnitedHealth Group, Inc. | ||||
02/15/2030 | 5.300% | 17,700,000 | 17,934,934 | |
Total | 50,080,799 | |||
Home Construction 0.3% | ||||
Meritage Homes Corp. | ||||
06/06/2027 | 5.125% | 2,373,000 | 2,263,620 | |
Meritage Homes Corp.(a) | ||||
04/15/2029 | 3.875% | 9,096,000 | 7,835,573 | |
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 2,763,000 | 2,456,603 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 1,294,000 | 1,221,382 | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
03/01/2024 | 5.625% | 695,000 | 691,397 | |
Total | 14,468,575 | |||
Independent Energy 1.5% | ||||
Apache Corp. | ||||
02/01/2042 | 5.250% | 408,000 | 331,313 | |
04/15/2043 | 4.750% | 1,601,000 | 1,228,485 | |
Callon Petroleum Co.(a) | ||||
08/01/2028 | 8.000% | 6,021,000 | 5,906,491 | |
Centennial Resource Production LLC(a) | ||||
04/01/2027 | 6.875% | 723,000 | 695,981 | |
CNX Resources Corp.(a) | ||||
03/14/2027 | 7.250% | 224,000 | 222,205 | |
01/15/2029 | 6.000% | 1,638,000 | 1,484,787 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 6,645,000 | 5,969,348 | |
CrownRock LP/Finance, Inc.(a) | ||||
05/01/2029 | 5.000% | 1,142,000 | 1,035,666 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 1,262,000 | 1,174,378 | |
02/01/2029 | 5.750% | 3,120,000 | 2,831,278 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 3,620,000 | 3,494,252 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 4,862,000 | 4,995,289 | |
01/01/2031 | 6.125% | 6,973,000 | 7,021,849 | |
09/15/2036 | 6.450% | 19,770,000 | 19,826,240 | |
03/15/2040 | 6.200% | 1,485,000 | 1,455,802 | |
03/15/2046 | 6.600% | 5,307,000 | 5,400,685 | |
Southwestern Energy Co. | ||||
02/01/2029 | 5.375% | 938,000 | 877,721 | |
02/01/2032 | 4.750% | 7,949,000 | 6,838,306 | |
Total | 70,790,076 | |||
Integrated Energy 0.1% | ||||
Cenovus Energy, Inc. | ||||
02/15/2052 | 3.750% | 4,960,000 | 3,512,021 | |
Leisure 0.6% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 3,212,000 | 2,891,455 | |
03/01/2027 | 5.750% | 3,034,000 | 2,492,606 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 2,369,000 | 2,534,925 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) | ||||
05/01/2025 | 5.500% | 684,000 | 676,374 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC | ||||
10/01/2028 | 6.500% | 782,000 | 757,517 | |
Cinemark USA, Inc.(a) | ||||
03/15/2026 | 5.875% | 6,775,000 | 6,201,822 | |
NCL Corp., Ltd.(a) | ||||
02/15/2027 | 5.875% | 1,143,000 | 1,061,195 | |
Royal Caribbean Cruises Ltd.(a) | ||||
08/31/2026 | 5.500% | 4,750,000 | 4,367,169 | |
07/15/2027 | 5.375% | 556,000 | 489,591 | |
01/15/2029 | 9.250% | 595,000 | 631,145 | |
01/15/2030 | 7.250% | 3,132,000 | 3,139,844 | |
Six Flags Entertainment Corp.(a) | ||||
07/31/2024 | 4.875% | 1,889,000 | 1,855,901 | |
Total | 27,099,544 | |||
Life Insurance 0.7% | ||||
Five Corners Funding Trust(a) | ||||
11/15/2023 | 4.419% | 10,756,000 | 10,657,279 | |
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 25,683,000 | 24,733,057 | |
Voya Financial, Inc. | ||||
06/15/2046 | 4.800% | 89,000 | 74,409 | |
Total | 35,464,745 |
14 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lodging 0.1% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 966,000 | 955,173 | |
Wyndham Hotels & Resorts, Inc.(a) | ||||
08/15/2028 | 4.375% | 1,955,000 | 1,775,318 | |
Total | 2,730,491 | |||
Media and Entertainment 2.5% | ||||
Cengage Learning, Inc.(a) | ||||
06/15/2024 | 9.500% | 9,716,000 | 9,473,118 | |
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 3,019,000 | 2,958,671 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 1,164,000 | 969,434 | |
06/01/2029 | 7.500% | 3,783,000 | 3,060,754 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 3,368,000 | 3,006,249 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 1,407,936 | 1,326,305 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 3,659,000 | 3,192,387 | |
Magallanes, Inc.(a) | ||||
03/15/2062 | 5.391% | 52,285,000 | 40,666,384 | |
Netflix, Inc. | ||||
04/15/2028 | 4.875% | 3,047,000 | 2,954,284 | |
11/15/2028 | 5.875% | 6,157,000 | 6,238,390 | |
05/15/2029 | 4.625% | EUR | 7,871,000 | 8,259,069 |
05/15/2029 | 6.375% | 338,000 | 351,086 | |
Netflix, Inc.(a) | ||||
11/15/2029 | 3.875% | EUR | 4,380,000 | 4,399,413 |
11/15/2029 | 5.375% | 1,315,000 | 1,300,543 | |
06/15/2030 | 3.625% | EUR | 7,476,000 | 7,333,258 |
06/15/2030 | 4.875% | 13,193,000 | 12,686,333 | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 1,420,000 | 1,281,451 | |
01/15/2029 | 4.250% | 811,000 | 669,415 | |
03/15/2030 | 4.625% | 2,185,000 | 1,791,701 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 5,545,000 | 4,543,307 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 3,260,000 | 2,679,963 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 1,237,000 | 1,043,398 | |
06/30/2030 | 7.375% | 1,319,000 | 1,251,489 | |
Total | 121,436,402 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Metals and Mining 0.5% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 818,000 | 734,505 | |
10/01/2031 | 5.125% | 3,121,000 | 2,757,441 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 1,795,000 | 1,671,286 | |
04/15/2029 | 3.750% | 8,908,000 | 7,382,138 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2029 | 6.125% | 6,673,000 | 5,889,751 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 560,000 | 481,578 | |
06/01/2031 | 4.500% | 2,804,000 | 2,220,181 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 1,369,000 | 1,205,880 | |
01/30/2030 | 4.750% | 2,010,000 | 1,764,944 | |
08/15/2031 | 3.875% | 1,651,000 | 1,335,215 | |
Total | 25,442,919 | |||
Midstream 2.6% | ||||
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 2,202,000 | 1,808,143 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 1,252,000 | 1,170,112 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 1,292,000 | 1,268,215 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 1,588,000 | 1,361,372 | |
06/15/2031 | 4.375% | 2,964,000 | 2,483,659 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 2,976,000 | 2,871,985 | |
07/01/2027 | 6.500% | 1,236,000 | 1,171,642 | |
01/15/2029 | 4.500% | 2,159,000 | 1,805,428 | |
01/15/2031 | 4.750% | 12,404,000 | 10,079,519 | |
EQM Midstream Partners LP | ||||
07/15/2048 | 6.500% | 10,829,000 | 8,072,979 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2036 | 2.625% | 12,000,000 | 9,517,929 | |
09/30/2040 | 3.250% | 3,925,000 | 3,003,499 | |
Greensaif Pipelines Bidco Sarl(a) | ||||
02/23/2038 | 6.129% | 2,912,000 | 2,921,428 | |
Holly Energy Partners LP/Finance Corp.(a) | ||||
04/15/2027 | 6.375% | 1,936,000 | 1,879,054 | |
02/01/2028 | 5.000% | 1,667,000 | 1,511,740 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 3,954,000 | 3,337,072 | |
08/01/2052 | 5.450% | 10,844,000 | 9,669,816 | |
MPLX LP | ||||
03/14/2052 | 4.950% | 3,790,000 | 3,152,887 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 15 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 3,505,000 | 3,388,187 | |
06/01/2026 | 6.000% | 752,000 | 719,129 | |
04/28/2027 | 5.625% | 1,573,000 | 1,466,468 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 26,497,000 | 20,476,058 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 2,648,000 | 2,261,319 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 4,429,000 | 3,825,878 | |
08/15/2031 | 4.125% | 8,868,000 | 7,607,673 | |
11/01/2033 | 3.875% | 13,243,000 | 10,801,467 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 10,500,000 | 9,229,806 | |
Total | 126,862,464 | |||
Natural Gas 0.2% | ||||
NiSource, Inc. | ||||
05/15/2047 | 4.375% | 13,773,000 | 11,517,826 | |
Oil Field Services 0.1% | ||||
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 1,430,000 | 1,360,385 | |
01/15/2028 | 7.500% | 1,217,000 | 1,134,798 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 1,151,000 | 1,107,291 | |
Transocean Titan Financing Ltd.(a) | ||||
02/01/2028 | 8.375% | 2,888,000 | 2,947,225 | |
Total | 6,549,699 | |||
Other Industry 0.0% | ||||
Booz Allen Hamilton, Inc.(a) | ||||
09/01/2028 | 3.875% | 1,358,000 | 1,204,914 | |
Hillenbrand, Inc. | ||||
03/01/2031 | 3.750% | 1,167,000 | 952,338 | |
Total | 2,157,252 | |||
Other REIT 0.4% | ||||
Blackstone Mortgage Trust, Inc.(a) | ||||
01/15/2027 | 3.750% | 2,997,000 | 2,552,684 | |
Digital Dutch Finco BV(a) | ||||
03/15/2030 | 1.500% | EUR | 3,469,000 | 2,940,562 |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 3,838,000 | 3,599,005 | |
02/01/2027 | 4.250% | 1,293,000 | 1,103,882 | |
06/15/2029 | 4.750% | 5,315,000 | 4,340,779 | |
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) | ||||
10/01/2028 | 5.875% | 1,816,000 | 1,618,635 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 1,571,000 | 1,314,144 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
02/15/2029 | 4.500% | 860,000 | 748,318 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 1,102,000 | 997,586 | |
Service Properties Trust | ||||
03/15/2024 | 4.650% | 957,000 | 935,286 | |
Total | 20,150,881 | |||
Packaging 0.3% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 1,033,000 | 999,152 | |
09/01/2029 | 4.000% | 3,939,000 | 3,156,015 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 1,940,000 | 1,772,453 | |
Berry Global, Inc. | ||||
01/15/2026 | 1.570% | 350,000 | 312,189 | |
CANPACK SA/Eastern PA Land Investment Holding LLC(a) | ||||
11/01/2025 | 3.125% | 1,018,000 | 902,776 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 4,288,000 | 3,438,128 | |
Sealed Air Corp.(a) | ||||
02/01/2028 | 6.125% | 356,000 | 350,567 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 3,592,000 | 3,395,697 | |
08/15/2027 | 8.500% | 1,408,000 | 1,338,889 | |
Total | 15,665,866 | |||
Pharmaceuticals 1.9% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 443,000 | 442,369 | |
Amgen, Inc.(e) | ||||
03/02/2053 | 5.650% | 23,253,000 | 23,061,621 | |
03/02/2063 | 5.750% | 52,482,000 | 51,756,907 | |
Amgen, Inc. | ||||
02/22/2062 | 4.400% | 6,262,000 | 5,026,251 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 2,070,000 | 1,426,788 | |
06/01/2028 | 4.875% | 2,868,000 | 1,788,642 | |
09/30/2028 | 11.000% | 789,000 | 620,499 | |
10/15/2030 | 14.000% | 156,000 | 99,355 | |
Endo Dac/Finance LLC/Finco, Inc.(a),(l) | ||||
06/30/2028 | 0.000% | 911,000 | 60,307 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 1,726,000 | 1,474,493 | |
Jazz Securities DAC(a) | ||||
01/15/2029 | 4.375% | 1,660,000 | 1,470,739 |
16 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 4,589,000 | 4,048,889 | |
04/30/2031 | 5.125% | 3,943,000 | 3,360,652 | |
Total | 94,637,512 | |||
Property & Casualty 0.7% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 1,693,000 | 1,501,524 | |
10/15/2027 | 6.750% | 3,396,000 | 3,087,321 | |
04/15/2028 | 6.750% | 4,390,000 | 4,293,886 | |
11/01/2029 | 5.875% | 2,406,000 | 2,017,032 | |
AssuredPartners, Inc.(a) | ||||
08/15/2025 | 7.000% | 817,000 | 800,729 | |
01/15/2029 | 5.625% | 2,393,000 | 2,032,875 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 13,797,000 | 11,128,341 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 3,525,000 | 3,038,995 | |
GTCR AP Finance, Inc.(a) | ||||
05/15/2027 | 8.000% | 1,091,000 | 1,050,869 | |
HUB International Ltd.(a) | ||||
05/01/2026 | 7.000% | 3,049,000 | 3,008,131 | |
12/01/2029 | 5.625% | 3,087,000 | 2,655,073 | |
Ryan Specialty Group LLC(a) | ||||
02/01/2030 | 4.375% | 388,000 | 332,024 | |
USI, Inc.(a) | ||||
05/01/2025 | 6.875% | 944,000 | 931,171 | |
Total | 35,877,971 | |||
Restaurants 0.3% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 2,011,000 | 2,000,053 | |
01/15/2028 | 3.875% | 3,236,000 | 2,886,997 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2029 | 4.625% | 1,305,000 | 1,129,391 | |
01/15/2030 | 6.750% | 2,042,000 | 1,692,020 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 3,646,000 | 3,646,000 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 2,405,000 | 2,230,712 | |
Total | 13,585,173 | |||
Retailers 1.1% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 701,000 | 608,699 | |
02/15/2032 | 5.000% | 701,000 | 600,557 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 999,000 | 857,328 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hanesbrands, Inc.(a) | ||||
02/15/2031 | 9.000% | 1,046,000 | 1,057,998 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 485,000 | 513,271 | |
L Brands, Inc. | ||||
02/01/2028 | 5.250% | 1,053,000 | 983,017 | |
11/01/2035 | 6.875% | 2,968,000 | 2,614,359 | |
LCM Investments Holdings II LLC(a) | ||||
05/01/2029 | 4.875% | 3,325,000 | 2,717,471 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 1,325,000 | 1,102,849 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 9,118,000 | 7,119,238 | |
09/15/2062 | 5.800% | 29,815,000 | 28,803,154 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 2,066,000 | 1,891,084 | |
02/15/2029 | 7.750% | 2,190,000 | 2,134,923 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 1,366,000 | 1,101,140 | |
Total | 52,105,088 | |||
Supermarkets 0.1% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 7.500% | 1,085,000 | 1,106,752 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 2,743,000 | 2,517,991 | |
Total | 3,624,743 | |||
Technology 2.5% | ||||
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 2,302,000 | 2,013,370 | |
Block, Inc. | ||||
06/01/2031 | 3.500% | 1,723,000 | 1,392,505 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 447,000 | 443,610 | |
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 18,394,000 | 13,323,675 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 924,000 | 850,076 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 1,277,000 | 1,102,438 | |
07/01/2029 | 4.875% | 3,176,000 | 2,742,834 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 2,806,000 | 2,220,287 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 1,836,000 | 1,669,611 | |
06/15/2030 | 5.950% | 3,323,000 | 3,098,834 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 17 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 1,484,000 | 1,366,077 | |
06/15/2029 | 3.625% | 6,225,000 | 5,388,764 | |
10/01/2030 | 3.750% | 16,143,000 | 13,726,320 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 3,147,000 | 2,749,739 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 2,367,000 | 1,928,677 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 2,087,000 | 1,703,652 | |
Iron Mountain, Inc.(a) | ||||
09/15/2029 | 4.875% | 664,000 | 580,622 | |
07/15/2030 | 5.250% | 2,592,000 | 2,260,513 | |
Lenovo Group Ltd.(a) | ||||
04/24/2025 | 5.875% | 5,000,000 | 4,980,402 | |
Logan Merger Sub, Inc.(a) | ||||
09/01/2027 | 5.500% | 5,973,000 | 2,863,919 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 4,425,000 | 3,518,634 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 3,666,000 | 3,176,407 | |
04/15/2029 | 5.125% | 3,881,000 | 3,314,274 | |
09/01/2029 | 6.125% | 1,130,000 | 1,098,637 | |
10/01/2030 | 5.250% | 174,000 | 145,598 | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 3,439,000 | 3,253,459 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 2,210,000 | 1,914,614 | |
01/15/2033 | 5.000% | 7,610,000 | 7,154,071 | |
02/15/2042 | 3.125% | 6,320,000 | 4,258,346 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 4,838,000 | 4,192,655 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 349,000 | 331,737 | |
02/15/2028 | 4.000% | 1,072,000 | 973,659 | |
Sabre GLBL, Inc.(a) | ||||
12/15/2027 | 11.250% | 367,000 | 366,517 | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 2,018,000 | 1,926,394 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 4,503,000 | 4,136,903 | |
Synaptics, Inc.(a) | ||||
06/15/2029 | 4.000% | 2,355,000 | 1,955,368 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 725,000 | 717,917 | |
Tencent Holdings Ltd.(a) | ||||
06/03/2050 | 3.240% | 6,400,000 | 4,119,719 |
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 2,565,000 | 2,579,342 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 4,838,000 | 4,035,161 | |
Total | 119,575,337 | |||
Transportation Services 0.1% | ||||
Adani Ports & Special Economic Zone Ltd.(a) | ||||
08/04/2027 | 4.200% | 3,267,000 | 2,613,182 | |
07/03/2029 | 4.375% | 5,000,000 | 3,821,898 | |
Total | 6,435,080 | |||
Wireless 1.4% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 3,633,000 | 2,506,611 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 1,139,000 | 1,064,965 | |
01/15/2028 | 5.500% | 871,000 | 717,534 | |
07/15/2029 | 5.125% | 5,232,000 | 4,054,206 | |
10/15/2029 | 5.500% | 1,316,000 | 1,027,031 | |
American Tower Corp. | ||||
08/15/2029 | 3.800% | 12,821,000 | 11,560,448 | |
06/15/2030 | 2.100% | 3,570,000 | 2,822,259 | |
Millicom International Cellular SA(a) | ||||
03/25/2029 | 6.250% | 2,700,000 | 2,457,000 | |
SBA Communications Corp. | ||||
02/15/2027 | 3.875% | 1,176,000 | 1,063,435 | |
02/01/2029 | 3.125% | 5,224,000 | 4,303,504 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 3,743,000 | 3,924,087 | |
03/15/2032 | 8.750% | 1,214,000 | 1,444,682 | |
Sprint Corp. | ||||
06/15/2024 | 7.125% | 831,000 | 841,658 | |
T-Mobile US, Inc. | ||||
02/15/2031 | 2.875% | 14,184,000 | 11,778,824 | |
04/15/2031 | 3.500% | 17,298,000 | 14,984,358 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 931,000 | 749,232 | |
07/15/2031 | 4.750% | 3,870,000 | 3,191,401 | |
Total | 68,491,235 | |||
Wirelines 1.1% | ||||
AT&T, Inc. | ||||
03/01/2029 | 4.350% | 10,065,000 | 9,541,861 | |
12/01/2057 | 3.800% | 4,530,000 | 3,179,849 | |
CenturyLink, Inc.(a) | ||||
02/15/2027 | 4.000% | 747,000 | 573,426 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 1,233,000 | 947,003 |
18 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Frontier Communications Holdings LLC(a) | ||||
10/15/2027 | 5.875% | 2,060,000 | 1,913,464 | |
05/15/2030 | 8.750% | 822,000 | 831,345 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 5,813,000 | 5,438,787 | |
10/15/2028 | 7.000% | 4,689,000 | 4,329,912 | |
Network i2i Ltd.(a),(k) | ||||
12/31/2079 | 5.650% | 7,100,000 | 6,756,222 | |
Verizon Communications, Inc. | ||||
03/21/2031 | 2.550% | 21,930,000 | 17,915,319 | |
Total | 51,427,188 | |||
Total Corporate Bonds & Notes (Cost $2,389,805,165) | 2,105,872,852 | |||
Foreign Government Obligations(h),(m) 7.3% | ||||
Angola 0.2% | ||||
Angolan Government International Bond(a) | ||||
11/26/2029 | 8.000% | 10,040,000 | 9,089,522 | |
Argentina 0.0% | ||||
Argentine Republic Government International Bond | ||||
07/09/2029 | 1.000% | 9,405 | 2,920 | |
Argentine Republic Government International Bond(k) | ||||
07/09/2030 | 0.500% | 85,626 | 27,743 | |
07/09/2035 | 0.500% | 156,873 | 44,638 | |
Total | 75,301 | |||
Azerbaijan 0.1% | ||||
Republic of Azerbaijan International Bond(a) | ||||
09/01/2032 | 3.500% | 6,524,000 | 5,524,521 | |
Brazil 0.2% | ||||
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 2,024,000 | 1,746,718 | |
01/07/2041 | 5.625% | 11,000,000 | 9,484,900 | |
Total | 11,231,618 | |||
Canada 0.2% | ||||
MEGlobal Canada ULC(a) | ||||
05/18/2025 | 5.000% | 4,950,000 | 4,864,015 | |
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 3,264,000 | 2,938,175 | |
05/15/2029 | 4.250% | 2,216,000 | 1,832,107 | |
Total | 9,634,297 | |||
Colombia 0.9% | ||||
Colombia Government International Bond | ||||
02/26/2044 | 5.625% | 6,725,000 | 4,867,788 | |
06/15/2045 | 5.000% | 11,200,000 | 7,393,295 | |
05/15/2049 | 5.200% | 7,147,000 | 4,751,313 |
Foreign Government Obligations(h),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Colombian TES | ||||
03/26/2031 | 7.000% | COP | 45,619,500,000 | 6,659,767 |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 23,038,000 | 20,543,838 | |
Total | 44,216,001 | |||
Dominican Republic 0.4% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 4,475,000 | 4,392,492 | |
01/30/2030 | 4.500% | 2,295,000 | 1,976,118 | |
09/23/2032 | 4.875% | 500,000 | 419,535 | |
04/30/2044 | 7.450% | 7,900,000 | 7,602,933 | |
01/27/2045 | 6.850% | 4,881,000 | 4,368,568 | |
Total | 18,759,646 | |||
Egypt 0.4% | ||||
Egypt Government International Bond(a) | ||||
03/01/2029 | 7.600% | 1,250,000 | 981,809 | |
04/16/2030 | 5.625% | EUR | 6,600,000 | 4,661,918 |
02/16/2031 | 5.875% | 500,000 | 334,359 | |
05/29/2032 | 7.625% | 8,162,000 | 5,797,509 | |
01/31/2047 | 8.500% | 5,700,000 | 3,648,233 | |
02/21/2048 | 7.903% | 3,000,000 | 1,814,387 | |
03/01/2049 | 8.700% | 965,000 | 620,599 | |
Total | 17,858,814 | |||
Ghana 0.1% | ||||
Ghana Government International Bond(a),(l) | ||||
02/11/2035 | 0.000% | 2,400,000 | 894,745 | |
03/26/2051 | 0.000% | 5,000,000 | 1,815,581 | |
Total | 2,710,326 | |||
Guatemala 0.1% | ||||
Guatemala Government Bond(a) | ||||
06/01/2050 | 6.125% | 5,000,000 | 4,746,192 | |
Hungary 0.3% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 20,100,000 | 15,450,518 | |
India 0.1% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 6,200,000 | 5,384,755 | |
Indonesia 0.5% | ||||
Indonesia Asahan Aluminium Persero PT(a) | ||||
05/15/2050 | 5.800% | 6,000,000 | 5,323,467 | |
Indonesia Government International Bond(a) | ||||
01/15/2045 | 5.125% | 3,600,000 | 3,512,271 | |
Indonesia Treasury Bond | ||||
04/15/2039 | 8.375% | IDR | 68,305,000,000 | 5,042,334 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
Foreign Government Obligations(h),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PT Pertamina Persero(a) | ||||
05/30/2044 | 6.450% | 10,066,000 | 10,267,160 | |
Total | 24,145,232 | |||
Ivory Coast 0.2% | ||||
Ivory Coast Government International Bond(a) | ||||
01/30/2032 | 4.875% | EUR | 9,275,000 | 7,504,778 |
06/15/2033 | 6.125% | 3,847,000 | 3,328,555 | |
Total | 10,833,333 | |||
Malaysia 0.1% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 4,800,000 | 4,397,161 | |
Mexico 1.1% | ||||
Mexico Government International Bond | ||||
04/16/2030 | 3.250% | 4,000,000 | 3,482,940 | |
05/29/2031 | 7.750% | MXN | 446,370,000 | 22,220,991 |
08/14/2041 | 4.280% | 300,000 | 240,375 | |
Petroleos Mexicanos | ||||
01/28/2031 | 5.950% | 2,235,000 | 1,712,371 | |
02/16/2032 | 6.700% | 12,449,000 | 9,885,828 | |
09/21/2047 | 6.750% | 8,542,000 | 5,538,607 | |
01/23/2050 | 7.690% | 15,000,000 | 10,600,134 | |
Total | 53,681,246 | |||
Oman 0.1% | ||||
Oman Government International Bond(a) | ||||
01/17/2048 | 6.750% | 6,506,000 | 6,242,145 | |
Oman Sovereign Sukuk Co.(a) | ||||
06/01/2024 | 4.397% | 500,000 | 493,156 | |
Total | 6,735,301 | |||
Panama 0.1% | ||||
Panama Government International Bond | ||||
01/19/2033 | 3.298% | 6,779,000 | 5,512,810 | |
Paraguay 0.1% | ||||
Paraguay Government International Bond(a) | ||||
03/27/2027 | 4.700% | 2,000,000 | 1,922,323 | |
08/11/2044 | 6.100% | 2,939,000 | 2,778,554 | |
Total | 4,700,877 | |||
Qatar 0.4% | ||||
Qatar Government International Bond(a) | ||||
04/16/2030 | 3.750% | 2,000,000 | 1,903,971 | |
03/14/2049 | 4.817% | 15,614,000 | 14,909,219 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 6,077,000 | 4,995,150 | |
Total | 21,808,340 |
Foreign Government Obligations(h),(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Romania 0.2% | ||||
Romanian Government International Bond(a) | ||||
01/28/2050 | 3.375% | EUR | 12,000,000 | 7,441,674 |
02/14/2051 | 4.000% | 2,246,000 | 1,572,718 | |
Total | 9,014,392 | |||
Saudi Arabia 0.4% | ||||
Saudi Arabian Oil Co.(a) | ||||
11/24/2030 | 2.250% | 15,163,000 | 12,464,298 | |
Saudi Government International Bond(a) | ||||
10/22/2030 | 3.250% | 3,000,000 | 2,703,648 | |
04/17/2049 | 5.000% | 5,000,000 | 4,611,234 | |
Total | 19,779,180 | |||
South Africa 0.6% | ||||
Republic of South Africa Government Bond | ||||
01/31/2030 | 8.000% | ZAR | 219,595,663 | 10,733,450 |
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 4,800,000 | 4,239,579 | |
09/30/2049 | 5.750% | 16,025,000 | 11,731,717 | |
Total | 26,704,746 | |||
Ukraine 0.1% | ||||
NAK Naftogaz Ukraine via Kondor Finance PLC(a) | ||||
11/08/2026 | 7.625% | 4,200,000 | 810,320 | |
Ukraine Government International Bond(a) | ||||
09/01/2028 | 7.750% | 9,800,000 | 1,860,175 | |
09/25/2034 | 7.375% | 12,900,000 | 2,197,052 | |
03/15/2035 | 7.253% | 6,000,000 | 1,029,470 | |
Total | 5,897,017 | |||
United Arab Emirates 0.4% | ||||
DP World Crescent Ltd.(a) | ||||
07/18/2029 | 3.875% | 5,600,000 | 5,233,568 | |
DP World Ltd.(a) | ||||
09/25/2048 | 5.625% | 6,091,000 | 5,904,731 | |
DP World PLC(a) | ||||
07/02/2037 | 6.850% | 3,650,000 | 4,057,531 | |
09/30/2049 | 4.700% | 2,000,000 | 1,724,492 | |
Total | 16,920,322 | |||
United Kingdom 0.0% | ||||
NAK Naftogaz Ukraine via Kondor Finance PLC(a) | ||||
07/19/2024 | 7.125% | EUR | 3,800,000 | 788,773 |
Total Foreign Government Obligations (Cost $424,667,235) | 355,600,241 | |||
20 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 32.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
05/01/2052 | 3.000% | 62,615,575 | 55,505,493 | |
07/01/2052- 08/01/2052 | 4.000% | 63,040,070 | 59,807,906 | |
Federal Home Loan Mortgage Corp.(n) | ||||
CMO Series 304 Class C69 | ||||
12/15/2042 | 4.000% | 2,557,652 | 489,412 | |
CMO Series 4147 Class CI | ||||
01/15/2041 | 3.500% | 2,092,589 | 94,370 | |
Federal Home Loan Mortgage Corp.(b),(n) | ||||
CMO Series 318 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 11/15/2043 | 1.362% | 4,705,633 | 435,760 | |
CMO Series 4620 Class AS | ||||
-1.0 x 1-month USD LIBOR + 0.440% 11/15/2042 | 0.000% | 8,804,739 | 398,469 | |
CMO Series 4903 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/25/2049 | 1.433% | 26,149,322 | 2,590,213 | |
CMO STRIPS Series 326 Class S1 | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 03/15/2044 | 1.412% | 835,050 | 74,787 | |
Federal Home Loan Mortgage Corp.(f),(n) | ||||
CMO Series 4515 Class SA | ||||
08/15/2038 | 0.000% | 4,094,681 | 130,495 | |
Federal Home Loan Mortgage Corp. REMICS(n) | ||||
CMO Series 5051 Class KI | ||||
12/25/2050 | 2.500% | 36,486,559 | 5,939,191 | |
CMO Series 5192 Class PI | ||||
10/25/2051 | 2.500% | 62,950,615 | 7,669,261 | |
CMO Series 5198 Class KI | ||||
02/25/2052 | 3.000% | 42,033,661 | 8,227,745 | |
Federal National Mortgage Association | ||||
08/01/2032- 04/01/2052 | 3.000% | 97,153,660 | 86,252,396 | |
05/01/2052 | 3.500% | 165,095,037 | 152,216,540 | |
Federal National Mortgage Association(f),(n) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 3,138,477 | 31 | |
Federal National Mortgage Association(n) | ||||
CMO Series 2012-129 Class IC | ||||
01/25/2041 | 3.500% | 1,032,470 | 47,724 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2012-131 Class MI | ||||
01/25/2040 | 3.500% | 1,346,340 | 55,085 | |
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 342,066 | 6,036 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 1,729,024 | 237,673 | |
Federal National Mortgage Association(b),(n) | ||||
CMO Series 2013-101 Class CS | ||||
-1.0 x 1-month USD LIBOR + 5.900% Cap 5.900% 10/25/2043 | 1.283% | 6,479,843 | 596,470 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/25/2045 | 1.533% | 11,241,123 | 1,196,195 | |
CMO Series 2016-26 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 05/25/2046 | 1.433% | 10,376,630 | 1,452,505 | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 06/25/2046 | 1.383% | 6,519,784 | 581,771 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 07/25/2046 | 1.383% | 23,444,170 | 2,597,246 | |
CMO Series 2017-47 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 06/25/2047 | 1.483% | 7,489,055 | 1,063,617 | |
CMO Series 2017-56 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2047 | 1.533% | 24,908,965 | 2,949,159 | |
CMO Series 2018-76 Class SN | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 10/25/2048 | 1.533% | 8,022,450 | 917,394 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 11/25/2049 | 1.433% | 22,611,966 | 2,981,399 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-8 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 03/25/2049 | 1.383% | 23,878,700 | 2,070,510 | |
Federal National Mortgage Association REMICS(n) | ||||
CMO Series 2020-77 Class IL | ||||
11/25/2050 | 2.500% | 35,733,020 | 5,151,247 | |
Government National Mortgage Association | ||||
08/15/2031 | 7.000% | 13,347 | 13,539 | |
04/15/2034 | 5.000% | 86,125 | 87,089 | |
Government National Mortgage Association(n) | ||||
CMO Series 2014-190 Class AI | ||||
12/20/2038 | 3.500% | 7,229,377 | 618,785 | |
CMO Series 2020-138 Class GI | ||||
09/20/2050 | 3.000% | 37,477,040 | 5,522,519 | |
CMO Series 2020-191 Class UG | ||||
12/20/2050 | 3.500% | 44,312,328 | 7,197,611 | |
CMO Series 2021-140 Class IW | ||||
08/20/2051 | 3.500% | 50,358,698 | 8,346,355 | |
CMO Series 2021-57 Class KI | ||||
03/20/2051 | 3.500% | 47,108,454 | 7,706,133 | |
CMO Series 2021-89 Class IO | ||||
05/20/2051 | 3.000% | 52,762,730 | 7,709,959 | |
Government National Mortgage Association(b),(n) | ||||
CMO Series 2016-20 Class SQ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 02/20/2046 | 1.502% | 10,349,740 | 868,242 | |
CMO Series 2017-129 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 08/20/2047 | 1.602% | 8,109,312 | 724,306 | |
CMO Series 2017-133 Class SM | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/20/2047 | 1.652% | 9,174,284 | 757,031 | |
CMO Series 2017-141 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2047 | 1.602% | 12,074,964 | 1,275,669 | |
CMO Series 2018-124 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 09/20/2048 | 1.602% | 14,763,270 | 1,178,953 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/20/2048 | 1.502% | 11,580,233 | 880,660 | |
CMO Series 2018-168 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/20/2048 | 1.502% | 10,223,254 | 1,018,037 | |
CMO Series 2018-67 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 05/20/2048 | 1.602% | 9,068,994 | 733,049 | |
CMO Series 2019-152 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 12/20/2049 | 1.452% | 23,477,078 | 1,924,472 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 1.452% | 7,075,448 | 655,510 | |
CMO Series 2019-23 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 02/20/2049 | 1.452% | 20,046,395 | 1,834,881 | |
CMO Series 2019-29 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 1.452% | 16,509,453 | 1,125,505 | |
CMO Series 2019-41 Class AS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/20/2049 | 1.452% | 15,938,678 | 1,451,158 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 01/20/2049 | 1.552% | 10,836,537 | 1,029,741 | |
CMO Series 2019-59 Class JS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 05/20/2049 | 1.552% | 10,648,812 | 1,001,004 |
22 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-155 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.300% Cap 6.300% 09/20/2051 | 1.702% | 49,490,738 | 5,887,522 | |
Government National Mortgage Association TBA(e) | ||||
03/21/2053 | 3.000% | 32,000,000 | 28,563,125 | |
Uniform Mortgage-Backed Security TBA(e) | ||||
03/16/2038- 03/13/2053 | 3.000% | 59,000,000 | 52,894,276 | |
03/13/2053 | 4.000% | 361,000,000 | 338,832,344 | |
03/13/2053 | 4.500% | 350,000,000 | 337,203,125 | |
03/13/2053 | 5.000% | 395,000,000 | 388,272,656 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,691,942,595) | 1,607,049,356 | |||
Residential Mortgage-Backed Securities - Non-Agency 19.4% | ||||
510 Asset Backed Trust(a),(f) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 17,082,536 | 15,877,472 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-2A Class M2 | ||||
1-month USD LIBOR + 3.100% Floor 3.100% 04/25/2029 | 7.717% | 10,208,580 | 10,386,462 | |
CMO Series 2019-4A Class M1C | ||||
1-month USD LIBOR + 2.500% Floor 2.500% 10/25/2029 | 7.117% | 11,265,687 | 11,319,859 | |
CMO Series 2020-3A Class M2 | ||||
1-month USD LIBOR + 4.850% Floor 4.850% 10/25/2030 | 9.467% | 13,800,000 | 14,349,481 | |
CMO Series 2020-4A Class M2B | ||||
1-month USD LIBOR + 3.600% Floor 3.600% 06/25/2030 | 8.217% | 2,912,338 | 2,909,180 | |
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 2.950% Floor 2.950% 03/25/2031 | 7.434% | 15,000,000 | 14,819,092 | |
BRAVO Residential Funding Trust(a),(f) | ||||
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 10,162,010 | 9,486,382 | |
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 14,139,020 | 13,425,670 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BVRT Financing Trust(a),(b),(d) | ||||
CMO Series 2021-2F Class M2 | ||||
30-day Average SOFR + 2.500% Floor 2.500% 01/10/2032 | 3.761% | 2,359,206 | 2,362,257 | |
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 20,000,000 | 20,000,000 | |
BVRT Financing Trust(a),(b),(c),(d) | ||||
CMO Series 2021-CRT1 Class M4 | ||||
1-month USD LIBOR + 3.500% Floor 3.500% 07/10/2032 | 3.589% | 41,000,000 | 39,449,175 | |
CIM Trust(a),(f) | ||||
CMO Series 2021-NR4 Class A1 | ||||
10/25/2061 | 2.816% | 10,786,522 | 10,014,823 | |
Citigroup Mortgage Loan Trust, Inc.(a),(f) | ||||
CMO Series 2010-6 Class 2A2 | ||||
09/25/2035 | 4.198% | 187,205 | 181,042 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
Subordinated CMO Series 2014-C Class B1 | ||||
02/25/2054 | 4.250% | 2,545,870 | 2,448,044 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-HRP1 Class M2 | ||||
1-month USD LIBOR + 2.150% 11/25/2039 | 6.767% | 7,212,091 | 7,211,344 | |
Subordinated CMO Series 2022-R01 Class 1B2 | ||||
30-day Average SOFR + 6.000% 12/25/2041 | 10.484% | 34,900,000 | 31,017,134 | |
Subordinated CMO Series 2022-R07 Class 1B2 | ||||
30-day Average SOFR + 12.000% 06/25/2042 | 16.484% | 11,850,000 | 12,632,098 | |
CSMC Trust(a),(f) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.456% | 7,381,211 | 7,275,452 | |
CTS Corp.(a) | ||||
CMO Series 2015-6R Class 3A2 | ||||
02/27/2036 | 3.750% | 2,280,994 | 2,189,136 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M2 | ||||
1-month USD LIBOR + 3.300% 04/25/2029 | 7.917% | 16,541,000 | 16,724,772 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 10/25/2033 | 7.010% | 12,725,000 | 12,737,374 | |
Subordinated CMO Series 2020-1 Class M1B | ||||
1-month USD LIBOR + 1.450% 01/25/2030 | 6.067% | 27,895,502 | 27,851,555 | |
Subordinated CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 1.800% 01/25/2030 | 6.417% | 9,650,000 | 9,579,921 | |
Fannie Mae Connecticut Avenue Securities(a),(b) | ||||
Subordinated CMO Series 2021-R02 Class 2B1 | ||||
30-day Average SOFR + 3.300% 11/25/2041 | 7.784% | 9,800,000 | 9,336,277 | |
Freddie Mac STACR(b) | ||||
CMO Series 2020-CS02 Class M4 | ||||
1-month USD LIBOR + 0.000% 06/25/2033 | 4.506% | 15,000,000 | 13,370,118 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2021-HQA1 Class M2 | ||||
30-day Average SOFR + 2.250% 08/25/2033 | 6.734% | 9,756,000 | 9,531,872 | |
CMO Series 2022-HQA1 Class M2 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 9.734% | 17,250,000 | 17,302,364 | |
Subordinated CMO Series 2020-DNA4 Class B1 | ||||
1-month USD LIBOR + 6.000% 08/25/2050 | 10.617% | 17,521,915 | 18,786,242 | |
Subordinated CMO Series 2020-DNA6 Class B1 | ||||
30-day Average SOFR + 3.000% 12/25/2050 | 7.484% | 15,400,000 | 14,899,879 | |
Subordinated CMO Series 2021-DNA1 Class B1 | ||||
30-day Average SOFR + 2.650% 01/25/2051 | 7.134% | 10,400,000 | 9,733,005 | |
Subordinated CMO Series 2021-DNA5 Class B1 | ||||
30-day Average SOFR + 3.050% 01/25/2034 | 7.534% | 15,700,000 | 14,834,437 | |
Subordinated CMO Series 2021-HQA1 Class B2 | ||||
30-day Average SOFR + 5.000% 08/25/2033 | 9.484% | 12,250,000 | 9,980,427 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b),(c),(d) | ||||
CMO Series 2019-CS03 Class M2 | ||||
1-month USD LIBOR + 0.000% 10/25/2032 | 4.506% | 23,000,000 | 22,051,250 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2020-HQA5 Class M2 | ||||
30-day Average SOFR + 2.600% 11/25/2050 | 7.084% | 11,376,856 | 11,523,862 | |
Subordinated CMO Series 2020-HQA5 Class B1 | ||||
30-day Average SOFR + 4.000% 11/25/2050 | 8.484% | 18,650,000 | 18,792,684 | |
Subordinated CMO Series 2022-DNA2 Class B1 | ||||
30-day Average SOFR + 4.750% 02/25/2042 | 9.234% | 19,550,000 | 19,097,128 | |
Subordinated CMO Series 2022-DNA2 Class B2 | ||||
30-day Average SOFR + 8.500% 02/25/2042 | 12.984% | 16,300,000 | 15,224,472 | |
Glebe Funding Trust (The)(a),(d) | ||||
CMO Series 2021-1 Class PT | ||||
10/27/2023 | 3.000% | 15,720,693 | 14,423,735 | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month USD LIBOR + 3.000% 10/25/2028 | 7.617% | 6,979,360 | 7,051,280 | |
Loan Revolving Advance Investment Trust(a),(b),(c),(d) | ||||
CMO Series 2021-2 Class A1X | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 06/30/2023 | 7.328% | 321,326 | 321,326 | |
Mortgage Acquisition Trust I LLC(a),(d) | ||||
CMO Series 2021-1 Class PT | ||||
11/29/2023 | 3.500% | 7,323,248 | 6,691,618 | |
Mortgage Insurance-Linked Notes(a),(b) | ||||
CMO Series 2020-1 Class M1C | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 01/25/2030 | 6.367% | 4,150,000 | 4,032,380 | |
CMO Series 2020-1 Class M2A | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 01/25/2030 | 6.617% | 7,700,000 | 7,554,139 |
24 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New York Mortgage Trust(a),(f) | ||||
CMO Series 2021-BPL1 Class A1 | ||||
05/25/2026 | 2.239% | 19,240,000 | 18,101,660 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 6,478,516 | 5,973,679 | |
Oaktown Re III Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1B | ||||
1-month USD LIBOR + 1.950% Floor 1.950% 07/25/2029 | 6.567% | 5,692,483 | 5,685,174 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 3.000% Floor 3.000% 10/25/2033 | 7.484% | 9,800,000 | 9,512,597 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
Series 2019-2R Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023 | 7.267% | 5,332,226 | 5,303,032 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2025 | 7.467% | 56,500,000 | 56,311,951 | |
CMO Series 2018-GT2 Class A | ||||
1-month USD LIBOR + 2.650% 08/25/2025 | 7.267% | 85,550,000 | 83,935,321 | |
Point Securitization Trust(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 21,040,490 | 19,932,744 | |
Preston Ridge Partners Mortgage(a),(f) | ||||
CMO Series 2021-4 Class A1 | ||||
04/25/2026 | 1.867% | 13,416,695 | 12,586,621 | |
Preston Ridge Partners Mortgage Trust(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
01/25/2026 | 2.115% | 3,406,537 | 3,238,325 | |
CMO Series 2021-2 Class A1 | ||||
03/25/2026 | 2.115% | 11,351,660 | 10,688,963 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 12,224,093 | 11,235,583 | |
Pretium Mortgage Credit Partners(a),(f) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 18,829,567 | 17,316,772 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pretium Mortgage Credit Partners I LLC(a),(f) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
09/27/2060 | 2.240% | 7,563,085 | 7,096,785 | |
Pretium Mortgage Credit Partners LLC(a),(f) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 9,748,054 | 8,829,997 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month USD LIBOR + 2.700% 03/25/2028 | 7.317% | 9,595,926 | 9,601,287 | |
CMO Series 2021-1 Class M2 | ||||
30-day Average SOFR + 3.150% 12/27/2033 | 7.634% | 18,984,000 | 18,385,055 | |
Stonnington Mortgage Trust(a),(c),(d),(f) | ||||
CMO Series 2020-1 Class A | ||||
07/28/2024 | 3.500% | 1,903,899 | 1,871,581 | |
Toorak Mortgage Corp., Ltd.(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 2.240% | 15,000,000 | 14,190,816 | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2021-2 Class M1C | ||||
1-month USD LIBOR + 4.500% Floor 4.500% 10/25/2033 | 9.117% | 19,500,000 | 20,177,633 | |
CMO Series 2021-2 Class M2 | ||||
1-month USD LIBOR + 5.500% Floor 5.500% 10/25/2033 | 10.117% | 10,750,000 | 10,795,790 | |
VCAT Asset Securitization LLC(a),(f) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 19,758,026 | 18,087,293 | |
VCAT LLC(a),(f) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 22,073,359 | 20,147,690 | |
Vericrest Opportunity Loan Transferee(a),(f) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 8,719,771 | 8,329,220 | |
Verus Securitization Trust(a),(f) | ||||
Subordinated CMO Series 2019-INV3 Class B1 | ||||
11/25/2059 | 3.731% | 7,300,000 | 5,950,437 | |
Visio Trust(a),(f) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 4,200,000 | 3,676,838 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 3,600,000 | 3,004,696 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $970,913,338) | 948,753,760 | |||
Senior Loans 7.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
TransDigm, Inc.(b),(i),(o) | ||||
Tranche 1 Term Loan | ||||
1-month Term SOFR + 3.250% 08/10/2028 | 7.825% | 1,538,413 | 1,533,613 | |
Airlines 0.1% | ||||
AAdvantage Loyalty IP Ltd./American Airlines, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 0.750% 04/20/2028 | 9.558% | 3,189,781 | 3,264,454 | |
Kestrel Bidco, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 12/11/2026 | 7.592% | 1,440,544 | 1,367,840 | |
United AirLines, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 04/21/2028 | 8.568% | 2,037,058 | 2,030,702 | |
Total | 6,662,996 | |||
Automotive 0.1% | ||||
American Axle & Manufacturing, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/13/2029 | 8.160% | 566,222 | 565,090 | |
Clarios Global LP(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% 04/30/2026 | 7.885% | 1,690,416 | 1,680,121 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
First Brands Group LLC(b),(o) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 5.000% Floor 1.000% 03/30/2027 | 10.252% | 3,134,667 | 3,033,762 | |
Total | 5,278,973 | |||
Brokerage/Asset Managers/Exchanges 0.2% | ||||
AlixPartners LLP(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 02/04/2028 | 7.385% | 1,468,763 | 1,465,326 | |
Allspring Buyer LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 0.500% 11/01/2028 | 7.750% | 1,320,665 | 1,312,411 | |
Citadel Securities LP(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 2.500% 02/02/2028 | 7.232% | 2,942,538 | 2,914,496 | |
Russell Investments US Institutional Holdco, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 1.000% 05/30/2025 | 8.135% | 2,466,439 | 2,426,359 | |
VFH Parent LLC(b),(o) | ||||
Term Loan | ||||
SOFR + 3.000% 01/13/2029 | 7.661% | 2,265,430 | 2,240,510 | |
Total | 10,359,102 | |||
Building Materials 0.2% | ||||
Cornerstone Building Brands, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.250% 04/12/2028 | 7.838% | 1,395,855 | 1,288,989 | |
Covia Holdings LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 1.000% 07/31/2026 | 8.782% | 1,750,241 | 1,726,175 |
26 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Hunter Douglas Holding BV(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 02/26/2029 | 8.373% | 1,190,424 | 1,089,667 | |
Park River Holdings, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.750% 12/28/2027 | 8.004% | 1,263,617 | 1,158,320 | |
QUIKRETE Holdings, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 2.625% 02/01/2027 | 7.260% | 2,187,982 | 2,166,649 | |
SRS Distribution, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 06/02/2028 | 8.135% | 1,970,000 | 1,903,828 | |
White Cap Supply Holdings LLC(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 10/19/2027 | 8.368% | 1,859,938 | 1,829,174 | |
Total | 11,162,802 | |||
Cable and Satellite 0.2% | ||||
CSC Holdings LLC(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 4.500% 01/17/2028 | 9.063% | 1,446,596 | 1,352,568 | |
DirectTV Financing LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 5.000% Floor 0.750% 08/02/2027 | 9.635% | 1,391,847 | 1,352,151 | |
Iridium Satellite LLC(b),(o) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 2.500% Floor 1.000% 11/04/2026 | 7.218% | 2,190,662 | 2,187,003 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Radiate Holdco LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.750% 09/25/2026 | 7.885% | 1,645,383 | 1,362,065 | |
Telesat Canada(b),(o) | ||||
Tranche B5 Term Loan | ||||
1-month USD LIBOR + 2.750% 12/07/2026 | 7.580% | 2,179,765 | 1,164,365 | |
Virgin Media Bristol LLC(b),(o) | ||||
Tranche N Term Loan | ||||
3-month USD LIBOR + 2.500% 01/31/2028 | 7.088% | 1,175,000 | 1,151,077 | |
Tranche Q Term Loan | ||||
1-month USD LIBOR + 3.250% 01/31/2029 | 7.838% | 1,000,000 | 993,750 | |
Total | 9,562,979 | |||
Chemicals 0.3% | ||||
Ascend Performance Materials Operations LLC(b),(o) | ||||
Term Loan | ||||
6-month Term SOFR + 4.750% Floor 0.750% 08/27/2026 | 8.831% | 1,896,888 | 1,892,145 | |
ColourOz Investment 1 GmbH(b),(o) | ||||
Tranche C 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 09/21/2023 | 9.066% | 352,889 | 249,376 | |
ColourOz Investment 2 LLC(b),(o) | ||||
Tranche B2 1st Lien Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 09/21/2023 | 9.066% | 2,134,685 | 1,508,518 | |
Diamond BV(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 09/29/2028 | 7.575% | 1,727,939 | 1,696,975 | |
Herens Holdco SARL(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 07/03/2028 | 8.730% | 1,470,789 | 1,388,322 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Ineos Styrolution Group GmbH(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 01/29/2026 | 7.385% | 1,970,000 | 1,957,195 | |
Ineos US Finance LLC(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% 11/08/2027 | 8.468% | 1,682,655 | 1,675,436 | |
Ineos US Finance LLC(b),(i),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.750% 02/10/2030 | 4.000% | 652,344 | 646,838 | |
Innophos Holdings, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% 02/05/2027 | 7.885% | 607,813 | 603,758 | |
Messer Industries GmbH(b),(o) | ||||
Tranche B1 Term Loan | ||||
3-month USD LIBOR + 2.500% 03/02/2026 | 7.230% | 1,042,543 | 1,038,508 | |
Momentive Performance Materials, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% 05/15/2024 | 7.890% | 1,447,500 | 1,444,330 | |
PMHC II, Inc.(b),(o) | ||||
Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.500% 04/23/2029 | 9.076% | 1,630,327 | 1,398,169 | |
Sparta US Holdco LLC(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.750% 08/02/2028 | 7.824% | 987,519 | 979,619 | |
Total | 16,479,189 | |||
Construction Machinery 0.0% | ||||
Columbus McKinnon Corp.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 05/14/2028 | 7.500% | 1,232,844 | 1,226,680 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.5% | ||||
8th Avenue Food & Provisions, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% 10/01/2025 | 8.385% | 874,907 | 765,002 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 7.750% 10/01/2026 | 12.385% | 1,686,397 | 1,049,782 | |
Allied Universal Holdco LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 05/12/2028 | 8.468% | 1,397,052 | 1,344,285 | |
Amentum Government Services Holdings LLC(b),(o) | ||||
Tranche 1 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% 01/29/2027 | 8.519% | 958,855 | 946,467 | |
Tranche 3 1st Lien Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 02/15/2029 | 8.124% | 1,152,012 | 1,137,128 | |
Arches Buyer, Inc.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 12/06/2027 | 7.968% | 2,235,956 | 2,101,798 | |
Cast & Crew LLC(b),(o) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 12/29/2028 | 8.368% | 1,818,842 | 1,813,531 | |
Conservice Midco LLC(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.250% 05/13/2027 | 8.885% | 2,433,764 | 2,398,280 | |
Corporation Service Co.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 11/02/2029 | 7.968% | 632,006 | 631,615 |
28 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Go Daddy Operating Co. LLC(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% 11/09/2029 | 7.868% | 514,408 | 514,474 | |
Prime Security Services Borrower LLC(b),(o) | ||||
Tranche B1 1st Lien Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.750% 09/23/2026 | 7.517% | 1,693,576 | 1,689,342 | |
Signal Parent, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.750% 04/03/2028 | 8.135% | 1,843,781 | 1,321,991 | |
Sotheby’s(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.500% Floor 0.500% 01/15/2027 | 9.330% | 1,357,149 | 1,351,041 | |
TruGreen LP(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 11/02/2027 | 8.635% | 1,085,045 | 992,816 | |
Uber Technologies, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 04/04/2025 | 8.453% | 1,710,757 | 1,708,892 | |
Uber Technologies, Inc.(b),(i),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% 02/28/2030 | 8.453% | 1,238,904 | 1,238,384 | |
WaterBridge Midstream Operating LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 5.750% Floor 1.000% 06/22/2026 | 10.568% | 1,148,439 | 1,137,908 | |
WW International, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 04/13/2028 | 8.140% | 1,771,875 | 1,006,655 | |
Total | 23,149,391 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Products 0.2% | ||||
Bombardier Recreaional Products, Inc.(b),(i),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.000% 05/24/2027 | 500,000 | 486,875 | ||
Bombardier Recreational Products, Inc. (b),(i),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/13/2029 | 8.118% | 951,916 | 946,681 | |
Serta Simmons Bedding LLC(l),(o) | ||||
1st Lien Term Loan | ||||
11/08/2023 | 0.000% | 1,120,761 | 69,487 | |
SRAM LLC(b),(d),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 05/18/2028 | 7.385% | 1,120,322 | 1,109,119 | |
SWF Holdings I Corp.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 10/06/2028 | 8.753% | 1,557,127 | 1,332,636 | |
Thor Industries, Inc.(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 3.000% 02/01/2026 | 7.688% | 884,938 | 879,964 | |
Weber-Stephen Products LLC(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.750% 10/30/2027 | 7.885% | 2,429,982 | 2,114,084 | |
Total | 6,938,846 | |||
Diversified Manufacturing 0.3% | ||||
Brookfield WEC Holdings, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 08/01/2025 | 7.385% | 2,156,392 | 2,146,774 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 29 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
DXP Enterprises, Inc.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 5.250% Floor 1.000% 12/23/2027 | 9.955% | 1,485,278 | 1,448,146 | |
EWT Holdings III Corp.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.250% 04/01/2028 | 6.938% | 1,223,807 | 1,219,988 | |
Filtration Group Corp.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% 03/31/2025 | 7.635% | 2,047,038 | 2,039,874 | |
1-month USD LIBOR + 3.500% Floor 0.500% 10/21/2028 | 8.135% | 618,551 | 608,500 | |
Gates Global LLC(b),(o) | ||||
Tranche B3 Term Loan | ||||
1-month USD LIBOR + 2.500% Floor 0.750% 03/31/2027 | 7.135% | 746,822 | 742,423 | |
Madison IAQ LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 06/21/2028 | 7.988% | 1,659,551 | 1,578,267 | |
TK Elevator Midco GmbH(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 07/30/2027 | 8.602% | 1,269,574 | 1,240,018 | |
Vertiv Group Corp.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.750% 03/02/2027 | 7.324% | 1,446,570 | 1,427,808 | |
Total | 12,451,798 | |||
Electric 0.1% | ||||
Carroll County Energy LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.500% 02/16/2026 | 8.230% | 397,071 | 379,203 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Constellation Renewables LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.500% Floor 1.000% 12/15/2027 | 7.460% | 2,767,423 | 2,757,903 | |
Invenergy Thermal Operating I LLC(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% 08/28/2025 | 8.482% | 401,842 | 399,833 | |
LMBE-MC Holdco II LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.150% Floor 1.000% 12/03/2025 | 8.730% | 385,767 | 381,265 | |
Nautilus Power LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.250% Floor 1.000% 05/16/2024 | 8.885% | 499,560 | 366,867 | |
New Frontera Holdings LLC(b),(d),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 13.000% 07/28/2026 | 17.730% | 217,161 | 214,989 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 1.500% 07/28/2028 | 6.230% | 75,277 | 15,055 | |
PG&E Corp.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 1.000% 06/23/2025 | 7.688% | 1,423,888 | 1,416,769 | |
Total | 5,931,884 | |||
Environmental 0.1% | ||||
EnergySolutions LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 1.000% 05/09/2025 | 8.480% | 1,150,729 | 1,106,713 | |
GFL Environmental, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 05/28/2027 | 7.718% | 1,467,419 | 1,468,681 |
30 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Rockwood Service Corp.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.250% 01/23/2027 | 8.885% | 925,215 | 922,902 | |
Total | 3,498,296 | |||
Food and Beverage 0.1% | ||||
Del Monte Foods, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 05/16/2029 | 8.911% | 1,717,010 | 1,679,803 | |
Naked Juice LLC(b),(o) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 01/24/2029 | 7.930% | 298,500 | 270,641 | |
Primary Products Finance LLC(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 04/01/2029 | 8.743% | 1,959,288 | 1,939,695 | |
Triton Water Holdings, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 03/31/2028 | 8.230% | 1,361,824 | 1,264,971 | |
United Natural Foods, Inc.(b),(o) | ||||
Term Loan | ||||
3-month Term SOFR + 3.250% 10/22/2025 | 7.982% | 1,040,988 | 1,042,070 | |
Total | 6,197,180 | |||
Gaming 0.3% | ||||
Caesars Entertainment, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 02/06/2030 | 7.968% | 1,606,834 | 1,603,042 | |
CBAC Borrower LLC(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.000% 07/08/2024 | 8.635% | 1,490,730 | 1,454,207 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Entain PLC(b),(i),(o) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 10/31/2029 | 8.180% | 605,585 | 605,016 | |
Fertitta Entertainment LLC(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 01/27/2029 | 8.618% | 1,639,415 | 1,593,315 | |
Flutter Entertainment PLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.250% 07/21/2026 | 6.980% | 2,411,264 | 2,407,165 | |
Tranche B Term Loan | ||||
1-month Term SOFR + 3.250% 07/22/2028 | 8.092% | 424,758 | 424,600 | |
HRNI Holdings LLC(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.250% Floor 0.750% 12/11/2028 | 8.885% | 3,057,818 | 2,985,195 | |
Light and Wonder International, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 04/14/2029 | 7.662% | 1,331,853 | 1,325,194 | |
PCI Gaming Authority(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.500% 05/29/2026 | 7.135% | 1,188,266 | 1,185,854 | |
Scientific Games Holdings LP(b),(o) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 04/04/2029 | 8.103% | 1,240,561 | 1,218,652 | |
Total | 14,802,240 | |||
Health Care 0.2% | ||||
CHG Healthcare Services, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 09/29/2028 | 7.885% | 977,525 | 971,005 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 31 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Element Materials Technology Group US Holdings, Inc.(b),(o) | ||||
Tranche B 1st Lien Delayed Draw Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 06/22/2029 | 8.930% | 225,092 | 222,982 | |
Tranche B 1st Lien Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 06/22/2029 | 8.930% | 487,698 | 483,129 | |
Envision Healthcare Corp.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% 03/31/2027 | 8.330% | 315,126 | 56,723 | |
1-month Term SOFR + 4.250% 03/31/2027 | 8.830% | 670,098 | 259,248 | |
1-month Term SOFR + 7.875% 03/31/2027 | 12.605% | 113,491 | 99,985 | |
ICON PLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.250% 07/03/2028 | 7.000% | 1,479,078 | 1,476,682 | |
3-month USD LIBOR + 2.250% 07/03/2028 | 7.000% | 368,513 | 367,916 | |
Medline Borrower LP(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 10/23/2028 | 7.885% | 1,906,911 | 1,836,984 | |
Phoenix Guarantor, Inc.(b),(o) | ||||
Tranche B1 1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% 03/05/2026 | 7.885% | 954,843 | 935,154 | |
Pluto Acquisition I, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% 06/22/2026 | 8.953% | 926,360 | 648,452 | |
Surgery Center Holdings, Inc.(b),(i),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 08/31/2026 | 8.360% | 1,000,000 | 991,810 | |
Total | 8,350,070 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Independent Energy 0.1% | ||||
Hamilton Projects Acquiror LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.500% Floor 1.000% 06/17/2027 | 9.230% | 1,118,317 | 1,113,430 | |
Oryx Midstream Services Permian Basin LLC(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 10/05/2028 | 7.932% | 1,122,060 | 1,114,576 | |
Parkway Generation LLC(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.750% Floor 0.750% 02/18/2029 | 9.902% | 2,355,858 | 2,326,410 | |
Tranche C Term Loan | ||||
3-month Term SOFR + 4.750% Floor 0.750% 02/18/2029 | 9.902% | 309,020 | 305,061 | |
Total | 4,859,477 | |||
Leisure 0.3% | ||||
Alterra Mountain Co.(b),(o) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 08/17/2028 | 8.135% | 1,889,786 | 1,882,700 | |
Carnival Corp.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.750% 10/18/2028 | 7.885% | 1,374,409 | 1,331,459 | |
Crown Finance US, Inc.(b),(o),(p) | ||||
Debtor in Possession Term Loan | ||||
1-month Term SOFR + 10.000% Floor 1.000% 09/07/2023 | 14.664% | 940,794 | 957,493 | |
Crown Finance US, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% 02/28/2025 | 4.000% | 1,919,036 | 291,463 |
32 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Formula One Management Ltd.(b),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 01/15/2030 | 7.868% | 409,923 | 410,640 | |
Life Time, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 1.000% 12/16/2024 | 9.385% | 1,170,727 | 1,168,971 | |
NAI Entertainment Holdings LLC(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 1.000% 05/08/2025 | 7.140% | 2,019,184 | 1,890,461 | |
UFC Holdings LLC(b),(o) | ||||
Tranche B3 1st Lien Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.750% 04/29/2026 | 7.570% | 2,647,726 | 2,636,685 | |
William Morris Endeavor Entertainment LLC(b),(o) | ||||
Tranche B1 1st Lien Term Loan | ||||
3-month USD LIBOR + 2.750% 05/18/2025 | 7.390% | 1,336,514 | 1,328,642 | |
Total | 11,898,514 | |||
Lodging 0.1% | ||||
Four Seasons Holdings, Inc.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 11/30/2029 | 7.968% | 514,864 | 516,579 | |
Hilton Grand Vacations Borrower LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 08/02/2028 | 7.635% | 2,233,916 | 2,228,331 | |
Playa Hotels & Resorts(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.250% 01/05/2029 | 8.814% | 1,277,159 | 1,272,906 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Travel + Leisure Co.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 12/14/2029 | 8.608% | 741,237 | 738,457 | |
Total | 4,756,273 | |||
Media and Entertainment 0.6% | ||||
AppLovin Corp.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.100% Floor 0.500% 10/25/2028 | 7.693% | 1,608,317 | 1,590,223 | |
Cengage Learning, Inc.(b),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% Floor 1.000% 07/14/2026 | 9.880% | 1,958,184 | 1,846,920 | |
Clear Channel Outdoor Holdings, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.500% 08/21/2026 | 8.325% | 942,237 | 891,196 | |
CMG Media Corp.(b),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% 12/17/2026 | 8.230% | 1,074,170 | 1,007,571 | |
Creative Artists Agency(b),(i),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% 10/26/2028 | 8.064% | 1,968,773 | 1,962,630 | |
Cumulus Media New Holdings, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 1.000% 03/31/2026 | 8.575% | 1,418,469 | 1,347,248 | |
Diamond Sports Group LLC(b),(o) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 8.000% Floor 1.000% 05/25/2026 | 12.775% | 959,361 | 893,808 | |
2nd Lien Term Loan | ||||
1-month Term SOFR + 3.250% 08/24/2026 | 8.025% | 1,693,519 | 191,842 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 33 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Dotdash Meredith, Inc.(b),(d),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 12/01/2028 | 8.668% | 1,878,651 | 1,653,213 | |
E.W. Scripps Co. (The)(b),(o) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 2.563% 05/01/2026 | 7.197% | 2,928,163 | 2,883,186 | |
Emerald Expositions Holding, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% 05/22/2024 | 7.135% | 1,311,178 | 1,289,321 | |
Entravision Communications Corp.(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.750% 11/29/2024 | 7.385% | 468,177 | 466,131 | |
Gray Television, Inc.(b),(o) | ||||
Tranche C Term Loan | ||||
3-month USD LIBOR + 2.500% 01/02/2026 | 7.066% | 1,701,415 | 1,677,306 | |
iHeartCommunications, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% 05/01/2026 | 7.635% | 1,108,872 | 1,072,833 | |
Indy US Bidco LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% 03/06/2028 | 8.385% | 1,985,930 | 1,692,390 | |
Lions Gate Capital Holdings LLC(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.250% 03/24/2025 | 6.885% | 1,473,992 | 1,458,028 | |
Nexstar Media, Inc.(b),(o) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 2.500% 09/18/2026 | 7.135% | 1,099,833 | 1,096,688 | |
Playtika Holding Corp.(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 2.750% 03/13/2028 | 7.385% | 2,606,419 | 2,576,680 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Pug LLC(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.500% 02/12/2027 | 8.135% | 1,112,626 | 876,193 | |
Sinclair Television Group, Inc.(b),(o) | ||||
Tranche B3 Term Loan | ||||
1-month USD LIBOR + 3.000% 04/01/2028 | 7.640% | 1,234,169 | 1,186,654 | |
Univision Communications, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.750% 03/15/2026 | 7.885% | 985,000 | 976,933 | |
1-month USD LIBOR + 3.250% Floor 0.750% 01/31/2029 | 7.885% | 1,240,625 | 1,222,016 | |
1-month Term SOFR + 4.250% Floor 0.500% 06/24/2029 | 8.830% | 199,000 | 198,586 | |
Total | 30,057,596 | |||
Midstream 0.2% | ||||
AL GCX Holdings LLC(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 05/17/2029 | 8.525% | 1,149,248 | 1,147,811 | |
CQP Holdco LP(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 06/05/2028 | 8.230% | 1,371,557 | 1,368,279 | |
GIP III Stetson I LP(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 4.250% 07/18/2025 | 8.885% | 1,374,285 | 1,370,423 | |
ITT Holdings LLC(b),(d),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 07/10/2028 | 7.482% | 1,546,823 | 1,535,222 |
34 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Traverse Midstream Partners LLC(b),(i),(o) | ||||
Term Loan | ||||
3-month Term SOFR + 3.750% 02/16/2028 | 8.950% | 1,721,163 | 1,703,952 | |
Total | 7,125,687 | |||
Oil Field Services 0.0% | ||||
Lealand Finance Co. BV(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% 06/28/2024 | 7.635% | 8,649 | 5,103 | |
3-month USD LIBOR + 1.000% 06/30/2025 | 5.635% | 116,193 | 74,557 | |
MRC Global, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% 09/20/2024 | 7.635% | 1,028,131 | 1,016,308 | |
Total | 1,095,968 | |||
Other Financial Institutions 0.1% | ||||
FinCo I LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.500% 06/27/2025 | 7.135% | 943,475 | 943,475 | |
Freeport LNG Investments LLP(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/21/2028 | 8.308% | 1,467,539 | 1,431,540 | |
IGT Holding IV AB(b),(o) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 3.400% Floor 0.500% 03/31/2028 | 8.130% | 1,829,038 | 1,804,657 | |
Trans Union LLC(b),(o) | ||||
Tranche B6 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 12/01/2028 | 6.885% | 1,207,714 | 1,199,755 | |
Total | 5,379,427 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Other Industry 0.1% | ||||
APi Group, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% 10/01/2026 | 7.135% | 1,083,625 | 1,082,000 | |
Hillman Group, Inc. (The)(b),(i),(o),(q) | ||||
Delayed Draw Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 07/14/2028 | 3.117% | 421,519 | 416,908 | |
Hillman Group, Inc. (The)(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 07/14/2028 | 7.385% | 1,739,583 | 1,720,552 | |
Vericast Corp.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 7.750% Floor 1.000% 06/16/2026 | 12.330% | 461,257 | 360,933 | |
WireCo WorldGroup, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.250% Floor 0.500% 11/13/2028 | 8.875% | 1,240,653 | 1,234,710 | |
Total | 4,815,103 | |||
Packaging 0.1% | ||||
Anchor Glass Container Corp.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 1.000% 12/07/2023 | 7.560% | 792,098 | 562,588 | |
Charter Next Generation, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 12/01/2027 | 8.482% | 2,156,985 | 2,119,583 | |
Graham Packaging Co., Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.750% 08/04/2027 | 7.635% | 388,272 | 385,845 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 35 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Pactiv Evergreen, Inc.(b),(o) | ||||
Tranche B3 Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 09/24/2028 | 7.885% | 1,155,869 | 1,149,373 | |
Tosca Services LLC(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.750% 08/18/2027 | 8.232% | 980,000 | 766,360 | |
Twist Beauty International Holdings S.A.(b),(o) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 1.000% 04/20/2024 | 7.480% | 186,353 | 177,035 | |
Total | 5,160,784 | |||
Pharmaceuticals 0.1% | ||||
Elanco Animal Health, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 08/01/2027 | 6.316% | 1,140,741 | 1,116,295 | |
Jazz Pharmaceuticals PLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 05/05/2028 | 8.135% | 1,684,273 | 1,680,972 | |
Organon & Co.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 06/02/2028 | 7.750% | 1,580,675 | 1,560,917 | |
Sunshine Luxembourg VII SARL(b),(o) | ||||
Tranche B3 Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 10/01/2026 | 8.480% | 2,119,481 | 2,058,842 | |
Total | 6,417,026 | |||
Property & Casualty 0.2% | ||||
Asurion LLC(b),(o) | ||||
Tranche B4 2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.250% 01/20/2029 | 9.885% | 1,644,019 | 1,399,060 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Tranche B7 Term Loan | ||||
3-month USD LIBOR + 3.000% 11/03/2024 | 7.635% | 627,955 | 625,375 | |
Tranche B8 Term Loan | ||||
1-month USD LIBOR + 3.250% 12/23/2026 | 7.885% | 825,806 | 784,813 | |
Hub International Ltd.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.750% 04/25/2025 | 7.817% | 2,453,767 | 2,445,670 | |
Sedgwick Claims Management Services, Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 12/31/2025 | 5.686% | 929,852 | 927,527 | |
Sedgwick Claims Management Services, Inc.(b),(i),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.750% 02/17/2028 | 8.597% | 1,279,463 | 1,263,469 | |
USI, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% 12/02/2026 | 7.980% | 977,362 | 975,056 | |
1-month Term SOFR + 3.750% Floor 0.500% 11/22/2029 | 8.330% | 1,698,913 | 1,693,952 | |
Total | 10,114,922 | |||
Restaurants 0.1% | ||||
1011778 BC ULC(b),(o) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 6.385% | 2,594,668 | 2,569,188 | |
Carrols Restaurant Group, Inc.(b),(i),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% 04/30/2026 | 7.968% | 1,095,601 | 1,004,535 | |
IRB Holding Corp.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.750% 12/15/2027 | 7.687% | 842,143 | 830,563 |
36 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
IRB Holding Corp. (b),(i),(o) | ||||
Tranche B3 Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.750% 12/15/2027 | 7.567% | 326,522 | 322,033 | |
Whatabrands LLC(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 08/03/2028 | 7.885% | 2,186,149 | 2,150,012 | |
Total | 6,876,331 | |||
Retailers 0.2% | ||||
Great Outdoors Group LLC(b),(o) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 03/06/2028 | 8.385% | 2,813,694 | 2,768,844 | |
Harbor Freight Tools USA, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 10/19/2027 | 7.385% | 1,436,558 | 1,388,894 | |
PetSmart LLC(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 02/11/2028 | 8.468% | 2,947,557 | 2,937,122 | |
Total | 7,094,860 | |||
Technology 1.8% | ||||
Ascend Learning LLC(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/11/2028 | 8.218% | 1,898,012 | 1,779,121 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.750% Floor 0.500% 12/10/2029 | 10.385% | 1,753,172 | 1,519,789 | |
athenahealth Group, Inc.(b),(i),(o),(q) | ||||
Delayed Draw Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 02/15/2029 | 3.500% | 232,097 | 214,110 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
athenahealth Group, Inc.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 02/15/2029 | 8.061% | 1,894,070 | 1,747,280 | |
Atlas CC Acquisition Corp.(b),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.750% 05/25/2028 | 9.402% | 2,128,155 | 1,857,581 | |
Tranche C 1st Lien Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.750% 05/25/2028 | 9.140% | 432,845 | 377,813 | |
Avaya, Inc.(b),(i),(o),(p) | ||||
Debtor In Possession Term Loan | ||||
1-month Term SOFR + 8.000% Floor 1.000% 08/15/2023 | 10.050% | 848,703 | 874,164 | |
Avaya, Inc.(l),(o) | ||||
Tranche B1 Term Loan | ||||
12/15/2027 | 0.000% | 1,843,084 | 463,536 | |
Tranche B2 Term Loan | ||||
12/15/2027 | 0.000% | 1,511,557 | 376,000 | |
Camelot U.S. Acquisition 1 Co.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% 10/30/2026 | 7.635% | 1,189,079 | 1,183,383 | |
1-month USD LIBOR + 3.000% Floor 1.000% 10/30/2026 | 7.635% | 920,981 | 917,141 | |
Central Parent, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.500% Floor 0.500% 07/06/2029 | 9.080% | 1,979,059 | 1,971,439 | |
Cloud Software Group, Inc.(b),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month Term SOFR + 4.500% Floor 0.500% 03/30/2029 | 9.180% | 976,520 | 904,404 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 37 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Cloudera, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 10/08/2028 | 8.385% | 1,555,568 | 1,482,160 | |
Coherent Corp.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 07/02/2029 | 7.385% | 950,281 | 944,342 | |
CoreLogic, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 06/02/2028 | 8.188% | 1,967,556 | 1,681,769 | |
Cornerstone OnDemand, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 10/16/2028 | 8.385% | 1,497,699 | 1,378,632 | |
Cyxtera DC Holdings, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 05/01/2024 | 7.820% | 931,223 | 826,069 | |
Dawn Acquisition LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.750% 12/31/2025 | 8.480% | 2,789,352 | 1,732,550 | |
DCert Buyer, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 5.000% 10/16/2026 | 8.696% | 2,569,383 | 2,528,273 | |
Dun & Bradstreet Corp. (The)(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 02/06/2026 | 7.867% | 1,939,361 | 1,933,465 | |
Tranche B2 Term Loan | ||||
1-month Term SOFR + 3.250% 01/18/2029 | 7.855% | 492,452 | 489,498 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Endurance International Group Holdings, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.750% 02/10/2028 | 8.072% | 1,610,336 | 1,488,756 | |
Entegris, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.000% 07/06/2029 | 7.588% | 558,131 | 558,711 | |
Everi Holdings, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.500% 08/03/2028 | 7.135% | 1,845,620 | 1,836,133 | |
Gen Digital, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
SOFR + 2.000% Floor 0.500% 09/12/2029 | 6.718% | 1,729,554 | 1,709,785 | |
GoTo Group, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.750% 08/31/2027 | 9.385% | 2,444,982 | 1,332,980 | |
Idemia Group SAS(b),(o) | ||||
Tranche B3 Term Loan | ||||
1-month USD LIBOR + 4.500% Floor 0.750% 01/10/2026 | 9.230% | 1,767,500 | 1,743,197 | |
Idera, Inc.(b),(o) | ||||
Tranche B1 1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 03/02/2028 | 8.510% | 1,215,270 | 1,170,961 | |
Informatica LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% 10/27/2028 | 7.438% | 2,257,958 | 2,251,184 | |
Ingram Micro, Inc.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 06/30/2028 | 8.230% | 1,770,049 | 1,758,987 |
38 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
ION Trading Finance Ltd.(b),(i),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.750% 04/01/2028 | 9.480% | 1,274,498 | 1,192,191 | |
Loyalty Ventures, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.500% Floor 0.500% 11/03/2027 | 11.250% | 1,701,275 | 510,382 | |
Lummus Technology Holdings V LLC(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 1.000% 06/30/2027 | 8.135% | 1,867,186 | 1,825,175 | |
McAfee Corp.(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 03/01/2029 | 8.418% | 1,792,842 | 1,678,548 | |
Misys Ltd.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 06/13/2024 | 8.325% | 2,067,187 | 1,945,740 | |
Mitchell International, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 10/15/2028 | 8.341% | 1,147,425 | 1,085,751 | |
Mitnick Corporate Purchaser, Inc.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 4.750% Floor 0.500% 05/02/2029 | 9.526% | 790,101 | 756,917 | |
MKS Instruments, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 08/17/2029 | 7.411% | 1,175,851 | 1,165,809 | |
Monotype Imaging Holdings, Inc.(b),(d),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 5.000% Floor 0.750% 10/09/2026 | 9.680% | 1,425,703 | 1,411,446 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Natel Engineering Co., Inc.(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 6.250% Floor 1.000% 04/30/2026 | 10.420% | 2,461,311 | 2,184,413 | |
NCR Corp.(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.500% 08/28/2026 | 7.330% | 1,452,018 | 1,438,108 | |
Nielseniq(b),(i),(o) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 6.250% Floor 0.500% 03/06/2028 | 10.818% | 100,429 | 89,884 | |
Nielseniq (b),(i),(o) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 6.250% Floor 0.500% 03/06/2028 | 10.818% | 207,200 | 185,444 | |
Open Text Corp.(b),(i),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 08/27/2029 | 8.218% | 1,383,490 | 1,380,682 | |
Peraton Corp.(b),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 02/01/2028 | 8.385% | 1,600,340 | 1,583,088 | |
Presidio Holdings, Inc.(b),(o) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% 01/22/2027 | 8.322% | 1,711,757 | 1,703,918 | |
Proofpoint, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 08/31/2028 | 8.203% | 1,980,000 | 1,921,709 | |
Rackspace Technology Global, Inc.(b),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.750% 02/15/2028 | 7.595% | 1,218,201 | 763,032 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 39 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Riverbed Technology LLC(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 6.000% Floor 1.000% 12/07/2026 | 10.840% | 1,646,399 | 558,409 | |
Sabre GLBL, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 06/30/2028 | 8.968% | 215,004 | 195,832 | |
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/17/2027 | 8.135% | 628,144 | 565,725 | |
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 12/17/2027 | 8.135% | 1,001,298 | 901,799 | |
Sitel Group(b),(o) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 08/28/2028 | 8.390% | 280,421 | 279,282 | |
Sophia LP(b),(o) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 10/07/2027 | 8.230% | 2,156,206 | 2,120,715 | |
Sovos Compliance LLC(b),(i),(o) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.500% Floor 0.500% 08/11/2028 | 9.135% | 1,794,803 | 1,698,179 | |
SS&C Technologies Holdings, Inc.(b),(o) | ||||
Tranche B3 Term Loan | ||||
1-month USD LIBOR + 1.750% 04/16/2025 | 6.385% | 162,884 | 162,511 | |
Tranche B4 Term Loan | ||||
1-month USD LIBOR + 1.750% 04/16/2025 | 6.385% | 144,443 | 144,112 | |
Tranche B5 Term Loan | ||||
3-month USD LIBOR + 1.750% 04/16/2025 | 6.385% | 1,324,831 | 1,322,075 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Tempo Acquisition LLC(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 08/31/2028 | 7.618% | 2,623,558 | 2,618,652 | |
TTM Technologies, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.500% 09/28/2024 | 7.075% | 832,820 | 829,438 | |
UKG, Inc.(b),(o) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% 05/04/2026 | 8.575% | 1,935,000 | 1,907,194 | |
1-month USD LIBOR + 3.250% Floor 0.500% 05/04/2026 | 8.032% | 962,787 | 942,569 | |
2nd Lien Term Loan | ||||
1-month USD LIBOR + 5.250% Floor 0.500% 05/03/2027 | 10.032% | 1,147,411 | 1,113,941 | |
Veritas US, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 5.000% Floor 1.000% 09/01/2025 | 9.730% | 1,300,649 | 1,014,506 | |
Verscend Holdings Corp.(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month USD LIBOR + 4.000% 08/27/2025 | 8.635% | 2,467,414 | 2,461,690 | |
Virtusa Corp.(b),(o) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 02/15/2029 | 8.468% | 1,708,649 | 1,696,689 | |
Xperi Holding Corp.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.500% 06/08/2028 | 8.135% | 2,131,680 | 2,097,701 | |
Total | 86,486,469 |
40 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Transportation Services 0.0% | ||||
First Student Bidco, Inc.(b),(o) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 07/21/2028 | 7.726% | 903,056 | 860,802 | |
1-month Term SOFR + 4.000% Floor 0.500% 07/21/2028 | 8.680% | 757,562 | 737,206 | |
Tranche C Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 07/21/2028 | 7.726% | 336,710 | 320,955 | |
1-month Term SOFR + 4.000% Floor 0.500% 07/21/2028 | 8.680% | 52,608 | 51,195 | |
Total | 1,970,158 | |||
Wireless 0.1% | ||||
Numericable US LLC(b),(o) | ||||
Tranche B11 Term Loan | ||||
3-month USD LIBOR + 2.750% 07/31/2025 | 7.575% | 1,903,762 | 1,876,405 | |
SBA Senior Finance II LLC(b),(o) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 6.410% | 1,415,764 | 1,412,819 | |
Total | 3,289,224 | |||
Total Senior Loans (Cost $363,168,544) | 340,983,858 | |||
U.S. Government & Agency Obligations 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Farm Credit Banks Funding Corp. | ||||
10/20/2026 | 1.140% | 2,000,000 | 1,755,599 | |
11/30/2026 | 1.540% | 2,500,000 | 2,214,145 | |
Total U.S. Government & Agency Obligations (Cost $4,500,000) | 3,969,744 |
Warrants 0.0% | ||
Issuer | Shares | Value ($) |
Communication Services 0.0% | ||
Diversified Telecommunication Services 0.0% | ||
Windstream Corp.(g) | 11,272 | 133,387 |
Entertainment 0.0% | ||
Cineworld Group PLC(g) | 281,073 | 9,298 |
Total Communication Services | 142,685 | |
Total Warrants (Cost $117,963) | 142,685 |
Options Purchased Calls 0.1% | ||||
Value ($) | ||||
(Cost $50,290,950) | 7,084,193 |
Money Market Funds 6.4% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(r),(s) | 312,023,485 | 311,898,675 |
Total Money Market Funds (Cost $311,869,552) | 311,898,675 | |
Total Investments in Securities (Cost: $6,602,432,902) | 6,037,833,834 | |
Other Assets & Liabilities, Net | (1,147,898,772) | |
Net Assets | 4,889,935,062 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
36,250,000,000 COP | 7,547,366 USD | HSBC | 03/16/2023 | 109,555 | — |
500,000 EUR | 537,230 USD | HSBC | 03/28/2023 | 7,500 | — |
208,300,000 ZAR | 11,598,180 USD | HSBC | 03/28/2023 | 282,776 | — |
49,852,000 EUR | 53,561,487 USD | UBS | 03/28/2023 | 745,321 | — |
Total | 1,145,152 | — |
Columbia Strategic Income Fund | Semiannual Report 2023 | 41 |
February 28, 2023 (Unaudited)
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 790 | 06/2023 | USD | 98,922,813 | — | (319,826) |
U.S. Treasury 10-Year Note | 524 | 06/2023 | USD | 58,507,875 | 51,925 | — |
U.S. Treasury 5-Year Note | 1,405 | 06/2023 | USD | 150,411,837 | — | (178,754) |
Total | 51,925 | (498,580) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bobl | (2,330) | 03/2023 | EUR | (268,369,400) | 7,151,233 | — |
Euro-Bund | (545) | 03/2023 | EUR | (72,435,950) | 4,829,301 | — |
Japanese 10-Year Government Bond | (337) | 03/2023 | JPY | (49,421,050,000) | 3,059,040 | — |
U.S. Treasury 2-Year Note | (3,684) | 06/2023 | USD | (750,528,654) | 1,631,990 | — |
U.S. Treasury Ultra Bond | (302) | 06/2023 | USD | (40,788,875) | 67,623 | — |
Total | 16,739,187 | — |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 160,690,000 | 160,690,000 | 2.25 | 04/27/2023 | 3,856,560 | 7,103 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 321,500,000 | 321,500,000 | 2.50 | 05/12/2023 | 9,612,850 | 109,953 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 216,840,000 | 216,840,000 | 2.25 | 05/26/2023 | 4,445,220 | 46,317 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 323,100,000 | 323,100,000 | 2.75 | 06/26/2023 | 10,492,673 | 749,075 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 232,880,000 | 232,880,000 | 3.30 | 11/14/2023 | 7,452,160 | 4,964,489 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 321,500,000 | 321,500,000 | 2.50 | 05/12/2023 | 9,918,275 | 109,953 |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 303,920,000 | 303,920,000 | 3.20 | 07/11/2023 | 4,513,212 | 1,097,303 |
Total | 50,290,950 | 7,084,193 |
Put option contracts written | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Premium received ($) | Value ($) |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | (158,400,000) | (158,400,000) | 3.55 | 05/15/2023 | (1,900,800) | (3,266,572) |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (301,720,000) | (301,720,000) | 3.95 | 05/16/2023 | (2,323,244) | (3,087,772) |
Total | (4,224,044) | (6,354,344) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 6.230% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/09/2026 | MXN | 580,000,000 | (3,080,856) | — | — | — | (3,080,856) |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/21/2026 | MXN | 211,000,000 | (1,182,117) | — | — | — | (1,182,117) |
3-Month USD LIBOR | Fixed rate of 1.781% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 08/09/2049 | USD | 53,500,000 | 16,963,067 | — | — | 16,963,067 | — |
Total | 12,700,094 | — | — | 16,963,067 | (4,262,973) |
42 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | Goldman Sachs International | 11/18/2054 | 3.000 | Monthly | USD | 4,400,000 | 759,688 | (1,467) | 672,810 | — | 85,411 | — |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 4,400,000 | 759,687 | (1,467) | 148,749 | — | 609,471 | — |
Total | 1,519,375 | (2,934) | 821,559 | — | 694,882 | — |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 39 | Morgan Stanley | 12/20/2027 | 5.000 | Quarterly | USD | 500,584,000 | (25,354,104) | — | — | — | (25,354,104) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 10.437 | USD | 11,500,000 | (2,382,655) | 3,833 | — | (2,497,908) | 119,086 | — |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 10.437 | USD | 18,000,000 | (3,729,375) | 6,000 | — | (2,145,157) | — | (1,578,218) |
Markit CMBX North America Index, Series 10 BBB- | Goldman Sachs International | 11/17/2059 | 3.000 | Monthly | 10.437 | USD | 7,000,000 | (1,450,312) | 2,333 | — | (785,385) | — | (662,594) |
Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 8.125 | USD | 11,100,000 | (2,563,406) | 3,700 | — | (2,160,074) | — | (399,632) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 10.437 | USD | 9,500,000 | (1,968,281) | 3,167 | — | (2,043,485) | 78,371 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 10.437 | USD | 9,500,000 | (1,968,282) | 3,167 | — | (1,582,953) | — | (382,162) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 10.437 | USD | 7,500,000 | (1,553,907) | 2,500 | — | (1,164,521) | — | (386,886) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 10.437 | USD | 10,000,000 | (2,071,875) | 3,333 | — | (1,604,513) | — | (464,029) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 10.437 | USD | 12,000,000 | (2,486,250) | 4,000 | — | (2,336,105) | — | (146,145) |
Columbia Strategic Income Fund | Semiannual Report 2023 | 43 |
February 28, 2023 (Unaudited)
Credit default swap contracts - sell protection (continued) | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 10.437 | USD | 15,000,000 | (3,107,813) | 5,000 | — | (2,406,770) | — | (696,043) |
Markit CMBX North America Index, Series 12 BBB- | Morgan Stanley | 08/17/2061 | 3.000 | Monthly | 8.292 | USD | 18,500,000 | (3,838,750) | 6,167 | — | (3,688,628) | — | (143,955) |
Total | (27,120,906) | 43,200 | — | (22,415,499) | 197,457 | (4,859,664) |
* | 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. |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 11.274% |
3-Month USD LIBOR | London Interbank Offered Rate | 4.971% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 28, 2023, the total value of these securities amounted to $2,549,078,703, which represents 52.13% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of February 28, 2023. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 28, 2023, the total value of these securities amounted to $83,986,690, which represents 1.72% of total net assets. |
(d) | Valuation based on significant unobservable inputs. |
(e) | Represents a security purchased on a when-issued basis. |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of February 28, 2023. |
(g) | Non-income producing investment. |
(h) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(i) | Represents a security purchased on a forward commitment basis. |
(j) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(k) | 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 February 28, 2023. |
(l) | Represents a security in default. |
(m) | Principal and interest may not be guaranteed by a governmental entity. |
(n) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(o) | The stated interest rate represents the weighted average interest rate at February 28, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(p) | The borrower filed for protection under Chapter 11 of the U.S. Federal Bankruptcy Code. |
44 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
(q) | At February 28, 2023, the Fund had unfunded senior loan commitments pursuant to the terms of the loan agreement. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. |
Borrower | Unfunded Commitment ($) |
athenahealth Group, Inc. Delayed Draw Term Loan 02/15/2029 3.500% | 232,097 |
Hillman Group, Inc. (The) Delayed Draw Term Loan 07/14/2028 3.117% | 388,186 |
(r) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(s) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 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, 4.748% | ||||||||
336,082,546 | 869,718,078 | (893,895,843) | (6,106) | 311,898,675 | 23,481 | 4,142,149 | 312,023,485 |
CMO | Collateralized Mortgage Obligation |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
COP | Colombian Peso |
EUR | Euro |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
MXN | Mexican Peso |
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 Strategic Income Fund | Semiannual Report 2023 | 45 |
February 28, 2023 (Unaudited)
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 ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 139,499,637 | 20,785,574 | 160,285,211 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 188,830,170 | — | 188,830,170 |
Common Stocks | ||||
Communication Services | 87,084 | — | — | 87,084 |
Consumer Discretionary | — | — | 462 | 462 |
Energy | — | 1,023,476 | 15,297 | 1,038,773 |
Industrials | — | 178,943 | — | 178,943 |
Information Technology | — | — | 3,394 | 3,394 |
Total Common Stocks | 87,084 | 1,202,419 | 19,153 | 1,308,656 |
Convertible Bonds | — | 6,050,811 | — | 6,050,811 |
Convertible Preferred Stocks | ||||
Information Technology | — | — | 3,622 | 3,622 |
Total Convertible Preferred Stocks | — | — | 3,622 | 3,622 |
Corporate Bonds & Notes | — | 2,105,872,852 | — | 2,105,872,852 |
Foreign Government Obligations | — | 355,600,241 | — | 355,600,241 |
Residential Mortgage-Backed Securities - Agency | — | 1,607,049,356 | — | 1,607,049,356 |
Residential Mortgage-Backed Securities - Non-Agency | — | 841,582,818 | 107,170,942 | 948,753,760 |
Senior Loans | — | 335,044,814 | 5,939,044 | 340,983,858 |
U.S. Government & Agency Obligations | — | 3,969,744 | — | 3,969,744 |
Warrants | ||||
Communication Services | — | 142,685 | — | 142,685 |
Total Warrants | — | 142,685 | — | 142,685 |
Options Purchased Calls | — | 7,084,193 | — | 7,084,193 |
Money Market Funds | 311,898,675 | — | — | 311,898,675 |
Total Investments in Securities | 311,985,759 | 5,591,929,740 | 133,918,335 | 6,037,833,834 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 1,145,152 | — | 1,145,152 |
Futures Contracts | 16,791,112 | — | — | 16,791,112 |
Swap Contracts | — | 17,855,406 | — | 17,855,406 |
46 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Liability | ||||
Futures Contracts | (498,580) | — | — | (498,580) |
Options Contracts Written | — | (6,354,344) | — | (6,354,344) |
Swap Contracts | — | (34,476,741) | — | (34,476,741) |
Total | 328,278,291 | 5,570,099,213 | 133,918,335 | 6,032,295,839 |
Balance as of 08/31/2022 ($) | 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 ($) | Balance as of 02/28/2023 ($) | |
Asset-Backed Securities — Non-Agency | 25,190,027 | — | 174 | 36,738 | 20,293,358 | (10,799,762) | — | (13,934,961) | 20,785,574 |
Common Stocks | 20,852 | — | 26,734 | (36,592) | — | (26,735) | 34,894 | — | 19,153 |
Convertible Preferred Stocks | — | — | — | (67,398) | — | — | 71,020 | — | 3,622 |
Foreign Government Obligations | 3,409,784 | 353,080 | (7,083,470) | 7,652,936 | — | (4,332,330) | — | — | — |
Residential Mortgage-Backed Securities — Non-Agency | 130,050,179 | 5,321 | — | (1,780,023) | 21,943,438 | (43,047,973) | — | — | 107,170,942 |
Senior Loans | 9,641,379 | 6,194 | (326,846) | 202,721 | — | (2,601,159) | 6,152,608 | (7,135,853) | 5,939,044 |
Warrants | 83,965 | — | — | 119,950 | — | (203,915) | — | — | — |
Total | 168,396,186 | 364,595 | (7,383,408) | 6,128,332 | 42,236,796 | (61,011,874) | 6,258,522 | (21,070,814) | 133,918,335 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 47 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $6,240,272,400) | $5,718,850,966 |
Affiliated issuers (cost $311,869,552) | 311,898,675 |
Options purchased (cost $50,290,950) | 7,084,193 |
Cash | 1,422,781 |
Foreign currency (cost $9,953,236) | 9,873,459 |
Cash collateral held at broker for: | |
Swap contracts | 15,409,000 |
TBA | 21,372,000 |
Other(a) | 12,238,000 |
Margin deposits on: | |
Futures contracts | 14,812,283 |
Swap contracts | 35,336,715 |
Unrealized appreciation on forward foreign currency exchange contracts | 1,145,152 |
Unrealized appreciation on swap contracts | 892,339 |
Upfront payments on swap contracts | 821,559 |
Receivable for: | |
Investments sold | 3,916,326 |
Investments sold on a delayed delivery basis | 36,409,425 |
Capital shares sold | 5,429,065 |
Dividends | 904,916 |
Interest | 46,227,522 |
Foreign tax reclaims | 50,632 |
Variation margin for futures contracts | 1,392,172 |
Variation margin for swap contracts | 314,385 |
Prepaid expenses | 43,063 |
Trustees’ deferred compensation plan | 370,110 |
Other assets | 13,396 |
Total assets | 6,246,228,134 |
Liabilities | |
Option contracts written, at value (premiums received $4,224,044) | 6,354,344 |
Unrealized depreciation on swap contracts | 4,859,664 |
Upfront receipts on swap contracts | 22,415,499 |
Payable for: | |
Investments purchased | 8,530,593 |
Investments purchased on a delayed delivery basis | 1,305,996,048 |
Capital shares purchased | 6,299,570 |
Variation margin for futures contracts | 555,311 |
Variation margin for swap contracts | 66,049 |
Management services fees | 74,692 |
Distribution and/or service fees | 11,671 |
Transfer agent fees | 425,375 |
Compensation of board members | 121,478 |
Compensation of chief compliance officer | 497 |
Other expenses | 212,171 |
Trustees’ deferred compensation plan | 370,110 |
Total liabilities | 1,356,293,072 |
Net assets applicable to outstanding capital stock | $4,889,935,062 |
Represented by | |
Paid in capital | 5,803,579,993 |
Total distributable earnings (loss) | (913,644,931) |
Total - representing net assets applicable to outstanding capital stock | $4,889,935,062 |
48 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Class A | |
Net assets | $943,224,278 |
Shares outstanding | 44,664,067 |
Net asset value per share | $21.12 |
Maximum sales charge | 4.75% |
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) | $22.17 |
Advisor Class | |
Net assets | $237,301,585 |
Shares outstanding | 11,478,061 |
Net asset value per share | $20.67 |
Class C | |
Net assets | $183,821,196 |
Shares outstanding | 8,707,114 |
Net asset value per share | $21.11 |
Institutional Class | |
Net assets | $2,750,478,186 |
Shares outstanding | 132,854,713 |
Net asset value per share | $20.70 |
Institutional 2 Class | |
Net assets | $347,563,167 |
Shares outstanding | 16,773,852 |
Net asset value per share | $20.72 |
Institutional 3 Class | |
Net assets | $414,948,339 |
Shares outstanding | 20,109,750 |
Net asset value per share | $20.63 |
Class R | |
Net assets | $12,598,311 |
Shares outstanding | 591,970 |
Net asset value per share | $21.28 |
(a) | Includes collateral related to options contracts written and swap contracts. |
Columbia Strategic Income Fund | Semiannual Report 2023 | 49 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $3,526 |
Dividends — affiliated issuers | 4,142,149 |
Interest | 136,925,338 |
Interfund lending | 1,845 |
Foreign taxes withheld | (13,198) |
Total income | 141,059,660 |
Expenses: | |
Management services fees | 13,997,614 |
Distribution and/or service fees | |
Class A | 1,192,621 |
Class C | 963,066 |
Class R | 30,809 |
Transfer agent fees | |
Class A | 474,217 |
Advisor Class | 126,036 |
Class C | 95,740 |
Institutional Class | 1,406,633 |
Institutional 2 Class | 102,738 |
Institutional 3 Class | 18,066 |
Class R | 6,129 |
Compensation of board members | 51,047 |
Custodian fees | 108,387 |
Printing and postage fees | 163,299 |
Registration fees | 119,927 |
Audit fees | 25,996 |
Legal fees | 41,952 |
Interest on collateral | 306,873 |
Compensation of chief compliance officer | 497 |
Other | 45,754 |
Total expenses | 19,277,401 |
Expense reduction | (3,103) |
Total net expenses | 19,274,298 |
Net investment income | 121,785,362 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (152,980,392) |
Investments — affiliated issuers | 23,481 |
Foreign currency translations | (2,698,144) |
Forward foreign currency exchange contracts | (3,465,933) |
Futures contracts | (3,543,467) |
Options purchased | (5,942,060) |
Options contracts written | 10,849,025 |
Swap contracts | 7,221,659 |
Net realized loss | (150,535,831) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 35,913,401 |
Investments — affiliated issuers | (6,106) |
Foreign currency translations | (47,061) |
Forward foreign currency exchange contracts | 1,288,130 |
Futures contracts | 9,014,640 |
Options purchased | (30,238,926) |
Options contracts written | (2,130,300) |
Swap contracts | (56,702,189) |
Net change in unrealized appreciation (depreciation) | (42,908,411) |
Net realized and unrealized loss | (193,444,242) |
Net decrease in net assets resulting from operations | $(71,658,880) |
50 | Columbia Strategic Income Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income | $121,785,362 | $226,062,515 |
Net realized loss | (150,535,831) | (192,292,349) |
Net change in unrealized appreciation (depreciation) | (42,908,411) | (701,091,736) |
Net decrease in net assets resulting from operations | (71,658,880) | (667,321,570) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (22,496,357) | (47,487,869) |
Advisor Class | (6,372,305) | (15,554,372) |
Class C | (3,819,293) | (8,968,170) |
Institutional Class | (71,154,421) | (169,394,995) |
Institutional 2 Class | (9,275,262) | (22,844,906) |
Institutional 3 Class | (10,817,207) | (23,213,250) |
Class R | (274,693) | (621,845) |
Total distributions to shareholders | (124,209,538) | (288,085,407) |
Decrease in net assets from capital stock activity | (599,442,437) | (18,610,193) |
Total decrease in net assets | (795,310,855) | (974,017,170) |
Net assets at beginning of period | 5,685,245,917 | 6,659,263,087 |
Net assets at end of period | $4,889,935,062 | $5,685,245,917 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 51 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 3,205,883 | 67,922,496 | 6,104,860 | 144,592,287 |
Fund reorganization | — | — | 2,720,908 | 66,623,684 |
Distributions reinvested | 995,793 | 20,986,295 | 1,888,726 | 44,513,990 |
Redemptions | (6,977,814) | (146,319,841) | (10,572,480) | (246,319,310) |
Net increase (decrease) | (2,776,138) | (57,411,050) | 142,014 | 9,410,651 |
Advisor Class | ||||
Subscriptions | 1,045,594 | 21,814,055 | 5,007,338 | 117,004,721 |
Fund reorganization | — | — | 1,900,358 | 45,591,874 |
Distributions reinvested | 307,632 | 6,344,593 | 671,814 | 15,512,875 |
Redemptions | (3,823,947) | (78,626,356) | (8,659,199) | (198,789,671) |
Net decrease | (2,470,721) | (50,467,708) | (1,079,689) | (20,680,201) |
Class C | ||||
Subscriptions | 618,315 | 13,129,448 | 1,530,437 | 36,814,745 |
Distributions reinvested | 166,009 | 3,498,521 | 345,221 | 8,170,975 |
Redemptions | (1,913,117) | (40,365,889) | (3,341,253) | (77,668,623) |
Net decrease | (1,128,793) | (23,737,920) | (1,465,595) | (32,682,903) |
Institutional Class | ||||
Subscriptions | 29,085,292 | 603,517,536 | 56,071,862 | 1,303,611,260 |
Distributions reinvested | 2,953,682 | 61,017,340 | 6,175,424 | 142,981,414 |
Redemptions | (50,069,233) | (1,033,957,863) | (69,146,186) | (1,570,804,397) |
Net decrease | (18,030,259) | (369,422,987) | (6,898,900) | (124,211,723) |
Institutional 2 Class | ||||
Subscriptions | 2,818,759 | 58,366,040 | 11,818,805 | 277,874,908 |
Distributions reinvested | 445,627 | 9,213,020 | 980,927 | 22,684,813 |
Redemptions | (5,784,894) | (120,047,386) | (12,718,682) | (286,111,305) |
Net increase (decrease) | (2,520,508) | (52,468,326) | 81,050 | 14,448,416 |
Institutional 3 Class | ||||
Subscriptions | 3,268,950 | 67,426,219 | 12,181,340 | 287,282,196 |
Distributions reinvested | 276,809 | 5,699,120 | 601,991 | 13,870,044 |
Redemptions | (5,810,269) | (119,377,377) | (7,294,797) | (164,066,674) |
Net increase (decrease) | (2,264,510) | (46,252,038) | 5,488,534 | 137,085,566 |
Class R | ||||
Subscriptions | 69,669 | 1,475,051 | 173,196 | 4,209,736 |
Distributions reinvested | 12,878 | 273,641 | 25,880 | 617,786 |
Redemptions | (67,085) | (1,431,100) | (289,197) | (6,807,521) |
Net increase (decrease) | 15,462 | 317,592 | (90,121) | (1,979,999) |
Total net decrease | (29,175,467) | (599,442,437) | (3,822,707) | (18,610,193) |
52 | Columbia Strategic Income Fund | Semiannual Report 2023 |
Net asset value, beginning of period | Net investment income | 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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.84 | 0.49 | (0.71) | (0.22) | (0.50) | — | (0.50) |
Year Ended 8/31/2022 | $25.20 | 0.78 | (3.15) | (2.37) | (0.71) | (0.28) | (0.99) |
Year Ended 8/31/2021(f) | $24.32 | 0.79 | 0.86 | 1.65 | (0.77) | — | (0.77) |
Year Ended 8/31/2020(f) | $24.06 | 0.84 | 0.26 | 1.10 | (0.84) | — | (0.84) |
Year Ended 8/31/2019(f) | $23.57 | 1.00 | 0.57 | 1.57 | (0.92) | (0.16) | (1.08) |
Year Ended 8/31/2018(f) | $24.35 | 0.96 | (0.70) | 0.26 | (0.80) | (0.24) | (1.04) |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.39 | 0.51 | (0.71) | (0.20) | (0.52) | — | (0.52) |
Year Ended 8/31/2022 | $24.70 | 0.82 | (3.08) | (2.26) | (0.77) | (0.28) | (1.05) |
Year Ended 8/31/2021(f) | $23.85 | 0.83 | 0.85 | 1.68 | (0.83) | — | (0.83) |
Year Ended 8/31/2020(f) | $23.62 | 0.88 | 0.23 | 1.11 | (0.88) | — | (0.88) |
Year Ended 8/31/2019(f) | $23.16 | 1.04 | 0.54 | 1.58 | (0.96) | (0.16) | (1.12) |
Year Ended 8/31/2018(f) | $23.95 | 1.00 | (0.67) | 0.33 | (0.88) | (0.24) | (1.12) |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.83 | 0.41 | (0.71) | (0.30) | (0.42) | — | (0.42) |
Year Ended 8/31/2022 | $25.19 | 0.60 | (3.15) | (2.55) | (0.53) | (0.28) | (0.81) |
Year Ended 8/31/2021(f) | $24.31 | 0.60 | 0.86 | 1.46 | (0.58) | — | (0.58) |
Year Ended 8/31/2020(f) | $24.06 | 0.64 | 0.29 | 0.93 | (0.68) | — | (0.68) |
Year Ended 8/31/2019(f) | $23.57 | 0.80 | 0.57 | 1.37 | (0.72) | (0.16) | (0.88) |
Year Ended 8/31/2018(f) | $24.36 | 0.76 | (0.67) | 0.09 | (0.64) | (0.24) | (0.88) |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.42 | 0.51 | (0.71) | (0.20) | (0.52) | — | (0.52) |
Year Ended 8/31/2022 | $24.73 | 0.82 | (3.09) | (2.27) | (0.76) | (0.28) | (1.04) |
Year Ended 8/31/2021(f) | $23.88 | 0.84 | 0.84 | 1.68 | (0.83) | — | (0.83) |
Year Ended 8/31/2020(f) | $23.65 | 0.88 | 0.23 | 1.11 | (0.88) | — | (0.88) |
Year Ended 8/31/2019(f) | $23.18 | 1.04 | 0.55 | 1.59 | (0.96) | (0.16) | (1.12) |
Year Ended 8/31/2018(f) | $23.97 | 1.00 | (0.67) | 0.33 | (0.88) | (0.24) | (1.12) |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.44 | 0.51 | (0.70) | (0.19) | (0.53) | — | (0.53) |
Year Ended 8/31/2022 | $24.75 | 0.83 | (3.09) | (2.26) | (0.77) | (0.28) | (1.05) |
Year Ended 8/31/2021(f) | $23.90 | 0.85 | 0.83 | 1.68 | (0.83) | — | (0.83) |
Year Ended 8/31/2020(f) | $23.66 | 0.88 | 0.28 | 1.16 | (0.92) | — | (0.92) |
Year Ended 8/31/2019(f) | $23.19 | 1.04 | 0.55 | 1.59 | (0.96) | (0.16) | (1.12) |
Year Ended 8/31/2018(f) | $23.98 | 1.00 | (0.67) | 0.33 | (0.88) | (0.24) | (1.12) |
54 | Columbia Strategic Income Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.12 | (0.99%) | 0.94%(c),(d) | 0.94%(c),(d),(e) | 4.67%(c) | 150% | $943,224 |
Year Ended 8/31/2022 | $21.84 | (9.64%) | 0.92%(d) | 0.92%(d),(e) | 3.30% | 136% | $1,036,081 |
Year Ended 8/31/2021(f) | $25.20 | 6.84% | 0.92%(d) | 0.92%(d),(e) | 3.17% | 126% | $1,191,823 |
Year Ended 8/31/2020(f) | $24.32 | 4.84% | 0.93%(d) | 0.93%(d),(e) | 3.51% | 173% | $1,101,890 |
Year Ended 8/31/2019(f) | $24.06 | 6.75% | 0.95%(d) | 0.95%(d) | 4.20% | 179% | $1,101,847 |
Year Ended 8/31/2018(f) | $23.57 | 1.03% | 0.94%(d) | 0.94%(d),(e) | 3.94% | 152% | $1,059,907 |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $20.67 | (0.89%) | 0.69%(c),(d) | 0.69%(c),(d),(e) | 4.91%(c) | 150% | $237,302 |
Year Ended 8/31/2022 | $21.39 | (9.40%) | 0.67%(d) | 0.67%(d),(e) | 3.54% | 136% | $298,389 |
Year Ended 8/31/2021(f) | $24.70 | 7.16% | 0.67%(d) | 0.67%(d),(e) | 3.39% | 126% | $371,251 |
Year Ended 8/31/2020(f) | $23.85 | 5.02% | 0.68%(d) | 0.68%(d),(e) | 3.76% | 173% | $194,094 |
Year Ended 8/31/2019(f) | $23.62 | 6.96% | 0.70%(d) | 0.70%(d) | 4.42% | 179% | $285,983 |
Year Ended 8/31/2018(f) | $23.16 | 1.30% | 0.69%(d) | 0.69%(d),(e) | 4.21% | 152% | $143,983 |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.11 | (1.36%) | 1.69%(c),(d) | 1.69%(c),(d),(e) | 3.92%(c) | 150% | $183,821 |
Year Ended 8/31/2022 | $21.83 | (10.31%) | 1.67%(d) | 1.67%(d),(e) | 2.53% | 136% | $214,760 |
Year Ended 8/31/2021(f) | $25.19 | 6.01% | 1.67%(d) | 1.67%(d),(e) | 2.42% | 126% | $284,727 |
Year Ended 8/31/2020(f) | $24.31 | 4.06% | 1.69%(d) | 1.69%(d),(e) | 2.76% | 173% | $280,497 |
Year Ended 8/31/2019(f) | $24.06 | 5.97% | 1.70%(d) | 1.70%(d) | 3.45% | 179% | $282,018 |
Year Ended 8/31/2018(f) | $23.57 | 0.28% | 1.69%(d) | 1.69%(d),(e) | 3.19% | 152% | $306,303 |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $20.70 | (0.89%) | 0.69%(c),(d) | 0.69%(c),(d),(e) | 4.92%(c) | 150% | $2,750,478 |
Year Ended 8/31/2022 | $21.42 | (9.39%) | 0.67%(d) | 0.67%(d),(e) | 3.54% | 136% | $3,231,980 |
Year Ended 8/31/2021(f) | $24.73 | 7.11% | 0.67%(d) | 0.67%(d),(e) | 3.41% | 126% | $3,902,593 |
Year Ended 8/31/2020(f) | $23.88 | 5.02% | 0.68%(d) | 0.68%(d),(e) | 3.76% | 173% | $3,083,643 |
Year Ended 8/31/2019(f) | $23.65 | 6.96% | 0.70%(d) | 0.70%(d) | 4.44% | 179% | $2,843,762 |
Year Ended 8/31/2018(f) | $23.18 | 1.47% | 0.69%(d) | 0.69%(d),(e) | 4.20% | 152% | $2,398,468 |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $20.72 | (0.87%) | 0.65%(c),(d) | 0.65%(c),(d) | 4.96%(c) | 150% | $347,563 |
Year Ended 8/31/2022 | $21.44 | (9.35%) | 0.63%(d) | 0.63%(d) | 3.60% | 136% | $413,637 |
Year Ended 8/31/2021(f) | $24.75 | 7.23% | 0.63%(d) | 0.63%(d) | 3.44% | 126% | $475,594 |
Year Ended 8/31/2020(f) | $23.90 | 5.06% | 0.64%(d) | 0.64%(d) | 3.80% | 173% | $287,777 |
Year Ended 8/31/2019(f) | $23.66 | 7.00% | 0.66%(d) | 0.66%(d) | 4.49% | 179% | $287,753 |
Year Ended 8/31/2018(f) | $23.19 | 1.35% | 0.65%(d) | 0.65%(d) | 4.26% | 152% | $257,953 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 55 |
Net asset value, beginning of period | Net investment income | 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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.35 | 0.51 | (0.70) | (0.19) | (0.53) | — | (0.53) |
Year Ended 8/31/2022 | $24.66 | 0.84 | (3.09) | (2.25) | (0.78) | (0.28) | (1.06) |
Year Ended 8/31/2021(f) | $23.81 | 0.86 | 0.84 | 1.70 | (0.85) | — | (0.85) |
Year Ended 8/31/2020(f) | $23.58 | 0.88 | 0.27 | 1.15 | (0.92) | — | (0.92) |
Year Ended 8/31/2019(f) | $23.12 | 1.04 | 0.58 | 1.62 | (1.00) | (0.16) | (1.16) |
Year Ended 8/31/2018(f) | $23.91 | 1.00 | (0.67) | 0.33 | (0.88) | (0.24) | (1.12) |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $22.01 | 0.47 | (0.73) | (0.26) | (0.47) | — | (0.47) |
Year Ended 8/31/2022 | $25.38 | 0.72 | (3.16) | (2.44) | (0.65) | (0.28) | (0.93) |
Year Ended 8/31/2021(f) | $24.49 | 0.73 | 0.86 | 1.59 | (0.70) | — | (0.70) |
Year Ended 8/31/2020(f) | $24.23 | 0.80 | 0.26 | 1.06 | (0.80) | — | (0.80) |
Year Ended 8/31/2019(f) | $23.73 | 0.92 | 0.58 | 1.50 | (0.84) | (0.16) | (1.00) |
Year Ended 8/31/2018(f) | $24.51 | 0.88 | (0.66) | 0.22 | (0.76) | (0.24) | (1.00) |
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) | Annualized. |
(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 | 2/28/2023 | 8/31/2022 | 8/31/2021 | 8/31/2020 | 8/31/2019 | 8/31/2018 |
Class A | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Advisor Class | 0.01% | 0.01% | less than 0.01% | less than 0.01% | 0.01% | less than 0.01% |
Class C | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Institutional Class | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Institutional 2 Class | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Institutional 3 Class | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class R | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
(e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(f) | 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. |
56 | Columbia Strategic Income Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $20.63 | (0.85%) | 0.60%(c),(d) | 0.60%(c),(d) | 5.01%(c) | 150% | $414,948 |
Year Ended 8/31/2022 | $21.35 | (9.34%) | 0.59%(d) | 0.59%(d) | 3.67% | 136% | $477,713 |
Year Ended 8/31/2021(f) | $24.66 | 7.26% | 0.59%(d) | 0.59%(d) | 3.50% | 126% | $416,355 |
Year Ended 8/31/2020(f) | $23.81 | 5.13% | 0.60%(d) | 0.60%(d) | 3.84% | 173% | $322,913 |
Year Ended 8/31/2019(f) | $23.58 | 7.08% | 0.60%(d) | 0.60%(d) | 4.55% | 179% | $192,494 |
Year Ended 8/31/2018(f) | $23.12 | 1.40% | 0.60%(d) | 0.60%(d) | 4.31% | 152% | $189,195 |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $21.28 | (1.15%) | 1.19%(c),(d) | 1.19%(c),(d),(e) | 4.43%(c) | 150% | $12,598 |
Year Ended 8/31/2022 | $22.01 | (9.83%) | 1.17%(d) | 1.17%(d),(e) | 3.02% | 136% | $12,686 |
Year Ended 8/31/2021(f) | $25.38 | 6.62% | 1.17%(d) | 1.17%(d),(e) | 2.89% | 126% | $16,920 |
Year Ended 8/31/2020(f) | $24.49 | 4.38% | 1.18%(d) | 1.18%(d),(e) | 3.26% | 173% | $8,053 |
Year Ended 8/31/2019(f) | $24.23 | 6.62% | 1.20%(d) | 1.20%(d) | 3.95% | 179% | $9,287 |
Year Ended 8/31/2018(f) | $23.73 | 0.77% | 1.19%(d) | 1.19%(d),(e) | 3.70% | 152% | $7,075 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 57 |
February 28, 2023 (Unaudited)
58 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Strategic Income Fund | Semiannual Report 2023 | 59 |
February 28, 2023 (Unaudited)
60 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Strategic Income Fund | Semiannual Report 2023 | 61 |
February 28, 2023 (Unaudited)
62 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Strategic Income Fund | Semiannual Report 2023 | 63 |
February 28, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 892,339* |
Credit risk | Upfront payments on swap contracts | 821,559 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,145,152 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 16,791,112* |
Interest rate risk | Investments, at value — Options purchased | 7,084,193 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 16,963,067* |
Total | 43,697,422 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 30,213,768* |
Credit risk | Upfront receipts on swap contracts | 22,415,499 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 498,580* |
Interest rate risk | Options contracts written, at value | 6,354,344 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 4,262,973* |
Total | 63,745,164 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
64 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | 7,393,845 | 7,393,845 |
Foreign exchange risk | (3,465,933) | — | — | — | — | (3,465,933) |
Interest rate risk | — | (3,543,467) | 10,849,025 | (5,942,060) | (172,186) | 1,191,312 |
Total | (3,465,933) | (3,543,467) | 10,849,025 | (5,942,060) | 7,221,659 | 5,119,224 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Options contracts written ($) | Options contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (60,125,670) | (60,125,670) |
Foreign exchange risk | 1,288,130 | — | — | — | — | 1,288,130 |
Interest rate risk | — | 9,014,640 | (2,130,300) | (30,238,926) | 3,423,481 | (19,931,105) |
Total | 1,288,130 | 9,014,640 | (2,130,300) | (30,238,926) | (56,702,189) | (78,768,645) |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 207,705,762 |
Futures contracts — short | 1,657,268,708 |
Credit default swap contracts — buy protection | 572,284,000 |
Credit default swap contracts — sell protection | 114,800,000 |
Derivative instrument | Average value ($)* |
Options contracts — purchased | 13,001,876 |
Options contracts — written | (4,787,257) |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 615,653 | (908,968) |
Interest rate swap contracts | 16,303,702 | (3,781,704) |
* | Based on the ending quarterly outstanding amounts for the six months ended February 28, 2023. |
Columbia Strategic Income Fund | Semiannual Report 2023 | 65 |
February 28, 2023 (Unaudited)
66 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Citi ($) (a) | Citi ($) (a) | Goldman Sachs International ($) | HSBC ($) | JPMorgan ($) | Morgan Stanley ($) (a) | Morgan Stanley ($) (a) | UBS ($) | Total ($) | |
Assets | |||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | 227,386 | - | 227,386 |
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | 86,999 | - | 86,999 |
Forward foreign currency exchange contracts | - | - | - | 399,831 | - | - | - | 745,321 | 1,145,152 |
Options purchased calls | 6,974,240 | - | - | - | - | 109,953 | - | - | 7,084,193 |
OTC credit default swap contracts (c) | - | 119,086 | 758,221 | - | 836,591 | - | - | - | 1,713,898 |
Total assets | 6,974,240 | 119,086 | 758,221 | 399,831 | 836,591 | 109,953 | 314,385 | 745,321 | 10,257,628 |
Liabilities | |||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | 66,049 | - | 66,049 |
Options contracts written | 3,087,772 | - | - | - | - | 3,266,572 | - | - | 6,354,344 |
OTC credit default swap contracts (c) | - | 6,221,283 | 4,007,685 | - | 7,628,549 | 9,417,646 | - | - | 27,275,163 |
Total liabilities | 3,087,772 | 6,221,283 | 4,007,685 | - | 7,628,549 | 12,684,218 | 66,049 | - | 33,695,556 |
Total financial and derivative net assets | 3,886,468 | (6,102,197) | (3,249,464) | 399,831 | (6,791,958) | (12,574,265) | 248,336 | 745,321 | (23,437,928) |
Total collateral received (pledged) (d) | 3,707,986 | (5,909,000) | (3,140,000) | 280,000 | (6,360,000) | (12,238,000) | - | - | (23,659,014) |
Net amount (e) | 178,482 | (193,197) | (109,464) | 119,831 | (431,958) | (336,265) | 248,336 | 745,321 | 221,086 |
(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 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. |
Columbia Strategic Income Fund | Semiannual Report 2023 | 67 |
February 28, 2023 (Unaudited)
68 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Strategic Income Fund | Semiannual Report 2023 | 69 |
February 28, 2023 (Unaudited)
Purchases ($) | Sales ($) | Net realized gain (loss) ($) |
— | 37,110 | 2,074 |
70 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Class A | 0.10 |
Advisor Class | 0.10 |
Class C | 0.10 |
Institutional Class | 0.10 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.10 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 4.75 | 0.50 - 1.00(a) | 259,897 |
Class C | — | 1.00(b) | 12,528 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
Columbia Strategic Income Fund | Semiannual Report 2023 | 71 |
February 28, 2023 (Unaudited)
January 1, 2023 through December 31, 2023 | Prior to January 1, 2023 | |
Class A | 0.96% | 0.98% |
Advisor Class | 0.71 | 0.73 |
Class C | 1.71 | 1.73 |
Institutional Class | 0.71 | 0.73 |
Institutional 2 Class | 0.67 | 0.70 |
Institutional 3 Class | 0.62 | 0.65 |
Class R | 1.21 | 1.23 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
6,576,615,000 | 63,665,000 | (629,578,000) | (565,913,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(83,287,149) | (115,587,438) | (198,874,587) |
72 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,550,000 | 4.23 | 6 |
Columbia Strategic Income Fund | Semiannual Report 2023 | 73 |
February 28, 2023 (Unaudited)
Shares | |
Class A | 2,720,908 |
Advisor Class | 1,900,358 |
($) | |
Net investment income | 226,993,000 |
Net realized loss | (190,398,000) |
Net change in unrealized appreciation/(depreciation) | (705,646,000) |
Net decrease in net assets from operations | (669,051,000) |
74 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Strategic Income Fund | Semiannual Report 2023 | 75 |
February 28, 2023 (Unaudited)
76 | Columbia Strategic Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Strategic Income Fund | Semiannual Report 2023 | 77 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/02 | 10.25 | -6.12 | 2.98 | 4.51 |
Including sales charges | 3.91 | -11.51 | 1.77 | 3.89 | ||
Advisor Class* | 03/19/13 | 10.35 | -5.92 | 3.24 | 4.77 | |
Class C | Excluding sales charges | 10/13/03 | 9.84 | -6.80 | 2.22 | 3.73 |
Including sales charges | 8.84 | -7.72 | 2.22 | 3.73 | ||
Institutional Class | 11/09/00 | 10.35 | -5.90 | 3.25 | 4.77 | |
Institutional 2 Class* | 01/08/14 | 10.47 | -5.73 | 3.39 | 4.92 | |
Institutional 3 Class | 07/15/09 | 10.48 | -5.71 | 3.43 | 4.99 | |
Class R | 09/27/10 | 10.14 | -6.32 | 2.73 | 4.24 | |
MSCI ACWI ex USA Index (Net) | 7.30 | -7.19 | 1.62 | 3.94 | ||
MSCI ACWI ex USA Value Index (Net) | 9.93 | -3.88 | 0.75 | 2.98 |
* | 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 International Dividend Income Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at February 28, 2023) | |
Communication Services | 9.3 |
Consumer Discretionary | 7.1 |
Consumer Staples | 9.3 |
Energy | 6.3 |
Financials | 21.1 |
Health Care | 8.9 |
Industrials | 12.7 |
Information Technology | 11.4 |
Materials | 10.7 |
Utilities | 3.2 |
Total | 100.0 |
Country breakdown (%) (at February 28, 2023) | |
Australia | 1.0 |
Canada | 6.3 |
China | 3.0 |
Denmark | 3.6 |
Finland | 0.8 |
France | 12.5 |
Germany | 13.9 |
Hong Kong | 4.2 |
Indonesia | 1.5 |
Ireland | 1.5 |
Japan | 8.9 |
Netherlands | 2.5 |
Norway | 1.3 |
Singapore | 1.8 |
South Korea | 2.9 |
Spain | 3.4 |
Sweden | 1.4 |
Switzerland | 7.8 |
Taiwan | 4.0 |
United Kingdom | 15.8 |
United States(a) | 1.9 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,102.50 | 1,018.50 | 6.62 | 6.36 | 1.27 |
Advisor Class | 1,000.00 | 1,000.00 | 1,103.50 | 1,019.74 | 5.32 | 5.11 | 1.02 |
Class C | 1,000.00 | 1,000.00 | 1,098.40 | 1,014.78 | 10.51 | 10.09 | 2.02 |
Institutional Class | 1,000.00 | 1,000.00 | 1,103.50 | 1,019.74 | 5.32 | 5.11 | 1.02 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,104.70 | 1,020.43 | 4.59 | 4.41 | 0.88 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,104.80 | 1,020.68 | 4.33 | 4.16 | 0.83 |
Class R | 1,000.00 | 1,000.00 | 1,101.40 | 1,017.26 | 7.92 | 7.60 | 1.52 |
Columbia International Dividend Income Fund | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Common Stocks 97.2% | ||
Issuer | Shares | Value ($) |
Australia 1.0% | ||
Telstra Corp., Ltd. | 1,716,321 | 4,795,382 |
Canada 6.3% | ||
Canadian National Railway Co. | 72,547 | 8,262,755 |
Manulife Financial Corp. | 354,842 | 7,016,224 |
Nutrien Ltd. | 92,290 | 7,191,112 |
TC Energy Corp. | 193,381 | 7,696,975 |
Total | 30,167,066 | |
China 3.0% | ||
NetEase, Inc., ADR | 81,429 | 6,322,148 |
Ping An Insurance Group Co. of China Ltd., Class H | 1,198,500 | 8,181,603 |
Total | 14,503,751 | |
Denmark 3.6% | ||
Novo Nordisk A/S, Class B | 95,536 | 13,494,964 |
Tryg AS | 169,256 | 3,749,607 |
Total | 17,244,571 | |
Finland 0.8% | ||
UPM-Kymmene OYJ | 105,213 | 3,812,546 |
France 12.3% | ||
AXA SA | 313,303 | 9,872,645 |
BNP Paribas SA | 189,712 | 13,262,992 |
L’Oreal SA | 13,835 | 5,468,601 |
LVMH Moet Hennessy Louis Vuitton SE | 8,807 | 7,321,499 |
Schneider Electric SE | 49,456 | 7,935,568 |
TotalEnergies SE | 251,115 | 15,494,857 |
Total | 59,356,162 | |
Germany 13.8% | ||
Adidas AG | 34,244 | 5,114,234 |
Deutsche Telekom AG, Registered Shares | 513,369 | 11,521,577 |
E.ON SE | 696,362 | 7,597,918 |
Evonik Industries AG | 310,318 | 6,625,828 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 13,229 | 4,557,090 |
SAP SE | 89,522 | 10,170,683 |
Siemens AG, Registered Shares | 93,881 | 14,306,709 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Vantage Towers AG(a) | 185,682 | 6,402,505 |
Total | 66,296,544 | |
Hong Kong 4.1% | ||
AIA Group Ltd. | 1,059,600 | 11,261,447 |
Hong Kong Exchanges and Clearing Ltd. | 217,000 | 8,691,430 |
Total | 19,952,877 | |
Indonesia 1.5% | ||
PT Bank Rakyat Indonesia Persero Tbk | 22,946,252 | 7,023,056 |
Ireland 1.5% | ||
CRH PLC | 154,781 | 7,270,607 |
Japan 8.8% | ||
Japan Exchange Group, Inc. | 358,000 | 5,339,428 |
Rohm Co., Ltd. | 59,000 | 4,543,749 |
SMC Corp. | 16,800 | 8,539,546 |
Tokyo Electron Ltd. | 17,300 | 5,935,665 |
Toyota Motor Corp. | 883,300 | 12,039,007 |
Yahoo! Japan Corp. | 2,253,300 | 6,049,322 |
Total | 42,446,717 | |
Netherlands 2.5% | ||
Akzo Nobel NV | 101,306 | 7,411,034 |
ING Groep NV | 325,678 | 4,557,903 |
Total | 11,968,937 | |
Norway 1.3% | ||
Equinor ASA | 205,507 | 6,291,258 |
Singapore 1.8% | ||
DBS Group Holdings Ltd. | 337,200 | 8,555,148 |
South Korea 2.8% | ||
Samsung Electronics Co., Ltd. | 299,202 | 13,689,965 |
Spain 3.3% | ||
Iberdrola SA | 630,324 | 7,225,676 |
Industria de Diseno Textil SA | 285,386 | 8,791,820 |
Total | 16,017,496 | |
Sweden 1.4% | ||
Sandvik AB | 317,327 | 6,528,030 |
6 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Switzerland 7.7% | ||
Nestlé SA, Registered Shares | 134,522 | 15,156,680 |
Novartis AG, ADR | 87,051 | 7,322,730 |
Novartis AG, Registered Shares | 38,859 | 3,270,378 |
Roche Holding AG, Genusschein Shares | 38,588 | 11,126,425 |
Total | 36,876,213 | |
Taiwan 4.0% | ||
MediaTek, Inc. | 192,000 | 4,507,974 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 880,000 | 14,558,628 |
Total | 19,066,602 | |
United Kingdom 15.7% | ||
3i Group PLC | 325,231 | 6,362,901 |
Anglo American PLC | 330,157 | 11,408,488 |
BT Group PLC | 5,011,108 | 8,400,911 |
Diageo PLC | 146,357 | 6,210,874 |
Experian PLC | 288,523 | 9,727,303 |
GSK PLC | 380,504 | 6,518,384 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Haleon PLC(a) | 718,033 | 2,778,541 |
Linde PLC | 18,371 | 6,322,717 |
Reckitt Benckiser Group PLC | 128,679 | 8,928,395 |
RELX PLC | 126,657 | 3,822,289 |
Unilever PLC | 95,561 | 4,767,597 |
Total | 75,248,400 | |
Total Common Stocks (Cost $439,426,000) | 467,111,328 | |
Money Market Funds 1.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(b),(c) | 8,869,535 | 8,865,987 |
Total Money Market Funds (Cost $8,865,655) | 8,865,987 | |
Total Investments in Securities (Cost $448,291,655) | 475,977,315 | |
Other Assets & Liabilities, Net | 4,765,944 | |
Net Assets | $480,743,259 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
12,957,576 | 29,809,735 | (33,900,304) | (1,020) | 8,865,987 | 2,352 | 131,467 | 8,869,535 |
ADR | American Depositary Receipt |
■ | 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. |
Columbia International Dividend Income Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
■ | 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 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 4,795,382 | — | 4,795,382 |
Canada | 30,167,066 | — | — | 30,167,066 |
China | 6,322,148 | 8,181,603 | — | 14,503,751 |
Denmark | — | 17,244,571 | — | 17,244,571 |
Finland | — | 3,812,546 | — | 3,812,546 |
France | — | 59,356,162 | — | 59,356,162 |
Germany | — | 66,296,544 | — | 66,296,544 |
Hong Kong | — | 19,952,877 | — | 19,952,877 |
Indonesia | — | 7,023,056 | — | 7,023,056 |
Ireland | — | 7,270,607 | — | 7,270,607 |
Japan | — | 42,446,717 | — | 42,446,717 |
Netherlands | — | 11,968,937 | — | 11,968,937 |
Norway | — | 6,291,258 | — | 6,291,258 |
Singapore | — | 8,555,148 | — | 8,555,148 |
South Korea | — | 13,689,965 | — | 13,689,965 |
Spain | — | 16,017,496 | — | 16,017,496 |
Sweden | — | 6,528,030 | — | 6,528,030 |
Switzerland | 7,322,730 | 29,553,483 | — | 36,876,213 |
Taiwan | — | 19,066,602 | — | 19,066,602 |
United Kingdom | — | 75,248,400 | — | 75,248,400 |
Total Common Stocks | 43,811,944 | 423,299,384 | — | 467,111,328 |
Money Market Funds | 8,865,987 | — | — | 8,865,987 |
Total Investments in Securities | 52,677,931 | 423,299,384 | — | 475,977,315 |
8 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
Columbia International Dividend Income Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $439,426,000) | $467,111,328 |
Affiliated issuers (cost $8,865,655) | 8,865,987 |
Due from affiliate | 28,112 |
Receivable for: | |
Investments sold | 2,948,314 |
Capital shares sold | 193,455 |
Dividends | 313,878 |
Foreign tax reclaims | 1,720,853 |
Expense reimbursement due from Investment Manager | 853 |
Prepaid expenses | 4,733 |
Trustees’ deferred compensation plan | 186,358 |
Other assets | 21,151 |
Total assets | 481,395,022 |
Liabilities | |
Foreign currency (cost $48,461) | 48,004 |
Payable for: | |
Capital shares purchased | 311,315 |
Management services fees | 10,213 |
Distribution and/or service fees | 585 |
Transfer agent fees | 32,659 |
Compensation of board members | 17,472 |
Compensation of chief compliance officer | 42 |
Other expenses | 45,115 |
Trustees’ deferred compensation plan | 186,358 |
Total liabilities | 651,763 |
Net assets applicable to outstanding capital stock | $480,743,259 |
Represented by | |
Paid in capital | 458,021,975 |
Total distributable earnings (loss) | 22,721,284 |
Total - representing net assets applicable to outstanding capital stock | $480,743,259 |
10 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Class A | |
Net assets | $78,405,137 |
Shares outstanding | 4,421,238 |
Net asset value per share | $17.73 |
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) | $18.81 |
Advisor Class | |
Net assets | $9,532,925 |
Shares outstanding | 532,166 |
Net asset value per share | $17.91 |
Class C | |
Net assets | $1,446,302 |
Shares outstanding | 88,343 |
Net asset value per share | $16.37 |
Institutional Class | |
Net assets | $322,755,363 |
Shares outstanding | 18,127,266 |
Net asset value per share | $17.80 |
Institutional 2 Class | |
Net assets | $14,805,286 |
Shares outstanding | 834,325 |
Net asset value per share | $17.75 |
Institutional 3 Class | |
Net assets | $53,433,437 |
Shares outstanding | 3,005,415 |
Net asset value per share | $17.78 |
Class R | |
Net assets | $364,809 |
Shares outstanding | 20,613 |
Net asset value per share | $17.70 |
Columbia International Dividend Income Fund | Semiannual Report 2023 | 11 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $4,350,896 |
Dividends — affiliated issuers | 131,467 |
Foreign taxes withheld | (486,069) |
Total income | 3,996,294 |
Expenses: | |
Management services fees | 1,730,810 |
Distribution and/or service fees | |
Class A | 91,131 |
Class C | 6,916 |
Class R | 446 |
Transfer agent fees | |
Class A | 97,459 |
Advisor Class | 7,260 |
Class C | 1,851 |
Institutional Class | 410,524 |
Institutional 2 Class | 4,262 |
Institutional 3 Class | 1,550 |
Class R | 234 |
Compensation of board members | 11,945 |
Custodian fees | 22,580 |
Printing and postage fees | 27,584 |
Registration fees | 63,999 |
Audit fees | 18,334 |
Legal fees | 9,170 |
Compensation of chief compliance officer | 42 |
Other | 8,595 |
Total expenses | 2,514,692 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (152,658) |
Expense reduction | (55,765) |
Total net expenses | 2,306,269 |
Net investment income | 1,690,025 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (1,079,471) |
Investments — affiliated issuers | 2,352 |
Foreign currency translations | 7,566 |
Net realized loss | (1,069,553) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 44,162,533 |
Investments — affiliated issuers | (1,020) |
Foreign currency translations | 91,553 |
Net change in unrealized appreciation (depreciation) | 44,253,066 |
Net realized and unrealized gain | 43,183,513 |
Net increase in net assets resulting from operations | $44,873,538 |
12 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income | $1,690,025 | $10,089,162 |
Net realized loss | (1,069,553) | (3,267,936) |
Net change in unrealized appreciation (depreciation) | 44,253,066 | (102,459,404) |
Net increase (decrease) in net assets resulting from operations | 44,873,538 | (95,638,178) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (600,773) | (6,997,862) |
Advisor Class | (48,228) | (88,243) |
Class C | (7,059) | (98,059) |
Institutional Class | (2,918,606) | (31,742,875) |
Institutional 2 Class | (171,758) | (297,512) |
Institutional 3 Class | (487,932) | (3,793,474) |
Class R | (871) | (8,699) |
Total distributions to shareholders | (4,235,227) | (43,026,724) |
Increase (decrease) in net assets from capital stock activity | (2,161,793) | 78,972,472 |
Total increase (decrease) in net assets | 38,476,518 | (59,692,430) |
Net assets at beginning of period | 442,266,741 | 501,959,171 |
Net assets at end of period | $480,743,259 | $442,266,741 |
Columbia International Dividend Income Fund | Semiannual Report 2023 | 13 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 296,198 | 4,991,165 | 715,307 | 13,769,011 |
Distributions reinvested | 35,124 | 560,559 | 333,971 | 6,501,856 |
Redemptions | (301,850) | (5,022,428) | (484,762) | (9,281,657) |
Net increase | 29,472 | 529,296 | 564,516 | 10,989,210 |
Advisor Class | ||||
Subscriptions | 281,458 | 4,886,363 | 280,694 | 5,372,578 |
Distributions reinvested | 2,978 | 48,208 | 4,687 | 88,019 |
Redemptions | (40,010) | (667,630) | (22,122) | (404,467) |
Net increase | 244,426 | 4,266,941 | 263,259 | 5,056,130 |
Class C | ||||
Subscriptions | 8,591 | 134,406 | 80,731 | 1,436,401 |
Distributions reinvested | 482 | 7,059 | 5,454 | 98,059 |
Redemptions | (22,796) | (339,705) | (27,149) | (456,370) |
Net increase (decrease) | (13,723) | (198,240) | 59,036 | 1,078,090 |
Institutional Class | ||||
Subscriptions | 380,315 | 6,303,788 | 2,241,537 | 44,297,229 |
Distributions reinvested | 176,246 | 2,824,407 | 1,579,441 | 30,850,576 |
Redemptions | (1,034,010) | (17,439,925) | (2,466,694) | (46,580,101) |
Net increase (decrease) | (477,449) | (8,311,730) | 1,354,284 | 28,567,704 |
Institutional 2 Class | ||||
Subscriptions | 114,752 | 1,911,095 | 1,199,470 | 23,185,790 |
Distributions reinvested | 10,809 | 171,639 | 16,250 | 297,288 |
Redemptions | (420,981) | (6,483,472) | (142,313) | (2,544,162) |
Net increase (decrease) | (295,420) | (4,400,738) | 1,073,407 | 20,938,916 |
Institutional 3 Class | ||||
Subscriptions | 499,710 | 8,352,993 | 2,115,335 | 37,705,293 |
Distributions reinvested | 30,401 | 487,911 | 194,484 | 3,793,098 |
Redemptions | (185,965) | (3,129,436) | (1,601,196) | (29,166,554) |
Net increase | 344,146 | 5,711,468 | 708,623 | 12,331,837 |
Class R | ||||
Subscriptions | 13,305 | 240,462 | 4,872 | 83,553 |
Distributions reinvested | 55 | 871 | 446 | 8,699 |
Redemptions | (7) | (123) | (4,308) | (81,667) |
Net increase | 13,353 | 241,210 | 1,010 | 10,585 |
Total net increase (decrease) | (155,195) | (2,161,793) | 4,024,135 | 78,972,472 |
14 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
Columbia International Dividend Income Fund | Semiannual Report 2023 | 15 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $16.22 | 0.04 | 1.61 | 1.65 | (0.14) | — | (0.14) |
Year Ended 8/31/2022 | $21.61 | 0.35(e) | (3.97) | (3.62) | (0.42) | (1.35) | (1.77) |
Year Ended 8/31/2021 | $17.70 | 0.30 | 4.20 | 4.50 | (0.20) | (0.39) | (0.59) |
Year Ended 8/31/2020 | $17.88 | 0.37 | 0.07 | 0.44 | (0.42) | (0.20) | (0.62) |
Year Ended 8/31/2019 | $18.83 | 0.45 | (0.54) | (0.09) | (0.49) | (0.37) | (0.86) |
Year Ended 8/31/2018 | $18.24 | 0.48 | 0.65 | 1.13 | (0.54) | — | (0.54) |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $16.39 | 0.06 | 1.62 | 1.68 | (0.16) | — | (0.16) |
Year Ended 8/31/2022 | $21.81 | 0.45(e) | (4.05) | (3.60) | (0.47) | (1.35) | (1.82) |
Year Ended 8/31/2021 | $17.86 | 0.36 | 4.23 | 4.59 | (0.25) | (0.39) | (0.64) |
Year Ended 8/31/2020 | $18.04 | 0.40 | 0.08 | 0.48 | (0.46) | (0.20) | (0.66) |
Year Ended 8/31/2019 | $18.99 | 0.51 | (0.55) | (0.04) | (0.54) | (0.37) | (0.91) |
Year Ended 8/31/2018 | $18.39 | 0.54 | 0.64 | 1.18 | (0.58) | — | (0.58) |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $14.98 | (0.02) | 1.49 | 1.47 | (0.08) | — | (0.08) |
Year Ended 8/31/2022 | $20.07 | 0.24(e) | (3.71) | (3.47) | (0.27) | (1.35) | (1.62) |
Year Ended 8/31/2021 | $16.50 | 0.11 | 3.95 | 4.06 | (0.10) | (0.39) | (0.49) |
Year Ended 8/31/2020 | $16.70 | 0.22 | 0.06 | 0.28 | (0.28) | (0.20) | (0.48) |
Year Ended 8/31/2019 | $17.63 | 0.29 | (0.49) | (0.20) | (0.36) | (0.37) | (0.73) |
Year Ended 8/31/2018 | $17.10 | 0.31 | 0.62 | 0.93 | (0.40) | — | (0.40) |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $16.29 | 0.06 | 1.61 | 1.67 | (0.16) | — | (0.16) |
Year Ended 8/31/2022 | $21.69 | 0.40(e) | (3.98) | (3.58) | (0.47) | (1.35) | (1.82) |
Year Ended 8/31/2021 | $17.76 | 0.35 | 4.22 | 4.57 | (0.25) | (0.39) | (0.64) |
Year Ended 8/31/2020 | $17.95 | 0.41 | 0.06 | 0.47 | (0.46) | (0.20) | (0.66) |
Year Ended 8/31/2019 | $18.90 | 0.50 | (0.54) | (0.04) | (0.54) | (0.37) | (0.91) |
Year Ended 8/31/2018 | $18.30 | 0.53 | 0.65 | 1.18 | (0.58) | — | (0.58) |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $16.24 | 0.08 | 1.60 | 1.68 | (0.17) | — | (0.17) |
Year Ended 8/31/2022 | $21.63 | 0.55(e) | (4.09) | (3.54) | (0.50) | (1.35) | (1.85) |
Year Ended 8/31/2021 | $17.72 | 0.38 | 4.20 | 4.58 | (0.28) | (0.39) | (0.67) |
Year Ended 8/31/2020 | $17.90 | 0.44 | 0.07 | 0.51 | (0.49) | (0.20) | (0.69) |
Year Ended 8/31/2019 | $18.85 | 0.56 | (0.58) | (0.02) | (0.56) | (0.37) | (0.93) |
Year Ended 8/31/2018 | $18.26 | 0.56 | 0.64 | 1.20 | (0.61) | — | (0.61) |
16 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.73 | 10.25% | 1.36%(c) | 1.27%(c),(d) | 0.51%(c) | 11% | $78,405 |
Year Ended 8/31/2022 | $16.22 | (18.02%) | 1.34%(f) | 1.26%(d),(f) | 1.82% | 34% | $71,242 |
Year Ended 8/31/2021 | $21.61 | 25.78% | 1.34%(f),(g) | 1.24%(d),(f),(g) | 1.51% | 28% | $82,701 |
Year Ended 8/31/2020 | $17.70 | 2.65% | 1.38%(f) | 1.24%(d),(f) | 2.09% | 91% | $71,493 |
Year Ended 8/31/2019 | $17.88 | (0.16%) | 1.44% | 1.25% | 2.56% | 56% | $78,887 |
Year Ended 8/31/2018 | $18.83 | 6.21% | 1.44% | 1.26%(d) | 2.52% | 39% | $93,177 |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.91 | 10.35% | 1.12%(c) | 1.02%(c),(d) | 0.76%(c) | 11% | $9,533 |
Year Ended 8/31/2022 | $16.39 | (17.78%) | 1.12%(f) | 1.02%(d),(f) | 2.50% | 34% | $4,715 |
Year Ended 8/31/2021 | $21.81 | 26.08% | 1.09%(f),(g) | 0.99%(d),(f),(g) | 1.77% | 28% | $534 |
Year Ended 8/31/2020 | $17.86 | 2.90% | 1.12%(f) | 0.98%(d),(f) | 2.16% | 91% | $293 |
Year Ended 8/31/2019 | $18.04 | 0.10% | 1.19% | 1.00% | 2.84% | 56% | $1,027 |
Year Ended 8/31/2018 | $18.99 | 6.47% | 1.19% | 1.01%(d) | 2.82% | 39% | $1,141 |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $16.37 | 9.84% | 2.11%(c) | 2.02%(c),(d) | (0.23%)(c) | 11% | $1,446 |
Year Ended 8/31/2022 | $14.98 | (18.61%) | 2.10%(f) | 2.01%(d),(f) | 1.37% | 34% | $1,529 |
Year Ended 8/31/2021 | $20.07 | 24.86% | 2.09%(f),(g) | 1.99%(d),(f),(g) | 0.62% | 28% | $864 |
Year Ended 8/31/2020 | $16.50 | 1.83% | 2.13%(f) | 1.98%(d),(f) | 1.30% | 91% | $1,100 |
Year Ended 8/31/2019 | $16.70 | (0.86%) | 2.19% | 2.00% | 1.72% | 56% | $1,745 |
Year Ended 8/31/2018 | $17.63 | 5.42% | 2.19% | 2.01%(d) | 1.76% | 39% | $3,268 |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.80 | 10.35% | 1.11%(c) | 1.02%(c),(d) | 0.76%(c) | 11% | $322,755 |
Year Ended 8/31/2022 | $16.29 | (17.78%) | 1.09%(f) | 1.01%(d),(f) | 2.06% | 34% | $303,028 |
Year Ended 8/31/2021 | $21.69 | 26.11% | 1.09%(f),(g) | 0.99%(d),(f),(g) | 1.76% | 28% | $374,189 |
Year Ended 8/31/2020 | $17.76 | 2.86% | 1.13%(f) | 0.99%(d),(f) | 2.34% | 91% | $325,493 |
Year Ended 8/31/2019 | $17.95 | 0.10% | 1.19% | 1.00% | 2.83% | 56% | $354,127 |
Year Ended 8/31/2018 | $18.90 | 6.51% | 1.19% | 1.01%(d) | 2.78% | 39% | $395,163 |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.75 | 10.47% | 0.90%(c) | 0.88%(c) | 0.94%(c) | 11% | $14,805 |
Year Ended 8/31/2022 | $16.24 | (17.66%) | 0.92%(f) | 0.88%(f) | 3.06% | 34% | $18,344 |
Year Ended 8/31/2021 | $21.63 | 26.23% | 0.91%(f),(g) | 0.86%(f),(g) | 1.88% | 28% | $1,219 |
Year Ended 8/31/2020 | $17.72 | 3.07% | 0.90%(f) | 0.86%(f) | 2.49% | 91% | $873 |
Year Ended 8/31/2019 | $17.90 | 0.23% | 0.91% | 0.87% | 3.13% | 56% | $1,337 |
Year Ended 8/31/2018 | $18.85 | 6.62% | 0.91% | 0.88% | 2.93% | 39% | $553 |
Columbia International Dividend Income Fund | Semiannual Report 2023 | 17 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $16.27 | 0.08 | 1.61 | 1.69 | (0.18) | — | (0.18) |
Year Ended 8/31/2022 | $21.67 | 0.43(e) | (3.97) | (3.54) | (0.51) | (1.35) | (1.86) |
Year Ended 8/31/2021 | $17.75 | 0.39 | 4.21 | 4.60 | (0.29) | (0.39) | (0.68) |
Year Ended 8/31/2020 | $17.94 | 0.45 | 0.06 | 0.51 | (0.50) | (0.20) | (0.70) |
Year Ended 8/31/2019 | $18.89 | 0.51 | (0.52) | (0.01) | (0.57) | (0.37) | (0.94) |
Year Ended 8/31/2018 | $18.29 | 0.57 | 0.65 | 1.22 | (0.62) | — | (0.62) |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $16.19 | 0.01 | 1.62 | 1.63 | (0.12) | — | (0.12) |
Year Ended 8/31/2022 | $21.57 | 0.31(e) | (3.97) | (3.66) | (0.37) | (1.35) | (1.72) |
Year Ended 8/31/2021 | $17.67 | 0.26 | 4.19 | 4.45 | (0.16) | (0.39) | (0.55) |
Year Ended 8/31/2020 | $17.85 | 0.32 | 0.07 | 0.39 | (0.37) | (0.20) | (0.57) |
Year Ended 8/31/2019 | $18.80 | 0.25 | (0.38) | (0.13) | (0.45) | (0.37) | (0.82) |
Year Ended 8/31/2018 | $18.21 | 0.43 | 0.65 | 1.08 | (0.49) | — | (0.49) |
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) | Annualized. |
(d) | The benefits derived from expense reductions had an impact of: |
Class | 2/28/2023 | 8/31/2022 | 8/31/2021 | 8/31/2020 | 8/31/2019 | 8/31/2018 |
Class A | 0.01% | 0.01% | 0.01% | 0.02% | —% | 0.01% |
Advisor Class | 0.01% | 0.00% | 0.01% | 0.03% | —% | 0.02% |
Class C | 0.02% | 0.01% | 0.02% | 0.02% | —% | 0.02% |
Institutional Class | 0.01% | 0.01% | 0.01% | 0.02% | —% | 0.02% |
Class R | 0.01% | 0.01% | 0.01% | 0.02% | —% | 0.01% |
(e) | Net investment income per share includes European Union tax reclaims. The effect of these reclaims amounted to $0.01 per share. |
(f) | Ratios include interfund lending expense which is less than 0.01%. |
(g) | Ratios include line of credit interest expense which is less than 0.01%. |
18 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.78 | 10.48% | 0.85%(c) | 0.83%(c) | 0.94%(c) | 11% | $53,433 |
Year Ended 8/31/2022 | $16.27 | (17.63%) | 0.85%(f) | 0.82%(f) | 2.24% | 34% | $43,292 |
Year Ended 8/31/2021 | $21.67 | 26.30% | 0.86%(f),(g) | 0.81%(f),(g) | 1.95% | 28% | $42,318 |
Year Ended 8/31/2020 | $17.75 | 3.07% | 0.85%(f) | 0.81%(f) | 2.58% | 91% | $36,384 |
Year Ended 8/31/2019 | $17.94 | 0.29% | 0.85% | 0.81% | 2.87% | 56% | $47,630 |
Year Ended 8/31/2018 | $18.89 | 6.72% | 0.85% | 0.82% | 2.98% | 39% | $63,148 |
Class R | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $17.70 | 10.14% | 1.61%(c) | 1.52%(c),(d) | 0.07%(c) | 11% | $365 |
Year Ended 8/31/2022 | $16.19 | (18.22%) | 1.59%(f) | 1.50%(d),(f) | 1.61% | 34% | $118 |
Year Ended 8/31/2021 | $21.57 | 25.48% | 1.59%(f),(g) | 1.49%(d),(f),(g) | 1.28% | 28% | $135 |
Year Ended 8/31/2020 | $17.67 | 2.37% | 1.63%(f) | 1.49%(d),(f) | 1.84% | 91% | $104 |
Year Ended 8/31/2019 | $17.85 | (0.41%) | 1.70% | 1.50% | 1.41% | 56% | $117 |
Year Ended 8/31/2018 | $18.80 | 5.95% | 1.69% | 1.51%(d) | 2.27% | 39% | $1,705 |
Columbia International Dividend Income Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
20 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia International Dividend Income Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
22 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia International Dividend Income Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Class A | 0.27 |
Advisor Class | 0.27 |
Class C | 0.27 |
Institutional Class | 0.27 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.26 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 28,545 |
Class C | — | 1.00(b) | 124 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
24 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Fee rate(s) contractual through December 31, 2023 | |
Class A | 1.27% |
Advisor Class | 1.02 |
Class C | 2.02 |
Institutional Class | 1.02 |
Institutional 2 Class | 0.88 |
Institutional 3 Class | 0.83 |
Class R | 1.52 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
448,292,000 | 60,820,000 | (33,135,000) | 27,685,000 |
Late year ordinary losses ($) | Post-October capital losses ($) |
— | 3,383,414 |
Columbia International Dividend Income Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
26 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia International Dividend Income Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
28 | Columbia International Dividend Income Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia International Dividend Income Fund | Semiannual Report 2023 | 29 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/02 | 0.39 | -16.08 | 11.57 | 18.33 |
Including sales charges | -5.38 | -20.91 | 10.26 | 17.63 | ||
Advisor Class | 11/08/12 | 0.52 | -15.87 | 11.85 | 18.61 | |
Class C | Excluding sales charges | 10/13/03 | 0.00 | -16.71 | 10.73 | 17.43 |
Including sales charges | -0.96 | -17.51 | 10.73 | 17.43 | ||
Institutional Class | 11/09/00 | 0.52 | -15.86 | 11.85 | 18.62 | |
Institutional 2 Class | 11/08/12 | 0.53 | -15.83 | 11.91 | 18.73 | |
Institutional 3 Class* | 03/01/16 | 0.55 | -15.79 | 11.97 | 18.72 | |
S&P Global 1200 Information Technology Index (Net) | 2.40 | -12.10 | 13.70 | 17.00 |
* | 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 Global Technology Growth Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at February 28, 2023) | |
Communication Services | 8.5 |
Consumer Discretionary | 5.7 |
Health Care | 0.1 |
Industrials | 0.7 |
Information Technology | 84.5 |
Materials | 0.2 |
Real Estate | 0.3 |
Total | 100.0 |
Equity sub-industry breakdown (%) (at February 28, 2023) | |
Information Technology | |
Application Software | 11.0 |
Communications Equipment | 2.4 |
Data Processing & Outsourced Services | 10.1 |
Electronic Components | 0.7 |
Electronic Equipment & Instruments | 1.1 |
Electronic Manufacturing Services | 0.5 |
Internet Services & Infrastructure | 2.4 |
IT Consulting & Other Services | 1.9 |
Semiconductor Equipment | 8.0 |
Semiconductors | 19.1 |
Systems Software | 13.8 |
Technology Distributors | 0.6 |
Technology Hardware, Storage & Peripherals | 12.9 |
Total | 84.5 |
Country breakdown (%) (at February 28, 2023) | |
Canada | 0.6 |
China | 0.3 |
France | 0.3 |
Germany | 0.5 |
Ireland | 1.3 |
Israel | 0.2 |
Japan | 0.6 |
Netherlands | 4.6 |
Norway | 0.1 |
South Korea | 1.1 |
Taiwan | 1.6 |
United States(a) | 88.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
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 | 1,003.90 | 1,018.84 | 5.96 | 6.01 | 1.20 |
Advisor Class | 1,000.00 | 1,000.00 | 1,005.20 | 1,020.08 | 4.72 | 4.76 | 0.95 |
Class C | 1,000.00 | 1,000.00 | 1,000.00 | 1,015.12 | 9.67 | 9.74 | 1.95 |
Institutional Class | 1,000.00 | 1,000.00 | 1,005.20 | 1,020.08 | 4.72 | 4.76 | 0.95 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,005.30 | 1,020.38 | 4.43 | 4.46 | 0.89 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,005.50 | 1,020.63 | 4.18 | 4.21 | 0.84 |
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Common Stocks 98.7% | ||
Issuer | Shares | Value ($) |
Canada 0.6% | ||
Shopify, Inc., Class A(a) | 273,042 | 11,232,948 |
China 0.3% | ||
Alibaba Group Holding Ltd., ADR(a) | 9,383 | 823,734 |
Hesai Group, ADR(a) | 178,942 | 3,349,794 |
Tencent Holdings Ltd. | 20,800 | 913,711 |
Total | 5,087,239 | |
France 0.3% | ||
Capgemini SE | 27,510 | 5,159,121 |
Germany 0.5% | ||
SAP SE, ADR | 93,108 | 10,597,553 |
Ireland 1.3% | ||
Accenture PLC, Class A | 94,457 | 25,083,056 |
Israel 0.2% | ||
Global-e Online Ltd.(a) | 136,017 | 3,849,281 |
Japan 0.6% | ||
Keyence Corp. | 28,400 | 12,275,256 |
Netherlands 4.5% | ||
Adyen NV(a) | 754 | 1,068,742 |
ASML Holding NV | 81,773 | 50,513,635 |
NXP Semiconductors NV | 132,270 | 23,607,550 |
STMicroelectronics NV, Registered Shares | 293,948 | 14,156,536 |
Total | 89,346,463 | |
Norway 0.1% | ||
SmartCraft ASA(a) | 1,543,971 | 2,696,983 |
South Korea 1.1% | ||
Samsung Electronics Co., Ltd. | 467,056 | 21,370,113 |
Taiwan 1.6% | ||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 371,412 | 32,338,843 |
United States 87.6% | ||
Activision Blizzard, Inc. | 176,557 | 13,462,471 |
Adobe, Inc.(a) | 76,318 | 24,723,216 |
Advanced Micro Devices, Inc.(a) | 301,281 | 23,674,661 |
Airbnb, Inc., Class A(a) | 54,055 | 6,663,900 |
Akamai Technologies, Inc.(a) | 51,079 | 3,708,335 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Alphabet, Inc., Class A(a) | 842,511 | 75,876,541 |
Amazon.com, Inc.(a) | 601,495 | 56,678,874 |
Amphenol Corp., Class A | 127,558 | 9,888,296 |
Analog Devices, Inc. | 149,466 | 27,422,527 |
ANSYS, Inc.(a) | 42,115 | 12,786,535 |
Apple, Inc. | 1,404,356 | 207,016,118 |
Applied Materials, Inc. | 286,906 | 33,324,132 |
Arista Networks, Inc.(a) | 84,817 | 11,764,118 |
Atlassian Corp., Class A(a) | 66,019 | 10,848,902 |
Autodesk, Inc.(a) | 31,738 | 6,306,023 |
Automatic Data Processing, Inc. | 90,425 | 19,877,224 |
BILL Holdings, Inc.(a) | 35,295 | 2,987,016 |
Block, Inc., Class A(a) | 82,804 | 6,353,551 |
Booking Holdings, Inc.(a) | 4,481 | 11,310,044 |
Broadcom, Inc. | 114,032 | 67,768,077 |
Cadence Design Systems, Inc.(a) | 86,089 | 16,610,012 |
CDW Corp. | 52,506 | 10,628,265 |
Cisco Systems, Inc. | 431,561 | 20,896,184 |
Cognizant Technology Solutions Corp., Class A | 46,608 | 2,919,059 |
Comcast Corp., Class A | 102,805 | 3,821,262 |
Corning, Inc. | 122,123 | 4,146,076 |
Crowdstrike Holdings, Inc., Class A(a) | 109,247 | 13,185,020 |
Electronic Arts, Inc. | 52,295 | 5,801,607 |
Endeavor Group Holdings, Inc., Class A(a) | 156,720 | 3,496,423 |
EngageSmart, Inc.(a) | 224,067 | 4,714,370 |
EPAM Systems, Inc.(a) | 3,225 | 992,171 |
Fidelity National Information Services, Inc. | 124,635 | 7,898,120 |
Fiserv, Inc.(a) | 91,655 | 10,548,574 |
Flywire Corp.(a) | 169,698 | 4,196,632 |
Fortinet, Inc.(a) | 264,036 | 15,694,300 |
Gitlab, Inc., Class A(a) | 72,164 | 3,178,103 |
Global Payments, Inc. | 70,683 | 7,930,633 |
HP, Inc. | 144,094 | 4,253,655 |
Intel Corp. | 328,056 | 8,178,436 |
Intuit, Inc. | 66,951 | 27,261,108 |
Keysight Technologies, Inc.(a) | 61,162 | 9,783,474 |
KLA Corp. | 30,113 | 11,424,270 |
6 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Lam Research Corp. | 121,152 | 58,881,084 |
Livent Corp.(a) | 121,703 | 2,853,935 |
Marvell Technology, Inc. | 573,286 | 25,883,863 |
MasterCard, Inc., Class A | 158,246 | 56,223,221 |
Match Group, Inc.(a) | 74,446 | 3,083,553 |
Meta Platforms, Inc., Class A(a) | 102,101 | 17,861,549 |
Microchip Technology, Inc. | 150,049 | 12,158,470 |
Micron Technology, Inc. | 189,507 | 10,957,295 |
Microsoft Corp. | 751,729 | 187,496,247 |
Mobileye Global, Inc., Class A(a) | 8,554 | 337,969 |
MongoDB, Inc.(a) | 32,802 | 6,872,675 |
Motorola Solutions, Inc. | 52,663 | 13,840,363 |
NetApp, Inc. | 202,386 | 13,064,016 |
Netflix, Inc.(a) | 40,594 | 13,076,545 |
NVIDIA Corp. | 377,570 | 87,656,651 |
Oracle Corp. | 197,638 | 17,273,561 |
Palo Alto Networks, Inc.(a) | 78,227 | 14,735,620 |
Paycom Software, Inc.(a) | 19,732 | 5,703,732 |
PayPal Holdings, Inc.(a) | 168,696 | 12,416,026 |
QUALCOMM, Inc. | 148,014 | 18,284,169 |
Salesforce, Inc.(a) | 120,831 | 19,769,160 |
SBA Communications Corp. | 25,131 | 6,517,725 |
ServiceNow, Inc.(a) | 38,267 | 16,537,849 |
Sharecare, Inc.(a) | 644,872 | 1,509,001 |
Shift4 Payments, Inc., Class A(a) | 86,347 | 5,569,382 |
Snowflake, Inc., Class A(a) | 65,950 | 10,181,361 |
Splunk, Inc.(a) | 35,276 | 3,615,790 |
Synopsys, Inc.(a) | 158,784 | 57,759,268 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Take-Two Interactive Software, Inc.(a) | 36,734 | 4,024,210 |
TE Connectivity Ltd. | 76,572 | 9,749,147 |
Tesla, Inc.(a) | 86,902 | 17,876,610 |
Texas Instruments, Inc. | 110,612 | 18,964,427 |
Thoughtworks Holding, Inc.(a) | 201,114 | 1,480,199 |
T-Mobile US, Inc.(a) | 74,770 | 10,630,799 |
Trade Desk, Inc. (The), Class A(a) | 96,701 | 5,411,388 |
Tyler Technologies, Inc.(a) | 8,577 | 2,755,361 |
Uber Technologies, Inc.(a) | 415,847 | 13,831,071 |
VeriSign, Inc.(a) | 70,515 | 13,879,467 |
Visa, Inc., Class A | 295,368 | 64,963,238 |
Visteon Corp.(a) | 60,060 | 10,032,422 |
Walt Disney Co. (The)(a) | 77,143 | 7,684,214 |
Western Digital Corp.(a) | 100,300 | 3,859,544 |
Workday, Inc., Class A(a) | 24,812 | 4,601,882 |
Total | 1,719,862,374 | |
Total Common Stocks (Cost $809,536,799) | 1,938,899,230 | |
Money Market Funds 1.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(b),(c) | 24,955,891 | 24,945,908 |
Total Money Market Funds (Cost $24,945,328) | 24,945,908 | |
Total Investments in Securities (Cost $834,482,127) | 1,963,845,138 | |
Other Assets & Liabilities, Net | 131,059 | |
Net Assets | $1,963,976,197 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
28,853,973 | 126,175,846 | (130,081,501) | (2,410) | 24,945,908 | 4,162 | 440,311 | 24,955,891 |
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
ADR | American Depositary Receipt |
■ | 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 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Canada | 11,232,948 | — | — | 11,232,948 |
China | 4,173,528 | 913,711 | — | 5,087,239 |
France | — | 5,159,121 | — | 5,159,121 |
Germany | 10,597,553 | — | — | 10,597,553 |
Ireland | 25,083,056 | — | — | 25,083,056 |
Israel | 3,849,281 | — | — | 3,849,281 |
Japan | — | 12,275,256 | — | 12,275,256 |
Netherlands | 88,277,721 | 1,068,742 | — | 89,346,463 |
Norway | — | 2,696,983 | — | 2,696,983 |
South Korea | — | 21,370,113 | — | 21,370,113 |
Taiwan | 32,338,843 | — | — | 32,338,843 |
United States | 1,719,862,374 | — | — | 1,719,862,374 |
Total Common Stocks | 1,895,415,304 | 43,483,926 | — | 1,938,899,230 |
Money Market Funds | 24,945,908 | — | — | 24,945,908 |
Total Investments in Securities | 1,920,361,212 | 43,483,926 | — | 1,963,845,138 |
8 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
See the Portfolio of Investments for all investment classifications not indicated in the table.
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $809,536,799) | $1,938,899,230 |
Affiliated issuers (cost $24,945,328) | 24,945,908 |
Cash | 1,178 |
Receivable for: | |
Capital shares sold | 1,622,881 |
Dividends | 1,373,696 |
Foreign tax reclaims | 50,515 |
Prepaid expenses | 21,184 |
Trustees’ deferred compensation plan | 112,628 |
Other assets | 37,866 |
Total assets | 1,967,065,086 |
Liabilities | |
Payable for: | |
Investments purchased | 632,242 |
Capital shares purchased | 1,999,483 |
Management services fees | 43,523 |
Distribution and/or service fees | 7,198 |
Transfer agent fees | 189,861 |
Compensation of board members | 38,435 |
Compensation of chief compliance officer | 190 |
Other expenses | 65,329 |
Trustees’ deferred compensation plan | 112,628 |
Total liabilities | 3,088,889 |
Net assets applicable to outstanding capital stock | $1,963,976,197 |
Represented by | |
Paid in capital | 813,876,696 |
Total distributable earnings (loss) | 1,150,099,501 |
Total - representing net assets applicable to outstanding capital stock | $1,963,976,197 |
Class A | |
Net assets | $504,205,586 |
Shares outstanding | 10,414,072 |
Net asset value per share | $48.42 |
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) | $51.37 |
Advisor Class | |
Net assets | $80,420,718 |
Shares outstanding | 1,555,586 |
Net asset value per share | $51.70 |
Class C | |
Net assets | $136,411,857 |
Shares outstanding | 3,255,552 |
Net asset value per share | $41.90 |
Institutional Class | |
Net assets | $746,276,185 |
Shares outstanding | 14,654,257 |
Net asset value per share | $50.93 |
Institutional 2 Class | |
Net assets | $150,496,959 |
Shares outstanding | 2,886,774 |
Net asset value per share | $52.13 |
Institutional 3 Class | |
Net assets | $346,164,892 |
Shares outstanding | 6,613,225 |
Net asset value per share | $52.34 |
10 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $8,229,754 |
Dividends — affiliated issuers | 440,311 |
Foreign taxes withheld | (232,127) |
Total income | 8,437,938 |
Expenses: | |
Management services fees | 7,828,092 |
Distribution and/or service fees | |
Class A | 602,120 |
Class C | 680,409 |
Transfer agent fees | |
Class A | 274,532 |
Advisor Class | 44,769 |
Class C | 77,489 |
Institutional Class | 415,572 |
Institutional 2 Class | 41,131 |
Institutional 3 Class | 12,573 |
Compensation of board members | 23,705 |
Custodian fees | 15,512 |
Printing and postage fees | 58,842 |
Registration fees | 66,542 |
Audit fees | 15,226 |
Legal fees | 19,931 |
Compensation of chief compliance officer | 190 |
Other | 21,176 |
Total expenses | 10,197,811 |
Expense reduction | (460) |
Total net expenses | 10,197,351 |
Net investment loss | (1,759,413) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 45,953,352 |
Investments — affiliated issuers | 4,162 |
Foreign currency translations | 6,935 |
Net realized gain | 45,964,449 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (47,374,871) |
Investments — affiliated issuers | (2,410) |
Foreign currency translations | 430 |
Net change in unrealized appreciation (depreciation) | (47,376,851) |
Net realized and unrealized loss | (1,412,402) |
Net decrease in net assets resulting from operations | $(3,171,815) |
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 11 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment loss | $(1,759,413) | $(10,523,430) |
Net realized gain | 45,964,449 | 86,415,602 |
Net change in unrealized appreciation (depreciation) | (47,376,851) | (820,659,300) |
Net decrease in net assets resulting from operations | (3,171,815) | (744,767,128) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (15,587,901) | (30,250,343) |
Advisor Class | (2,386,035) | (5,648,183) |
Class C | (5,046,799) | (9,216,658) |
Institutional Class | (22,467,281) | (58,805,302) |
Institutional 2 Class | (4,364,437) | (9,361,729) |
Institutional 3 Class | (10,547,931) | (19,242,649) |
Total distributions to shareholders | (60,400,384) | (132,524,864) |
Decrease in net assets from capital stock activity | (132,881,928) | (189,662,493) |
Total decrease in net assets | (196,454,127) | (1,066,954,485) |
Net assets at beginning of period | 2,160,430,324 | 3,227,384,809 |
Net assets at end of period | $1,963,976,197 | $2,160,430,324 |
12 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Subscriptions | 677,461 | 31,631,063 | 1,621,216 | 97,434,247 |
Distributions reinvested | 311,437 | 14,017,782 | 403,671 | 26,932,912 |
Redemptions | (1,021,211) | (47,699,758) | (2,211,457) | (129,855,926) |
Net decrease | (32,313) | (2,050,913) | (186,570) | (5,488,767) |
Advisor Class | ||||
Subscriptions | 223,564 | 10,942,737 | 424,128 | 27,391,632 |
Distributions reinvested | 47,968 | 2,304,404 | 77,045 | 5,460,919 |
Redemptions | (332,929) | (16,446,550) | (921,483) | (59,197,248) |
Net decrease | (61,397) | (3,199,409) | (420,310) | (26,344,697) |
Class C | ||||
Subscriptions | 120,800 | 4,858,141 | 295,862 | 16,031,913 |
Distributions reinvested | 122,951 | 4,797,557 | 147,721 | 8,650,536 |
Redemptions | (486,025) | (19,679,264) | (948,069) | (49,328,340) |
Net decrease | (242,274) | (10,023,566) | (504,486) | (24,645,891) |
Institutional Class | ||||
Subscriptions | 1,191,012 | 58,379,340 | 3,589,971 | 218,299,110 |
Distributions reinvested | 421,361 | 19,938,807 | 625,016 | 43,657,376 |
Redemptions | (2,500,817) | (121,859,132) | (8,331,772) | (494,807,490) |
Net decrease | (888,444) | (43,540,985) | (4,116,785) | (232,851,004) |
Institutional 2 Class | ||||
Subscriptions | 305,927 | 15,599,540 | 514,999 | 32,257,304 |
Distributions reinvested | 90,090 | 4,363,940 | 131,098 | 9,361,729 |
Redemptions | (364,549) | (18,274,435) | (1,016,556) | (67,563,321) |
Net increase (decrease) | 31,468 | 1,689,045 | (370,459) | (25,944,288) |
Institutional 3 Class | ||||
Subscriptions | 525,929 | 27,023,561 | 4,106,347 | 249,400,923 |
Distributions reinvested | 150,883 | 7,337,420 | 267,546 | 19,169,684 |
Redemptions | (2,172,649) | (110,117,081) | (2,293,150) | (142,958,453) |
Net increase (decrease) | (1,495,837) | (75,756,100) | 2,080,743 | 125,612,154 |
Total net decrease | (2,688,797) | (132,881,928) | (3,517,867) | (189,662,493) |
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 13 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class A | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $49.88 | (0.08) | 0.16(c) | 0.08 | (1.54) | (1.54) |
Year Ended 8/31/2022 | $68.96 | (0.31) | (15.91) | (16.22) | (2.86) | (2.86) |
Year Ended 8/31/2021 | $52.81 | (0.34) | 17.02 | 16.68 | (0.53) | (0.53) |
Year Ended 8/31/2020 | $35.69 | (0.14) | 17.76 | 17.62 | (0.50) | (0.50) |
Year Ended 8/31/2019 | $36.28 | (0.05) | 1.10 | 1.05 | (1.64) | (1.64) |
Year Ended 8/31/2018 | $28.59 | (0.11) | 8.86 | 8.75 | (1.06) | (1.06) |
Advisor Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $53.08 | (0.02) | 0.18(c) | 0.16 | (1.54) | (1.54) |
Year Ended 8/31/2022 | $73.19 | (0.18) | (16.90) | (17.08) | (3.03) | (3.03) |
Year Ended 8/31/2021 | $55.95 | (0.20) | 18.04 | 17.84 | (0.60) | (0.60) |
Year Ended 8/31/2020 | $37.69 | (0.04) | 18.80 | 18.76 | (0.50) | (0.50) |
Year Ended 8/31/2019 | $38.21 | 0.04 | 1.16 | 1.20 | (1.72) | (1.72) |
Year Ended 8/31/2018 | $30.05 | (0.02) | 9.31 | 9.29 | (1.13) | (1.13) |
Class C | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $43.55 | (0.22) | 0.11(c) | (0.11) | (1.54) | (1.54) |
Year Ended 8/31/2022 | $60.51 | (0.67) | (13.93) | (14.60) | (2.36) | (2.36) |
Year Ended 8/31/2021 | $46.75 | (0.69) | 14.98 | 14.29 | (0.53) | (0.53) |
Year Ended 8/31/2020 | $31.88 | (0.40) | 15.77 | 15.37 | (0.50) | (0.50) |
Year Ended 8/31/2019 | $32.54 | (0.27) | 0.99 | 0.72 | (1.38) | (1.38) |
Year Ended 8/31/2018 | $25.78 | (0.32) | 7.97 | 7.65 | (0.89) | (0.89) |
Institutional Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $52.31 | (0.02) | 0.18(c) | 0.16 | (1.54) | (1.54) |
Year Ended 8/31/2022 | $72.17 | (0.17) | (16.66) | (16.83) | (3.03) | (3.03) |
Year Ended 8/31/2021 | $55.18 | (0.20) | 17.79 | 17.59 | (0.60) | (0.60) |
Year Ended 8/31/2020 | $37.17 | (0.04) | 18.55 | 18.51 | (0.50) | (0.50) |
Year Ended 8/31/2019 | $37.72 | 0.03 | 1.15 | 1.18 | (1.73) | (1.73) |
Year Ended 8/31/2018 | $29.68 | (0.03) | 9.20 | 9.17 | (1.13) | (1.13) |
Institutional 2 Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $53.50 | (0.00)(f) | 0.17(c) | 0.17 | (1.54) | (1.54) |
Year Ended 8/31/2022 | $73.74 | (0.14) | (17.03) | (17.17) | (3.07) | (3.07) |
Year Ended 8/31/2021 | $56.36 | (0.17) | 18.18 | 18.01 | (0.63) | (0.63) |
Year Ended 8/31/2020 | $37.94 | (0.01) | 18.93 | 18.92 | (0.50) | (0.50) |
Year Ended 8/31/2019 | $38.45 | 0.06 | 1.18 | 1.24 | (1.75) | (1.75) |
Year Ended 8/31/2018 | $30.23 | (0.00)(f) | 9.37 | 9.37 | (1.15) | (1.15) |
14 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $48.42 | 0.39% | 1.20%(d) | 1.20%(d),(e) | (0.32%)(d) | 3% | $504,206 |
Year Ended 8/31/2022 | $49.88 | (24.57%) | 1.18% | 1.18%(e) | (0.52%) | 8% | $521,027 |
Year Ended 8/31/2021 | $68.96 | 31.80% | 1.18% | 1.18%(e) | (0.57%) | 18% | $733,206 |
Year Ended 8/31/2020 | $52.81 | 49.88% | 1.22% | 1.22%(e) | (0.35%) | 12% | $542,684 |
Year Ended 8/31/2019 | $35.69 | 4.08% | 1.24% | 1.24% | (0.16%) | 40% | $333,217 |
Year Ended 8/31/2018 | $36.28 | 31.32% | 1.25% | 1.25%(e) | (0.33%) | 28% | $372,730 |
Advisor Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $51.70 | 0.52% | 0.95%(d) | 0.95%(d),(e) | (0.07%)(d) | 3% | $80,421 |
Year Ended 8/31/2022 | $53.08 | (24.38%) | 0.92% | 0.92%(e) | (0.27%) | 8% | $85,831 |
Year Ended 8/31/2021 | $73.19 | 32.12% | 0.93% | 0.93%(e) | (0.32%) | 18% | $149,110 |
Year Ended 8/31/2020 | $55.95 | 50.26% | 0.97% | 0.97%(e) | (0.10%) | 12% | $228,489 |
Year Ended 8/31/2019 | $37.69 | 4.33% | 0.99% | 0.99% | 0.11% | 40% | $135,472 |
Year Ended 8/31/2018 | $38.21 | 31.65% | 1.01% | 1.01%(e) | (0.05%) | 28% | $104,061 |
Class C | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $41.90 | 0.00%(f) | 1.95%(d) | 1.95%(d),(e) | (1.07%)(d) | 3% | $136,412 |
Year Ended 8/31/2022 | $43.55 | (25.12%) | 1.92% | 1.92%(e) | (1.27%) | 8% | $152,317 |
Year Ended 8/31/2021 | $60.51 | 30.80% | 1.93% | 1.93%(e) | (1.32%) | 18% | $242,186 |
Year Ended 8/31/2020 | $46.75 | 48.77% | 1.97% | 1.97%(e) | (1.10%) | 12% | $207,808 |
Year Ended 8/31/2019 | $31.88 | 3.31% | 1.99% | 1.99% | (0.90%) | 40% | $139,366 |
Year Ended 8/31/2018 | $32.54 | 30.31% | 2.00% | 2.00%(e) | (1.08%) | 28% | $139,590 |
Institutional Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $50.93 | 0.52% | 0.95%(d) | 0.95%(d),(e) | (0.07%)(d) | 3% | $746,276 |
Year Ended 8/31/2022 | $52.31 | (24.38%) | 0.92% | 0.92%(e) | (0.27%) | 8% | $813,076 |
Year Ended 8/31/2021 | $72.17 | 32.11% | 0.93% | 0.93%(e) | (0.32%) | 18% | $1,418,896 |
Year Ended 8/31/2020 | $55.18 | 50.29% | 0.97% | 0.97%(e) | (0.10%) | 12% | $1,143,613 |
Year Ended 8/31/2019 | $37.17 | 4.32% | 0.99% | 0.99% | 0.09% | 40% | $693,232 |
Year Ended 8/31/2018 | $37.72 | 31.64% | 1.00% | 1.00%(e) | (0.09%) | 28% | $686,134 |
Institutional 2 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $52.13 | 0.53% | 0.89%(d) | 0.89%(d) | (0.02%)(d) | 3% | $150,497 |
Year Ended 8/31/2022 | $53.50 | (24.33%) | 0.87% | 0.87% | (0.22%) | 8% | $152,756 |
Year Ended 8/31/2021 | $73.74 | 32.20% | 0.87% | 0.87% | (0.26%) | 18% | $237,884 |
Year Ended 8/31/2020 | $56.36 | 50.35% | 0.90% | 0.90% | (0.03%) | 12% | $184,262 |
Year Ended 8/31/2019 | $37.94 | 4.42% | 0.92% | 0.92% | 0.17% | 40% | $130,115 |
Year Ended 8/31/2018 | $38.45 | 31.73% | 0.93% | 0.93% | (0.00%)(f) | 28% | $101,134 |
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 15 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | ||||||
Six Months Ended 2/28/2023 (Unaudited) | $53.70 | 0.01 | 0.17(c) | 0.18 | (1.54) | (1.54) |
Year Ended 8/31/2022 | $74.00 | (0.11) | (17.09) | (17.20) | (3.10) | (3.10) |
Year Ended 8/31/2021 | $56.55 | (0.14) | 18.25 | 18.11 | (0.66) | (0.66) |
Year Ended 8/31/2020 | $38.04 | 0.01 | 19.00 | 19.01 | (0.50) | (0.50) |
Year Ended 8/31/2019 | $38.55 | 0.08 | 1.18 | 1.26 | (1.77) | (1.77) |
Year Ended 8/31/2018 | $30.31 | 0.01 | 9.39 | 9.40 | (1.16) | (1.16) |
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) | 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. |
(d) | Annualized. |
(e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(f) | Rounds to zero. |
16 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
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 | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $52.34 | 0.55% | 0.84%(d) | 0.84%(d) | 0.03%(d) | 3% | $346,165 |
Year Ended 8/31/2022 | $53.70 | (24.29%) | 0.82% | 0.82% | (0.16%) | 8% | $435,424 |
Year Ended 8/31/2021 | $74.00 | 32.27% | 0.82% | 0.82% | (0.21%) | 18% | $446,103 |
Year Ended 8/31/2020 | $56.55 | 50.46% | 0.85% | 0.85% | 0.02% | 12% | $250,485 |
Year Ended 8/31/2019 | $38.04 | 4.47% | 0.87% | 0.87% | 0.22% | 40% | $102,746 |
Year Ended 8/31/2018 | $38.55 | 31.77% | 0.88% | 0.88% | 0.03% | 28% | $64,995 |
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 17 |
February 28, 2023 (Unaudited)
18 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
20 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Class A | 0.11 |
Advisor Class | 0.11 |
Class C | 0.11 |
Institutional Class | 0.11 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 247,929 |
Class C | — | 1.00(b) | 3,886 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2023 through December 31, 2023 | Prior to January 1, 2023 | |
Class A | 1.33% | 1.37% |
Advisor Class | 1.08 | 1.12 |
Class C | 2.08 | 2.12 |
Institutional Class | 1.08 | 1.12 |
Institutional 2 Class | 1.04 | 1.07 |
Institutional 3 Class | 0.99 | 1.02 |
22 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
834,482,000 | 1,198,542,000 | (69,179,000) | 1,129,363,000 |
Late year ordinary losses ($) | Post-October capital losses ($) |
5,666,075 | 11,852,672 |
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
24 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Columbia Global Technology Growth Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
26 | Columbia Global Technology Growth Fund | Semiannual Report 2023 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Institutional Class* | 01/03/17 | -2.07 | -10.23 | 0.49 | 1.06 | |
Institutional 3 Class* | 12/18/19 | -2.07 | -10.21 | 0.50 | 1.07 | |
Bloomberg U.S. Aggregate Bond Index | -2.13 | -9.72 | 0.53 | 1.12 |
* | 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. Returns shown for periods prior to the inception date of a class include the returns of the Fund’s Class A shares for the period from April 20, 2012 (the inception date of the Fund) through January 2, 2017, and for Institutional 3 Class shares, include the returns of the Fund’s Institutional Class shares for the period from January 3, 2017 through the inception date of the class. Class A shares were offered prior to the Fund’s Institutional Class shares but have since been merged into the Fund’s Institutional Class shares. 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. |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023) | |
Asset-Backed Securities — Non-Agency | 10.8 |
Commercial Mortgage-Backed Securities - Agency | 0.9 |
Commercial Mortgage-Backed Securities - Non-Agency | 5.5 |
Common Stocks | 0.0(a) |
Convertible Bonds | 0.0(a) |
Corporate Bonds & Notes | 29.9 |
Foreign Government Obligations | 1.5 |
Inflation-Indexed Bonds | 0.1 |
Money Market Funds | 8.2 |
Municipal Bonds | 0.3 |
Residential Mortgage-Backed Securities - Agency | 23.6 |
Residential Mortgage-Backed Securities - Non-Agency | 4.2 |
Senior Loans | 0.5 |
Treasury Bills | 1.6 |
U.S. Government & Agency Obligations | 0.1 |
U.S. Treasury Obligations | 12.8 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at February 28, 2023) | |
AAA rating | 55.5 |
AA rating | 3.4 |
A rating | 12.4 |
BBB rating | 18.1 |
BB rating | 3.6 |
B rating | 2.2 |
CCC rating | 0.6 |
CC rating | 0.4 |
C rating | 0.0(a) |
D rating | 0.0(a) |
Not rated | 3.8 |
Total | 100.0 |
(a) | Rounds to zero. |
4 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
(Unaudited)
Market exposure through derivatives investments (% of notional exposure) (at February 28, 2023)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 109.8 | (9.8) | 100.0 |
Total Notional Market Value of Derivative Contracts | 109.8 | (9.8) | 100.0 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 5 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
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 | |
Institutional Class | 1,000.00 | 1,000.00 | 979.30 | 1,022.36 | 2.40 | 2.46 | 0.49 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 979.30 | 1,022.51 | 2.26 | 2.31 | 0.46 |
6 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency 11.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Affirm Asset Securitization Trust(a) | ||||
Series 2021-B Class A | ||||
08/17/2026 | 1.030% | 2,510,000 | 2,393,894 | |
Series 2022-A Class A | ||||
05/17/2027 | 4.300% | 525,000 | 505,522 | |
Series 2023-A Class A | ||||
01/18/2028 | 6.610% | 575,000 | 577,092 | |
AGL CLO 11 Ltd.(a),(b) | ||||
Series 2021-11A Class AJ | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 04/15/2034 | 6.142% | 12,200,000 | 11,896,647 | |
AGL CLO 12 Ltd.(a),(b) | ||||
Series 2021-12A Class C | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/20/2034 | 6.658% | 1,000,000 | 945,951 | |
AGL CLO Ltd.(a),(b) | ||||
Series 2021-13A Class A1 | ||||
3-month USD LIBOR + 1.160% Floor 1.160% 10/20/2034 | 5.968% | 5,250,000 | 5,177,162 | |
AIG CLO(a),(b) | ||||
Series 2021-1A Class C | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/22/2034 | 6.565% | 1,750,000 | 1,673,124 | |
AIG CLO Ltd.(a),(b) | ||||
Series 2019-2A Class AR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 10/25/2033 | 5.918% | 12,500,000 | 12,363,162 | |
Series 2021-2A Class A | ||||
3-month USD LIBOR + 1.170% Floor 1.170% 07/20/2034 | 5.978% | 6,950,000 | 6,824,462 | |
AIMCO CLO Ltd.(a),(b) | ||||
Series 2020-11A Class AR | ||||
3-month USD LIBOR + 1.130% Floor 1.130% 10/17/2034 | 5.922% | 4,000,000 | 3,932,156 | |
Allegro CLO VII Ltd.(a),(b) | ||||
Series 2018-1A Class A | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 06/13/2031 | 5.892% | 7,500,000 | 7,398,570 | |
American Credit Acceptance Receivables Trust(a) | ||||
Subordinated Series 2020-4 Class C | ||||
12/14/2026 | 1.310% | 1,409,919 | 1,387,328 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-3 Class B | ||||
02/13/2026 | 0.660% | 170,260 | 169,941 | |
Subordinated Series 2022-4 Class C | ||||
02/15/2029 | 7.860% | 580,000 | 596,508 | |
Americredit Automobile Receivables Trust | ||||
Subordinated Series 2022-1 Class B | ||||
04/19/2027 | 2.770% | 2,175,000 | 2,055,109 | |
AmeriCredit Automobile Receivables Trust | ||||
Series 2020-1 Class D | ||||
12/18/2025 | 1.800% | 950,000 | 908,215 | |
Series 2020-2 Class D | ||||
03/18/2026 | 2.130% | 500,000 | 466,636 | |
Series 2021-2 Class B | ||||
01/19/2027 | 0.690% | 2,380,000 | 2,229,415 | |
Series 2022-2 Class A3 | ||||
04/18/2028 | 4.380% | 2,090,000 | 2,059,123 | |
Subordinated Series 2019-1 Class D | ||||
03/18/2025 | 3.620% | 2,250,000 | 2,228,058 | |
Subordinated Series 2019-3 Class D | ||||
09/18/2025 | 2.580% | 1,450,000 | 1,395,596 | |
Subordinated Series 2020-2 Class B | ||||
02/18/2026 | 0.970% | 540,000 | 529,738 | |
Subordinated Series 2021-2 Class C | ||||
01/19/2027 | 1.010% | 2,905,000 | 2,658,920 | |
Subordinated Series 2021-3 Class C | ||||
08/18/2027 | 1.410% | 3,080,000 | 2,776,651 | |
AMMC CLO Ltd.(a),(b),(c) | ||||
Series 2023-26A Class A1 | ||||
3-month Term SOFR + 1.950% Floor 1.950% 04/15/2036 | 5.000% | 2,200,000 | 2,199,809 | |
Anchorage Capital CLO Ltd.(a),(b) | ||||
Series 2013-1A Class A1R | ||||
3-month USD LIBOR + 1.250% 10/13/2030 | 6.065% | 5,250,000 | 5,212,058 | |
Series 2016-8A Class AR2 | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 10/27/2034 | 6.015% | 11,500,000 | 11,259,639 | |
Series 2021-21A Class B | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 10/20/2034 | 6.558% | 10,000,000 | 9,811,420 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Apidos CLO XXII(a),(b) | ||||
Series 2015-22A Class A1R | ||||
3-month USD LIBOR + 1.060% Floor 1.060% 04/20/2031 | 5.868% | 6,400,000 | 6,348,960 | |
Apidos CLO XXIV(a),(b) | ||||
Series 2016-24A | ||||
3-month USD LIBOR + 2.050% Floor 2.050% 10/20/2030 | 6.858% | 2,900,000 | 2,781,126 | |
Applebee’s Funding LLC/IHOP Funding LLC(a) | ||||
Series 2019-1A Class A2I | ||||
06/07/2049 | 4.194% | 1,039,500 | 1,003,743 | |
Series 2019-1A Class AII | ||||
06/07/2049 | 4.723% | 495,000 | 446,793 | |
Aqua Finance Trust(a) | ||||
Series 2020-AA Class A | ||||
07/17/2046 | 1.900% | 684,379 | 636,616 | |
Series 2021-A Class A | ||||
07/17/2046 | 1.540% | 2,063,690 | 1,838,475 | |
ArrowMark Colorado Holdings(a),(b) | ||||
Series 2017-6A Class A1 | ||||
3-month USD LIBOR + 1.280% 07/15/2029 | 6.072% | 1,614,430 | 1,602,117 | |
Atrium XII(a),(b) | ||||
Series 2012A Class AR | ||||
3-month USD LIBOR + 0.830% 04/22/2027 | 5.645% | 8,839,894 | 8,792,592 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2020-1A Class A | ||||
08/20/2026 | 2.330% | 115,000 | 106,809 | |
Series 2020-2A Class A | ||||
02/20/2027 | 2.020% | 1,600,000 | 1,443,105 | |
Series 2022-5A Class A | ||||
04/20/2027 | 6.120% | 3,240,000 | 3,289,230 | |
Series 2023-2A Class A | ||||
10/20/2027 | 5.200% | 1,270,000 | 1,252,805 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2019-3A Class AR | ||||
3-month USD LIBOR + 1.160% Floor 1.160% 10/21/2034 | 5.975% | 17,250,000 | 16,867,188 | |
Balboa Bay Loan Funding Ltd.(a),(b) | ||||
Series 2020-1A Class AR | ||||
3-month USD LIBOR + 1.120% Floor 1.120% 01/20/2032 | 5.928% | 13,750,000 | 13,593,731 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2023-23A Class A1 | ||||
3-month Term SOFR + 1.980% Floor 1.980% 04/25/2036 | 6.971% | 5,000,000 | 4,999,515 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2020-2A Class AR | ||||
3-month USD LIBOR + 1.010% Floor 1.010% 10/15/2033 | 5.802% | 7,500,000 | 7,422,090 | |
Series 2020-4A Class A | ||||
3-month USD LIBOR + 1.220% Floor 1.220% 01/20/2032 | 6.028% | 6,500,000 | 6,448,156 | |
Barings CLO Ltd.(a),(b),(c) | ||||
Series 2023-1A Class A | ||||
3-month Term SOFR + 1.750% Floor 1.750% 04/20/2036 | 5.500% | 8,500,000 | 8,499,269 | |
Beacon Container Finance II LLC(a) | ||||
Series 2021-1A Class A | ||||
10/22/2046 | 2.250% | 2,080,000 | 1,832,961 | |
Benefit Street Partners CLO X Ltd.(a),(b) | ||||
Series 2016-10A Class BRR | ||||
3-month USD LIBOR + 2.150% Floor 2.150% 04/20/2034 | 6.958% | 2,810,000 | 2,645,247 | |
BHG Securitization Trust(a) | ||||
Series 2022-C Class A | ||||
10/17/2035 | 5.320% | 811,137 | 804,098 | |
BlueMountain CLO XXVIII Ltd.(a),(b) | ||||
Series 2021-28A Class C | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 04/15/2034 | 6.792% | 1,300,000 | 1,214,638 | |
BlueMountain CLO XXXI Ltd.(a),(b) | ||||
Series 2021-31A Class A1 | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/19/2034 | 5.948% | 4,050,000 | 3,975,921 | |
Series 2021-31A Class A2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 04/19/2034 | 6.198% | 3,600,000 | 3,492,022 | |
BlueMountain Fuji US CLO II Ltd.(a),(b) | ||||
Series 2017-2A Class A1AR | ||||
3-month USD LIBOR + 1.000% 10/20/2030 | 5.808% | 11,500,000 | 11,403,227 | |
Bojangles Issuer LLC(a) | ||||
Series 2020-1A Class A2 | ||||
10/20/2050 | 3.832% | 1,584,000 | 1,434,845 |
8 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canyon Capital CLO Ltd.(a),(b) | ||||
Series 2019-1A Class A1R | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 04/15/2032 | 5.892% | 17,500,000 | 17,324,142 | |
CARDS II Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
04/15/2027 | 0.931% | 2,850,000 | 2,697,382 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class A1AR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 10/15/2030 | 5.892% | 3,905,457 | 3,888,269 | |
Series 2014-3RA Class A1A | ||||
3-month USD LIBOR + 1.050% 07/27/2031 | 5.865% | 21,572,361 | 21,410,439 | |
Series 2016-1A Class A1R2 | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 04/20/2034 | 5.948% | 5,750,000 | 5,634,879 | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2017-2A Class A2R | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 07/20/2031 | 6.408% | 2,100,000 | 2,015,609 | |
Series 2020-1A Class BR | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 07/20/2034 | 6.808% | 1,250,000 | 1,177,478 | |
Carmax Auto Owner Trust | ||||
Series 2019-2 Class C | ||||
02/18/2025 | 3.160% | 3,270,000 | 3,243,636 | |
CarNow Auto Receivables Trust(a) | ||||
Series 2023-1A Class A | ||||
12/16/2024 | 6.620% | 1,045,000 | 1,047,177 | |
Carvana Auto Receivables Trust | ||||
Series 2021-N2 Class B | ||||
03/10/2028 | 0.750% | 482,085 | 441,505 | |
Series 2021-P4 Class A3 | ||||
01/11/2027 | 1.310% | 6,320,000 | 5,976,134 | |
Series 2022-P3 Class A3 | ||||
11/10/2027 | 4.610% | 1,165,000 | 1,127,736 | |
Subordinated Series 2021-N4 Class C | ||||
09/11/2028 | 1.720% | 1,782,244 | 1,714,635 | |
Carvana Auto Receivables Trust(a) | ||||
Series 2023-P1 Class A3 | ||||
12/10/2027 | 5.980% | 6,205,000 | 6,185,264 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Chancelight, Inc.(a),(b) | ||||
Series 2012-2 Class A | ||||
1-month USD LIBOR + 0.730% Floor 0.730% 04/25/2039 | 5.347% | 298,097 | 297,529 | |
CIFC Funding IV Ltd.(a),(b) | ||||
Series 2015-4A Class BR2 | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 04/20/2034 | 6.708% | 6,300,000 | 5,965,079 | |
CIFC Funding Ltd.(a),(b) | ||||
Series 2019-6A Class A2 | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 01/16/2033 | 6.542% | 2,000,000 | 1,984,264 | |
CIT Education Loan Trust(a),(b) | ||||
Series 2007-1 Class B | ||||
3-month USD LIBOR + 0.300% Floor 0.300% 06/25/2042 | 5.024% | 429,660 | 400,557 | |
CLI Funding VIII LLC(a) | ||||
Series 2022-1A Class A1 | ||||
01/18/2047 | 2.720% | 2,714,400 | 2,340,397 | |
Commonbond Student Loan Trust(a) | ||||
Series 2018-CGS Class B | ||||
02/25/2046 | 4.250% | 160,696 | 152,673 | |
Series 2020-AGS Class A | ||||
08/25/2050 | 1.980% | 1,087,695 | 922,928 | |
Credit Acceptance Auto Loan Trust(a) | ||||
Series 2020-2A Class A | ||||
07/16/2029 | 1.370% | 654,705 | 650,504 | |
Series 2020-3A Class B | ||||
12/17/2029 | 1.770% | 2,105,000 | 2,010,400 | |
Series 2021-3A Class A | ||||
05/15/2030 | 1.000% | 2,125,000 | 2,047,094 | |
Series 2021-4 Class A | ||||
10/15/2030 | 1.260% | 1,890,000 | 1,771,997 | |
Series 2022-3A Class A | ||||
10/15/2032 | 6.570% | 6,030,000 | 6,125,240 | |
Crown Point CLO Ltd.(a),(b) | ||||
Series 2021-11A Class A | ||||
3-month USD LIBOR + 1.120% Floor 1.120% 01/17/2034 | 5.912% | 14,250,000 | 14,114,696 | |
DataBank Issuer LLC(a),(d),(e) | ||||
Series 2023-1 Class A2 | ||||
02/25/2053 | 5.116% | 3,400,000 | 3,135,411 | |
DB Master Finance LLC(a) | ||||
Series 2017-1A Class A2II | ||||
11/20/2047 | 4.030% | 1,187,500 | 1,102,785 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-1A Class A23 | ||||
05/20/2049 | 4.352% | 1,158,000 | 1,079,446 | |
Series 2019-1A Class A2II | ||||
05/20/2049 | 4.021% | 627,250 | 589,035 | |
Subordinated Series 2021-1A Class A23 | ||||
11/20/2051 | 2.791% | 4,345,000 | 3,488,669 | |
Domino’s Pizza Master Issuer LLC(a) | ||||
Series 2018-1A Class A2I | ||||
07/25/2048 | 4.116% | 1,436,250 | 1,367,230 | |
Series 2021-1A Class A2II | ||||
04/25/2051 | 3.151% | 3,144,000 | 2,621,321 | |
Donlen Fleet Lease Funding 2 LLC(a) | ||||
Series 2021-2 Class A2 | ||||
12/11/2034 | 0.560% | 2,304,951 | 2,232,596 | |
Drive Auto Receivables Trust | ||||
Subordinated Series 2021-2 Class B | ||||
12/15/2025 | 0.580% | 1,868,113 | 1,856,760 | |
Subordinated Series 2021-3 Class B | ||||
05/15/2026 | 1.110% | 2,745,000 | 2,688,430 | |
Driven Brands Funding LLC(a) | ||||
Series 2019-1A Class A2 | ||||
04/20/2049 | 4.641% | 1,728,000 | 1,602,773 | |
Dryden 86 CLO Ltd.(a),(b) | ||||
Series 2020-86A Class CR | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 07/17/2034 | 6.792% | 3,000,000 | 2,829,825 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2019-75A Class AR2 | ||||
3-month USD LIBOR + 1.040% Floor 1.040% 04/15/2034 | 5.832% | 4,000,000 | 3,909,608 | |
Series 2019-75A Class CR2 | ||||
3-month USD LIBOR + 1.800% Floor 1.800% 04/15/2034 | 6.592% | 5,000,000 | 4,657,755 | |
DT Auto Owner Trust(a) | ||||
Series 2020-2A Class C | ||||
03/16/2026 | 3.280% | 705,426 | 698,477 | |
Series 2021-1A Class B | ||||
09/15/2025 | 0.620% | 23,430 | 23,332 | |
Series 2021-2A Class B | ||||
01/15/2027 | 0.810% | 1,698,087 | 1,675,303 | |
Subordinated Series 2021-4A Class C | ||||
09/15/2027 | 1.500% | 2,550,000 | 2,371,475 | |
Subordinated Series 2022-2A Class B | ||||
01/15/2027 | 4.220% | 4,445,000 | 4,350,286 | |
Subordinated Series 2022-3A Class B | ||||
07/17/2028 | 6.740% | 3,155,000 | 3,200,617 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2023-1A Class B | ||||
10/16/2028 | 5.190% | 1,210,000 | 1,197,048 | |
Eaton Vance CLO Ltd.(a),(b) | ||||
Series 2019-1A Class AR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 04/15/2031 | 5.892% | 4,670,000 | 4,627,354 | |
Education Loan Asset-Backed Trust I(a),(b) | ||||
Series 2013-1 Class A2 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 04/26/2032 | 5.417% | 2,133,244 | 2,115,835 | |
EFS Volunteer No. 2 LLC(a),(b) | ||||
Series 2012-1 Class A2 | ||||
1-month USD LIBOR + 1.350% Floor 1.350% 03/25/2036 | 5.967% | 1,043,611 | 1,031,344 | |
ELFI Graduate Loan Program LLC(a) | ||||
Series 2019-A Class A | ||||
03/25/2044 | 2.540% | 761,482 | 693,370 | |
ELFI Graduate Loan Program LLC(a),(f) | ||||
Subordinated Series 2019-A Class B | ||||
03/25/2044 | 2.940% | 381,482 | 340,598 | |
Ellington CLO II Ltd.(a),(b) | ||||
Series 2017-2A Class A | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 02/15/2029 | 6.564% | 5,547,927 | 5,531,172 | |
Elmwood CLO II Ltd.(a),(b) | ||||
Series 2019-2A Class AR | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/20/2034 | 5.958% | 27,250,000 | 26,900,110 | |
Elmwood CLO VII Ltd.(a),(b) | ||||
Series 2020-4A Class A | ||||
3-month USD LIBOR + 1.390% Floor 1.390% 01/17/2034 | 6.182% | 2,000,000 | 1,988,704 | |
Enterprise Fleet Financing LLC(a) | ||||
Series 2022-3 Class A2 | ||||
07/20/2029 | 4.380% | 1,175,000 | 1,154,390 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2020-2A Class C | ||||
05/15/2025 | 3.280% | 272,048 | 271,196 | |
Exeter Automobile Receivables Trust | ||||
Series 2022-3A Class B | ||||
12/15/2026 | 4.860% | 3,815,000 | 3,743,882 | |
Subordinated Series 2020-3A Class C | ||||
07/15/2025 | 1.320% | 210,399 | 208,623 | |
Subordinated Series 2020-3A Class D | ||||
07/15/2026 | 1.730% | 400,000 | 386,747 |
10 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-2A Class B | ||||
09/15/2025 | 0.570% | 442,155 | 440,302 | |
Subordinated Series 2021-3A Class B | ||||
01/15/2026 | 0.690% | 1,823,662 | 1,803,649 | |
Subordinated Series 2021-4 Class B | ||||
05/15/2026 | 1.050% | 4,250,000 | 4,175,432 | |
Subordinated Series 2022-6 Class B | ||||
08/16/2027 | 6.030% | 1,540,000 | 1,546,920 | |
Subordinated Series 2023-1A Class B | ||||
04/15/2027 | 5.720% | 2,580,000 | 2,578,388 | |
SubordinatedSeries 2022-5A Class B | ||||
03/15/2027 | 5.970% | 4,890,000 | 4,894,759 | |
Flagship Credit Auto Trust(a) | ||||
Series 2020-2 Class C | ||||
04/15/2026 | 3.800% | 143,990 | 143,247 | |
Series 2022-4 Class A3 | ||||
06/15/2027 | 6.320% | 3,475,000 | 3,532,122 | |
Subordinated Series 2020-4 Class C | ||||
02/16/2027 | 1.280% | 585,000 | 558,324 | |
Subordinated Series 2021-2 Class B | ||||
06/15/2027 | 0.930% | 1,800,000 | 1,739,905 | |
Subordinated Series 2021-3 Class B | ||||
07/15/2027 | 0.950% | 1,325,000 | 1,245,799 | |
Flatiron CLO 21 Ltd.(a),(b) | ||||
Series 2021-1A Class C | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/19/2034 | 6.648% | 2,000,000 | 1,885,546 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2018-1 Class A | ||||
07/15/2031 | 3.190% | 7,110,000 | 6,834,244 | |
Series 2021-1 Class A | ||||
10/17/2033 | 1.370% | 3,415,000 | 3,032,412 | |
Subordinated Series 2021-2 Class C | ||||
05/15/2034 | 2.110% | 3,900,000 | 3,393,472 | |
Subordinated Series 2021-2 Class D | ||||
05/15/2034 | 2.600% | 2,300,000 | 1,942,887 | |
Subordinated Series 2023-1 Class C | ||||
08/15/2035 | 5.580% | 3,900,000 | 3,852,335 | |
Foursight Capital Automobile Receivables Trust(a) | ||||
Series 2022-1 Class A3 | ||||
12/15/2026 | 1.830% | 2,405,000 | 2,306,408 | |
Series 2022-2 Class A3 | ||||
06/15/2027 | 4.590% | 2,130,000 | 2,078,337 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Galaxy XXII CLO Ltd.(a),(b) | ||||
Series 2016-22A Class ARR | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 04/16/2034 | 5.992% | 3,200,000 | 3,157,398 | |
Global SC Finance II SRL(a) | ||||
Series 2014-1A Class A2 | ||||
07/17/2029 | 3.090% | 539,022 | 519,810 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2020-4A Class C | ||||
11/17/2025 | 1.140% | 1,090,403 | 1,074,210 | |
Subordinated Series 2021-3A Class B | ||||
11/17/2025 | 0.780% | 2,060,000 | 2,012,834 | |
Subordinated Series 2021-4A Class B | ||||
04/15/2026 | 1.530% | 5,855,000 | 5,630,088 | |
GM Financial Automobile Leasing Trust | ||||
Subordinated Series 2022-3 Class C | ||||
08/20/2026 | 5.130% | 2,350,000 | 2,308,068 | |
GM Financial Consumer Automobile Receivables Trust | ||||
Series 2020-2 Class A3 | ||||
12/16/2024 | 1.490% | 204,622 | 202,585 | |
GMF Floorplan Owner Revolving Trust(a) | ||||
Series 2020-1 Class A | ||||
08/15/2025 | 0.680% | 1,115,000 | 1,091,764 | |
Goal Capital Funding Trust(b) | ||||
Series 2006-1 Class B | ||||
3-month USD LIBOR + 0.450% Floor 0.450% 08/25/2042 | 5.408% | 488,987 | 449,182 | |
GoodLeap Sustainable Home Solutions Trust(a) | ||||
Series 2021-3CS Class A | ||||
05/20/2048 | 2.100% | 2,981,748 | 2,352,526 | |
Greenwood Park CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.010% Floor 1.010% 04/15/2031 | 5.802% | 15,000,000 | 14,858,730 | |
Greywolf CLO III Ltd.(a),(b) | ||||
Series 2020-3RA Class A1R | ||||
3-month USD LIBOR + 1.290% Floor 1.290% 04/15/2033 | 6.204% | 6,500,000 | 6,449,645 | |
Greywolf CLO VII Ltd.(a),(b) | ||||
Series 2018-2A Class A1 | ||||
3-month USD LIBOR + 1.180% Floor 1.180% 10/20/2031 | 5.988% | 6,250,000 | 6,220,150 | |
Helios Issuer LLC(a) | ||||
Series 2020-AA Class A | ||||
06/20/2047 | 2.980% | 1,043,887 | 914,582 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 11 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Henderson Receivables LLC(a) | ||||
Series 2013-3A Class A | ||||
01/17/2073 | 4.080% | 1,523,133 | 1,389,468 | |
Series 2014-2A Class A | ||||
01/17/2073 | 3.610% | 1,819,250 | 1,546,434 | |
Hilton Grand Vacations Trust(a) | ||||
Subordinated Series 2022-2A Class C | ||||
01/25/2037 | 5.570% | 267,539 | 257,037 | |
HPS Loan Management Ltd.(a),(b) | ||||
Series 2010-A16 Class A1RR | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 04/20/2034 | 5.948% | 9,750,000 | 9,590,129 | |
Series 2021-16A Class A1 | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 01/23/2035 | 5.955% | 7,300,000 | 7,147,255 | |
ICG US CLO Ltd.(a),(b) | ||||
Series 2014-3A Class A1RR | ||||
3-month USD LIBOR + 1.030% 04/25/2031 | 5.848% | 7,232,319 | 7,134,357 | |
JG Wentworth XLIII LLC(a) | ||||
Series 2019-1A Class A | ||||
08/17/2071 | 3.820% | 984,874 | 871,680 | |
JPMorgan Chase Bank NA(a) | ||||
Series 2021-3 Class E | ||||
02/26/2029 | 2.102% | 407,690 | 380,444 | |
Subordinated Series 2021-1 Class D | ||||
09/25/2028 | 1.174% | 343,207 | 329,871 | |
Subordinated Series 2021-2 Class D | ||||
12/26/2028 | 1.138% | 755,119 | 721,671 | |
Kayne CLO Ltd.(a),(b) | ||||
Series 2019-6A Class A2 | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 01/20/2033 | 6.658% | 1,500,000 | 1,485,410 | |
Kayne Ltd.(a),(b) | ||||
Series 2018-1A Class CR | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 07/15/2031 | 6.542% | 1,820,000 | 1,732,764 | |
Series 2021-10A Class C | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/23/2034 | 6.565% | 1,600,000 | 1,503,197 | |
KKR CLO Ltd.(a),(b) | ||||
Series 2032A Class A1 | ||||
3-month USD LIBOR + 1.320% Floor 1.320% 01/15/2032 | 6.112% | 17,000,000 | 16,874,166 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lending Funding Trust(a) | ||||
Series 2020-2A Class A | ||||
04/21/2031 | 2.320% | 700,000 | 619,989 | |
Lendmark Funding Trust(a) | ||||
Series 2019-2A Class A | ||||
04/20/2028 | 2.780% | 1,243,585 | 1,213,175 | |
Series 2021-1A Class A | ||||
11/20/2031 | 1.900% | 5,000,000 | 4,271,900 | |
Subordinated Series 2021-1A Class B | ||||
11/20/2031 | 2.470% | 200,000 | 165,885 | |
Subordinated Series 2021-1A Class C | ||||
11/20/2031 | 3.410% | 100,000 | 80,525 | |
Loanpal Solar Loan Ltd.(a) | ||||
Series 2020-2GF Class A | ||||
07/20/2047 | 2.750% | 1,445,467 | 1,205,225 | |
Logan CLO I Ltd.(a),(b) | ||||
Series 2021-1A Class A | ||||
3-month USD LIBOR + 1.160% Floor 1.160% 07/20/2034 | 5.968% | 15,000,000 | 14,781,315 | |
Madison Park Funding LIX Ltd.(a),(b) | ||||
Series 2021-59A Class A | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 01/18/2034 | 5.935% | 12,500,000 | 12,335,000 | |
Madison Park Funding XLVIII Ltd.(a),(b) | ||||
Series 2021-48A Class A | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/19/2033 | 5.948% | 6,500,000 | 6,442,254 | |
Series 2021-48A Class C | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 04/19/2033 | 6.798% | 1,520,000 | 1,470,694 | |
Madison Park Funding XXI Ltd.(a),(b) | ||||
Series 2016-21A Class AARR | ||||
3-month USD LIBOR + 1.080% Floor 1.080% 10/15/2032 | 5.872% | 17,000,000 | 16,807,254 | |
Series 2016-21A Class ABRR | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 10/15/2032 | 6.192% | 1,750,000 | 1,720,308 | |
Madison Park Funding XXXVIII Ltd.(a),(b) | ||||
Series 2021-38A Class A | ||||
3-month USD LIBOR + 1.120% Floor 1.120% 07/17/2034 | 5.912% | 15,000,000 | 14,767,020 |
12 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Magnetite XVII Ltd.(a),(b) | ||||
Series 2016-17A Class AR | ||||
3-month USD LIBOR + 1.100% 07/20/2031 | 5.908% | 1,050,000 | 1,043,776 | |
Marathon CLO Ltd.(a),(b) | ||||
Series 2020-15A Class A1S | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 11/15/2031 | 6.564% | 20,500,000 | 20,337,906 | |
Mariner Finance Issuance Trust(a) | ||||
Series 2019-AA Class A | ||||
07/20/2032 | 2.960% | 519,859 | 511,339 | |
Series 2020-AA Class A | ||||
08/21/2034 | 2.190% | 1,000,000 | 949,745 | |
Marlette Funding Trust(a) | ||||
Series 2021-1A Class C | ||||
06/16/2031 | 1.410% | 700,000 | 676,191 | |
Series 2021-3A Class A | ||||
12/15/2031 | 0.650% | 574,302 | 570,549 | |
Series 2022-3A Class A | ||||
11/15/2032 | 5.180% | 5,879,215 | 5,851,004 | |
Massachusetts Educational Financing Authority | ||||
Series 2018-A Class A | ||||
05/25/2033 | 3.850% | 1,466,974 | 1,419,564 | |
Merlin Aviation Holdings DAC(a) | ||||
Series 2016-1 Class A | ||||
12/15/2032 | 4.500% | 484,149 | 381,720 | |
MF1 Ltd.(a),(b) | ||||
Series 2021-FL6 Class D | ||||
1-month USD LIBOR + 2.550% Floor 2.550% 07/16/2036 | 7.151% | 7,000,000 | 6,571,764 | |
Series 2022-FL8 Class A | ||||
30-day Average SOFR + 1.350% Floor 1.350% 02/19/2037 | 5.768% | 3,450,000 | 3,408,069 | |
MidOcean Credit CLO VIII(a),(b) | ||||
Series 2018-8A Class B | ||||
3-month USD LIBOR + 1.650% 02/20/2031 | 6.565% | 6,600,000 | 6,360,499 | |
Mid-State Capital Corp. Trust(a) | ||||
Series 2006-1 Class A | ||||
10/15/2040 | 5.787% | 585,648 | 566,341 | |
Mill City Solar Loan Ltd.(a) | ||||
Series 2019-1A Class A | ||||
03/20/2043 | 4.340% | 1,033,971 | 940,084 | |
Series 2019-2GS Class A | ||||
07/20/2043 | 3.690% | 1,093,121 | 983,005 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mosaic Solar Loan Trust(a) | ||||
Series 2018-1A Class A | ||||
06/22/2043 | 4.010% | 525,010 | 484,638 | |
Series 2019-1A Class A | ||||
12/21/2043 | 4.370% | 1,086,146 | 1,008,685 | |
Series 2020-2A Class A | ||||
08/20/2046 | 1.440% | 1,949,445 | 1,622,520 | |
Series 2021-2A Class B | ||||
04/22/2047 | 2.090% | 983,786 | 767,810 | |
Subordinated Series 2018-2GS Class B | ||||
02/22/2044 | 4.740% | 935,535 | 868,020 | |
Subordinated Series 2020-2A Class B | ||||
08/20/2046 | 2.210% | 1,243,124 | 1,049,574 | |
Mosaic Solar Loans LLC(a) | ||||
Series 2017-2A Class A | ||||
06/22/2043 | 3.820% | 551,609 | 505,323 | |
Navient Private Education Refi Loan Trust(a) | ||||
Series 2020-BA Class A2 | ||||
01/15/2069 | 2.120% | 1,186,586 | 1,070,496 | |
Series 2020-DA Class A | ||||
05/15/2069 | 1.690% | 848,302 | 768,209 | |
Series 2020-FA Class A | ||||
07/15/2069 | 1.220% | 791,118 | 719,232 | |
Series 2020-GA Class A | ||||
09/16/2069 | 1.170% | 1,456,771 | 1,293,463 | |
Series 2020-HA Class A | ||||
01/15/2069 | 1.310% | 740,359 | 674,012 | |
Series 2021-A Class A | ||||
05/15/2069 | 0.840% | 758,519 | 656,567 | |
Navient Student Loan Trust(b) | ||||
Series 2014-3 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 5.126% | 3,871,083 | 3,783,391 | |
Series 2014-4 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 5.126% | 1,667,940 | 1,651,484 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2006-1 Class A6 | ||||
3-month USD LIBOR + 0.450% 08/23/2036 | 5.372% | 5,355,884 | 5,188,679 | |
Series 2014-4A Class A2 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 11/25/2048 | 5.567% | 4,210,000 | 4,200,828 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 13 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Neuberger Berman CLO XVII Ltd.(a),(b) | ||||
Series 2014-17A Class CR2 | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 04/22/2029 | 6.815% | 2,000,000 | 1,921,314 | |
Neuberger Berman Loan Advisers CLO Ltd.(a),(b) | ||||
Series 2019-33A Class CR | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 10/16/2033 | 6.692% | 2,000,000 | 1,905,728 | |
Series 2021-40A Class C | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/16/2033 | 6.542% | 4,650,000 | 4,416,672 | |
New Economy Assets Phase 1 Sponsor LLC(a) | ||||
Series 2021-1 Class A1 | ||||
10/20/2061 | 1.910% | 5,030,000 | 4,307,535 | |
Oaktree CLO Ltd.(a),(b) | ||||
Series 2019-1A Class A1R | ||||
3-month USD LIBOR + 1.110% Floor 1.110% 04/22/2030 | 5.925% | 5,000,000 | 4,961,155 | |
Series 2021-1A Class A1 | ||||
3-month USD LIBOR + 1.160% Floor 1.160% 07/15/2034 | 5.952% | 5,400,000 | 5,291,941 | |
OCP CLO Ltd.(a),(b) | ||||
Series 2020-18A Class CR | ||||
3-month USD LIBOR + 1.950% Floor 1.950% 07/20/2032 | 6.758% | 500,000 | 480,143 | |
Octagon Investment Partners 32 Ltd.(a),(b) | ||||
Series 2017-1A Class A2R | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 07/15/2029 | 5.992% | 7,400,000 | 7,252,836 | |
Octagon Investment Partners 46 Ltd.(a),(b) | ||||
Series 2020-2A Class AR | ||||
3-month USD LIBOR + 1.160% Floor 1.160% 07/15/2036 | 5.952% | 7,900,000 | 7,774,208 | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2021-8A Class C | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 01/18/2034 | 6.695% | 1,350,000 | 1,286,754 | |
OHA Credit Partners VII Ltd.(a),(b) | ||||
Series 2012-7A Class CR3 | ||||
3-month USD LIBOR + 1.800% Floor 1.800% 02/20/2034 | 6.475% | 5,000,000 | 4,719,655 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OneMain Direct Auto Receivables Trust(a) | ||||
Series 2019-1A Class A | ||||
09/14/2027 | 3.630% | 6,900,000 | 6,641,286 | |
Subordinated Series 2019-1A Class B | ||||
11/14/2028 | 3.950% | 1,500,000 | 1,394,065 | |
Subordinated Series 2019-1A Class D | ||||
04/14/2031 | 4.680% | 2,900,000 | 2,636,140 | |
Subordinated Series 2021-1A Class C | ||||
07/14/2028 | 1.420% | 7,367,000 | 6,249,581 | |
Subordinated Series 2021-1A Class D | ||||
11/14/2030 | 1.620% | 900,000 | 756,086 | |
Subordinated Series 2023-1A Class C | ||||
02/14/2031 | 6.140% | 3,100,000 | 3,081,733 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2020-2A Class A | ||||
09/14/2035 | 1.750% | 2,700,000 | 2,399,833 | |
Series 2022-S1 Class A | ||||
05/14/2035 | 4.130% | 7,275,000 | 6,981,504 | |
Subordinated Series 2022-2 Class D | ||||
10/14/2034 | 6.550% | 6,280,000 | 6,003,217 | |
Oscar US Funding XII LLC(a) | ||||
Series 2021-1A Class A4 | ||||
04/10/2028 | 1.000% | 2,050,000 | 1,882,635 | |
OZLM Funding IV Ltd.(a),(b) | ||||
Series 2013-4A | ||||
3-month USD LIBOR + 1.250% Floor 1.250% 10/22/2030 | 6.065% | 12,859,536 | 12,762,472 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 1,642,585 | 1,591,871 | |
Palmer Square CLO Ltd.(a),(b) | ||||
Series 2014-1A Class A1R2 | ||||
3-month USD LIBOR + 1.130% Floor 1.130% 01/17/2031 | 5.922% | 8,000,000 | 7,967,232 | |
Series 2020-3A Class BR | ||||
3-month USD LIBOR + 1.950% Floor 1.950% 11/15/2031 | 6.814% | 2,000,000 | 1,915,120 | |
Park Avenue Institutional Advisers CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1R | ||||
3-month USD LIBOR + 1.240% Floor 1.240% 02/14/2034 | 6.109% | 5,000,000 | 4,891,585 | |
Series 2019-2A Class A1 | ||||
3-month USD LIBOR + 1.180% Floor 1.180% 10/15/2034 | 5.972% | 15,000,000 | 14,633,175 |
14 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Planet Fitness Master Issuer LLC(a) | ||||
Series 2018-1A Class A2II | ||||
09/05/2048 | 4.666% | 3,858,725 | 3,594,721 | |
Prestige Auto Receivables Trust(a) | ||||
Subordinated Series 2021-1A Class C | ||||
02/15/2028 | 1.530% | 2,525,000 | 2,351,326 | |
Primose Funding LLC(a) | ||||
Series 2019-1A Class A2 | ||||
07/30/2049 | 4.475% | 1,451,250 | 1,341,668 | |
Regional Management Issuance Trust(a) | ||||
Series 2022-1 Class A | ||||
03/15/2032 | 3.070% | 2,800,000 | 2,590,428 | |
Rockford Tower CLO Ltd.(a),(b) | ||||
Series 2021-1A Class B | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 07/20/2034 | 6.458% | 7,900,000 | 7,652,422 | |
Series 2021-3A Class B | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 10/20/2034 | 6.558% | 10,000,000 | 9,732,610 | |
Santander Bank Auto Credit-Linked Notes(a) | ||||
Subordinated Series 2022-A Class C | ||||
05/15/2032 | 7.375% | 1,089,165 | 1,067,465 | |
Santander Consumer Auto Receivables Trust(a) | ||||
Series 2020-AA Class C | ||||
02/17/2026 | 3.710% | 1,310,000 | 1,301,976 | |
Santander Drive Auto Receivables Trust | ||||
Series 2020-2 Class D | ||||
09/15/2026 | 2.220% | 700,000 | 683,397 | |
Series 2022-7 Class A3 | ||||
04/15/2027 | 5.750% | 775,000 | 779,700 | |
Subordinated Series 2020-2 Class C | ||||
09/15/2025 | 1.460% | 178,323 | 178,039 | |
Subordinated Series 2020-3 Class D | ||||
11/16/2026 | 1.640% | 2,900,000 | 2,804,018 | |
Subordinated Series 2020-4 Class C | ||||
01/15/2026 | 1.010% | 1,105,087 | 1,094,266 | |
Subordinated Series 2020-4 Class D | ||||
01/15/2027 | 1.480% | 1,800,000 | 1,727,360 | |
Subordinated Series 2022-1 Class B | ||||
08/17/2026 | 2.360% | 4,005,000 | 3,892,993 | |
Subordinated Series 2022-3 Class B | ||||
08/16/2027 | 4.130% | 3,710,000 | 3,619,263 | |
Subordinated Series 2022-4 Class B | ||||
11/15/2027 | 4.420% | 3,505,000 | 3,412,111 | |
Subordinated Series 2022-5 Class B | ||||
03/15/2027 | 4.430% | 1,880,000 | 1,845,387 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2023-1 Class C | ||||
05/15/2030 | 5.090% | 810,000 | 793,677 | |
SCF Equipment Leasing LLC(a) | ||||
Series 2022-1A Class A3 | ||||
07/20/2029 | 2.920% | 2,440,000 | 2,277,404 | |
Shackleton VR CLO Ltd.(a),(b) | ||||
Series 2014-5RA Class A | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 05/07/2031 | 5.934% | 11,000,000 | 10,861,576 | |
Sixth Street CLO XVI Ltd.(a),(b) | ||||
Series 2020-16A Class A1A | ||||
3-month USD LIBOR + 1.320% Floor 1.320% 10/20/2032 | 6.128% | 25,250,000 | 25,169,377 | |
SLM Student Loan Trust(b) | ||||
Series 2008-2 Class B | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 01/25/2083 | 6.018% | 1,165,000 | 919,961 | |
Series 2008-3 Class B | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 04/26/2083 | 6.018% | 1,165,000 | 1,045,587 | |
Series 2008-4 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 04/25/2073 | 6.668% | 1,165,000 | 1,123,796 | |
Series 2008-5 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/25/2073 | 6.668% | 4,060,000 | 3,813,633 | |
Series 2008-6 Class A4 | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 07/25/2023 | 5.918% | 3,635,012 | 3,536,723 | |
Series 2008-6 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/26/2083 | 6.668% | 1,165,000 | 1,089,738 | |
Series 2008-7 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/26/2083 | 6.668% | 1,165,000 | 1,090,381 | |
Series 2008-8 Class B | ||||
3-month USD LIBOR + 2.250% Floor 2.250% 10/25/2075 | 7.068% | 1,165,000 | 1,122,602 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 15 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2008-9 Class B | ||||
3-month USD LIBOR + 2.250% Floor 2.250% 10/25/2083 | 7.068% | 1,165,000 | 1,121,501 | |
Series 2012-2 Class A | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 01/25/2029 | 5.206% | 4,463,620 | 4,298,055 | |
Series 2012-7 Class A3 | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 05/26/2026 | 5.156% | 2,175,785 | 2,087,637 | |
SMB Private Education Loan Trust(a) | ||||
Series 2020-PTA Class A2A | ||||
09/15/2054 | 1.600% | 2,488,820 | 2,210,508 | |
SoFi Professional Loan Program LLC(a),(b) | ||||
Series 2016-D Class A1 | ||||
1-month USD LIBOR + 0.950% 01/25/2039 | 5.567% | 27,553 | 27,482 | |
SoFi Professional Loan Program LLC(a) | ||||
Series 2017-A Class A2B | ||||
03/26/2040 | 2.400% | 20,199 | 20,024 | |
Series 2017-D Class A2FX | ||||
09/25/2040 | 2.650% | 249,363 | 237,196 | |
Series 2017-E Class A2B | ||||
11/26/2040 | 2.720% | 8,844 | 8,794 | |
Series 2018-A Class A2B | ||||
02/25/2042 | 2.950% | 76,849 | 73,813 | |
Series 2019-A Class BFX | ||||
06/15/2048 | 4.110% | 2,500,000 | 2,302,926 | |
Subordinated Series 2018-B Class BFX | ||||
08/25/2047 | 3.830% | 2,700,000 | 2,413,200 | |
Subordinated Series 2019-B Class BFX | ||||
08/17/2048 | 3.730% | 2,500,000 | 2,227,825 | |
SoFi Professional Loan Program Trust(a) | ||||
Subordinated Series 2020-B Class BFX | ||||
05/15/2046 | 2.730% | 2,200,000 | 1,608,477 | |
Sonic Capital LLC(a) | ||||
Series 2020-1A Class A2I | ||||
01/20/2050 | 3.845% | 1,852,500 | 1,666,734 | |
Sound Point CLO II Ltd.(a),(b) | ||||
Series 2013-1A Class A1R | ||||
3-month USD LIBOR + 1.070% Floor 1.070% 01/26/2031 | 5.892% | 6,000,000 | 5,926,668 | |
Sunnova Sol II Issuer LLC(a) | ||||
Series 2020-2A Class A | ||||
11/01/2055 | 2.730% | 2,820,271 | 2,163,522 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sunnova Sol III Issuer LLC(a) | ||||
Series 2021-1 Class A | ||||
04/28/2056 | 2.580% | 2,431,106 | 1,862,450 | |
Sunrun Athena Issuer LLC(a) | ||||
Series 2018-1 Class A | ||||
04/30/2049 | 5.310% | 1,800,140 | 1,703,654 | |
Sunrun Callisto Issuer LLC(a) | ||||
Series 2019-1A Class A | ||||
06/30/2054 | 3.980% | 1,418,630 | 1,261,043 | |
Taco Bell Funding LLC(a) | ||||
Series 2021-1A Class A2I | ||||
08/25/2051 | 1.946% | 2,468,750 | 2,129,989 | |
TCI-Flatiron CLO Ltd.(a),(b) | ||||
Series 2018-1A Class CR | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 01/29/2032 | 6.552% | 2,300,000 | 2,200,527 | |
TCW CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1RR | ||||
3-month USD LIBOR + 1.180% Floor 1.180% 10/29/2034 | 5.982% | 6,750,000 | 6,620,501 | |
Series 2017-1A Class BRR | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 10/29/2034 | 6.502% | 6,500,000 | 6,310,987 | |
Series 2021-1A Class C | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 03/18/2034 | 6.708% | 3,150,000 | 2,952,700 | |
TCW CLO Ltd.(a),(b),(c) | ||||
Series 2023-1A Class A1N | ||||
3-month Term SOFR + 2.070% 04/28/2036 | 4.500% | 1,000,000 | 999,915 | |
Telos CLO Ltd.(a),(b) | ||||
Series 2013-4A Class AR | ||||
3-month USD LIBOR + 1.240% Floor 1.240% 01/17/2030 | 6.032% | 10,061,078 | 9,976,515 | |
Textainer Marine Containers VII Ltd.(a) | ||||
Series 2021-2A Class A | ||||
04/20/2046 | 2.230% | 3,754,672 | 3,243,313 | |
THL Credit Wind River CLO Ltd.(a),(b) | ||||
Series 2019-1A Class AR | ||||
3-month USD LIBOR + 1.160% Floor 1.160% 07/20/2034 | 5.968% | 10,000,000 | 9,762,900 |
16 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TIAA CLO I Ltd.(a),(b) | ||||
Series 2016-1A Class AR | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 07/20/2031 | 6.008% | 6,750,000 | 6,658,180 | |
Toyota Auto Loan Extended Note Trust(a) | ||||
Series 2020-1A Class A | ||||
05/25/2033 | 1.350% | 1,405,000 | 1,289,068 | |
Trafigura Securitisation Finance PLC(a) | ||||
Subordinated Series 2021-1A Class B | ||||
01/15/2025 | 1.780% | 1,550,000 | 1,380,348 | |
Tralee CLO VI Ltd.(a),(b) | ||||
Series 2019-6A Class A1R | ||||
3-month USD LIBOR + 1.170% Floor 1.170% 10/25/2032 | 5.988% | 25,000,000 | 24,575,275 | |
Tralee CLO VII Ltd(a),(b) | ||||
Series 2021-7A Class A1 | ||||
3-month USD LIBOR + 1.320% Floor 1.320% 04/25/2034 | 6.138% | 9,250,000 | 9,088,449 | |
Trestles CLO V LTD.(a),(b) | ||||
Series 2021-5A Class B1 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 10/20/2034 | 6.458% | 6,800,000 | 6,619,909 | |
Trinitas CLO VII Ltd.(a),(b) | ||||
Series 2017-7A Class A1R | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 01/25/2035 | 6.018% | 4,000,000 | 3,914,488 | |
Triton Container Finance VIII LLC(a) | ||||
Series 2021-1A Class A | ||||
03/20/2046 | 1.860% | 2,678,667 | 2,270,229 | |
United Auto Credit Securitization Trust(a) | ||||
Series 2022-1 Class B | ||||
03/10/2025 | 2.100% | 1,205,000 | 1,198,086 | |
Subordinated Series 2022-2 Class C | ||||
05/10/2027 | 5.810% | 1,995,000 | 1,949,858 | |
Upstart Securitization Trust(a) | ||||
Series 2023-1 Class A | ||||
02/20/2033 | 6.590% | 1,900,000 | 1,895,465 | |
Venture CLO Ltd.(a),(b) | ||||
Series 2017-28AA Class A1R | ||||
3-month USD LIBOR + 1.210% Floor 1.210% 10/20/2034 | 6.018% | 12,500,000 | 12,210,562 | |
Venture XXVII CLO Ltd.(a),(b) | ||||
Series 2017-27A Class CR | ||||
3-month USD LIBOR + 2.300% 07/20/2030 | 7.108% | 4,100,000 | 3,870,170 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Voya CLO Ltd.(a),(b) | ||||
Series 2013-1A Class A1AR | ||||
3-month USD LIBOR + 1.210% Floor 1.210% 10/15/2030 | 6.002% | 7,172,560 | 7,131,483 | |
Series 2016-1A Class A1R | ||||
3-month Term SOFR + 1.332% Floor 1.070% 01/20/2031 | 5.971% | 10,000,000 | 9,945,620 | |
Wachovia Student Loan Trust(a),(b) | ||||
Series 2006-1 Class A6 | ||||
3-month USD LIBOR + 0.170% Floor 0.170% 04/25/2040 | 4.988% | 4,295,202 | 4,108,618 | |
Wellfleet CLO Ltd.(a),(b) | ||||
Series 2019-1A Class A1R | ||||
3-month USD LIBOR + 1.120% Floor 1.120% 07/20/2032 | 5.928% | 15,000,000 | 14,716,695 | |
Wendy’s Funding LLC(a) | ||||
Series 2018-1A Class A2II | ||||
03/15/2048 | 3.884% | 950,000 | 873,076 | |
Series 2019-1A Class A2I | ||||
06/15/2049 | 3.783% | 3,139,500 | 2,909,506 | |
Series 2021-1A Class A2II | ||||
06/15/2051 | 2.775% | 2,265,500 | 1,779,080 | |
Westlake Automobile Receivables Trust(a) | ||||
Series 2020-2A Class C | ||||
07/15/2025 | 2.010% | 686,708 | 681,865 | |
Series 2021-2A Class C | ||||
07/15/2026 | 0.890% | 1,650,000 | 1,555,773 | |
Subordinated Series 2020-3A Class C | ||||
11/17/2025 | 1.240% | 210,000 | 205,732 | |
Subordinated Series 2021-1A Class B | ||||
03/16/2026 | 0.640% | 4,829,308 | 4,779,414 | |
Subordinated Series 2021-2A Class B | ||||
07/15/2026 | 0.620% | 2,170,000 | 2,101,244 | |
Subordinated Series 2021-3 Class C | ||||
01/15/2027 | 1.580% | 6,225,000 | 5,815,167 | |
Subordinated Series 2023-1A Class C | ||||
08/15/2028 | 5.740% | 1,200,000 | 1,196,586 | |
Wind River CLO Ltd.(a),(b) | ||||
Series 2016-1A Class A1R2 | ||||
3-month USD LIBOR + 1.210% Floor 1.210% 10/15/2034 | 6.002% | 4,250,000 | 4,150,440 | |
World Omni Select Auto Trust | ||||
Series 2020-A Class A3 | ||||
07/15/2025 | 0.550% | 336,277 | 334,310 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 17 |
February 28, 2023 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-A Class B | ||||
08/16/2027 | 0.850% | 2,170,000 | 2,002,318 | |
York CLO-4 Ltd.(a),(b) | ||||
Series 2016-2A Class A1R | ||||
3-month USD LIBOR + 1.090% 04/20/2032 | 5.898% | 10,500,000 | 10,441,148 | |
Zais CLO 7 Ltd.(a),(b) | ||||
Series 2017-2A Class A | ||||
3-month USD LIBOR + 1.290% 04/15/2030 | 6.082% | 3,245,101 | 3,212,062 | |
Zais CLO 9 Ltd.(a),(b) | ||||
Series 2018-2A Class A | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 07/20/2031 | 6.008% | 12,613,399 | 12,439,814 | |
Zaxby’s Funding LLC(a) | ||||
Series 2021-1A Class A2 | ||||
07/30/2051 | 3.238% | 5,565,250 | 4,592,642 | |
Total Asset-Backed Securities — Non-Agency (Cost $1,240,156,487) | 1,201,031,926 | |||
Commercial Mortgage-Backed Securities - Agency 0.9% | ||||
Federal Home Loan Mortgage Corp. Multifamily ML Certificates(f),(g) | ||||
Series 2021-ML08 Class XUS | ||||
07/25/2037 | 1.861% | 7,776,534 | 1,074,761 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(f),(g) | ||||
CMO Series K055 Class X1 | ||||
03/25/2026 | 1.344% | 1,993,451 | 67,173 | |
CMO Series K057 Class X1 | ||||
07/25/2026 | 1.168% | 2,343,538 | 72,761 | |
CMO Series K059 Class X1 | ||||
09/25/2026 | 0.304% | 7,004,890 | 62,251 | |
CMO Series K060 Class X1 | ||||
10/25/2026 | 0.069% | 25,497,003 | 72,024 | |
CMO Series K152 Class X1 | ||||
01/25/2031 | 0.956% | 4,034,860 | 217,190 | |
Series 20K129 Class X1 (FHLMC) | ||||
05/25/2031 | 1.034% | 12,587,897 | 782,639 | |
Series 20K141 Class X1 (FHLMC) | ||||
02/25/2032 | 0.305% | 7,249,200 | 168,768 | |
Series 20K142 Class X1 (FHLMC) | ||||
12/25/2031 | 0.297% | 17,578,936 | 396,663 | |
Series 20K143 Class X1 (FHLMC) | ||||
04/25/2055 | 0.342% | 7,944,937 | 209,661 | |
Series 20K144 Class X1 (FHLMC) | ||||
04/25/2032 | 0.325% | 10,394,605 | 268,764 | |
Series K069 Class X1 | ||||
09/25/2027 | 0.348% | 36,510,819 | 514,543 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series K091 Class X1 | ||||
03/25/2029 | 0.561% | 39,257,166 | 1,104,489 | |
Series K095 Class X1 | ||||
06/25/2029 | 0.950% | 75,090,123 | 3,559,775 | |
Series K106 Class X1 | ||||
01/25/2030 | 1.354% | 99,541,372 | 7,285,035 | |
Series K108 Class X1 | ||||
03/25/2030 | 1.691% | 2,258,446 | 209,843 | |
Series K131 Class X1 (FHLMC) | ||||
07/25/2031 | 0.729% | 12,800,375 | 613,169 | |
Series K137 Class X1 | ||||
11/25/2031 | 0.199% | 274,928,381 | 3,815,704 | |
Series K145 Class X1 | ||||
06/25/2055 | 0.317% | 4,661,170 | 116,905 | |
Series K146 Class X1 | ||||
06/25/2032 | 0.230% | 15,767,142 | 310,569 | |
Series K147 Class X1 | ||||
06/25/2032 | 0.357% | 12,192,021 | 352,674 | |
Series K149 Class X1 (FHLMC) | ||||
08/25/2032 | 0.264% | 20,986,162 | 476,772 | |
Series K-150 Class X1 (FHLMC) | ||||
09/25/2032 | 0.310% | 18,243,552 | 483,950 | |
Series K-1516 Class X1 | ||||
05/25/2035 | 1.511% | 14,651,504 | 1,832,472 | |
Series K-1517 Class X1 | ||||
07/25/2035 | 1.324% | 19,950,720 | 2,171,730 | |
Series K1521 Class X1 | ||||
08/25/2036 | 0.980% | 23,408,643 | 1,897,362 | |
Series K728 Class X1 | ||||
08/25/2024 | 0.387% | 253,998,348 | 1,434,938 | |
Series K729 Class X1 | ||||
10/25/2024 | 0.341% | 158,726,175 | 679,967 | |
Series K735 Class X1 | ||||
05/25/2026 | 0.957% | 12,677,431 | 313,703 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series K056 Class A2 | ||||
05/25/2026 | 2.525% | 6,137,000 | 5,737,944 | |
Series K074 Class A2 | ||||
01/25/2028 | 3.600% | 8,660,000 | 8,295,236 | |
Series K155 Class A3 | ||||
04/25/2033 | 3.750% | 6,935,000 | 6,521,449 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(f) | ||||
Series K157 Class A3 | ||||
08/25/2033 | 3.990% | 6,145,000 | 5,931,243 | |
Series Q006 Class APT1 | ||||
07/25/2026 | 2.688% | 3,460,156 | 3,255,733 |
18 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
11/01/2031 | 3.400% | 1,500,000 | 1,363,228 | |
02/01/2033 | 3.400% | 4,000,000 | 3,684,290 | |
07/01/2033 | 3.670% | 8,000,000 | 7,543,990 | |
03/01/2035 | 2.510% | 3,000,000 | 2,453,235 | |
04/01/2040 | 2.455% | 3,495,000 | 2,484,717 | |
Federal National Mortgage Association(f),(g) | ||||
Series 2020-M43 Class X1 | ||||
08/25/2034 | 2.056% | 37,588,385 | 3,869,717 | |
Government National Mortgage Association(f),(g) | ||||
CMO Series 2011-38 Class IO | ||||
04/16/2053 | 0.530% | 907,767 | 6,874 | |
CMO Series 2013-162 Class IO | ||||
09/16/2046 | 0.057% | 17,112,670 | 36,590 | |
CMO Series 2014-134 Class IA | ||||
01/16/2055 | 0.149% | 12,041,607 | 58,207 | |
CMO Series 2015-101 Class IO | ||||
03/16/2052 | 0.285% | 2,969,091 | 37,087 | |
CMO Series 2015-114 | ||||
03/15/2057 | 0.367% | 1,467,580 | 22,573 | |
CMO Series 2015-120 Class IO | ||||
03/16/2057 | 0.684% | 7,637,500 | 159,699 | |
CMO Series 2015-125 Class IB | ||||
01/16/2055 | 1.016% | 9,700,934 | 250,102 | |
CMO Series 2015-125 Class IO | ||||
07/16/2055 | 0.632% | 18,167,240 | 285,115 | |
CMO Series 2015-146 Class IC | ||||
07/16/2055 | 0.267% | 6,041,137 | 48,919 | |
CMO Series 2015-171 Class IO | ||||
11/16/2055 | 0.846% | 4,900,063 | 144,718 | |
CMO Series 2015-174 Class IO | ||||
11/16/2055 | 0.414% | 6,113,531 | 123,068 | |
CMO Series 2015-21 Class IO | ||||
07/16/2056 | 0.717% | 3,042,822 | 75,321 | |
CMO Series 2015-29 Class EI | ||||
09/16/2049 | 0.710% | 6,669,526 | 124,619 | |
CMO Series 2015-41 Class IO | ||||
09/16/2056 | 0.276% | 1,188,812 | 14,720 | |
CMO Series 2015-6 Class IO | ||||
02/16/2051 | 0.483% | 2,065,356 | 23,267 | |
CMO Series 2015-70 Class IO | ||||
12/16/2049 | 0.571% | 5,738,622 | 106,371 | |
CMO Series 2016-39 Class IO | ||||
01/16/2056 | 0.687% | 3,602,098 | 95,639 | |
CMO Series 2022-17 Class IO | ||||
06/16/2064 | 0.802% | 6,364,747 | 408,304 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2022-4 Class IO | ||||
03/16/2064 | 0.860% | 15,644,838 | 1,052,032 | |
CMO Series 2022-43 Class IO | ||||
09/16/2061 | 0.740% | 13,019,588 | 767,388 | |
Series 2014-101 Class IO | ||||
04/16/2056 | 0.605% | 10,021,325 | 147,180 | |
Series 2016-152 Class IO | ||||
08/15/2058 | 0.728% | 11,867,201 | 410,773 | |
Series 2017-168 Class IO | ||||
12/16/2059 | 0.577% | 16,908,547 | 596,009 | |
Series 2018-110 Class IA | ||||
11/16/2059 | 0.630% | 21,725,829 | 820,454 | |
Series 2018-2 Class IO | ||||
12/16/2059 | 0.707% | 7,295,806 | 321,679 | |
Series 2020-108 Class IO | ||||
06/16/2062 | 0.847% | 8,990,940 | 535,342 | |
Series 2021-106 Class IO | ||||
04/16/2063 | 0.858% | 9,599,705 | 648,420 | |
Series 2021-132 Class BI | ||||
04/16/2063 | 0.925% | 12,342,751 | 851,494 | |
Series 2021-133 Class IO | ||||
07/16/2063 | 0.880% | 12,076,080 | 829,411 | |
Series 2021-144 Class IO | ||||
04/16/2063 | 0.825% | 12,154,180 | 784,528 | |
Series 2021-145 Class IO | ||||
07/16/2061 | 0.772% | 2,557,170 | 143,305 | |
Series 2021-151 Class IO | ||||
04/16/2063 | 0.917% | 10,836,395 | 789,527 | |
Series 2021-163 Class IO | ||||
03/16/2064 | 0.800% | 11,323,462 | 734,084 | |
Series 2021-186 Class IO | ||||
05/16/2063 | 0.765% | 12,663,053 | 762,727 | |
Series 2021-52 Class IO | ||||
04/16/2063 | 0.719% | 10,581,446 | 574,180 | |
Series 2022-132 Class IO | ||||
10/16/2064 | 0.539% | 11,026,320 | 572,372 | |
Series 2022-166 Class IO | ||||
04/16/2065 | 0.792% | 12,989,120 | 803,330 | |
Series 2022-92 Class EI | ||||
02/16/2064 | 0.809% | 11,312,537 | 715,452 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(b) | ||||
CMO Series 2013-H08 Class FA | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 10.550% 03/20/2063 | 4.742% | 122,855 | 122,125 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $126,283,986) | 96,710,042 | |||
Commercial Mortgage-Backed Securities - Non-Agency 6.0% | ||||
Arbor Multifamily Mortgage Securities Trust(a) | ||||
Series 2021-MF2 Class A4 | ||||
06/15/2054 | 2.252% | 18,000,000 | 14,456,038 | |
Arbor Realty Commercial Real Estate Notes Ltd.(a),(b) | ||||
Series 2021-FL4 Class D | ||||
1-month USD LIBOR + 2.900% Floor 2.900% 11/15/2036 | 7.488% | 3,250,000 | 3,095,092 | |
Series 2022-FL1 Class A | ||||
30-day Average SOFR + 1.450% Floor 1.450% 01/15/2037 | 5.851% | 7,100,000 | 7,000,190 | |
BAMLL Commercial Mortgage Securities Trust(a) | ||||
Series 2019-BPR Class AM | ||||
11/05/2032 | 3.287% | 6,325,000 | 5,789,856 | |
Banc of America Merrill Lynch Commercial Mortgage, Inc.(f),(g) | ||||
Series 2019-BN18 Class XA | ||||
05/15/2062 | 0.892% | 59,544,103 | 2,506,444 | |
BANK(f),(g) | ||||
Series 2017-BNK8 Class XA | ||||
11/15/2050 | 0.713% | 26,841,764 | 718,841 | |
BANK(f) | ||||
Series 2021-BN37 Class A5 | ||||
11/15/2064 | 2.618% | 5,605,000 | 4,623,706 | |
Series 2022-BNK40 Class A4 | ||||
03/15/2064 | 3.507% | 2,945,000 | 2,594,853 | |
BANK(a) | ||||
Subordinated Series 2017-BNK6 Class D | ||||
07/15/2060 | 3.100% | 2,380,000 | 1,663,233 | |
BBCMS Mortgage Trust(a) | ||||
Series 2016-ETC Class A | ||||
08/14/2036 | 2.937% | 13,500,000 | 11,857,371 | |
Subordinated Series 2016-ETC Class B | ||||
08/14/2036 | 3.189% | 900,000 | 765,255 | |
Subordinated Series 2016-ETC Class C | ||||
08/14/2036 | 3.391% | 770,000 | 621,832 | |
BBCMS Mortgage Trust(f),(g) | ||||
Series 2018-C2 Class XA | ||||
12/15/2051 | 0.757% | 60,839,449 | 2,049,292 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BBCMS Mortgage Trust(a),(b) | ||||
Series 2020-BID Class A | ||||
1-month USD LIBOR + 2.140% Floor 2.140% 10/15/2037 | 6.728% | 3,850,000 | 3,753,465 | |
BBCMS Mortgage Trust | ||||
Series 2021-C12 Class A5 | ||||
11/15/2054 | 2.689% | 5,580,000 | 4,638,339 | |
BBCMS Mortgage Trust(a),(f) | ||||
Subordinated Series 2016-ETC Class D | ||||
08/14/2036 | 3.609% | 2,790,000 | 2,192,145 | |
BB-UBS Trust(a) | ||||
Series 2012-TFT Class A | ||||
06/05/2030 | 2.892% | 2,405,257 | 2,364,146 | |
Benchmark Mortgage Trust(f),(g) | ||||
03/15/2053 | 1.416% | 25,310,035 | 1,452,472 | |
Series 2019-B10 Class XA | ||||
03/15/2062 | 1.220% | 29,701,706 | 1,500,952 | |
Series 2020-B20 Class XA | ||||
10/15/2053 | 1.617% | 14,486,737 | 1,093,343 | |
Benchmark Mortgage Trust | ||||
Series 2021-B26 Class A4 | ||||
06/15/2054 | 2.295% | 10,600,000 | 8,720,331 | |
Series 2021-B31 Class A5 | ||||
12/15/2054 | 2.669% | 4,440,000 | 3,670,146 | |
BIG Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-BIG Class C | ||||
1-month Term SOFR + 2.340% Floor 2.340% 02/15/2039 | 6.903% | 420,000 | 404,470 | |
BMD2 Re-Remic Trust(a),(h) | ||||
Series 2019-FRR1 Class 3AB | ||||
05/25/2052 | 0.000% | 2,821,000 | 1,772,396 | |
Subordinated Series 2019-FRR1 Class 2C | ||||
05/25/2052 | 0.000% | 14,258,000 | 11,594,630 | |
BPR Trust(a),(b) | ||||
Series 2021-NRD Class A | ||||
1-month USD LIBOR + 1.525% Floor 1.525% 12/15/2023 | 6.088% | 3,045,000 | 2,921,228 | |
Series 2022-OANA Class A | ||||
1-month Term SOFR + 1.898% Floor 1.898% 04/15/2037 | 6.461% | 2,300,000 | 2,258,284 | |
BWAY Mortgage Trust(a) | ||||
Series 2015-1740 Class A | ||||
01/10/2035 | 2.917% | 6,850,000 | 6,102,244 |
20 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2020-VKNG Class A | ||||
1-month Term SOFR + 1.045% Floor 0.930% 10/15/2037 | 5.607% | 5,757,641 | 5,696,419 | |
Series 2021-VOLT Class G | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 09/15/2036 | 7.438% | 3,000,000 | 2,880,217 | |
Series 2022-CSMO Class A | ||||
1-month Term SOFR + 2.115% Floor 2.115% 06/15/2027 | 6.677% | 5,918,000 | 5,914,298 | |
Subordinated Series 2021-21M Class E | ||||
1-month USD LIBOR + 2.171% Floor 2.171% 10/15/2036 | 6.759% | 2,048,782 | 1,947,015 | |
Subordinated Series 2021-IRON Class E | ||||
1-month USD LIBOR + 2.350% Floor 2.350% 02/15/2038 | 6.938% | 3,000,000 | 2,838,461 | |
Subordinated Series 2021-MFM1 Class D | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 01/15/2034 | 6.088% | 452,123 | 438,525 | |
Subordinated Series 2021-SOAR Class F | ||||
1-month USD LIBOR + 2.350% Floor 2.350% 06/15/2038 | 6.938% | 17,690,987 | 16,972,324 | |
Subordinated Series 2022-CSMO Class B | ||||
1-month Term SOFR + 3.141% Floor 3.141% 06/15/2027 | 7.703% | 3,490,000 | 3,483,452 | |
BX Commercial Mortgage Trust(a),(f) | ||||
Subordinated Series 2020-VIV3 Class B | ||||
03/09/2044 | 3.544% | 5,780,000 | 4,912,458 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,115,000 | 960,507 | |
BX Trust(a),(b) | ||||
Series 2021-LGCY Class D | ||||
1-month USD LIBOR + 1.302% Floor 1.302% 10/15/2036 | 5.761% | 590,000 | 563,458 | |
Subordinated Series 2022-LBA6 Class D | ||||
1-month Term SOFR + 2.000% Floor 2.000% 01/15/2039 | 6.563% | 750,000 | 721,344 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2022-VAMF Class E | ||||
1-month USD LIBOR + 2.700% Floor 2.700% 01/15/2039 | 7.263% | 5,000,000 | 4,768,739 | |
BXHPP Trust(a),(b) | ||||
Series 2021-FILM Class A | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 08/15/2036 | 5.238% | 7,000,000 | 6,628,184 | |
CALI Mortgage Trust(a) | ||||
Series 2019-101C Class A | ||||
03/10/2039 | 3.957% | 2,380,000 | 2,062,844 | |
CAMB Commercial Mortgage Trust(a) | ||||
Series 2021-CX2 Class A | ||||
11/10/2046 | 2.700% | 7,200,000 | 5,801,787 | |
Cantor Commercial Real Estate Lending(f),(g) | ||||
Series 2019-CF2 Class XA | ||||
11/15/2052 | 1.193% | 43,865,375 | 2,319,553 | |
Cantor Commercial Real Estate Lending | ||||
Series 2019-CF3 Class A3 | ||||
01/15/2053 | 2.752% | 16,100,000 | 13,902,339 | |
CD Mortgage Trust | ||||
Series 2016-CD1 Class A3 | ||||
08/10/2049 | 2.459% | 14,750,906 | 13,410,866 | |
Series 2017-CD6 Class A4 | ||||
11/13/2050 | 3.190% | 20,000,000 | 18,124,226 | |
CD Mortgage Trust(f),(g) | ||||
Series 2019-CD8 Class XA | ||||
08/15/2057 | 1.404% | 46,718,499 | 3,050,055 | |
CFCRE Commercial Mortgage Trust | ||||
Series 2016-C4 Class A4 | ||||
05/10/2058 | 3.283% | 5,900,000 | 5,478,790 | |
CFCRE Commercial Mortgage Trust(f),(g) | ||||
Series 2016-C4 Class XA | ||||
05/10/2058 | 1.607% | 53,761,977 | 2,014,311 | |
Citigroup Commercial Mortgage Trust | ||||
Series 2015-GC35 Class A3 | ||||
11/10/2048 | 3.549% | 10,000,000 | 9,321,444 | |
Series 2019-C7 Class A4 | ||||
12/15/2072 | 3.102% | 3,985,000 | 3,493,732 | |
Series 2019-GC43 Class A3 | ||||
11/10/2052 | 2.782% | 10,000,000 | 8,578,157 | |
Citigroup Commercial Mortgage Trust(a),(b) | ||||
Series 2021-PRM2 Class F | ||||
1-month USD LIBOR + 3.750% Floor 3.750% 10/15/2036 | 8.338% | 1,500,000 | 1,434,229 | |
Citigroup Commercial Mortgage Trust(a),(f) | ||||
Subordinated Series 2016-C2 Class E | ||||
08/10/2049 | 4.395% | 2,420,000 | 1,589,427 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CityLine Commercial Mortgage Trust(a),(f) | ||||
Subordinated Series 2016-CLNE Class B | ||||
11/10/2031 | 2.778% | 3,600,000 | 3,470,633 | |
Subordinated Series 2016-CLNE Class C | ||||
11/10/2031 | 2.778% | 1,350,000 | 1,291,362 | |
COMM Mortgage Trust(a) | ||||
Series 2013-CR7 Class AM | ||||
03/10/2046 | 3.314% | 4,250,000 | 4,233,151 | |
COMM Mortgage Trust(a),(f) | ||||
Subordinated Series 2013-CR10 Class E | ||||
08/10/2046 | 4.861% | 1,220,000 | 1,145,474 | |
Subordinated Series 2013-CR7 Class D | ||||
03/10/2046 | 4.337% | 8,575,000 | 7,944,602 | |
Subordinated Series 2020-CBM Class F | ||||
02/10/2037 | 3.633% | 2,513,000 | 2,160,589 | |
Commercial Mortgage Pass-Through Certificates(a) | ||||
Series 2012-LTRT Class A2 | ||||
10/05/2030 | 3.400% | 3,678,428 | 3,219,787 | |
Commercial Mortgage Pass-Through Certificates(f) | ||||
Subordinated Series 2019-BN24 Class C | ||||
11/15/2062 | 3.518% | 1,000,000 | 789,914 | |
Commercial Mortgage Trust | ||||
Series 2013-CR13 Class A3 | ||||
11/12/2046 | 3.928% | 2,644,161 | 2,606,679 | |
Series 2014-UBS2 Class A5 | ||||
03/10/2047 | 3.961% | 1,165,000 | 1,146,842 | |
Series 2014-UBS4 Class A5 | ||||
08/10/2047 | 3.694% | 5,000,000 | 4,841,439 | |
Series 2014-UBS6 Class A4 | ||||
12/10/2047 | 3.378% | 2,984,606 | 2,863,123 | |
Series 2015-DC1 Class A5 | ||||
02/10/2048 | 3.350% | 790,000 | 754,535 | |
Series 2015-LC19 Class A4 | ||||
02/10/2048 | 3.183% | 835,000 | 793,160 | |
Series 2015-PC1 Class A5 | ||||
07/10/2050 | 3.902% | 2,755,000 | 2,651,025 | |
Series 2016-COR1 Class A3 | ||||
10/10/2049 | 2.826% | 8,410,989 | 7,681,882 | |
Commercial Mortgage Trust(f) | ||||
Series 2013-CR9 Class A4 | ||||
07/10/2045 | 4.267% | 1,033,548 | 1,028,610 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Series 2014-USA Class A2 | ||||
09/15/2037 | 3.953% | 14,800,000 | 13,347,210 | |
CSAIL Commercial Mortgage Trust | ||||
Series 2019-C18 Class A4 | ||||
12/15/2052 | 2.968% | 3,345,000 | 2,852,108 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSAIL Commercial Mortgage Trust(a) | ||||
Subordinated Series 2020-C19 Class E | ||||
03/15/2053 | 2.500% | 800,000 | 435,221 | |
CSWF Trust(a),(b) | ||||
Subordinated Series 2021-SOP2 Class E | ||||
1-month USD LIBOR + 3.367% Floor 3.367% 06/15/2034 | 7.955% | 16,000,000 | 14,635,544 | |
DBGS Mortgage Trust(a),(b) | ||||
Series 2018-BIOD Class E | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 05/15/2035 | 6.288% | 2,741,288 | 2,681,334 | |
Series 2018-BIOD Class F | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 05/15/2035 | 6.588% | 10,782,400 | 10,519,642 | |
DBJPM Mortgage Trust(a) | ||||
Series 2016-SFC Class A | ||||
08/10/2036 | 2.833% | 1,500,000 | 1,259,607 | |
DBJPM Mortgage Trust(f),(g) | ||||
Series 2020-C9 Class XA | ||||
09/15/2053 | 1.708% | 46,274,915 | 3,089,262 | |
DBUBS Mortgage Trust(a) | ||||
Series 2017-BRBK Class A | ||||
10/10/2034 | 3.452% | 2,800,000 | 2,641,855 | |
DBUBS Mortgage Trust(a),(b) | ||||
Subordinated Series 2011-LC2A Class F | ||||
1-month USD LIBOR + 3.650% Floor 3.650%, Cap 4.000% 07/10/2044 | 4.000% | 161,532 | 161,043 | |
DBWF Mortgage Trust(a),(f) | ||||
Series 2016-85T Class D | ||||
12/10/2036 | 3.808% | 2,000,000 | 1,704,910 | |
Series 2016-85T Class E | ||||
12/10/2036 | 3.808% | 2,000,000 | 1,518,878 | |
Extended Stay America Trust(a),(b) | ||||
Series 2021-ESH Class E | ||||
1-month USD LIBOR + 2.850% Floor 2.850% 07/15/2038 | 7.438% | 2,928,577 | 2,857,196 | |
FirstKey Homes Trust(a) | ||||
Series 2020-SFR1 Class A | ||||
08/17/2037 | 1.339% | 6,161,071 | 5,561,732 | |
Subordinated Series 2020-SFR2 Class E | ||||
10/19/2037 | 2.668% | 3,432,000 | 3,083,423 | |
GAM Investments(a),(i) | ||||
Subordinated Series 2021-F Class A | ||||
09/27/2051 | 0.000% | 2,186,000 | 1,781,419 |
22 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-F Class D | ||||
09/27/2051 | 0.000% | 1,777,000 | 1,352,904 | |
Subordinated Series 2021-F Class E | ||||
09/27/2051 | 0.000% | 1,798,000 | 1,477,350 | |
Subordinated Series 2021-F Class G | ||||
09/27/2051 | 0.000% | 1,797,000 | 1,473,192 | |
Subordinated Series 2021-F Class H | ||||
09/27/2051 | 0.000% | 1,510,000 | 855,750 | |
GAM Investments(a) | ||||
Subordinated Series 2021-F Class C | ||||
09/27/2051 | 1.079% | 1,778,000 | 1,441,945 | |
GAM Investments(a),(f) | ||||
Subordinated Series 2021-F Class F | ||||
09/27/2051 | 2.435% | 2,364,000 | 1,661,646 | |
GAM Re-REMIC Trust(a),(i) | ||||
Series 2021-FRR1 Class 1B | ||||
07/28/2027 | 0.000% | 3,690,000 | 2,492,689 | |
Series 2021-FRR1 Class 2B | ||||
12/29/2027 | 0.000% | 4,900,000 | 3,157,555 | |
GAM Resecuritization Trust(a),(f) | ||||
Series 2022-FRR3 Class BK71 | ||||
01/29/2052 | 2.030% | 3,736,000 | 2,713,264 | |
Series 2022-FRR3 Class CK71 | ||||
01/29/2052 | 1.410% | 1,245,000 | 827,903 | |
GAM Resecuritization Trust(a),(i) | ||||
Series 2022-FRR3 Class D728 | ||||
01/29/2052 | 0.000% | 1,446,000 | 1,205,921 | |
Subordinated Series 2022-FRR3 Class BK89 | ||||
01/29/2052 | 0.000% | 2,769,000 | 1,587,374 | |
Subordinated Series 2022-FRR3 Class CK89 | ||||
01/29/2052 | 0.000% | 1,450,000 | 783,832 | |
Subordinated Series 2022-FRR3 Class EK41 | ||||
01/29/2052 | 0.000% | 776,000 | 637,723 | |
GAM Resecuritization Trust(a),(h) | ||||
Subordinated Series 2022-FRR3 Class BK61 | ||||
11/27/2049 | 0.000% | 2,543,000 | 1,747,280 | |
Subordinated Series 2022-FRR3 Class C728 | ||||
08/27/2050 | 0.000% | 1,446,000 | 1,232,049 | |
Subordinated Series 2022-FRR3 Class CK47 | ||||
05/27/2048 | 0.000% | 1,474,000 | 1,190,131 | |
Subordinated Series 2022-FRR3 Class CK61 | ||||
11/27/2049 | 0.000% | 1,784,000 | 1,169,276 | |
Subordinated Series 2022-FRR3 Class DK41 | ||||
10/27/2047 | 0.000% | 1,165,000 | 979,675 | |
Subordinated Series 2022-FRR3 Class DK47 | ||||
05/27/2048 | 0.000% | 1,473,000 | 1,164,285 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Greystone Commercial Capital Trust(a),(b) | ||||
Series 2021-3 Class A | ||||
1-month USD LIBOR + 2.230% Floor 2.230% 08/17/2023 | 6.831% | 8,500,000 | 8,276,564 | |
GS Mortgage Securities Corp II(a),(f) | ||||
Series 2017-375H Class A | ||||
09/10/2037 | 3.475% | 5,000,000 | 4,462,352 | |
GS Mortgage Securities Corp. II(a) | ||||
Series 2012-BWTR Class A | ||||
11/05/2034 | 2.954% | 3,857,000 | 2,770,651 | |
GS Mortgage Securities Trust(a),(f) | ||||
Series 2013-PEMB Class A | ||||
03/05/2033 | 3.550% | 1,625,000 | 1,405,494 | |
GS Mortgage Securities Trust | ||||
Series 2016-GS2 Class A3 | ||||
05/10/2049 | 2.791% | 4,386,124 | 4,047,286 | |
Series 2017-GS7 Class A3 | ||||
08/10/2050 | 3.167% | 10,000,000 | 9,127,933 | |
Series 2017-GS8 Class A3 | ||||
11/10/2050 | 3.205% | 20,000,000 | 18,077,384 | |
Series 2020-GC45 Class A5 | ||||
02/13/2053 | 2.911% | 1,810,000 | 1,566,083 | |
Hudson Yards Mortgage Trust(a) | ||||
Series 2019-30HY Class A | ||||
07/10/2039 | 3.228% | 2,160,000 | 1,880,529 | |
Hudsons Bay Simon JV Trust(a) | ||||
Series 2015-HB10 Class A10 | ||||
08/05/2034 | 4.155% | 1,820,000 | 1,559,529 | |
Series 2015-HB7 Class A7 | ||||
08/05/2034 | 3.914% | 2,520,000 | 2,194,109 | |
IMT Trust(a) | ||||
Series 2017-APTS Class AFX | ||||
06/15/2034 | 3.478% | 5,410,000 | 5,140,123 | |
INTOWN Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-STAY Class D | ||||
1-month Term SOFR + 4.134% Floor 4.134% 08/15/2037 | 8.696% | 2,500,000 | 2,507,753 | |
JPMBB Commercial Mortgage Securities Trust(f) | ||||
Series 2013-C14 Class A4 | ||||
08/15/2046 | 4.133% | 2,585,512 | 2,567,892 | |
JPMBB Commercial Mortgage Securities Trust | ||||
Series 2014-C26 Class A3 | ||||
01/15/2048 | 3.231% | 262,835 | 251,653 | |
JPMBB Commercial Mortgage Securities Trust(a),(f) | ||||
Subordinated Series 2013-C17 Class F | ||||
01/15/2047 | 3.867% | 1,840,000 | 1,143,304 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2014-C19 Class D | ||||
04/15/2047 | 4.653% | 874,000 | 814,930 | |
JPMDB Commercial Mortgage Securities Trust | ||||
Series 2016-C4 Class A2 | ||||
12/15/2049 | 2.882% | 8,174,742 | 7,355,924 | |
Series 2019-COR6 Class A3 | ||||
11/13/2052 | 2.795% | 7,500,000 | 6,451,184 | |
JPMorgan Chase Commercial Mortgage Securities Trust(f) | ||||
Series 2013-C13 Class A4 | ||||
01/15/2046 | 3.994% | 2,172,107 | 2,160,098 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2019-OSB Class A | ||||
06/05/2039 | 3.397% | 2,110,000 | 1,851,891 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(b) | ||||
Series 2021-HTL5 Class A | ||||
1-month USD LIBOR + 1.115% Floor 1.115% 11/15/2038 | 5.703% | 7,080,000 | 6,898,571 | |
Series 2022-ACB Class E | ||||
30-day Average SOFR + 3.350% Floor 3.350% 03/15/2039 | 7.751% | 6,450,000 | 6,272,226 | |
Subordinated Series 2021-NYAH Class E | ||||
1-month USD LIBOR + 1.840% Floor 1.840% 06/15/2038 | 6.299% | 600,000 | 574,431 | |
Subordinated Series 2021-NYAH Class H | ||||
1-month USD LIBOR + 3.390% Floor 3.390% 06/15/2038 | 5.781% | 3,500,000 | 3,150,916 | |
Ladder Capital Commercial Mortgage(a) | ||||
Series 2017-LC26 Class A4 | ||||
07/12/2050 | 3.551% | 4,500,000 | 4,161,562 | |
Life Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-BMR Class F | ||||
1-month USD LIBOR + 2.350% Floor 2.350% 03/15/2038 | 6.938% | 1,867,643 | 1,804,447 | |
LSTAR Commercial Mortgage Trust(a) | ||||
Series 2017-5 Class A4 | ||||
03/10/2050 | 3.390% | 800,000 | 763,252 | |
LSTAR Commercial Mortgage Trust(a),(f) | ||||
Subordinated Series 2016-4 Class F | ||||
03/10/2049 | 4.602% | 8,000,000 | 5,308,090 | |
Med Trust(a),(b) | ||||
Series 2021-MDLN Class A | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 11/15/2038 | 5.538% | 2,801,677 | 2,733,410 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MHP MHIL(a),(b) | ||||
Subordinated Series 2022 Class E | ||||
30-day Average SOFR + 2.611% Floor 2.611% 01/15/2027 | 7.173% | 2,914,976 | 2,802,012 | |
MKT Mortgage Trust(a) | ||||
Series 2020-525M Class A | ||||
02/12/2040 | 2.694% | 1,575,000 | 1,233,231 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2013-C12 Class A4 | ||||
10/15/2046 | 4.259% | 1,885,000 | 1,868,620 | |
Series 2015-C21 Class A3 | ||||
03/15/2048 | 3.077% | 458,730 | 437,729 | |
Series 2016-C29 Class ASB | ||||
05/15/2049 | 3.140% | 607,261 | 581,621 | |
Morgan Stanley Capital I Trust | ||||
Series 2016-UB11 Class A3 | ||||
08/15/2049 | 2.531% | 8,300,158 | 7,470,579 | |
Morgan Stanley Capital I Trust(f),(g) | ||||
Series 2021-L5 Class XA | ||||
05/15/2054 | 1.295% | 13,569,721 | 923,660 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2021-SFR1 Class G | ||||
04/17/2038 | 3.861% | 3,830,000 | 3,363,187 | |
RBS Commercial Funding, Inc., Trust(a),(f) | ||||
Series 2013-GSP Class A | ||||
01/15/2032 | 3.834% | 1,180,000 | 1,139,741 | |
RFM Re-REMIC Trust(a),(i) | ||||
Series 2022-FRR1 Class AB55 | ||||
03/28/2049 | 0.000% | 1,150,000 | 870,850 | |
Series 2022-FRR1 Class CK55 | ||||
03/28/2049 | 0.000% | 360,000 | 260,453 | |
Series 2022-FRR1 Class CK60 | ||||
11/08/2049 | 0.000% | 450,000 | 307,456 | |
Series 2022-FRR1 Class CK64 | ||||
03/01/2050 | 0.000% | 420,000 | 276,285 | |
RFM Re-REMIC Trust(a),(f) | ||||
Series 2022-FRR1 Class AB60 | ||||
11/08/2049 | 2.470% | 970,000 | 769,557 | |
Series 2022-FRR1 Class AB64 | ||||
03/01/2050 | 2.314% | 1,460,000 | 1,120,687 | |
SCOTT Trust(a),(c) | ||||
Series 2023-SFS Class A | ||||
03/15/2028 | 5.910% | 3,340,000 | 3,323,534 | |
SG Commercial Mortgage Securities Trust | ||||
Series 2016-C5 Class A4 | ||||
10/10/2048 | 3.055% | 5,120,000 | 4,718,845 |
24 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SPGN TFLM Mortgage Trust(a),(b) | ||||
Series 2022 Class A | ||||
1-month Term SOFR + 1.550% Floor 1.550% 02/15/2039 | 6.113% | 5,670,000 | 5,413,175 | |
Starwood Retail Property Trust(a),(b) | ||||
Series 2014-STAR Class A | ||||
1-month USD LIBOR + 1.470% Floor 1.220% 11/15/2027 | 6.058% | 2,461,743 | 1,698,603 | |
UBS Commercial Mortgage Trust | ||||
Series 2018-C10 Class A3 | ||||
05/15/2051 | 4.048% | 5,500,000 | 5,104,527 | |
UBS-Barclays Commercial Mortgage Trust | ||||
Series 2013-C6 Class A4 | ||||
04/10/2046 | 3.244% | 455,250 | 446,544 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2015-LC20 Class A4 | ||||
04/15/2050 | 2.925% | 1,965,000 | 1,859,946 | |
Series 2015-SG1 Class A4 | ||||
09/15/2048 | 3.789% | 9,036,083 | 8,619,556 | |
Series 2018-C45 Class A3 | ||||
06/15/2051 | 3.920% | 18,355,684 | 17,010,299 | |
Series 2021-C61 Class A4 | ||||
11/15/2054 | 2.658% | 7,990,000 | 6,551,118 | |
Wells Fargo Commercial Mortgage Trust(f),(g) | ||||
Series 2021-C59 Class XA | ||||
04/15/2054 | 1.534% | 20,514,562 | 1,733,214 | |
Series 2021-C60 Class XA | ||||
08/15/2054 | 1.545% | 4,096,441 | 341,914 | |
Wells Fargo Commercial Mortgage Trust(f) | ||||
Series 2022-C62 Class A4 | ||||
04/15/2055 | 4.000% | 5,330,000 | 4,888,338 | |
WFRBS Commercial Mortgage Trust(a) | ||||
Subordinated Series 2014-C21 Class D | ||||
08/15/2047 | 3.497% | 700,000 | 577,133 | |
WF-RBS Commercial Mortgage Trust | ||||
Series 2014-C24 Class A3 | ||||
11/15/2047 | 3.428% | 509,995 | 492,146 | |
WF-RBS Commercial Mortgage Trust(a),(f) | ||||
Subordinated Series 2013-C14 Class D | ||||
06/15/2046 | 3.956% | 940,000 | 576,650 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $677,539,437) | 611,453,471 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Communication Services 0.0% | ||
Media 0.0% | ||
Intelsat Jackson Holdings SA(d),(e),(j) | 2,500,000 | 2 |
Intelsat Jackson Holdings SA(d),(e),(j) | 832,000 | 1 |
Intelsat Jackson Holdings SA(d),(e),(j) | 6,033,000 | 6 |
Intelsat Jackson Series A, CVR(d),(e),(j) | 9,292 | 0 |
Intelsat Jackson Series B, CVR(d),(e),(j) | 9,292 | 0 |
Total | 9 | |
Total Communication Services | 9 | |
Energy 0.0% | ||
Oil, Gas & Consumable Fuels 0.0% | ||
Prairie Provident Resources, Inc.(e),(j) | 1,728 | 190 |
Total Energy | 190 | |
Financials 0.0% | ||
Diversified Financial Services 0.0% | ||
Intelsat Emergence SA(j) | 88,738 | 2,174,081 |
Total Financials | 2,174,081 | |
Total Common Stocks (Cost $3,030,179) | 2,174,280 |
Convertible Bonds 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banking 0.0% | ||||
Bangkok Bank PCL(a),(k) | ||||
12/31/2079 | 5.000% | 930,000 | 882,602 | |
HSBC Holdings PLC(k) | ||||
12/31/2079 | 4.600% | 1,292,000 | 1,044,267 | |
Total | 1,926,869 | |||
Midstream 0.0% | ||||
Enbridge, Inc.(k) | ||||
01/15/2083 | 7.375% | 1,056,000 | 1,048,321 | |
Wireless 0.0% | ||||
Digicel Group 0.5 Ltd.(a),(l) | ||||
Subordinated | ||||
12/30/2049 | 7.000% | 18,094 | 1,447 | |
Total Convertible Bonds (Cost $2,998,527) | 2,976,637 | |||
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes 32.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.4% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 690,000 | 614,855 | |
Boeing Co. (The) | ||||
02/04/2024 | 1.433% | 5,100,000 | 4,901,438 | |
05/01/2025 | 4.875% | 761,000 | 750,241 | |
02/01/2028 | 3.250% | 794,000 | 718,905 | |
05/01/2030 | 5.150% | 1,160,000 | 1,123,946 | |
02/01/2031 | 3.625% | 4,203,000 | 3,682,806 | |
02/01/2035 | 3.250% | 1,240,000 | 957,794 | |
11/01/2048 | 3.850% | 245,000 | 174,376 | |
05/01/2050 | 5.805% | 270,000 | 257,448 | |
08/01/2059 | 3.950% | 3,500,000 | 2,420,971 | |
Bombardier, Inc.(a) | ||||
03/15/2025 | 7.500% | 2,839,000 | 2,830,681 | |
04/15/2027 | 7.875% | 6,175,000 | 6,134,776 | |
02/01/2029 | 7.500% | 1,200,000 | 1,180,612 | |
Embraer Netherlands Finance BV | ||||
06/15/2025 | 5.050% | 780,000 | 755,146 | |
Lockheed Martin Corp. | ||||
01/15/2033 | 5.250% | 712,000 | 729,965 | |
11/15/2054 | 5.700% | 1,052,000 | 1,139,402 | |
11/15/2063 | 5.900% | 493,000 | 545,661 | |
Northrop Grumman Corp. | ||||
10/15/2047 | 4.030% | 409,000 | 338,058 | |
03/15/2053 | 4.950% | 6,221,000 | 5,862,680 | |
Raytheon Technologies Corp. | ||||
02/27/2033 | 5.150% | 1,706,000 | 1,697,082 | |
02/27/2053 | 5.375% | 1,058,000 | 1,062,869 | |
Textron, Inc. | ||||
03/01/2024 | 4.300% | 665,000 | 656,939 | |
03/01/2025 | 3.875% | 289,000 | 280,026 | |
United Technologies Corp. | ||||
08/16/2023 | 3.650% | 49,000 | 48,626 | |
11/16/2038 | 4.450% | 1,043,000 | 942,331 | |
06/01/2042 | 4.500% | 1,689,000 | 1,518,139 | |
05/04/2047 | 4.050% | 528,000 | 437,283 | |
Total | 41,763,056 | |||
Airlines 0.2% | ||||
American Airlines Pass-Through Trust | ||||
Series 2015-2 Class AA | ||||
09/22/2027 | 3.600% | 114,888 | 104,760 | |
Series 2016-1 Class AA | ||||
07/15/2029 | 3.575% | 541,458 | 496,025 | |
Series 2016-2 Class AA | ||||
06/15/2028 | 3.200% | 473,431 | 422,946 | |
Series 2017-2 Class AA | ||||
10/15/2029 | 3.350% | 931,190 | 827,699 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Delta Air Lines Pass-Through Trust | ||||
06/10/2028 | 2.000% | 5,740,977 | 5,026,195 | |
06/10/2028 | 2.500% | 926,601 | 803,557 | |
Delta Air Lines, Inc. | ||||
04/19/2028 | 4.375% | 585,000 | 533,954 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2028 | 4.750% | 600,382 | 568,157 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a) | ||||
06/20/2027 | 6.500% | 810,073 | 809,286 | |
Southwest Airlines Co. | ||||
06/15/2027 | 5.125% | 1,665,000 | 1,641,301 | |
U.S. Airways Pass-Through Trust | ||||
10/01/2024 | 5.900% | 774,823 | 760,374 | |
06/03/2025 | 4.625% | 1,967,339 | 1,891,503 | |
United Airlines, Inc. Pass-Through Trust | ||||
10/15/2027 | 5.875% | 1,733,163 | 1,718,737 | |
Total | 15,604,494 | |||
Apartment REIT 0.1% | ||||
American Homes 4 Rent LP | ||||
07/15/2031 | 2.375% | 542,000 | 426,296 | |
04/15/2032 | 3.625% | 2,333,000 | 1,972,412 | |
04/15/2052 | 4.300% | 561,000 | 430,801 | |
AvalonBay Communities, Inc. | ||||
02/15/2033 | 5.000% | 768,000 | 764,724 | |
Invitation Homes Operating Partnership LP | ||||
11/15/2028 | 2.300% | 1,164,000 | 962,511 | |
08/15/2031 | 2.000% | 1,630,000 | 1,222,158 | |
Mid-America Apartments LP | ||||
03/15/2030 | 2.750% | 831,000 | 718,039 | |
Total | 6,496,941 | |||
Automotive 0.6% | ||||
Adient Global Holdings Ltd.(a) | ||||
08/15/2026 | 4.875% | 2,700,000 | 2,501,942 | |
Allison Transmission. Inc.(a) | ||||
01/30/2031 | 3.750% | 1,550,000 | 1,286,020 | |
American Axle & Manufacturing, Inc. | ||||
03/15/2026 | 6.250% | 782,000 | 740,523 | |
04/01/2027 | 6.500% | 875,000 | 807,241 | |
American Honda Finance Corp. | ||||
01/12/2028 | 4.700% | 1,414,000 | 1,394,265 | |
Aptiv PLC | ||||
12/01/2051 | 3.100% | 1,905,000 | 1,147,137 | |
BorgWarner, Inc.(a) | ||||
10/01/2025 | 5.000% | 126,000 | 123,980 | |
Dana, Inc. | ||||
06/15/2028 | 5.625% | 2,090,000 | 1,892,646 |
26 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Denso Corp.(a) | ||||
09/16/2026 | 1.239% | 4,070,000 | 3,542,743 | |
Ford Motor Co. | ||||
01/15/2043 | 4.750% | 2,600,000 | 1,907,025 | |
Ford Motor Credit Co. LLC | ||||
01/09/2024 | 3.810% | 2,585,000 | 2,530,006 | |
03/06/2026 | 6.950% | 1,425,000 | 1,429,126 | |
05/03/2029 | 5.113% | 1,405,000 | 1,283,973 | |
General Motors Co. | ||||
10/01/2025 | 6.125% | 529,000 | 534,797 | |
10/01/2027 | 6.800% | 1,850,000 | 1,930,279 | |
04/01/2035 | 5.000% | 5,365,000 | 4,763,357 | |
04/01/2038 | 5.150% | 1,550,000 | 1,339,094 | |
10/02/2043 | 6.250% | 723,000 | 680,443 | |
04/01/2045 | 5.200% | 1,500,000 | 1,237,150 | |
General Motors Financial Co., Inc. | ||||
07/13/2025 | 4.300% | 1,060,000 | 1,029,157 | |
10/10/2025 | 6.050% | 6,770,000 | 6,826,247 | |
03/01/2026 | 5.250% | 2,260,000 | 2,234,137 | |
02/26/2027 | 2.350% | 1,389,000 | 1,227,789 | |
08/20/2027 | 2.700% | 1,609,000 | 1,417,781 | |
01/09/2028 | 6.000% | 2,750,000 | 2,767,480 | |
06/21/2030 | 3.600% | 1,710,000 | 1,465,447 | |
Harley-Davidson Financial Services, Inc.(a) | ||||
06/08/2025 | 3.350% | 1,155,000 | 1,101,930 | |
02/14/2027 | 3.050% | 1,755,000 | 1,574,085 | |
Hyundai Capital America(a) | ||||
06/14/2024 | 0.875% | 2,480,000 | 2,334,329 | |
09/15/2028 | 2.100% | 1,460,000 | 1,211,269 | |
Hyundai Capital Services, Inc.(a) | ||||
04/24/2025 | 2.125% | 3,320,000 | 3,064,393 | |
Kia Corp.(a) | ||||
04/16/2024 | 1.000% | 1,405,000 | 1,335,536 | |
Magna International, Inc. | ||||
06/15/2024 | 3.625% | 1,100,000 | 1,073,724 | |
Toyota Motor Credit Corp. | ||||
01/13/2027 | 1.900% | 400,000 | 357,481 | |
09/20/2027 | 4.550% | 1,642,000 | 1,615,739 | |
06/29/2029 | 4.450% | 1,113,000 | 1,088,509 | |
Volkswagen Group of America Finance LLC(a) | ||||
05/13/2025 | 3.350% | 1,685,000 | 1,614,986 | |
Total | 64,411,766 | |||
Banking 10.1% | ||||
ABN AMRO Bank NV(a),(k) | ||||
Subordinated | ||||
03/13/2037 | 3.324% | 1,441,000 | 1,100,664 | |
AIB Group PLC(a),(k) | ||||
10/14/2026 | 7.583% | 7,380,000 | 7,565,372 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ally Financial, Inc. | ||||
11/15/2027 | 7.100% | 5,300,000 | 5,506,620 | |
American Express Co. | ||||
02/13/2026 | 4.900% | 3,065,000 | 3,041,211 | |
03/04/2027 | 2.550% | 2,865,000 | 2,594,612 | |
American Express Co.(k) | ||||
08/03/2033 | 4.420% | 1,451,000 | 1,357,358 | |
ANZ New Zealand International Ltd.(a) | ||||
02/18/2025 | 2.166% | 3,390,000 | 3,183,238 | |
ASB Bank Ltd.(a),(k) | ||||
Subordinated | ||||
06/17/2032 | 5.284% | 4,416,000 | 4,213,064 | |
Banco Santander SA(b) | ||||
3-month USD LIBOR + 1.120% 04/12/2023 | 5.926% | 1,400,000 | 1,400,597 | |
Banco Santander SA | ||||
05/24/2024 | 3.892% | 6,800,000 | 6,656,446 | |
05/28/2025 | 2.746% | 1,000,000 | 938,582 | |
03/25/2026 | 1.849% | 2,000,000 | 1,776,098 | |
Banco Santander SA(k) | ||||
Subordinated | ||||
11/22/2032 | 3.225% | 1,000,000 | 771,919 | |
Bank of America Corp.(k) | ||||
03/05/2024 | 3.550% | 2,596,000 | 2,596,000 | |
07/22/2027 | 1.734% | 13,410,000 | 11,815,474 | |
04/27/2028 | 4.376% | 1,208,000 | 1,154,588 | |
03/05/2029 | 3.970% | 2,159,000 | 2,002,447 | |
06/14/2029 | 2.087% | 11,335,000 | 9,537,797 | |
02/07/2030 | 3.974% | 3,850,000 | 3,523,614 | |
07/23/2030 | 3.194% | 33,500,000 | 29,081,507 | |
02/13/2031 | 2.496% | 8,712,000 | 7,170,312 | |
07/23/2031 | 1.898% | 616,000 | 479,262 | |
03/11/2032 | 2.651% | 224,000 | 182,273 | |
04/22/2032 | 2.687% | 4,722,000 | 3,829,828 | |
07/21/2032 | 2.299% | 785,000 | 613,997 | |
10/20/2032 | 2.572% | 9,960,000 | 7,934,341 | |
02/04/2033 | 2.972% | 1,928,000 | 1,578,052 | |
04/27/2033 | 4.571% | 1,792,000 | 1,665,373 | |
07/22/2033 | 5.015% | 240,000 | 230,887 | |
06/19/2041 | 2.676% | 3,113,000 | 2,137,303 | |
Subordinated | ||||
09/21/2036 | 2.482% | 1,618,000 | 1,211,799 | |
03/08/2037 | 3.846% | 2,257,000 | 1,903,405 | |
Bank of America Corp. | ||||
Subordinated | ||||
01/22/2025 | 4.000% | 795,000 | 774,641 | |
04/21/2025 | 3.950% | 2,500,000 | 2,424,387 | |
03/03/2026 | 4.450% | 2,000,000 | 1,945,121 | |
Bank of Ireland Group PLC(a) | ||||
11/25/2023 | 4.500% | 3,780,000 | 3,739,617 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bank of Ireland Group PLC(a),(k) | ||||
09/16/2026 | 6.253% | 3,560,000 | 3,568,471 | |
Bank of Montreal | ||||
02/01/2028 | 5.203% | 7,350,000 | 7,316,126 | |
Bank of New York Mellon Corp. (The) | ||||
04/24/2025 | 1.600% | 3,885,000 | 3,600,958 | |
Bank of New York Mellon Corp. (The)(k) | ||||
10/25/2033 | 5.834% | 1,832,000 | 1,907,738 | |
Bank of New Zealand(a) | ||||
02/21/2025 | 2.000% | 3,915,000 | 3,654,709 | |
01/27/2027 | 2.285% | 4,455,000 | 3,992,432 | |
Bank of Nova Scotia (The) | ||||
05/01/2023 | 1.625% | 8,550,000 | 8,502,639 | |
02/01/2030 | 4.850% | 8,440,000 | 8,188,219 | |
Bank of Nova Scotia (The)(k) | ||||
Subordinated | ||||
05/04/2037 | 4.588% | 3,588,000 | 3,142,140 | |
Banque Federative du Credit Mutuel SA(a) | ||||
11/21/2024 | 2.375% | 4,315,000 | 4,093,497 | |
01/26/2026 | 4.935% | 3,356,000 | 3,305,400 | |
Barclays PLC | ||||
03/16/2025 | 3.650% | 270,000 | 259,227 | |
Subordinated | ||||
05/09/2028 | 4.836% | 995,000 | 932,009 | |
Barclays PLC(k) | ||||
05/07/2025 | 3.932% | 4,045,000 | 3,938,620 | |
06/24/2031 | 2.645% | 3,175,000 | 2,529,624 | |
03/10/2032 | 2.667% | 12,020,000 | 9,368,722 | |
11/02/2033 | 7.437% | 4,700,000 | 5,069,213 | |
BNP Paribas SA(a) | ||||
03/01/2023 | 3.500% | 895,000 | 894,965 | |
BNP Paribas SA(a),(k) | ||||
06/09/2026 | 2.219% | 1,570,000 | 1,452,962 | |
01/13/2027 | 1.323% | 580,000 | 513,183 | |
01/20/2028 | 2.591% | 2,620,000 | 2,323,622 | |
09/30/2028 | 1.904% | 3,535,000 | 2,979,855 | |
01/13/2029 | 5.125% | 4,235,000 | 4,162,658 | |
09/15/2029 | 2.159% | 3,900,000 | 3,228,965 | |
04/19/2032 | 2.871% | 3,775,000 | 3,052,605 | |
01/20/2033 | 3.132% | 7,920,000 | 6,425,333 | |
BPCE SA(a) | ||||
01/11/2028 | 3.250% | 460,000 | 415,907 | |
Subordinated | ||||
10/22/2023 | 5.700% | 545,000 | 543,090 | |
07/11/2024 | 4.625% | 4,200,000 | 4,100,666 | |
07/21/2024 | 5.150% | 3,363,000 | 3,308,727 | |
CaixaBank SA(a),(k) | ||||
01/18/2029 | 6.208% | 1,589,000 | 1,583,916 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canadian Imperial Bank of Commerce | ||||
08/04/2025 | 3.945% | 7,005,000 | 6,785,296 | |
Capital One Financial Corp.(k) | ||||
12/06/2024 | 1.343% | 8,945,000 | 8,624,893 | |
11/02/2027 | 1.878% | 883,000 | 771,740 | |
02/01/2029 | 5.468% | 4,995,000 | 4,900,819 | |
03/01/2030 | 3.273% | 1,696,000 | 1,466,032 | |
11/02/2032 | 2.618% | 1,000,000 | 776,561 | |
02/01/2034 | 5.817% | 1,230,000 | 1,194,393 | |
Citigroup, Inc.(k) | ||||
05/01/2025 | 0.981% | 1,410,000 | 1,332,008 | |
04/08/2026 | 3.106% | 4,210,000 | 3,997,319 | |
06/09/2027 | 1.462% | 7,108,000 | 6,213,213 | |
02/24/2028 | 3.070% | 1,445,000 | 1,312,562 | |
11/05/2030 | 2.976% | 14,780,000 | 12,596,358 | |
01/29/2031 | 2.666% | 5,550,000 | 4,622,908 | |
03/31/2031 | 4.412% | 955,000 | 889,514 | |
06/03/2031 | 2.572% | 5,105,000 | 4,185,800 | |
05/01/2032 | 2.561% | 7,855,000 | 6,302,304 | |
01/25/2033 | 3.057% | 9,150,000 | 7,506,889 | |
12/31/2079 | 4.700% | 10,225,000 | 9,347,354 | |
12/31/2079 | 5.000% | 1,100,000 | 1,046,261 | |
Citigroup, Inc. | ||||
05/01/2026 | 3.400% | 1,300,000 | 1,227,715 | |
Subordinated | ||||
06/10/2025 | 4.400% | 4,250,000 | 4,158,060 | |
05/18/2046 | 4.750% | 395,000 | 340,194 | |
Citizens Financial Group, Inc.(k) | ||||
Subordinated | ||||
05/21/2037 | 5.641% | 5,060,000 | 4,752,896 | |
Comerica Bank | ||||
07/23/2024 | 2.500% | 3,995,000 | 3,829,000 | |
Commonwealth Bank of Australia(a) | ||||
Subordinated | ||||
09/12/2039 | 3.743% | 435,000 | 331,985 | |
Cooperatieve Rabobank UA(a),(k) | ||||
06/24/2026 | 1.339% | 970,000 | 874,345 | |
02/24/2027 | 1.106% | 2,500,000 | 2,190,631 | |
02/28/2029 | 5.564% | 10,690,000 | 10,646,811 | |
Credit Agricole SA(a) | ||||
04/24/2023 | 3.750% | 530,000 | 528,698 | |
07/12/2028 | 5.301% | 5,240,000 | 5,212,737 | |
Credit Agricole SA(a),(k) | ||||
06/16/2026 | 1.907% | 4,810,000 | 4,419,253 | |
Credit Suisse AG | ||||
02/21/2025 | 3.700% | 855,000 | 797,985 | |
08/07/2026 | 1.250% | 539,000 | 441,018 | |
07/09/2027 | 5.000% | 5,481,000 | 5,022,830 |
28 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit Suisse Group AG(a),(k) | ||||
06/05/2026 | 2.193% | 3,297,000 | 2,845,511 | |
02/02/2027 | 1.305% | 4,520,000 | 3,650,855 | |
08/11/2028 | 6.442% | 8,745,000 | 8,098,782 | |
05/14/2032 | 3.091% | 5,680,000 | 4,031,567 | |
08/12/2033 | 6.537% | 18,360,000 | 16,440,223 | |
11/15/2033 | 9.016% | 5,301,000 | 5,554,113 | |
Credit Suisse Group AG(a) | ||||
Subordinated | ||||
08/08/2023 | 6.500% | 1,030,000 | 1,009,664 | |
Credit Suisse Group Funding Guernsey Ltd. | ||||
06/09/2023 | 3.800% | 4,890,000 | 4,827,146 | |
Danske Bank A/S(a) | ||||
09/12/2023 | 3.875% | 1,350,000 | 1,335,641 | |
Danske Bank A/S(a),(k) | ||||
09/10/2025 | 0.976% | 5,665,000 | 5,243,332 | |
01/09/2026 | 6.466% | 4,730,000 | 4,764,004 | |
Deutsche Bank AG(k) | ||||
07/14/2026 | 6.119% | 1,540,000 | 1,538,726 | |
01/07/2028 | 2.552% | 484,000 | 421,200 | |
01/18/2029 | 6.720% | 2,040,000 | 2,061,371 | |
Subordinated | ||||
01/14/2032 | 3.729% | 2,000,000 | 1,580,087 | |
02/10/2034 | 7.079% | 2,989,000 | 2,907,628 | |
Deutsche Bank AG | ||||
09/09/2027 | 5.371% | 535,000 | 530,135 | |
Discover Bank | ||||
08/08/2023 | 4.200% | 5,500,000 | 5,466,318 | |
03/13/2026 | 4.250% | 789,000 | 757,242 | |
Discover Financial Services | ||||
11/06/2024 | 3.950% | 1,495,000 | 1,455,524 | |
DNB Bank ASA(a),(k) | ||||
09/16/2026 | 1.127% | 3,950,000 | 3,488,522 | |
10/09/2026 | 5.896% | 7,030,000 | 7,021,664 | |
Goldman Sachs Group Inc (The)(k) | ||||
01/27/2032 | 1.992% | 1,805,000 | 1,386,870 | |
Goldman Sachs Group, Inc. (The) | ||||
12/06/2023 | 1.217% | 7,505,000 | 7,275,980 | |
Subordinated | ||||
05/22/2045 | 5.150% | 2,100,000 | 1,941,542 | |
Goldman Sachs Group, Inc. (The)(k) | ||||
09/29/2025 | 3.272% | 4,160,000 | 3,999,074 | |
03/09/2027 | 1.431% | 11,330,000 | 9,986,570 | |
10/21/2027 | 1.948% | 2,865,000 | 2,507,905 | |
02/24/2028 | 2.640% | 4,585,000 | 4,098,608 | |
04/22/2032 | 2.615% | 12,585,000 | 10,115,222 | |
07/21/2032 | 2.383% | 19,430,000 | 15,268,755 | |
10/21/2032 | 2.650% | 2,415,000 | 1,925,902 | |
12/31/2079 | 3.650% | 2,135,000 | 1,796,826 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HSBC Holdings PLC(k) | ||||
11/07/2025 | 2.633% | 1,148,000 | 1,087,291 | |
03/10/2026 | 2.999% | 929,000 | 878,644 | |
04/18/2026 | 1.645% | 604,000 | 553,786 | |
06/04/2026 | 2.099% | 1,379,000 | 1,270,773 | |
05/24/2027 | 1.589% | 3,379,000 | 2,956,707 | |
03/13/2028 | 4.041% | 1,687,000 | 1,575,203 | |
06/09/2028 | 4.755% | 2,905,000 | 2,784,472 | |
09/22/2028 | 2.013% | 11,579,000 | 9,809,202 | |
08/17/2029 | 2.206% | 5,910,000 | 4,903,193 | |
05/24/2032 | 2.804% | 1,500,000 | 1,196,560 | |
Junior Subordinated | ||||
12/31/2079 | 6.000% | 877,000 | 812,006 | |
Subordinated | ||||
11/03/2033 | 8.113% | 2,815,000 | 3,098,830 | |
HSBC Holdings PLC(c),(k) | ||||
12/31/2079 | 0.000% | 725,000 | 725,000 | |
Huntington National Bank (The) | ||||
01/10/2030 | 5.650% | 2,060,000 | 2,077,104 | |
Intesa Sanpaolo SpA(a) | ||||
11/21/2025 | 7.000% | 3,570,000 | 3,649,375 | |
Intesa Sanpaolo SpA(a),(k) | ||||
Subordinated | ||||
06/01/2032 | 4.198% | 1,100,000 | 834,450 | |
JPMorgan Chase & Co.(k) | ||||
04/23/2024 | 3.559% | 6,449,000 | 6,427,759 | |
07/23/2024 | 3.797% | 2,578,000 | 2,559,308 | |
06/23/2025 | 0.969% | 4,760,000 | 4,470,097 | |
12/10/2025 | 1.561% | 2,540,000 | 2,360,510 | |
12/15/2025 | 5.546% | 10,630,000 | 10,620,899 | |
02/24/2026 | 2.595% | 383,000 | 361,940 | |
02/04/2027 | 1.040% | 4,299,000 | 3,775,742 | |
04/22/2027 | 1.578% | 10,430,000 | 9,224,869 | |
09/22/2027 | 1.470% | 3,741,000 | 3,243,510 | |
02/24/2028 | 2.947% | 4,610,000 | 4,182,281 | |
01/23/2029 | 3.509% | 10,345,000 | 9,460,194 | |
04/23/2029 | 4.005% | 3,180,000 | 2,956,124 | |
06/01/2029 | 2.069% | 1,151,000 | 970,417 | |
12/05/2029 | 4.452% | 1,150,000 | 1,089,940 | |
10/15/2030 | 2.739% | 1,990,000 | 1,676,564 | |
02/04/2032 | 1.953% | 3,653,000 | 2,836,997 | |
04/22/2032 | 2.580% | 6,030,000 | 4,883,468 | |
11/08/2032 | 2.545% | 10,736,000 | 8,565,978 | |
01/25/2033 | 2.963% | 3,405,000 | 2,805,270 | |
11/15/2048 | 3.964% | 2,475,000 | 1,988,362 | |
12/31/2079 | 4.000% | 4,500,000 | 4,043,213 | |
12/31/2079 | 4.600% | 7,625,000 | 7,065,151 | |
12/31/2079 | 5.000% | 1,290,000 | 1,244,085 | |
Subordinated | ||||
09/14/2033 | 5.717% | 511,000 | 506,046 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 29 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
JPMorgan Chase & Co. | ||||
Subordinated | ||||
05/01/2023 | 3.375% | 1,000,000 | 996,951 | |
09/10/2024 | 3.875% | 5,440,000 | 5,307,417 | |
KBC Group NV(a),(k) | ||||
01/19/2029 | 5.796% | 1,696,000 | 1,680,576 | |
KeyBank NA | ||||
11/15/2027 | 5.850% | 3,050,000 | 3,120,955 | |
Lloyds Banking Group PLC | ||||
08/16/2023 | 4.050% | 2,940,000 | 2,922,454 | |
03/12/2024 | 3.900% | 2,600,000 | 2,555,531 | |
03/22/2028 | 4.375% | 1,975,000 | 1,868,706 | |
Subordinated | ||||
11/04/2024 | 4.500% | 5,560,000 | 5,444,292 | |
Lloyds Banking Group PLC(k) | ||||
05/11/2027 | 1.627% | 1,175,000 | 1,029,479 | |
08/11/2033 | 4.976% | 3,245,000 | 3,027,485 | |
Lloyds Banking Group PLC(c),(k) | ||||
03/06/2029 | 5.871% | 1,134,000 | 1,134,792 | |
Macquarie Group Ltd.(a),(k) | ||||
10/14/2025 | 1.201% | 1,295,000 | 1,193,768 | |
01/14/2033 | 2.871% | 6,005,000 | 4,794,609 | |
06/21/2033 | 4.442% | 1,815,000 | 1,643,648 | |
Mitsubishi UFJ Financial Group, Inc.(k) | ||||
02/22/2029 | 5.422% | 3,125,000 | 3,103,202 | |
02/22/2031 | 5.475% | 1,576,000 | 1,561,395 | |
02/22/2034 | 5.441% | 1,415,000 | 1,390,183 | |
Mizuho Financial Group, Inc.(k) | ||||
05/27/2034 | 5.754% | 1,543,000 | 1,536,829 | |
Morgan Stanley(k) | ||||
01/22/2025 | 0.791% | 1,115,000 | 1,066,385 | |
05/30/2025 | 0.790% | 14,562,000 | 13,638,527 | |
07/22/2025 | 2.720% | 720,000 | 690,376 | |
10/21/2025 | 1.164% | 4,545,000 | 4,208,950 | |
04/28/2026 | 2.188% | 828,000 | 771,129 | |
05/04/2027 | 1.593% | 5,653,000 | 4,992,292 | |
07/20/2027 | 1.512% | 962,000 | 839,672 | |
01/21/2028 | 2.475% | 998,000 | 889,814 | |
07/22/2028 | 3.591% | 7,821,000 | 7,233,816 | |
10/18/2028 | 6.296% | 447,000 | 459,739 | |
01/24/2029 | 3.772% | 4,315,000 | 3,988,402 | |
01/23/2030 | 4.431% | 2,885,000 | 2,717,687 | |
02/13/2032 | 1.794% | 1,825,000 | 1,387,951 | |
04/28/2032 | 1.928% | 5,704,000 | 4,363,177 | |
07/21/2032 | 2.239% | 9,071,000 | 7,058,407 | |
10/20/2032 | 2.511% | 1,560,000 | 1,232,383 | |
01/21/2033 | 2.943% | 5,599,000 | 4,586,891 | |
10/18/2033 | 6.342% | 6,883,000 | 7,258,627 | |
04/22/2039 | 4.457% | 299,000 | 265,661 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
09/16/2036 | 2.484% | 3,240,000 | 2,415,615 | |
04/20/2037 | 5.297% | 3,216,000 | 2,992,046 | |
01/19/2038 | 5.948% | 4,005,000 | 3,903,640 | |
Morgan Stanley | ||||
07/23/2025 | 4.000% | 1,671,000 | 1,628,079 | |
01/27/2026 | 3.875% | 6,556,000 | 6,309,534 | |
Subordinated | ||||
09/08/2026 | 4.350% | 9,045,000 | 8,699,700 | |
National Australia Bank Ltd.(a) | ||||
Subordinated | ||||
01/12/2033 | 6.429% | 1,056,000 | 1,066,868 | |
National Bank of Canada(k) | ||||
06/09/2025 | 3.750% | 7,465,000 | 7,292,582 | |
Nationwide Building Society(a),(k) | ||||
03/08/2024 | 3.766% | 3,370,000 | 3,368,459 | |
08/01/2024 | 4.363% | 7,040,000 | 6,989,216 | |
02/16/2028 | 2.972% | 2,610,000 | 2,340,023 | |
Nationwide Building Society(a) | ||||
07/27/2027 | 4.850% | 1,840,000 | 1,794,447 | |
NatWest Group PLC(c),(k) | ||||
03/02/2034 | 6.016% | 3,745,000 | 3,747,195 | |
Nordea Bank Abp(a) | ||||
09/30/2026 | 1.500% | 7,925,000 | 6,894,593 | |
Northern Trust Corp.(k) | ||||
Subordinated | ||||
05/08/2032 | 3.375% | 1,345,000 | 1,220,464 | |
Northern Trust Corp. | ||||
Subordinated | ||||
11/02/2032 | 6.125% | 3,400,000 | 3,585,522 | |
PNC Financial Services Group, Inc. (The)(k) | ||||
10/28/2033 | 6.037% | 5,030,000 | 5,228,814 | |
01/24/2034 | 5.068% | 3,355,000 | 3,249,741 | |
12/31/2079 | 6.250% | 2,741,000 | 2,641,943 | |
Royal Bank of Canada | ||||
11/01/2027 | 6.000% | 6,840,000 | 7,042,804 | |
Royal Bank of Scotland Group PLC(k) | ||||
03/22/2025 | 4.269% | 8,215,000 | 8,070,778 | |
Santander Holdings USA, Inc. | ||||
06/02/2025 | 3.450% | 4,110,000 | 3,911,569 | |
Santander UK Group Holdings PLC(k) | ||||
11/15/2024 | 4.796% | 7,820,000 | 7,741,891 | |
03/15/2025 | 1.089% | 5,545,000 | 5,254,162 | |
08/21/2026 | 1.532% | 445,000 | 397,791 | |
11/21/2026 | 6.833% | 2,605,000 | 2,649,914 | |
06/14/2027 | 1.673% | 1,762,000 | 1,538,409 | |
01/10/2029 | 6.534% | 4,705,000 | 4,763,610 |
30 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Societe Generale SA(a) | ||||
03/28/2024 | 3.875% | 5,055,000 | 4,952,310 | |
01/22/2025 | 2.625% | 445,000 | 419,745 | |
Subordinated | ||||
01/10/2053 | 7.367% | 2,970,000 | 3,009,603 | |
Societe Generale SA(a),(k) | ||||
01/19/2028 | 2.797% | 4,285,000 | 3,808,475 | |
06/09/2032 | 2.889% | 480,000 | 381,545 | |
01/21/2033 | 3.337% | 2,590,000 | 2,108,205 | |
Standard Chartered PLC(a),(k) | ||||
01/09/2029 | 6.301% | 5,140,000 | 5,253,277 | |
State Street Corp.(k) | ||||
01/26/2034 | 4.821% | 1,937,000 | 1,869,400 | |
Sumitomo Mitsui Financial Group, Inc. | ||||
09/17/2028 | 1.902% | 3,040,000 | 2,523,290 | |
01/13/2030 | 5.710% | 7,905,000 | 7,962,437 | |
Sumitomo Mitsui Trust Bank Ltd.(a) | ||||
03/25/2024 | 0.850% | 5,715,000 | 5,437,221 | |
03/10/2025 | 2.550% | 1,045,000 | 983,052 | |
SunTrust Capital III(b) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 0.650% 03/15/2028 | 5.419% | 783,000 | 737,871 | |
Synchrony Bank | ||||
08/22/2025 | 5.400% | 3,625,000 | 3,571,359 | |
Synchrony Financial | ||||
06/13/2025 | 4.875% | 3,875,000 | 3,772,186 | |
Toronto-Dominion Bank (The) | ||||
01/10/2028 | 5.156% | 5,295,000 | 5,269,881 | |
Truist Financial Corp.(k) | ||||
03/02/2027 | 1.267% | 340,000 | 302,740 | |
01/26/2034 | 5.122% | 6,585,000 | 6,408,140 | |
U.S. Bancorp(k) | ||||
Junior Subordinated | ||||
12/31/2079 | 5.300% | 2,980,000 | 2,706,348 | |
UBS Group AG(a),(k) | ||||
05/12/2026 | 4.488% | 980,000 | 956,121 | |
01/30/2027 | 1.364% | 912,000 | 804,992 | |
08/10/2027 | 1.494% | 960,000 | 832,121 | |
05/12/2028 | 4.751% | 573,000 | 551,925 | |
02/11/2032 | 2.095% | 558,000 | 430,270 | |
02/11/2043 | 3.179% | 1,172,000 | 845,848 | |
UBS Group AG(a),(b) | ||||
SOFR + 1.580% 05/12/2026 | 6.130% | 3,055,000 | 3,080,743 | |
UniCredit SpA(a),(k) | ||||
09/22/2026 | 2.569% | 5,195,000 | 4,691,112 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo & Co.(k) | ||||
06/02/2024 | 1.654% | 2,135,000 | 2,113,841 | |
10/30/2025 | 2.406% | 971,000 | 920,940 | |
02/11/2026 | 2.164% | 1,691,000 | 1,583,177 | |
04/30/2026 | 2.188% | 3,368,000 | 3,133,018 | |
08/15/2026 | 4.540% | 6,990,000 | 6,820,500 | |
03/24/2028 | 3.526% | 1,405,000 | 1,301,610 | |
05/22/2028 | 3.584% | 1,700,000 | 1,573,266 | |
06/02/2028 | 2.393% | 10,677,000 | 9,445,460 | |
07/25/2028 | 4.808% | 14,890,000 | 14,500,399 | |
02/11/2031 | 2.572% | 6,775,000 | 5,647,417 | |
03/02/2033 | 3.350% | 15,345,000 | 12,979,174 | |
04/30/2041 | 3.068% | 5,012,000 | 3,645,422 | |
04/04/2051 | 5.013% | 1,130,000 | 1,040,672 | |
Westpac Banking Corp.(k) | ||||
Subordinated | ||||
08/10/2033 | 5.405% | 5,485,000 | 5,256,611 | |
Total | 1,027,837,506 | |||
Brokerage/Asset Managers/Exchanges 0.4% | ||||
Ares Finance Co. IV LLC(a) | ||||
02/01/2052 | 3.650% | 3,415,000 | 2,220,590 | |
Blackstone Holdings Finance Co. LLC(a) | ||||
08/05/2028 | 1.625% | 643,000 | 528,703 | |
01/30/2032 | 2.000% | 1,491,000 | 1,113,196 | |
04/22/2033 | 6.200% | 3,491,000 | 3,587,110 | |
Blue Owl Finance LLC(a) | ||||
02/15/2032 | 4.375% | 2,540,000 | 2,094,539 | |
Brookfield Finance, Inc. | ||||
06/02/2026 | 4.250% | 964,000 | 928,226 | |
Charles Schwab Corp. (The)(k) | ||||
12/31/2079 | 5.375% | 2,845,000 | 2,822,170 | |
CI Financial Corp. | ||||
06/15/2051 | 4.100% | 684,000 | 410,597 | |
CME Group, Inc. | ||||
03/15/2032 | 2.650% | 1,334,000 | 1,117,179 | |
Depository Trust & Clearing Corp. (The)(a),(k) | ||||
12/31/2079 | 3.375% | 673,000 | 558,517 | |
Hunt Companies, Inc.(a) | ||||
04/15/2029 | 5.250% | 2,150,000 | 1,733,344 | |
Intercontinental Exchange, Inc. | ||||
06/15/2030 | 2.100% | 809,000 | 656,931 | |
09/15/2032 | 1.850% | 3,230,000 | 2,423,080 | |
03/15/2033 | 4.600% | 5,478,000 | 5,228,208 | |
09/15/2040 | 2.650% | 775,000 | 544,869 | |
Jefferies Group LLC | ||||
01/20/2043 | 6.500% | 600,000 | 615,580 | |
National Securities Clearing Corp.(a) | ||||
11/21/2027 | 5.100% | 5,185,000 | 5,180,914 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 31 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nomura Holdings, Inc. | ||||
01/22/2027 | 2.329% | 5,995,000 | 5,305,554 | |
07/14/2031 | 2.608% | 1,100,000 | 863,409 | |
Stifel Financial Corp. | ||||
05/15/2030 | 4.000% | 3,755,000 | 3,318,558 | |
Total | 41,251,274 | |||
Building Materials 0.1% | ||||
Builders FirstSource, Inc.(a) | ||||
03/01/2030 | 5.000% | 1,460,000 | 1,316,830 | |
Ferguson Finance PLC(a) | ||||
04/20/2032 | 4.650% | 2,785,000 | 2,572,301 | |
Fortune Brands Home & Security, Inc. | ||||
03/25/2052 | 4.500% | 4,290,000 | 3,219,445 | |
Martin Marietta Materials, Inc. | ||||
03/15/2030 | 2.500% | 3,380,000 | 2,798,438 | |
Standard Industries, Inc.(a) | ||||
07/15/2030 | 4.375% | 3,295,000 | 2,742,889 | |
Summit Materials LLC/Finance Corp.(a) | ||||
01/15/2029 | 5.250% | 2,045,000 | 1,881,575 | |
Total | 14,531,478 | |||
Cable and Satellite 0.7% | ||||
Cable One, Inc.(a) | ||||
11/15/2030 | 4.000% | 695,000 | 542,979 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
06/01/2029 | 5.375% | 100,000 | 89,230 | |
02/01/2031 | 4.250% | 1,725,000 | 1,383,950 | |
CCO Holdings LLC/Holdings Capital Corp.(a) | ||||
01/15/2034 | 4.250% | 1,125,000 | 842,231 | |
Charter Communications Operating LLC/Capital | ||||
01/15/2029 | 2.250% | 616,000 | 493,692 | |
10/23/2035 | 6.384% | 1,775,000 | 1,699,659 | |
10/23/2045 | 6.484% | 4,170,000 | 3,772,329 | |
04/01/2048 | 5.750% | 1,360,000 | 1,131,796 | |
03/01/2050 | 4.800% | 4,625,000 | 3,368,456 | |
04/01/2051 | 3.700% | 2,305,000 | 1,407,360 | |
06/01/2052 | 3.900% | 3,954,000 | 2,491,775 | |
04/01/2053 | 5.250% | 2,265,000 | 1,766,860 | |
04/01/2061 | 3.850% | 941,000 | 552,680 | |
Comcast Corp. | ||||
10/15/2025 | 3.950% | 3,095,000 | 3,008,321 | |
11/15/2027 | 5.350% | 628,000 | 637,089 | |
02/01/2030 | 2.650% | 723,000 | 622,026 | |
01/15/2031 | 1.950% | 1,347,000 | 1,079,344 | |
03/01/2038 | 3.900% | 822,000 | 705,122 | |
11/01/2047 | 3.969% | 563,000 | 453,892 | |
02/01/2050 | 3.450% | 1,900,000 | 1,388,079 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cox Communications, Inc.(a) | ||||
08/15/2024 | 3.150% | 780,000 | 751,861 | |
06/15/2031 | 2.600% | 1,975,000 | 1,595,662 | |
CSC Holdings LLC(a) | ||||
04/15/2027 | 5.500% | 3,550,000 | 3,093,423 | |
02/01/2028 | 5.375% | 1,193,000 | 995,289 | |
04/01/2028 | 7.500% | 600,000 | 401,370 | |
02/01/2029 | 6.500% | 2,914,000 | 2,470,531 | |
01/15/2030 | 5.750% | 1,600,000 | 915,961 | |
02/15/2031 | 3.375% | 1,000,000 | 685,894 | |
11/15/2031 | 5.000% | 5,000,000 | 2,665,576 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 2,000,000 | 1,869,784 | |
07/01/2026 | 7.750% | 2,039,000 | 1,581,309 | |
06/01/2029 | 5.125% | 1,400,000 | 827,530 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 1,925,000 | 1,951,889 | |
Intelsat Jackson Holdings SA(a) | ||||
03/15/2030 | 6.500% | 5,833,000 | 5,079,785 | |
Sirius XM Radio, Inc.(a) | ||||
07/01/2029 | 5.500% | 1,485,000 | 1,338,621 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 235,000 | 223,812 | |
11/15/2040 | 5.875% | 3,890,000 | 3,424,878 | |
09/01/2041 | 5.500% | 7,444,000 | 6,278,923 | |
Viasat, Inc.(a) | ||||
09/15/2025 | 5.625% | 1,425,000 | 1,320,608 | |
04/15/2027 | 5.625% | 1,415,000 | 1,290,581 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 1,500,000 | 1,240,662 | |
Total | 67,440,819 | |||
Chemicals 0.3% | ||||
Braskem Netherlands Finance BV(a) | ||||
01/31/2030 | 4.500% | 400,000 | 337,237 | |
Cabot Corp. | ||||
07/01/2029 | 4.000% | 1,810,000 | 1,630,482 | |
06/30/2032 | 5.000% | 1,800,000 | 1,696,678 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 3,125,000 | 2,906,581 | |
06/01/2043 | 4.950% | 1,700,000 | 1,423,071 | |
Dow Chemical Co. (The) | ||||
11/15/2042 | 4.375% | 456,000 | 383,992 | |
Eastman Chemical Co.(c) | ||||
03/08/2033 | 5.750% | 2,195,000 | 2,179,715 | |
Eastman Chemical Co. | ||||
10/15/2044 | 4.650% | 2,511,000 | 2,091,873 | |
Ecolab, Inc. | ||||
08/18/2055 | 2.750% | 333,000 | 204,626 |
32 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
EverArc Escrow Sarl(a) | ||||
10/30/2029 | 5.000% | 300,000 | 238,749 | |
FMC Corp. | ||||
10/01/2049 | 4.500% | 340,000 | 275,405 | |
GC Treasury Center Co., Ltd.(a) | ||||
03/18/2031 | 2.980% | 750,000 | 609,743 | |
Huntsman International LLC | ||||
06/15/2031 | 2.950% | 2,375,000 | 1,890,169 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 1,510,000 | 1,294,867 | |
International Flavors & Fragrances, Inc.(a) | ||||
11/01/2030 | 2.300% | 3,060,000 | 2,361,778 | |
International Flavors & Fragrances, Inc. | ||||
09/26/2048 | 5.000% | 3,305,000 | 2,741,105 | |
LYB International Finance III LLC | ||||
05/01/2050 | 4.200% | 1,505,000 | 1,135,350 | |
04/01/2051 | 3.625% | 180,000 | 123,370 | |
LyondellBasell Industries NV | ||||
04/15/2024 | 5.750% | 713,000 | 712,702 | |
Mosaic Co. (The) | ||||
11/15/2033 | 5.450% | 1,173,000 | 1,159,826 | |
11/15/2043 | 5.625% | 985,000 | 934,373 | |
Nutrien Ltd. | ||||
11/07/2025 | 5.950% | 496,000 | 503,226 | |
Olin Corp. | ||||
02/01/2030 | 5.000% | 1,560,000 | 1,421,807 | |
Sasol Financing USA LLC | ||||
03/27/2024 | 5.875% | 600,000 | 592,582 | |
Westlake Corp. | ||||
08/15/2051 | 3.125% | 180,000 | 111,359 | |
Total | 28,960,666 | |||
Construction Machinery 0.2% | ||||
CNH Industrial Capital LLC | ||||
05/23/2025 | 3.950% | 5,880,000 | 5,691,237 | |
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 5,359,000 | 4,615,129 | |
John Deere Capital Corp. | ||||
01/20/2028 | 4.750% | 9,563,000 | 9,516,621 | |
04/18/2029 | 3.350% | 642,000 | 589,337 | |
Komatsu Finance America, Inc.(a) | ||||
10/06/2027 | 5.499% | 810,000 | 827,657 | |
OT Merger Corp.(a) | ||||
10/15/2029 | 7.875% | 350,000 | 210,021 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Rentals North America, Inc. | ||||
01/15/2030 | 5.250% | 3,000,000 | 2,842,638 | |
02/15/2031 | 3.875% | 1,664,000 | 1,432,378 | |
Total | 25,725,018 | |||
Consumer Cyclical Services 0.1% | ||||
ADT Security Corp. (The)(a) | ||||
08/01/2029 | 4.125% | 1,645,000 | 1,415,036 | |
Allied Universal Holdco LLC/Finance Corp.(a) | ||||
07/15/2026 | 6.625% | 2,300,000 | 2,186,277 | |
06/01/2029 | 6.000% | 1,300,000 | 975,148 | |
Allied Universal Holdco LLC/Finance Corp./Atlas Luxco 4 Sarl(a) | ||||
06/01/2028 | 4.625% | 1,910,000 | 1,571,296 | |
06/01/2028 | 4.625% | 990,000 | 826,446 | |
ANGI Group LLC(a) | ||||
08/15/2028 | 3.875% | 1,820,000 | 1,401,291 | |
Expedia Group, Inc.(a) | ||||
05/01/2025 | 6.250% | 1,094,000 | 1,102,438 | |
Match Group Holdings II LLC(a) | ||||
10/01/2031 | 3.625% | 1,785,000 | 1,404,634 | |
WASH Multifamily Acquisition, Inc.(a) | ||||
04/15/2026 | 5.750% | 300,000 | 279,186 | |
Total | 11,161,752 | |||
Consumer Products 0.3% | ||||
Brunswick Corp. | ||||
09/15/2032 | 4.400% | 2,395,000 | 2,036,353 | |
Central Garden & Pet Co. | ||||
10/15/2030 | 4.125% | 1,545,000 | 1,287,116 | |
Colgate-Palmolive Co.(c) | ||||
03/01/2033 | 4.600% | 8,596,000 | 8,588,317 | |
GSK Consumer Healthcare Capital US LLC | ||||
03/24/2029 | 3.375% | 555,000 | 493,701 | |
Hasbro, Inc. | ||||
11/19/2024 | 3.000% | 647,000 | 620,185 | |
11/19/2026 | 3.550% | 444,000 | 412,684 | |
Mead Johnson Nutrition Co. | ||||
11/15/2025 | 4.125% | 616,000 | 599,832 | |
Newell Brands, Inc. | ||||
06/01/2025 | 4.875% | 4,150,000 | 4,020,175 | |
Prestige Brands, Inc.(a) | ||||
04/01/2031 | 3.750% | 1,665,000 | 1,351,663 | |
Scotts Miracle-Gro Co. (The) | ||||
12/15/2026 | 5.250% | 235,000 | 225,610 | |
Spectrum Brands, Inc.(a) | ||||
07/15/2030 | 5.500% | 643,000 | 568,383 | |
SWF Escrow Issuer Corp.(a) | ||||
10/01/2029 | 6.500% | 950,000 | 616,059 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 33 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tempur Sealy International, Inc.(a) | ||||
04/15/2029 | 4.000% | 1,500,000 | 1,281,425 | |
Whirlpool Corp. | ||||
03/01/2033 | 5.500% | 6,037,000 | 5,949,901 | |
Total | 28,051,404 | |||
Diversified Manufacturing 0.1% | ||||
Amsted Industries, Inc.(a) | ||||
05/15/2030 | 4.625% | 1,685,000 | 1,481,396 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 475,000 | 482,273 | |
EnerSys(a) | ||||
04/30/2023 | 5.000% | 200,000 | 199,825 | |
General Electric Co.(b) | ||||
3-month USD LIBOR + 0.480% 08/15/2036 | 5.344% | 5,380,000 | 4,483,462 | |
Griffon Corp. | ||||
03/01/2028 | 5.750% | 525,000 | 483,352 | |
Kennametal, Inc. | ||||
06/15/2028 | 4.625% | 1,370,000 | 1,290,990 | |
Regal Rexnord Corp.(a) | ||||
02/15/2030 | 6.300% | 404,000 | 395,890 | |
04/15/2033 | 6.400% | 404,000 | 395,836 | |
Trane Technologies Financing Ltd.(c) | ||||
03/03/2033 | 5.250% | 1,195,000 | 1,187,740 | |
Valmont Industries, Inc. | ||||
10/01/2054 | 5.250% | 2,050,000 | 1,789,415 | |
Total | 12,190,179 | |||
Electric 3.1% | ||||
AEP Texas Central Co.(a) | ||||
10/01/2025 | 3.850% | 1,828,000 | 1,743,910 | |
AEP Texas Central Co. | ||||
02/15/2033 | 6.650% | 1,385,000 | 1,466,110 | |
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 942,000 | 674,571 | |
AEP Transmission Co. LLC | ||||
08/15/2051 | 2.750% | 1,095,000 | 701,826 | |
AES Corp. (The)(a) | ||||
07/15/2025 | 3.300% | 2,730,000 | 2,567,248 | |
AES Corp. (The) | ||||
01/15/2026 | 1.375% | 662,000 | 585,105 | |
Alabama Power Co. | ||||
12/01/2023 | 3.550% | 964,000 | 951,005 | |
10/01/2049 | 3.450% | 673,000 | 490,607 | |
Alliant Energy Finance LLC(a) | ||||
06/15/2023 | 3.750% | 2,417,000 | 2,402,939 | |
06/15/2028 | 4.250% | 3,100,000 | 2,887,921 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ameren Corp. | ||||
02/15/2026 | 3.650% | 590,000 | 561,172 | |
03/15/2028 | 1.750% | 2,740,000 | 2,333,676 | |
American Electric Power Co., Inc.(c) | ||||
03/01/2033 | 5.625% | 9,559,000 | 9,548,259 | |
American Electric Power Co., Inc. | ||||
03/01/2050 | 3.250% | 691,000 | 464,194 | |
Junior Subordinated | ||||
03/15/2024 | 2.031% | 3,165,000 | 3,045,818 | |
American Electric Power Co., Inc.(k) | ||||
02/15/2062 | 3.875% | 3,891,000 | 3,257,767 | |
American Transmission Systems, Inc.(a) | ||||
01/15/2032 | 2.650% | 2,893,000 | 2,370,567 | |
09/01/2044 | 5.000% | 749,000 | 688,213 | |
Appalachian Power Co. | ||||
03/01/2049 | 4.500% | 432,000 | 361,019 | |
Arizona Public Service Co. | ||||
08/15/2048 | 4.200% | 570,000 | 446,873 | |
Avangrid, Inc. | ||||
04/15/2025 | 3.200% | 1,614,000 | 1,532,381 | |
06/01/2029 | 3.800% | 3,845,000 | 3,477,368 | |
Baltimore Gas and Electric Co. | ||||
06/15/2031 | 2.250% | 884,000 | 714,319 | |
Black Hills Corp. | ||||
11/30/2023 | 4.250% | 286,000 | 283,234 | |
10/15/2029 | 3.050% | 488,000 | 415,268 | |
05/01/2033 | 4.350% | 241,000 | 215,247 | |
Calpine Corp.(a) | ||||
02/15/2028 | 4.500% | 2,500,000 | 2,251,105 | |
03/15/2028 | 5.125% | 575,000 | 509,973 | |
02/01/2029 | 4.625% | 2,000,000 | 1,686,125 | |
02/01/2031 | 5.000% | 4,045,000 | 3,326,960 | |
Cleveland Electric Illuminating Co. (The)(a) | ||||
04/01/2028 | 3.500% | 3,293,000 | 3,023,751 | |
Cleveland Electric Illuminating Co. (The) | ||||
12/15/2036 | 5.950% | 1,279,000 | 1,282,425 | |
CMS Energy Corp. | ||||
02/15/2027 | 2.950% | 80,000 | 72,564 | |
CMS Energy Corp.(k) | ||||
06/01/2050 | 4.750% | 2,514,000 | 2,248,059 | |
12/01/2050 | 3.750% | 386,000 | 305,388 | |
Commonwealth Edison Co. | ||||
08/15/2047 | 3.750% | 409,000 | 318,569 | |
Connecticut Light and Power Co. (The) | ||||
01/15/2053 | 5.250% | 1,796,000 | 1,793,109 |
34 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consolidated Edison Co. of New York, Inc. | ||||
03/01/2033 | 5.200% | 5,230,000 | 5,239,021 | |
03/01/2035 | 5.300% | 171,000 | 168,566 | |
06/15/2046 | 3.850% | 1,310,000 | 1,019,152 | |
06/15/2047 | 3.875% | 1,640,000 | 1,272,429 | |
11/15/2057 | 4.000% | 321,000 | 246,721 | |
Constellation Energy Generation LLC | ||||
03/01/2028 | 5.600% | 1,015,000 | 1,018,166 | |
03/01/2033 | 5.800% | 6,564,000 | 6,646,311 | |
Consumers Energy Co. | ||||
05/15/2033 | 4.625% | 5,200,000 | 5,053,727 | |
Dominion Energy, Inc. | ||||
08/15/2026 | 2.850% | 750,000 | 689,037 | |
11/15/2032 | 5.375% | 1,551,000 | 1,522,377 | |
Dominion Energy, Inc.(k) | ||||
12/31/2079 | 4.350% | 198,000 | 173,044 | |
12/31/2079 | 4.650% | 5,000,000 | 4,606,494 | |
DTE Electric Co.(c) | ||||
04/01/2033 | 5.200% | 547,000 | 547,724 | |
04/01/2053 | 5.400% | 2,391,000 | 2,408,340 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 10,155,000 | 9,321,563 | |
Duke Energy Carolinas LLC | ||||
04/15/2031 | 2.550% | 370,000 | 308,287 | |
12/15/2041 | 4.250% | 19,000 | 16,365 | |
09/30/2042 | 4.000% | 615,000 | 505,357 | |
06/01/2045 | 3.750% | 157,000 | 122,512 | |
12/01/2047 | 3.700% | 46,000 | 35,158 | |
01/15/2053 | 5.350% | 4,473,000 | 4,419,387 | |
Duke Energy Corp. | ||||
04/15/2024 | 3.750% | 3,373,000 | 3,310,216 | |
09/01/2026 | 2.650% | 4,710,000 | 4,302,883 | |
09/01/2046 | 3.750% | 1,416,000 | 1,041,134 | |
Duke Energy Corp.(k) | ||||
12/31/2079 | 4.875% | 213,000 | 205,039 | |
Duke Energy Florida LLC | ||||
12/15/2031 | 2.400% | 1,234,000 | 1,001,797 | |
07/15/2048 | 4.200% | 189,000 | 158,890 | |
11/15/2052 | 5.950% | 588,000 | 627,182 | |
Duke Energy Indiana LLC | ||||
10/01/2049 | 3.250% | 436,000 | 307,300 | |
Duke Energy Ohio, Inc. | ||||
06/01/2030 | 2.125% | 430,000 | 350,722 | |
06/15/2046 | 3.700% | 2,981,000 | 2,158,147 | |
Duke Energy Progress LLC | ||||
05/15/2042 | 4.100% | 1,434,000 | 1,197,771 | |
03/15/2043 | 4.100% | 475,000 | 396,110 | |
03/30/2044 | 4.375% | 770,000 | 659,341 | |
08/15/2045 | 4.200% | 329,000 | 273,843 | |
10/15/2046 | 3.700% | 312,000 | 235,827 | |
09/15/2047 | 3.600% | 940,000 | 707,680 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Duquesne Light Holdings, Inc.(a) | ||||
10/01/2030 | 2.532% | 463,000 | 366,600 | |
Edison International | ||||
08/15/2025 | 4.700% | 7,795,000 | 7,594,532 | |
Enel Finance America LLC(a) | ||||
10/14/2027 | 7.100% | 276,000 | 289,621 | |
Enel Finance International NV(a) | ||||
04/06/2028 | 3.500% | 2,370,000 | 2,127,778 | |
10/14/2032 | 7.500% | 888,000 | 960,681 | |
10/14/2052 | 7.750% | 911,000 | 1,025,799 | |
Entergy Arkansas LLC | ||||
01/15/2033 | 5.150% | 480,000 | 477,511 | |
04/01/2049 | 4.200% | 941,000 | 783,336 | |
06/15/2051 | 2.650% | 212,000 | 131,868 | |
06/15/2052 | 3.350% | 317,000 | 224,117 | |
Entergy Corp. | ||||
09/15/2025 | 0.900% | 3,770,000 | 3,360,499 | |
06/15/2030 | 2.800% | 348,000 | 291,580 | |
06/15/2031 | 2.400% | 801,000 | 633,768 | |
Entergy Louisiana LLC | ||||
10/01/2026 | 2.400% | 2,409,000 | 2,171,214 | |
Entergy Mississippi LLC | ||||
06/01/2049 | 3.850% | 1,178,000 | 905,808 | |
Entergy Texas, Inc. | ||||
03/30/2029 | 4.000% | 348,000 | 325,740 | |
Evergy Metro, Inc. | ||||
06/01/2030 | 2.250% | 572,000 | 470,848 | |
Eversource Energy | ||||
08/15/2025 | 0.800% | 662,000 | 591,936 | |
08/15/2026 | 1.400% | 752,000 | 660,111 | |
03/01/2027 | 2.900% | 1,335,000 | 1,222,211 | |
07/01/2027 | 4.600% | 2,675,000 | 2,608,989 | |
Exelon Corp. | ||||
03/15/2028 | 5.150% | 1,805,000 | 1,789,596 | |
04/15/2046 | 4.450% | 1,050,000 | 873,455 | |
03/15/2053 | 5.600% | 6,428,000 | 6,282,040 | |
FirstEnergy Transmission LLC(a) | ||||
09/15/2028 | 2.866% | 3,224,000 | 2,823,112 | |
Florida Power & Light Co. | ||||
12/04/2051 | 2.875% | 359,000 | 239,393 | |
Florida Power & Light Co.(c) | ||||
04/01/2053 | 5.300% | 5,295,000 | 5,268,631 | |
Fortis, Inc. | ||||
10/04/2026 | 3.055% | 460,000 | 427,165 | |
Georgia Power Co. | ||||
09/15/2024 | 2.200% | 848,000 | 808,311 | |
Gulf Power Co. | ||||
10/01/2044 | 4.550% | 1,350,000 | 1,193,890 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 35 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Indiana Michigan Power Co. | ||||
05/01/2051 | 3.250% | 1,327,000 | 916,660 | |
Inkia Energy Ltd.(a) | ||||
11/09/2027 | 5.875% | 330,000 | 303,627 | |
Interstate Power and Light Co. | ||||
11/30/2051 | 3.100% | 3,194,000 | 2,118,067 | |
Interstate Power and Light, Co. | ||||
12/01/2024 | 3.250% | 792,000 | 762,947 | |
IPALCO Enterprises, Inc. | ||||
05/01/2030 | 4.250% | 1,590,000 | 1,432,401 | |
Jersey Central Power & Light Co.(a) | ||||
04/01/2024 | 4.700% | 1,600,000 | 1,579,495 | |
01/15/2026 | 4.300% | 2,000,000 | 1,921,659 | |
03/01/2032 | 2.750% | 336,000 | 274,587 | |
Jersey Central Power & Light Co. | ||||
06/01/2037 | 6.150% | 1,985,000 | 1,987,006 | |
Kansas City Power & Light Co. | ||||
08/15/2025 | 3.650% | 665,000 | 635,088 | |
Metropolitan Edison Co.(a) | ||||
01/15/2029 | 4.300% | 1,928,000 | 1,800,228 | |
MidAmerican Energy Co. | ||||
10/15/2044 | 4.400% | 96,000 | 85,043 | |
Mississippi Power Co. | ||||
03/15/2042 | 4.250% | 414,000 | 340,615 | |
Mong Duong Finance Holdings BV(a) | ||||
05/07/2029 | 5.125% | 300,000 | 258,247 | |
Monongahela Power Co.(a) | ||||
05/15/2027 | 3.550% | 617,000 | 576,622 | |
Narragansett Electric Co. (The)(a) | ||||
04/09/2030 | 3.395% | 2,179,000 | 1,946,706 | |
National Rural Utilities Cooperative Finance Corp. | ||||
02/07/2024 | 2.950% | 3,765,000 | 3,680,487 | |
03/15/2030 | 2.400% | 1,347,000 | 1,131,721 | |
06/15/2031 | 1.650% | 930,000 | 712,851 | |
04/15/2032 | 2.750% | 1,233,000 | 1,018,061 | |
12/15/2032 | 4.150% | 1,119,000 | 1,028,461 | |
01/15/2033 | 5.800% | 864,000 | 890,142 | |
National Rural Utilities Cooperative Finance Corp.(k) | ||||
04/30/2043 | 4.750% | 1,529,000 | 1,484,479 | |
Subordinated | ||||
04/20/2046 | 5.250% | 1,687,000 | 1,595,001 | |
New England Power Co.(a) | ||||
10/06/2050 | 2.807% | 3,670,000 | 2,342,031 | |
NextEra Energy Capital Holdings, Inc. | ||||
09/01/2024 | 4.255% | 1,137,000 | 1,115,839 | |
01/15/2027 | 1.875% | 1,472,000 | 1,297,757 | |
01/15/2032 | 2.440% | 600,000 | 474,953 | |
02/28/2033 | 5.050% | 1,391,000 | 1,345,904 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/28/2053 | 5.250% | 7,247,000 | 6,865,485 | |
NextEra Energy Capital Holdings, Inc.(c) | ||||
03/01/2025 | 6.051% | 4,242,000 | 4,270,275 | |
NextEra Energy Capital Holdings, Inc.(k) | ||||
03/15/2082 | 3.800% | 3,812,000 | 3,257,368 | |
NRG Energy, Inc.(a) | ||||
12/02/2025 | 2.000% | 560,000 | 496,597 | |
12/02/2027 | 2.450% | 2,420,000 | 2,042,702 | |
02/15/2029 | 3.375% | 542,000 | 441,788 | |
06/15/2029 | 5.250% | 3,000,000 | 2,668,655 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 954,000 | 952,428 | |
NSTAR Electric Co. | ||||
08/15/2031 | 1.950% | 524,000 | 414,509 | |
Oglethorpe Power Corp. | ||||
08/01/2050 | 3.750% | 651,000 | 477,077 | |
Oklahoma Gas and Electric Co. | ||||
01/15/2033 | 5.400% | 509,000 | 510,911 | |
Oncor Electric Delivery Co. LLC | ||||
09/15/2032 | 4.550% | 1,238,000 | 1,197,862 | |
Pacific Gas and Electric Co. | ||||
06/08/2025 | 4.950% | 3,650,000 | 3,579,429 | |
07/01/2030 | 4.550% | 5,735,000 | 5,178,429 | |
04/15/2042 | 4.450% | 562,000 | 421,763 | |
03/15/2045 | 4.300% | 948,000 | 686,349 | |
03/15/2046 | 4.250% | 424,000 | 300,599 | |
01/15/2053 | 6.750% | 677,000 | 673,188 | |
PacifiCorp | ||||
03/15/2051 | 3.300% | 680,000 | 485,052 | |
12/01/2053 | 5.350% | 1,475,000 | 1,455,276 | |
PECO Energy Co. | ||||
10/01/2044 | 4.150% | 176,000 | 148,016 | |
05/15/2052 | 4.600% | 2,500,000 | 2,259,759 | |
Pennsylvania Electric Co.(a) | ||||
03/15/2028 | 3.250% | 1,990,000 | 1,800,731 | |
PPL Electric Utilities Corp.(c) | ||||
05/15/2053 | 5.250% | 6,381,000 | 6,294,000 | |
Public Service Co. of New Hampshire | ||||
01/15/2053 | 5.150% | 1,173,000 | 1,158,742 | |
Public Service Electric and Gas Co. | ||||
12/01/2047 | 3.600% | 105,000 | 81,376 | |
Public Service Enterprise Group, Inc. | ||||
08/15/2025 | 0.800% | 642,000 | 575,289 | |
11/15/2027 | 5.850% | 624,000 | 638,182 | |
08/15/2030 | 1.600% | 466,000 | 360,344 | |
11/15/2031 | 2.450% | 2,062,000 | 1,649,412 | |
Puget Energy, Inc. | ||||
03/15/2032 | 4.224% | 1,795,000 | 1,589,888 |
36 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
South Carolina Electric & Gas Co. | ||||
05/15/2033 | 5.300% | 676,000 | 680,562 | |
Southern California Edison Co.(c) | ||||
03/01/2028 | 5.300% | 4,960,000 | 4,954,107 | |
Southern Co. (The) | ||||
07/01/2036 | 4.250% | 595,000 | 517,475 | |
Southern Co. (The)(k) | ||||
01/15/2051 | 4.000% | 1,166,000 | 1,090,610 | |
09/15/2051 | 3.750% | 1,122,000 | 964,499 | |
Junior Subordinated | ||||
08/01/2027 | 5.113% | 932,000 | 920,071 | |
Southwestern Electric Power Co. | ||||
03/15/2026 | 1.650% | 1,096,000 | 979,652 | |
10/01/2026 | 2.750% | 6,450,000 | 5,887,048 | |
Tampa Electric Co. | ||||
05/15/2044 | 4.350% | 434,000 | 363,924 | |
07/15/2052 | 5.000% | 2,250,000 | 2,084,908 | |
Toledo Edison Co. (The) | ||||
05/15/2037 | 6.150% | 951,000 | 992,891 | |
Tucson Electric Power Co. | ||||
03/15/2023 | 3.850% | 2,480,000 | 2,478,251 | |
12/01/2048 | 4.850% | 259,000 | 227,374 | |
06/15/2050 | 4.000% | 2,690,000 | 2,091,366 | |
Union Electric Co. | ||||
09/15/2042 | 3.900% | 590,000 | 482,013 | |
Union Electric Co.(c) | ||||
03/15/2053 | 5.450% | 3,704,000 | 3,707,220 | |
Virginia Electric & Power Co. | ||||
03/15/2027 | 3.500% | 1,446,000 | 1,360,557 | |
09/15/2047 | 3.800% | 942,000 | 729,869 | |
Vistra Corp.(a),(k) | ||||
12/31/2079 | 7.000% | 425,000 | 397,921 | |
12/31/2079 | 8.000% | 4,650,000 | 4,482,546 | |
Vistra Operations Co. LLC(a) | ||||
07/15/2024 | 3.550% | 2,505,000 | 2,405,209 | |
05/13/2025 | 5.125% | 6,261,000 | 6,080,631 | |
02/15/2027 | 5.625% | 2,950,000 | 2,798,755 | |
07/31/2027 | 5.000% | 2,000,000 | 1,858,917 | |
05/01/2029 | 4.375% | 2,725,000 | 2,356,466 | |
Vistra Operations Co., LLC(a) | ||||
01/30/2027 | 3.700% | 885,000 | 809,934 | |
WEC Energy Group, Inc. | ||||
09/27/2025 | 5.000% | 304,000 | 301,274 | |
10/01/2027 | 5.150% | 426,000 | 423,267 | |
10/15/2027 | 1.375% | 1,094,000 | 927,232 | |
12/15/2028 | 2.200% | 746,000 | 632,769 | |
Wisconsin Electric Power Co. | ||||
06/15/2028 | 1.700% | 680,000 | 577,926 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wisconsin Public Service Corp. | ||||
12/01/2042 | 3.671% | 814,000 | 626,234 | |
Total | 313,388,049 | |||
Environmental 0.1% | ||||
Clean Harbors, Inc.(a) | ||||
02/01/2031 | 6.375% | 175,000 | 174,416 | |
Waste Connections, Inc. | ||||
02/01/2030 | 2.600% | 404,000 | 343,801 | |
06/01/2032 | 3.200% | 404,000 | 344,707 | |
04/01/2050 | 3.050% | 885,000 | 596,856 | |
Waste Management, Inc. | ||||
02/15/2030 | 4.625% | 6,288,000 | 6,110,017 | |
02/15/2033 | 4.625% | 1,346,000 | 1,293,837 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 1,650,000 | 1,506,180 | |
Total | 10,369,814 | |||
Finance Companies 1.0% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
02/15/2024 | 3.150% | 3,225,000 | 3,144,440 | |
10/01/2025 | 4.450% | 1,889,000 | 1,813,431 | |
10/29/2026 | 2.450% | 445,000 | 392,449 | |
10/29/2028 | 3.000% | 5,655,000 | 4,818,839 | |
01/30/2032 | 3.300% | 2,913,000 | 2,331,572 | |
Air Lease Corp. | ||||
03/01/2025 | 3.250% | 2,500,000 | 2,373,706 | |
07/01/2025 | 3.375% | 2,750,000 | 2,588,970 | |
01/15/2026 | 2.875% | 2,075,000 | 1,913,330 | |
08/15/2026 | 1.875% | 2,285,000 | 1,994,952 | |
12/01/2027 | 3.625% | 465,000 | 422,859 | |
12/15/2027 | 5.850% | 2,635,000 | 2,623,328 | |
Aircastle Ltd.(a) | ||||
01/26/2028 | 2.850% | 3,335,000 | 2,833,914 | |
Ares Capital Corp. | ||||
03/01/2025 | 4.250% | 210,000 | 201,619 | |
06/15/2028 | 2.875% | 3,285,000 | 2,695,593 | |
Aviation Capital Group LLC(a) | ||||
05/01/2023 | 3.875% | 3,381,000 | 3,366,174 | |
12/15/2024 | 5.500% | 1,030,000 | 1,017,121 | |
09/20/2026 | 1.950% | 630,000 | 542,372 | |
11/01/2027 | 3.500% | 290,000 | 254,536 | |
Avolon Holdings Funding Ltd.(a) | ||||
07/01/2024 | 3.950% | 750,000 | 725,180 | |
02/15/2025 | 2.875% | 2,905,000 | 2,700,673 | |
02/21/2026 | 2.125% | 1,033,000 | 905,134 | |
05/01/2026 | 4.375% | 842,000 | 783,302 | |
11/18/2027 | 2.528% | 2,283,000 | 1,904,037 | |
02/21/2028 | 2.750% | 477,000 | 397,979 | |
Bain Capital Specialty Finance, Inc. | ||||
10/13/2026 | 2.550% | 3,250,000 | 2,795,515 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 37 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Barings BDC, Inc. | ||||
11/23/2026 | 3.300% | 1,230,000 | 1,088,906 | |
Blackstone Private Credit Fund | ||||
12/15/2026 | 2.625% | 8,155,000 | 6,926,197 | |
Blackstone Secured Lending Fund | ||||
09/30/2028 | 2.850% | 3,560,000 | 2,872,404 | |
FirstCash, Inc.(a) | ||||
01/01/2030 | 5.625% | 1,500,000 | 1,331,872 | |
FS KKR Capital Corp. | ||||
10/12/2028 | 3.125% | 2,650,000 | 2,172,783 | |
Golub Capital BDC, Inc. | ||||
08/24/2026 | 2.500% | 4,625,000 | 4,001,747 | |
Hercules Capital, Inc. | ||||
01/20/2027 | 3.375% | 4,585,000 | 4,049,379 | |
Main Street Capital Corp. | ||||
05/01/2024 | 5.200% | 666,000 | 657,579 | |
07/14/2026 | 3.000% | 6,000,000 | 5,294,820 | |
Morgan Stanley Direct Lending Fund | ||||
02/11/2027 | 4.500% | 2,530,000 | 2,378,838 | |
Navient Corp. | ||||
03/15/2027 | 5.000% | 1,555,000 | 1,380,200 | |
OneMain Finance Corp. | ||||
09/15/2030 | 4.000% | 390,000 | 297,797 | |
Owl Rock Capital Corp. | ||||
07/22/2025 | 3.750% | 1,075,000 | 1,005,531 | |
01/15/2026 | 4.250% | 1,370,000 | 1,277,488 | |
OWL Rock Core Income Corp. | ||||
03/21/2025 | 5.500% | 950,000 | 922,881 | |
OWL Rock Core Income Corp.(a) | ||||
09/16/2027 | 7.750% | 2,113,000 | 2,111,015 | |
Owl Rock Technology Finance Corp.(a) | ||||
12/15/2025 | 4.750% | 6,475,000 | 5,914,738 | |
Park Aerospace Holdings Ltd.(a) | ||||
03/15/2023 | 4.500% | 3,105,000 | 3,103,565 | |
02/15/2024 | 5.500% | 379,000 | 375,822 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2031 | 3.875% | 1,490,000 | 1,156,350 | |
SMBC Aviation Capital Finance DAC(a) | ||||
10/15/2026 | 1.900% | 1,206,000 | 1,032,661 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 2,600,000 | 2,569,814 | |
Total | 97,463,412 | |||
Food and Beverage 0.8% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2036 | 4.700% | 1,186,000 | 1,112,803 | |
02/01/2046 | 4.900% | 8,289,000 | 7,609,600 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/23/2039 | 5.450% | 840,000 | 838,306 | |
01/23/2049 | 5.550% | 2,915,000 | 2,937,694 | |
B&G Foods, Inc. | ||||
04/01/2025 | 5.250% | 2,200,000 | 1,992,395 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 1,060,000 | 957,059 | |
Cargill Inc.(a) | ||||
11/10/2031 | 2.125% | 1,826,000 | 1,448,647 | |
Cargill, Inc.(a) | ||||
04/22/2025 | 3.500% | 2,449,000 | 2,362,102 | |
04/23/2030 | 2.125% | 750,000 | 617,499 | |
04/22/2052 | 4.375% | 523,000 | 462,351 | |
Coca-Cola Co. (The) | ||||
03/25/2030 | 3.450% | 2,253,000 | 2,071,780 | |
Coca-Cola Europacific Partners PLC(a) | ||||
05/03/2024 | 0.800% | 6,295,000 | 5,945,646 | |
Constellation Brands, Inc. | ||||
12/01/2025 | 4.750% | 578,000 | 570,843 | |
Diageo Capital PLC | ||||
04/29/2032 | 2.125% | 173,000 | 137,725 | |
JBS SA/Food Co./Finance, Inc.(a) | ||||
05/15/2032 | 3.000% | 3,255,000 | 2,474,225 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
02/01/2028 | 5.125% | 2,025,000 | 1,930,488 | |
02/02/2029 | 3.000% | 1,955,000 | 1,632,582 | |
12/01/2031 | 3.750% | 3,055,000 | 2,449,694 | |
12/01/2052 | 6.500% | 8,005,000 | 7,593,336 | |
Kraft Heinz Foods Co. | ||||
01/26/2039 | 6.875% | 796,000 | 867,676 | |
10/01/2039 | 4.625% | 2,029,000 | 1,779,789 | |
02/09/2040 | 6.500% | 1,215,000 | 1,280,917 | |
06/04/2042 | 5.000% | 3,000,000 | 2,726,599 | |
06/01/2046 | 4.375% | 1,980,000 | 1,619,539 | |
10/01/2049 | 4.875% | 1,370,000 | 1,201,830 | |
Kraft Heinz Foods Co. (The) | ||||
07/15/2045 | 5.200% | 1,205,000 | 1,113,171 | |
Lamb Weston Holdings, Inc.(a) | ||||
01/31/2032 | 4.375% | 1,535,000 | 1,349,364 | |
Mars, Inc.(a) | ||||
04/01/2039 | 3.875% | 1,040,000 | 882,505 | |
07/16/2040 | 2.375% | 964,000 | 664,031 | |
Nestle Holdings, Inc.(a) | ||||
10/01/2027 | 4.125% | 1,167,000 | 1,137,237 | |
09/15/2030 | 1.250% | 1,147,000 | 902,566 | |
09/24/2038 | 3.900% | 950,000 | 839,351 | |
01/15/2053 | 4.700% | 486,000 | 464,200 | |
PepsiCo, Inc. | ||||
07/18/2032 | 3.900% | 2,072,000 | 1,947,455 |
38 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pilgrim’s Pride Corp. | ||||
04/15/2031 | 4.250% | 2,000,000 | 1,670,053 | |
03/01/2032 | 3.500% | 3,000,000 | 2,337,672 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 2,676,000 | 2,615,663 | |
12/15/2029 | 5.500% | 2,235,000 | 2,050,225 | |
04/15/2030 | 4.625% | 1,349,000 | 1,169,970 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 1,610,000 | 1,381,166 | |
Smithfield Foods, Inc.(a) | ||||
02/01/2027 | 4.250% | 2,500,000 | 2,301,240 | |
10/15/2030 | 3.000% | 2,020,000 | 1,569,964 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 915,000 | 726,805 | |
Viterra Finance BV(a) | ||||
04/21/2026 | 2.000% | 1,125,000 | 975,982 | |
Total | 80,719,745 | |||
Foreign Agencies 0.0% | ||||
PT Bank Mandiri Persero Tbk(a) | ||||
04/11/2024 | 3.750% | 850,000 | 830,946 | |
Gaming 0.3% | ||||
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 1,375,000 | 1,176,429 | |
02/15/2030 | 7.000% | 950,000 | 956,746 | |
GLP Capital LP/Financing II, Inc. | ||||
04/15/2026 | 5.375% | 3,840,000 | 3,746,730 | |
01/15/2029 | 5.300% | 765,000 | 724,051 | |
01/15/2030 | 4.000% | 3,552,000 | 3,115,580 | |
Golden Entertainment, Inc.(a) | ||||
04/15/2026 | 7.625% | 1,720,000 | 1,724,238 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 1,375,000 | 1,378,804 | |
01/15/2027 | 6.250% | 400,000 | 392,090 | |
MGM Resorts International | ||||
05/01/2025 | 6.750% | 1,150,000 | 1,151,401 | |
09/01/2026 | 4.625% | 188,000 | 175,002 | |
04/15/2027 | 5.500% | 1,500,000 | 1,425,406 | |
Penn National Gaming, Inc.(a) | ||||
07/01/2029 | 4.125% | 460,000 | 373,998 | |
Premier Entertainment Sub LLC/Finance Corp.(a) | ||||
09/01/2031 | 5.875% | 2,825,000 | 2,023,924 | |
Scientific Games International, Inc.(a) | ||||
07/01/2025 | 8.625% | 1,400,000 | 1,431,977 | |
VICI Properties LP | ||||
05/15/2032 | 5.125% | 3,579,000 | 3,318,513 | |
05/15/2052 | 5.625% | 1,145,000 | 1,018,281 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
VICI Properties LP/Note Co., Inc.(a) | ||||
06/15/2025 | 4.625% | 220,000 | 211,427 | |
09/01/2026 | 4.500% | 2,740,000 | 2,557,660 | |
02/01/2027 | 5.750% | 820,000 | 799,987 | |
02/15/2027 | 3.750% | 2,000,000 | 1,815,030 | |
01/15/2028 | 4.500% | 146,000 | 134,553 | |
02/15/2029 | 3.875% | 1,440,000 | 1,254,840 | |
08/15/2030 | 4.125% | 464,000 | 403,287 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 1,000,000 | 893,900 | |
Total | 32,203,854 | |||
Health Care 1.2% | ||||
Abbott Laboratories | ||||
11/30/2046 | 4.900% | 205,000 | 201,628 | |
Barnabas Health, Inc. | ||||
07/01/2028 | 4.000% | 3,200,000 | 2,964,713 | |
Becton Dickinson and Co. | ||||
12/15/2024 | 3.734% | 44,000 | 42,766 | |
02/13/2028 | 4.693% | 1,459,000 | 1,426,962 | |
08/22/2032 | 4.298% | 2,913,000 | 2,706,254 | |
05/15/2044 | 4.875% | 1,555,000 | 1,321,604 | |
Cigna Corp. | ||||
03/01/2027 | 3.400% | 2,190,000 | 2,050,453 | |
08/15/2038 | 4.800% | 429,000 | 394,288 | |
07/15/2046 | 4.800% | 2,070,000 | 1,822,357 | |
03/15/2050 | 3.400% | 892,000 | 627,539 | |
03/15/2051 | 3.400% | 1,215,000 | 854,753 | |
CommonSpirit Health | ||||
10/01/2025 | 1.547% | 3,000,000 | 2,718,169 | |
10/01/2030 | 2.782% | 1,485,000 | 1,243,469 | |
11/01/2042 | 4.350% | 500,000 | 421,563 | |
CVS Health Corp. | ||||
07/20/2025 | 3.875% | 1,002,000 | 970,897 | |
02/21/2030 | 5.125% | 3,805,000 | 3,735,460 | |
09/15/2031 | 2.125% | 903,000 | 707,540 | |
07/20/2035 | 4.875% | 1,000,000 | 939,981 | |
03/25/2038 | 4.780% | 8,665,000 | 7,865,086 | |
04/01/2040 | 4.125% | 1,899,000 | 1,555,652 | |
08/21/2040 | 2.700% | 996,000 | 673,664 | |
07/20/2045 | 5.125% | 659,000 | 593,744 | |
03/25/2048 | 5.050% | 9,325,000 | 8,359,334 | |
02/21/2053 | 5.625% | 5,295,000 | 5,124,365 | |
DaVita, Inc.(a) | ||||
06/01/2030 | 4.625% | 2,495,000 | 2,055,515 | |
Dentsply Sirona, Inc. | ||||
06/01/2030 | 3.250% | 1,347,000 | 1,149,292 | |
Duke University Health System, Inc. | ||||
06/01/2047 | 3.920% | 875,000 | 739,586 | |
Embecta Corp.(a) | ||||
02/15/2030 | 5.000% | 1,500,000 | 1,271,950 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 39 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fresenius Medical Care US Finance III, Inc.(a) | ||||
12/01/2026 | 1.875% | 3,805,000 | 3,235,345 | |
GE Healthcare Holding LLC(a) | ||||
11/15/2024 | 5.550% | 5,095,000 | 5,083,586 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 2,900,000 | 2,872,849 | |
04/15/2025 | 5.250% | 1,659,000 | 1,641,917 | |
06/15/2025 | 7.690% | 750,000 | 779,512 | |
06/15/2026 | 5.250% | 3,135,000 | 3,090,514 | |
02/15/2027 | 4.500% | 679,000 | 650,576 | |
12/01/2027 | 7.050% | 10,000 | 10,503 | |
06/15/2029 | 4.125% | 3,850,000 | 3,504,829 | |
09/01/2030 | 3.500% | 3,874,000 | 3,330,723 | |
07/15/2031 | 2.375% | 1,580,000 | 1,230,038 | |
06/15/2047 | 5.500% | 2,515,000 | 2,262,806 | |
06/15/2049 | 5.250% | 3,225,000 | 2,784,399 | |
07/15/2051 | 3.500% | 1,697,000 | 1,106,812 | |
HCA, Inc.(a) | ||||
03/15/2027 | 3.125% | 1,687,000 | 1,535,463 | |
03/15/2032 | 3.625% | 1,605,000 | 1,356,539 | |
Laboratory Corp. of America Holdings | ||||
11/01/2023 | 4.000% | 330,000 | 327,747 | |
09/01/2024 | 3.250% | 2,561,000 | 2,479,617 | |
Legacy LifePoint Health LLC(a) | ||||
02/15/2027 | 4.375% | 1,575,000 | 1,328,213 | |
Mayo Clinic | ||||
11/15/2052 | 4.128% | 750,000 | 645,058 | |
McKesson Corp. | ||||
02/15/2026 | 5.250% | 1,088,000 | 1,081,466 | |
08/15/2026 | 1.300% | 1,820,000 | 1,599,489 | |
Memorial Sloan-Kettering Cancer Center | ||||
07/01/2052 | 4.125% | 4,630,000 | 3,980,691 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 4,030,000 | 3,360,547 | |
10/01/2029 | 5.250% | 2,475,000 | 2,032,288 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2116 | 4.763% | 785,000 | 671,477 | |
08/01/2119 | 3.954% | 305,000 | 219,248 | |
NYU Langone Hospitals | ||||
07/01/2043 | 5.750% | 705,000 | 739,644 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.(a) | ||||
12/01/2026 | 9.750% | 2,875,000 | 2,450,134 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 535,000 | 526,725 | |
11/01/2027 | 5.125% | 1,575,000 | 1,480,687 | |
10/01/2028 | 6.125% | 3,225,000 | 2,984,893 | |
06/01/2029 | 4.250% | 1,960,000 | 1,716,050 | |
01/15/2030 | 4.375% | 1,175,000 | 1,028,419 | |
Texas Health Resources | ||||
11/15/2055 | 4.330% | 700,000 | 605,269 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Universal Health Services, Inc. | ||||
09/01/2026 | 1.650% | 2,485,000 | 2,152,253 | |
10/15/2030 | 2.650% | 2,485,000 | 2,002,562 | |
Total | 122,427,472 | |||
Healthcare Insurance 0.3% | ||||
Aetna, Inc. | ||||
06/15/2036 | 6.625% | 624,000 | 671,142 | |
05/15/2042 | 4.500% | 1,651,000 | 1,425,713 | |
Centene Corp. | ||||
12/15/2027 | 4.250% | 4,010,000 | 3,712,816 | |
07/15/2028 | 2.450% | 3,832,000 | 3,219,983 | |
12/15/2029 | 4.625% | 850,000 | 779,591 | |
10/15/2030 | 3.000% | 2,014,000 | 1,645,967 | |
Elevance Health, Inc. | ||||
02/08/2026 | 4.900% | 596,000 | 589,285 | |
10/15/2032 | 5.500% | 1,238,000 | 1,257,425 | |
02/15/2033 | 4.750% | 601,000 | 576,915 | |
10/15/2052 | 6.100% | 403,000 | 431,774 | |
02/15/2053 | 5.125% | 285,000 | 270,059 | |
Health Care Service Corp., a Mutual Legal Reserve Co.(a) | ||||
06/01/2025 | 1.500% | 577,000 | 525,930 | |
Humana, Inc. | ||||
04/01/2025 | 4.500% | 1,120,000 | 1,100,770 | |
02/03/2027 | 1.350% | 901,000 | 775,767 | |
08/15/2029 | 3.125% | 173,000 | 150,905 | |
Humana, Inc.(c) | ||||
03/15/2053 | 5.500% | 500,000 | 483,720 | |
Molina Healthcare, Inc.(a) | ||||
06/15/2028 | 4.375% | 4,250,000 | 3,861,590 | |
11/15/2030 | 3.875% | 1,500,000 | 1,267,730 | |
UnitedHealth Group, Inc. | ||||
02/15/2030 | 5.300% | 1,696,000 | 1,718,511 | |
02/15/2033 | 5.350% | 924,000 | 945,108 | |
08/15/2039 | 3.500% | 617,000 | 505,072 | |
05/15/2040 | 2.750% | 366,000 | 266,021 | |
05/15/2041 | 3.050% | 190,000 | 142,520 | |
07/15/2045 | 4.750% | 443,000 | 415,182 | |
10/15/2047 | 3.750% | 473,000 | 377,526 | |
05/15/2051 | 3.250% | 3,750,000 | 2,682,421 | |
05/15/2052 | 4.750% | 626,000 | 574,600 | |
02/15/2053 | 5.875% | 625,000 | 674,365 | |
02/15/2063 | 6.050% | 562,000 | 614,589 | |
Wellpoint, Inc. | ||||
08/15/2024 | 3.500% | 1,928,000 | 1,876,337 | |
Total | 33,539,334 | |||
Healthcare REIT 0.2% | ||||
Diversified Healthcare Trust | ||||
06/15/2025 | 9.750% | 1,587,000 | 1,539,863 | |
03/01/2031 | 4.375% | 1,500,000 | 1,050,563 |
40 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Healthcare Realty Holdings LP | ||||
03/15/2030 | 2.400% | 995,000 | 779,782 | |
03/15/2031 | 2.050% | 250,000 | 184,629 | |
Healthcare Trust of America Holdings LP | ||||
02/15/2030 | 3.100% | 1,246,000 | 1,060,570 | |
03/15/2031 | 2.000% | 3,310,000 | 2,527,804 | |
MPT Operating Partnership LP/Finance Corp. | ||||
03/15/2031 | 3.500% | 1,850,000 | 1,268,088 | |
Omega Healthcare Investors, Inc. | ||||
01/15/2025 | 4.500% | 975,000 | 950,217 | |
Physicians Realty LP | ||||
03/15/2027 | 4.300% | 380,000 | 361,641 | |
11/01/2031 | 2.625% | 1,750,000 | 1,399,266 | |
Sabra Health Care LP | ||||
12/01/2031 | 3.200% | 574,000 | 425,748 | |
Senior Housing Properties Trust | ||||
05/01/2024 | 4.750% | 1,100,000 | 977,877 | |
Ventas Realty LP | ||||
09/30/2043 | 5.700% | 225,000 | 212,078 | |
Welltower, Inc. | ||||
06/01/2031 | 2.800% | 8,255,000 | 6,693,164 | |
Total | 19,431,290 | |||
Home Construction 0.2% | ||||
Ashton Woods USA LLC/Finance Co.(a) | ||||
01/15/2028 | 6.625% | 1,700,000 | 1,540,083 | |
Brookfield Residential Properties, Inc./US Corp.(a) | ||||
09/15/2027 | 6.250% | 1,560,000 | 1,369,851 | |
02/15/2030 | 4.875% | 2,575,000 | 1,938,725 | |
Century Communities, Inc. | ||||
06/01/2027 | 6.750% | 2,500,000 | 2,434,781 | |
Empire Communities Corp.(a) | ||||
12/15/2025 | 7.000% | 4,225,000 | 3,770,753 | |
KB Home | ||||
06/15/2031 | 4.000% | 1,075,000 | 878,403 | |
M/I Homes, Inc. | ||||
02/01/2028 | 4.950% | 675,000 | 606,835 | |
Mattamy Group Corp.(a) | ||||
03/01/2030 | 4.625% | 4,500,000 | 3,728,364 | |
MDC Holdings, Inc. | ||||
08/06/2061 | 3.966% | 3,540,000 | 2,024,904 | |
Meritage Homes Corp. | ||||
06/06/2027 | 5.125% | 2,000,000 | 1,907,813 | |
PulteGroup, Inc. | ||||
03/01/2026 | 5.500% | 737,000 | 733,494 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 2,000,000 | 1,887,761 | |
08/01/2030 | 5.125% | 1,114,000 | 982,773 | |
Total | 23,804,540 | |||
Independent Energy 0.5% | ||||
Aker BP ASA(a) | ||||
01/15/2026 | 2.875% | 2,875,000 | 2,674,631 | |
01/15/2030 | 3.750% | 300,000 | 264,567 | |
Antero Resources Corp.(a) | ||||
02/01/2029 | 7.625% | 600,000 | 606,682 | |
03/01/2030 | 5.375% | 920,000 | 841,793 | |
Apache Corp. | ||||
09/01/2040 | 5.100% | 3,060,000 | 2,519,547 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(a) | ||||
11/01/2026 | 7.000% | 600,000 | 582,392 | |
11/01/2027 | 9.000% | 150,000 | 183,434 | |
12/31/2028 | 8.250% | 2,500,000 | 2,436,397 | |
Canadian Natural Resources Ltd. | ||||
06/30/2033 | 6.450% | 730,000 | 744,271 | |
02/01/2039 | 6.750% | 289,000 | 301,414 | |
Chesapeake Energy Corp.(a) | ||||
02/01/2026 | 5.500% | 2,000,000 | 1,954,062 | |
ConocoPhillips Co. | ||||
03/15/2042 | 3.758% | 1,928,000 | 1,581,997 | |
Continental Resources, Inc. | ||||
04/15/2023 | 4.500% | 385,000 | 384,338 | |
06/01/2024 | 3.800% | 1,683,000 | 1,642,103 | |
Coterra Energy, Inc. | ||||
05/15/2027 | 3.900% | 1,552,000 | 1,455,812 | |
Devon Energy Corp. | ||||
09/15/2024 | 5.250% | 78,000 | 77,609 | |
07/15/2041 | 5.600% | 1,875,000 | 1,728,855 | |
Diamondback Energy, Inc. | ||||
12/01/2026 | 3.250% | 1,905,000 | 1,764,616 | |
12/01/2029 | 3.500% | 588,000 | 519,584 | |
03/24/2031 | 3.125% | 3,565,000 | 2,991,256 | |
03/15/2033 | 6.250% | 2,091,000 | 2,131,732 | |
03/15/2053 | 6.250% | 1,262,000 | 1,243,474 | |
Energean Israel Finance Ltd.(a) | ||||
03/30/2024 | 4.500% | 850,000 | 825,348 | |
03/30/2026 | 4.875% | 1,321,000 | 1,222,178 | |
03/30/2028 | 5.375% | 2,637,000 | 2,368,079 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
04/15/2030 | 6.000% | 825,000 | 748,882 | |
02/01/2031 | 6.000% | 1,560,000 | 1,404,932 | |
04/15/2032 | 6.250% | 1,050,000 | 951,087 | |
Lundin Energy Finance BV(a) | ||||
07/15/2026 | 2.000% | 7,625,000 | 6,760,019 | |
07/15/2031 | 3.100% | 1,575,000 | 1,288,691 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 41 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Occidental Petroleum Corp.(i) | ||||
10/10/2036 | 0.000% | 364,000 | 183,175 | |
Pioneer Natural Resources Co. | ||||
05/15/2023 | 0.550% | 3,235,000 | 3,203,868 | |
Santos Finance Ltd.(a) | ||||
04/29/2031 | 3.649% | 652,000 | 537,325 | |
Southwestern Energy Co. | ||||
02/01/2032 | 4.750% | 1,550,000 | 1,333,422 | |
Total | 49,457,572 | |||
Integrated Energy 0.2% | ||||
BP Capital Markets America, Inc. | ||||
02/13/2033 | 4.812% | 9,952,000 | 9,775,367 | |
BP Capital Markets PLC(k) | ||||
12/31/2059 | 4.875% | 825,000 | 757,986 | |
Cenovus Energy, Inc. | ||||
06/15/2047 | 5.400% | 711,000 | 640,171 | |
02/15/2052 | 3.750% | 3,750,000 | 2,655,258 | |
Chevron Corp. | ||||
05/11/2050 | 3.078% | 1,540,000 | 1,110,856 | |
Exxon Mobil Corp. | ||||
04/15/2051 | 3.452% | 2,735,000 | 2,085,520 | |
Reliance Industries Ltd.(a) | ||||
01/12/2032 | 2.875% | 1,450,000 | 1,176,239 | |
01/12/2052 | 3.625% | 1,300,000 | 911,046 | |
Shell International Finance BV | ||||
05/11/2035 | 4.125% | 1,094,000 | 1,006,746 | |
Total Capital International SA | ||||
06/29/2041 | 2.986% | 977,000 | 726,747 | |
Total | 20,845,936 | |||
Leisure 0.0% | ||||
AMC Entertainment Holdings, Inc.(a),(l) | ||||
06/15/2026 | 12.000% | 570,233 | 292,971 | |
Royal Caribbean Cruises Ltd.(a) | ||||
01/15/2029 | 9.250% | 750,000 | 795,561 | |
01/15/2030 | 7.250% | 300,000 | 300,752 | |
Total | 1,389,284 | |||
Life Insurance 1.2% | ||||
AIG Global Funding(a) | ||||
09/22/2025 | 0.900% | 3,545,000 | 3,202,904 | |
Athene Global Funding(a) | ||||
06/29/2026 | 1.608% | 2,930,000 | 2,525,058 | |
03/08/2027 | 3.205% | 1,430,000 | 1,274,713 | |
03/24/2028 | 2.500% | 1,910,000 | 1,623,901 | |
08/19/2028 | 1.985% | 4,380,000 | 3,574,831 | |
01/07/2029 | 2.717% | 320,000 | 269,130 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Athene Holding Ltd. | ||||
02/01/2033 | 6.650% | 4,055,000 | 4,163,427 | |
Brighthouse Financial Global Funding(a) | ||||
01/13/2025 | 1.750% | 3,210,000 | 2,958,054 | |
Brighthouse Financial, Inc.(a) | ||||
12/15/2023 | 1.200% | 4,580,000 | 4,413,657 | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 405,000 | 312,306 | |
CNO Global Funding(a) | ||||
01/06/2029 | 2.650% | 5,690,000 | 4,855,885 | |
Corebridge Financial, Inc.(a) | ||||
04/05/2032 | 3.900% | 1,461,000 | 1,278,814 | |
Corebridge Financial, Inc.(a),(k) | ||||
12/15/2052 | 6.875% | 1,943,000 | 1,914,264 | |
CoreBridge Financial, Inc.(a) | ||||
04/05/2029 | 3.850% | 2,215,000 | 1,996,815 | |
Equitable Financial Life Global Funding(a) | ||||
12/02/2025 | 5.500% | 4,165,000 | 4,144,618 | |
03/08/2028 | 1.800% | 1,525,000 | 1,280,110 | |
Equitable Holdings, Inc. | ||||
01/11/2033 | 5.594% | 3,280,000 | 3,250,306 | |
F&G Annuities & Life, Inc.(a) | ||||
01/13/2028 | 7.400% | 1,770,000 | 1,770,695 | |
F&G Global Funding(a) | ||||
07/07/2025 | 5.150% | 4,475,000 | 4,352,016 | |
09/20/2028 | 2.000% | 3,740,000 | 3,115,335 | |
GA Global Funding Trust(a) | ||||
12/08/2023 | 1.250% | 2,260,000 | 2,183,136 | |
01/06/2027 | 2.250% | 5,780,000 | 5,128,320 | |
Great-West Lifeco US Finance 2020 LP(a) | ||||
08/12/2025 | 0.904% | 4,190,000 | 3,725,958 | |
Hill City Funding Trust(a) | ||||
08/15/2041 | 4.046% | 2,750,000 | 1,955,166 | |
Jackson Financial, Inc. | ||||
11/23/2051 | 4.000% | 1,720,000 | 1,152,662 | |
Jackson National Life Global Funding(a) | ||||
01/12/2025 | 1.750% | 5,525,000 | 5,123,614 | |
Lincoln National Corp. | ||||
06/15/2040 | 7.000% | 930,000 | 1,005,138 | |
Metropolitan Life Global Funding I(a) | ||||
08/25/2029 | 4.300% | 4,965,000 | 4,708,608 | |
New York Life Global Funding(a) | ||||
01/09/2028 | 4.850% | 4,370,000 | 4,350,234 | |
08/01/2031 | 1.850% | 3,755,000 | 2,982,580 | |
01/28/2033 | 4.550% | 1,813,000 | 1,743,528 |
42 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 2,545,000 | 1,987,424 | |
Northwestern Mutual Global Funding(a) | ||||
06/01/2028 | 1.700% | 1,265,000 | 1,072,444 | |
Pine Street Trust II(a) | ||||
02/15/2049 | 5.568% | 1,890,000 | 1,691,493 | |
Principal Financial Group, Inc. | ||||
05/15/2023 | 3.125% | 667,000 | 663,606 | |
Protective Life Global Funding(a) | ||||
01/13/2025 | 1.646% | 4,430,000 | 4,099,553 | |
07/06/2027 | 4.714% | 5,445,000 | 5,271,807 | |
Prudential Financial, Inc.(k) | ||||
03/01/2053 | 6.750% | 5,325,000 | 5,351,734 | |
Reliance Standard Life Global Funding II(a) | ||||
09/19/2023 | 3.850% | 1,465,000 | 1,447,677 | |
05/07/2025 | 2.750% | 4,340,000 | 4,064,628 | |
RGA Global Funding(a) | ||||
01/18/2029 | 2.700% | 4,390,000 | 3,741,889 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 2,040,000 | 1,885,148 | |
05/15/2047 | 4.270% | 4,785,000 | 4,047,785 | |
05/15/2050 | 3.300% | 3,980,000 | 2,858,442 | |
Total | 124,519,413 | |||
Lodging 0.0% | ||||
Marriott International, Inc. | ||||
10/15/2032 | 3.500% | 3,400,000 | 2,878,697 | |
Media and Entertainment 0.4% | ||||
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 11,148,000 | 1,242,506 | |
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 1,063,000 | 851,599 | |
09/15/2055 | 4.000% | 1,298,000 | 836,143 | |
Gray Television, Inc.(a) | ||||
07/15/2026 | 5.875% | 900,000 | 816,013 | |
05/15/2027 | 7.000% | 1,460,000 | 1,321,430 | |
Interpublic Group of Companies, Inc. (The) | ||||
04/15/2024 | 4.200% | 333,000 | 326,630 | |
Magallanes, Inc.(a) | ||||
03/15/2027 | 3.755% | 2,401,000 | 2,202,706 | |
03/15/2032 | 4.279% | 125,000 | 107,944 | |
03/15/2042 | 5.050% | 6,975,000 | 5,646,101 | |
03/15/2052 | 5.141% | 15,832,000 | 12,441,194 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Meta Platforms, Inc. | ||||
08/15/2027 | 3.500% | 773,000 | 726,781 | |
08/15/2032 | 3.850% | 729,000 | 654,397 | |
08/15/2052 | 4.450% | 3,621,000 | 2,999,675 | |
08/15/2062 | 4.650% | 871,000 | 724,355 | |
Prosus NV(a) | ||||
01/19/2052 | 4.987% | 2,505,000 | 1,810,121 | |
Viacom, Inc. | ||||
03/15/2043 | 4.375% | 1,296,000 | 899,303 | |
09/01/2043 | 5.850% | 983,000 | 825,681 | |
04/01/2044 | 5.250% | 161,000 | 123,840 | |
ViacomCBS, Inc. | ||||
01/15/2031 | 4.950% | 1,468,000 | 1,313,463 | |
05/19/2050 | 4.950% | 1,464,000 | 1,084,170 | |
Walt Disney Co. (The) | ||||
03/15/2033 | 6.550% | 1,000,000 | 1,111,004 | |
Total | 38,065,056 | |||
Metals and Mining 0.3% | ||||
Anglo American Capital PLC(a) | ||||
03/17/2028 | 2.250% | 530,000 | 452,075 | |
ArcelorMittal SA | ||||
11/29/2027 | 6.550% | 3,070,000 | 3,147,620 | |
BHP Billiton Finance USA Ltd. | ||||
02/28/2033 | 4.900% | 1,869,000 | 1,861,238 | |
First Quantum Minerals Ltd.(a) | ||||
04/01/2025 | 7.500% | 2,800,000 | 2,718,998 | |
Freeport-McMoRan, Inc. | ||||
11/14/2034 | 5.400% | 5,000,000 | 4,724,690 | |
Glencore Funding LLC(a) | ||||
03/12/2024 | 4.125% | 1,375,000 | 1,353,905 | |
Kinross Gold Corp. | ||||
07/15/2027 | 4.500% | 1,239,000 | 1,181,179 | |
Newmont Corp. | ||||
10/01/2030 | 2.250% | 3,215,000 | 2,591,100 | |
Novelis Corp.(a) | ||||
01/30/2030 | 4.750% | 1,390,000 | 1,220,533 | |
Nucor Corp. | ||||
05/23/2027 | 4.300% | 690,000 | 669,088 | |
05/01/2028 | 3.950% | 1,500,000 | 1,418,390 | |
POSCO(a) | ||||
08/04/2027 | 4.500% | 650,000 | 628,373 | |
Rain CII Carbon LLC/Corp.(a) | ||||
04/01/2025 | 7.250% | 1,805,000 | 1,718,103 | |
Southern Copper Corp. | ||||
04/23/2025 | 3.875% | 600,000 | 580,631 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 43 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Steel Dynamics, Inc. | ||||
06/15/2025 | 2.400% | 491,000 | 458,212 | |
10/15/2027 | 1.650% | 747,000 | 629,974 | |
01/15/2031 | 3.250% | 1,510,000 | 1,307,169 | |
Teck Resources Ltd. | ||||
08/15/2040 | 6.000% | 669,000 | 652,663 | |
02/01/2043 | 5.400% | 574,000 | 522,499 | |
Total | 27,836,440 | |||
Midstream 1.1% | ||||
AmeriGas Partners LP/Finance Corp. | ||||
05/20/2024 | 5.625% | 2,500,000 | 2,444,645 | |
08/20/2026 | 5.875% | 2,300,000 | 2,168,848 | |
Colonial Enterprises, Inc.(a) | ||||
05/15/2030 | 3.250% | 3,505,000 | 3,063,637 | |
Colorado Interstate Gas Co. LLC/Issuing Corp.(a) | ||||
08/15/2026 | 4.150% | 2,290,000 | 2,168,027 | |
Crestwood Midstream Partners LP/Finance Corp.(a) | ||||
05/01/2027 | 5.625% | 2,595,000 | 2,397,801 | |
EIG Pearl Holdings Sarl(a) | ||||
08/31/2036 | 3.545% | 900,000 | 752,986 | |
Enbridge, Inc.(k) | ||||
07/15/2080 | 5.750% | 1,213,000 | 1,130,908 | |
01/15/2083 | 7.625% | 1,056,000 | 1,074,446 | |
Energy Transfer LP | ||||
02/15/2033 | 5.750% | 3,020,000 | 2,976,516 | |
Energy Transfer Operating LP | ||||
03/15/2023 | 4.250% | 1,890,000 | 1,889,410 | |
01/15/2024 | 5.875% | 2,481,000 | 2,482,754 | |
06/01/2027 | 5.500% | 988,000 | 981,820 | |
04/15/2047 | 5.300% | 1,338,000 | 1,136,267 | |
05/15/2050 | 5.000% | 3,530,000 | 2,898,516 | |
Energy Transfer Partners LP | ||||
03/15/2035 | 4.900% | 134,000 | 120,182 | |
06/15/2038 | 5.800% | 646,000 | 604,037 | |
10/01/2043 | 5.950% | 280,000 | 260,124 | |
03/15/2045 | 5.150% | 2,220,000 | 1,859,252 | |
Energy Transfer Partners LP/Regency Finance Corp. | ||||
11/01/2023 | 4.500% | 2,409,000 | 2,390,033 | |
Enterprise Products Operating LLC | ||||
02/15/2024 | 3.900% | 500,000 | 492,371 | |
05/15/2046 | 4.900% | 1,400,000 | 1,229,433 | |
Enterprise Products Operating LLC(b) | ||||
3-month USD LIBOR + 2.986% 08/16/2077 | 7.858% | 324,000 | 311,345 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2034 | 2.160% | 790,584 | 668,316 | |
09/30/2040 | 2.940% | 434,939 | 343,382 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Greensaif Pipelines Bidco Sarl(a) | ||||
02/23/2038 | 6.129% | 975,000 | 978,157 | |
02/23/2042 | 6.510% | 975,000 | 989,666 | |
Kinder Morgan Energy Partners LP | ||||
09/01/2024 | 4.250% | 482,000 | 472,837 | |
03/15/2032 | 7.750% | 635,000 | 702,072 | |
09/01/2039 | 6.500% | 1,000,000 | 1,018,629 | |
Kinder Morgan, Inc. | ||||
06/01/2033 | 5.200% | 6,083,000 | 5,792,359 | |
06/01/2045 | 5.550% | 578,000 | 523,757 | |
02/15/2046 | 5.050% | 171,000 | 144,320 | |
08/01/2052 | 5.450% | 817,000 | 728,536 | |
Magellan Midstream Partners LP | ||||
09/15/2046 | 4.250% | 320,000 | 246,117 | |
MPLX LP | ||||
12/01/2024 | 4.875% | 325,000 | 320,719 | |
06/01/2025 | 4.875% | 200,000 | 196,920 | |
03/01/2026 | 1.750% | 651,000 | 582,251 | |
03/15/2028 | 4.000% | 2,434,000 | 2,279,744 | |
03/01/2033 | 5.000% | 733,000 | 687,688 | |
03/01/2047 | 5.200% | 1,771,000 | 1,533,502 | |
12/01/2047 | 5.200% | 520,000 | 447,468 | |
04/15/2048 | 4.700% | 808,000 | 650,563 | |
02/15/2049 | 5.500% | 921,000 | 824,631 | |
NGPL PipeCo LLC(a) | ||||
08/15/2027 | 4.875% | 412,000 | 393,333 | |
Northern Natural Gas Co.(a) | ||||
10/16/2051 | 3.400% | 496,000 | 345,325 | |
ONEOK Partners LP | ||||
02/01/2041 | 6.125% | 274,000 | 264,543 | |
09/15/2043 | 6.200% | 721,000 | 696,808 | |
ONEOK, Inc. | ||||
01/15/2026 | 5.850% | 504,000 | 508,090 | |
03/15/2030 | 3.100% | 292,000 | 247,610 | |
07/13/2047 | 4.950% | 2,050,000 | 1,681,305 | |
03/15/2050 | 4.500% | 6,830,000 | 5,204,506 | |
01/15/2051 | 7.150% | 1,035,000 | 1,084,370 | |
Plains All American Pipeline LP/Finance Corp. | ||||
10/15/2025 | 4.650% | 1,807,000 | 1,764,606 | |
12/15/2029 | 3.550% | 620,000 | 538,431 | |
09/15/2030 | 3.800% | 650,000 | 565,923 | |
06/01/2042 | 5.150% | 2,185,000 | 1,794,843 | |
06/15/2044 | 4.700% | 659,000 | 509,255 | |
02/15/2045 | 4.900% | 395,000 | 311,644 | |
Rockies Express Pipeline LLC(a) | ||||
07/15/2029 | 4.950% | 2,435,000 | 2,117,815 | |
05/15/2030 | 4.800% | 1,500,000 | 1,298,899 | |
Sabine Pass Liquefaction LLC | ||||
03/15/2027 | 5.000% | 2,472,000 | 2,412,711 | |
03/15/2028 | 4.200% | 177,000 | 166,250 | |
05/15/2030 | 4.500% | 3,055,000 | 2,861,007 |
44 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Southern Natural Gas Co. LLC | ||||
02/15/2031 | 7.350% | 2,910,000 | 3,087,427 | |
Sunoco Logistics Partners Operations LP | ||||
04/01/2044 | 5.300% | 1,239,000 | 1,063,558 | |
05/15/2045 | 5.350% | 25,000 | 21,327 | |
10/01/2047 | 5.400% | 4,041,000 | 3,476,546 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
10/01/2025 | 7.500% | 1,875,000 | 1,867,392 | |
01/15/2028 | 5.500% | 142,000 | 127,748 | |
Targa Resources Corp. | ||||
07/01/2052 | 6.250% | 383,000 | 364,783 | |
02/15/2053 | 6.500% | 5,230,000 | 5,146,376 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2031 | 4.875% | 1,302,000 | 1,184,523 | |
Transcontinental Gas Pipe Line Co. LLC | ||||
05/15/2030 | 3.250% | 242,000 | 210,484 | |
03/15/2048 | 4.600% | 4,875,000 | 4,170,399 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 1,500,000 | 1,280,958 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 750,000 | 647,868 | |
Western Gas Partners LP | ||||
03/01/2048 | 5.300% | 2,930,000 | 2,418,020 | |
Williams Companies, Inc. (The) | ||||
01/15/2025 | 3.900% | 1,050,000 | 1,018,598 | |
09/15/2025 | 4.000% | 2,327,000 | 2,243,434 | |
Williams Companies., Inc. (The)(c) | ||||
03/02/2026 | 5.400% | 3,250,000 | 3,251,079 | |
Williams Cos, Inc. (The) | ||||
08/15/2052 | 5.300% | 2,550,000 | 2,304,279 | |
Williams Partners LP | ||||
03/04/2024 | 4.300% | 2,787,000 | 2,751,818 | |
03/04/2044 | 5.400% | 341,000 | 314,385 | |
Total | 116,683,268 | |||
Natural Gas 0.3% | ||||
Boston Gas Co.(a) | ||||
08/01/2027 | 3.150% | 1,472,000 | 1,326,870 | |
CenterPoint Energy Resources Corp. | ||||
03/01/2033 | 5.400% | 8,828,000 | 8,939,014 | |
KeySpan Corp. | ||||
11/15/2030 | 8.000% | 670,000 | 736,792 | |
NiSource, Inc. | ||||
02/15/2031 | 1.700% | 605,000 | 461,123 | |
ONE Gas, Inc. | ||||
03/11/2024 | 1.100% | 696,000 | 665,430 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sempra Energy | ||||
04/01/2029 | 3.700% | 1,875,000 | 1,703,851 | |
02/01/2038 | 3.800% | 933,000 | 766,466 | |
02/01/2048 | 4.000% | 1,148,000 | 889,912 | |
Sempra Energy(k) | ||||
04/01/2052 | 4.125% | 5,768,000 | 4,886,898 | |
South Jersey Industries, Inc. | ||||
Junior Subordinated | ||||
04/15/2031 | 5.020% | 1,769,000 | 1,450,243 | |
Southern Co. Gas Capital Corp. | ||||
09/15/2032 | 5.150% | 5,715,000 | 5,584,574 | |
03/15/2041 | 5.875% | 1,940,000 | 1,960,449 | |
05/30/2047 | 4.400% | 443,000 | 358,731 | |
Southwest Gas Corp. | ||||
03/15/2032 | 4.050% | 302,000 | 269,654 | |
08/15/2051 | 3.180% | 2,930,000 | 1,875,613 | |
Washington Gas Light Co. | ||||
09/15/2049 | 3.650% | 587,000 | 439,449 | |
Total | 32,315,069 | |||
Office REIT 0.2% | ||||
Alexandria Real Estate Equities, Inc. | ||||
04/15/2035 | 4.750% | 540,000 | 510,619 | |
04/15/2053 | 5.150% | 343,000 | 318,177 | |
Hudson Pacific Properties LP | ||||
11/01/2027 | 3.950% | 2,725,000 | 2,355,984 | |
02/15/2028 | 5.950% | 5,720,000 | 5,443,987 | |
01/15/2030 | 3.250% | 345,000 | 259,962 | |
Kilroy Realty LP | ||||
11/15/2033 | 2.650% | 1,875,000 | 1,288,586 | |
Office Properties Income Trust | ||||
02/01/2025 | 4.500% | 1,270,000 | 1,172,374 | |
02/01/2027 | 2.400% | 1,455,000 | 1,075,643 | |
10/15/2031 | 3.450% | 3,195,000 | 2,129,815 | |
Piedmont Operating Partnership LP | ||||
08/15/2030 | 3.150% | 1,675,000 | 1,280,126 | |
04/01/2032 | 2.750% | 2,339,000 | 1,652,083 | |
Total | 17,487,356 | |||
Oil Field Services 0.0% | ||||
Schlumberger Holdings Corp.(a) | ||||
05/17/2028 | 3.900% | 2,053,000 | 1,930,035 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 905,937 | 883,618 | |
Total | 2,813,653 | |||
Other Financial Institutions 0.2% | ||||
Five Point Operating Co. LP/Capital Corp.(a) | ||||
11/15/2025 | 7.875% | 2,350,000 | 2,127,091 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 45 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Greystar Real Estate Partners LLC(a) | ||||
12/01/2025 | 5.750% | 2,175,000 | 2,148,410 | |
Greystone Commercial Capital Trust(a),(b),(d),(e) | ||||
1-month USD LIBOR + 2.270% 05/31/2025 | 6.871% | 9,200,000 | 8,878,000 | |
Howard Hughes Corp. (The)(a) | ||||
08/01/2028 | 5.375% | 500,000 | 453,003 | |
02/01/2031 | 4.375% | 750,000 | 610,763 | |
LeasePlan Corp NV(a) | ||||
10/24/2024 | 2.875% | 3,440,000 | 3,249,759 | |
Nationstar Mortgage Holdings Inc.(a) | ||||
08/15/2028 | 5.500% | 1,050,000 | 893,087 | |
Nationstar Mortgage Holdings, Inc.(a) | ||||
12/15/2030 | 5.125% | 800,000 | 618,709 | |
ORIX Corp. | ||||
12/04/2024 | 3.250% | 1,560,000 | 1,501,282 | |
09/13/2032 | 5.200% | 2,815,000 | 2,795,082 | |
Total | 23,275,186 | |||
Other Industry 0.2% | ||||
AECOM | ||||
03/15/2027 | 5.125% | 710,000 | 680,495 | |
CK Hutchison International 21 Ltd.(a) | ||||
04/15/2031 | 2.500% | 1,675,000 | 1,397,504 | |
Gohl Capital Ltd.(a) | ||||
01/24/2027 | 4.250% | 1,050,000 | 936,589 | |
Massachusetts Institute of Technology | ||||
07/01/2114 | 4.678% | 1,768,000 | 1,602,938 | |
07/01/2116 | 3.885% | 1,850,000 | 1,393,698 | |
Northwestern University | ||||
12/01/2057 | 3.662% | 1,350,000 | 1,098,139 | |
PowerTeam Services LLC(a) | ||||
12/04/2025 | 9.033% | 594,000 | 510,628 | |
President and Fellows of Harvard College | ||||
07/15/2046 | 3.150% | 3,031,000 | 2,352,315 | |
07/15/2056 | 3.300% | 2,230,000 | 1,716,356 | |
Trustees of the University of Pennsylvania (The) | ||||
09/01/2112 | 4.674% | 1,620,000 | 1,427,816 | |
University of Southern California | ||||
10/01/2039 | 3.028% | 4,525,000 | 3,629,689 | |
Total | 16,746,167 | |||
Other REIT 0.2% | ||||
American Assets Trust LP | ||||
02/01/2031 | 3.375% | 3,115,000 | 2,462,684 | |
CubeSmart LP | ||||
12/15/2028 | 2.250% | 2,804,000 | 2,347,506 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Extra Space Storage LP | ||||
04/01/2029 | 3.900% | 563,000 | 511,873 | |
03/15/2032 | 2.350% | 3,369,000 | 2,578,589 | |
Host Hotels & Resorts LP | ||||
06/15/2025 | 4.000% | 1,050,000 | 1,021,490 | |
02/01/2026 | 4.500% | 520,000 | 502,893 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
06/15/2029 | 4.750% | 1,745,000 | 1,425,148 | |
Life Storage LP | ||||
12/15/2027 | 3.875% | 160,000 | 148,765 | |
06/15/2029 | 4.000% | 570,000 | 519,718 | |
10/15/2030 | 2.200% | 936,000 | 746,754 | |
10/15/2031 | 2.400% | 670,000 | 531,174 | |
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) | ||||
06/01/2025 | 7.500% | 2,150,000 | 2,160,850 | |
Prologis LP | ||||
01/15/2032 | 2.250% | 588,000 | 471,428 | |
Public Storage | ||||
11/09/2028 | 1.950% | 472,000 | 400,729 | |
Rexford Industrial Realty LP | ||||
09/01/2031 | 2.150% | 1,092,000 | 843,204 | |
WP Carey, Inc. | ||||
04/01/2033 | 2.250% | 4,080,000 | 3,067,701 | |
Total | 19,740,506 | |||
Packaging 0.2% | ||||
Amcor Flexibles North America, Inc. | ||||
05/17/2025 | 4.000% | 2,085,000 | 2,014,020 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2027 | 5.250% | 3,000,000 | 2,468,266 | |
Ball Corp. | ||||
03/15/2026 | 4.875% | 600,000 | 581,810 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 1,680,000 | 1,608,230 | |
Berry Global, Inc. | ||||
02/15/2024 | 0.950% | 805,000 | 768,432 | |
01/15/2026 | 1.570% | 3,405,000 | 3,037,149 | |
01/15/2027 | 1.650% | 1,163,000 | 999,173 | |
Pactiv Evergreen Group Issuer LLC/Inc.(a) | ||||
10/15/2028 | 4.375% | 1,475,000 | 1,271,066 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
10/15/2027 | 4.000% | 1,000,000 | 871,689 | |
Sealed Air Corp.(a) | ||||
10/15/2026 | 1.573% | 857,000 | 740,599 | |
02/01/2028 | 6.125% | 225,000 | 221,566 | |
04/15/2029 | 5.000% | 1,555,000 | 1,430,684 | |
Silgan Holdings, Inc. | ||||
02/01/2028 | 4.125% | 1,470,000 | 1,344,263 |
46 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Trivium Packaging Finance BV(a) | ||||
08/15/2027 | 8.500% | 280,000 | 266,256 | |
Total | 17,623,203 | |||
Paper 0.0% | ||||
Cascades, Inc./USA(a) | ||||
01/15/2028 | 5.375% | 1,315,000 | 1,192,218 | |
Celulosa Arauco y Constitucion SA | ||||
11/02/2027 | 3.875% | 700,000 | 643,665 | |
Celulosa Arauco y Constitucion SA(a) | ||||
04/30/2029 | 4.250% | 500,000 | 455,209 | |
Inversiones CMPC SA(a) | ||||
04/04/2027 | 4.375% | 600,000 | 567,487 | |
Suzano Austria GmbH | ||||
01/15/2029 | 6.000% | 275,000 | 270,751 | |
01/15/2030 | 5.000% | 825,000 | 759,193 | |
01/15/2031 | 3.750% | 1,000,000 | 846,629 | |
Total | 4,735,152 | |||
Pharmaceuticals 1.2% | ||||
AbbVie, Inc. | ||||
11/21/2026 | 2.950% | 838,000 | 773,179 | |
03/15/2035 | 4.550% | 4,650,000 | 4,323,345 | |
05/14/2035 | 4.500% | 2,175,000 | 2,017,130 | |
05/14/2036 | 4.300% | 1,926,000 | 1,730,058 | |
11/21/2039 | 4.050% | 7,095,000 | 5,998,185 | |
10/01/2042 | 4.625% | 1,000,000 | 884,645 | |
11/06/2042 | 4.400% | 1,143,000 | 991,390 | |
05/14/2045 | 4.700% | 2,329,000 | 2,063,352 | |
05/14/2046 | 4.450% | 511,000 | 437,472 | |
11/21/2049 | 4.250% | 4,453,000 | 3,705,864 | |
Amgen, Inc.(c) | ||||
03/02/2033 | 5.250% | 4,001,000 | 3,971,300 | |
03/02/2043 | 5.600% | 11,084,000 | 10,949,858 | |
03/02/2053 | 5.650% | 9,295,000 | 9,218,500 | |
03/02/2063 | 5.750% | 1,057,000 | 1,042,396 | |
Amgen, Inc. | ||||
01/15/2052 | 3.000% | 4,360,000 | 2,790,165 | |
Astrazeneca Finance LLC(c) | ||||
03/03/2030 | 4.900% | 7,802,000 | 7,770,012 | |
03/03/2033 | 4.875% | 819,000 | 816,756 | |
Bausch Health Companies, Inc.(a) | ||||
01/30/2028 | 5.000% | 1,100,000 | 479,164 | |
02/15/2029 | 5.000% | 100,000 | 43,446 | |
02/15/2029 | 6.250% | 3,475,000 | 1,500,709 | |
01/30/2030 | 5.250% | 1,200,000 | 517,566 | |
02/15/2031 | 5.250% | 1,200,000 | 525,430 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bayer US Finance II LLC(a) | ||||
07/15/2024 | 3.375% | 3,555,000 | 3,452,703 | |
12/15/2025 | 4.250% | 1,445,000 | 1,397,112 | |
12/15/2028 | 4.375% | 5,945,000 | 5,595,742 | |
07/15/2034 | 4.200% | 844,000 | 730,562 | |
06/25/2038 | 4.625% | 1,000,000 | 872,155 | |
07/15/2044 | 4.400% | 2,799,000 | 2,239,817 | |
06/25/2048 | 4.875% | 3,505,000 | 3,042,211 | |
Bayer US Finance LLC(a) | ||||
10/08/2024 | 3.375% | 520,000 | 503,713 | |
Bristol Myers Squibb Co. | ||||
06/15/2039 | 4.125% | 1,346,000 | 1,202,231 | |
03/15/2052 | 3.700% | 744,000 | 587,094 | |
Bristol-Myers Squibb Co. | ||||
08/15/2025 | 3.875% | 74,000 | 71,397 | |
05/15/2044 | 4.625% | 555,000 | 513,517 | |
11/15/2047 | 4.350% | 2,060,000 | 1,813,625 | |
CSL Finance PLC(a) | ||||
04/27/2029 | 4.050% | 926,000 | 864,450 | |
04/27/2032 | 4.250% | 657,000 | 615,246 | |
04/27/2042 | 4.625% | 540,000 | 490,571 | |
04/27/2052 | 4.750% | 945,000 | 856,604 | |
04/27/2062 | 4.950% | 402,000 | 373,158 | |
Eli Lilly & Co. | ||||
02/27/2053 | 4.875% | 6,040,000 | 6,023,175 | |
02/27/2063 | 4.950% | 710,000 | 705,785 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 1,732,000 | 1,479,618 | |
Jazz Securities DAC(a) | ||||
01/15/2029 | 4.375% | 963,000 | 853,206 | |
Johnson & Johnson | ||||
12/05/2033 | 4.375% | 1,975,000 | 1,951,193 | |
03/03/2037 | 3.625% | 2,280,000 | 2,015,041 | |
01/15/2038 | 3.400% | 2,790,000 | 2,372,793 | |
03/01/2046 | 3.700% | 409,000 | 344,033 | |
Merck & Co., Inc. | ||||
12/10/2051 | 2.750% | 538,000 | 359,048 | |
12/10/2061 | 2.900% | 538,000 | 345,045 | |
Mylan NV | ||||
06/15/2046 | 5.250% | 1,122,000 | 875,098 | |
Mylan, Inc. | ||||
04/15/2048 | 5.200% | 4,263,000 | 3,252,260 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 1,550,000 | 1,367,570 | |
Roche Holdings, Inc.(a) | ||||
12/13/2051 | 2.607% | 840,000 | 552,167 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 47 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Royalty Pharma PLC | ||||
09/02/2025 | 1.200% | 385,000 | 344,560 | |
09/02/2027 | 1.750% | 489,000 | 414,076 | |
09/02/2030 | 2.200% | 3,075,000 | 2,410,459 | |
09/02/2050 | 3.550% | 1,642,000 | 1,068,192 | |
Shire Acquisitions Investments Ireland DAC | ||||
09/23/2023 | 2.875% | 1,050,000 | 1,034,006 | |
Viatris, Inc. | ||||
06/22/2030 | 2.700% | 1,117,000 | 885,392 | |
06/22/2040 | 3.850% | 6,447,000 | 4,399,834 | |
06/22/2050 | 4.000% | 2,401,000 | 1,547,711 | |
Total | 122,372,092 | |||
Property & Casualty 0.6% | ||||
Alleghany Corp. | ||||
05/15/2030 | 3.625% | 722,000 | 668,635 | |
09/15/2044 | 4.900% | 38,000 | 35,629 | |
08/15/2051 | 3.250% | 1,153,000 | 824,920 | |
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 6.750% | 300,000 | 272,731 | |
Allstate Corp. (The) | ||||
12/15/2030 | 1.450% | 673,000 | 515,706 | |
American International Group, Inc. | ||||
04/01/2026 | 3.900% | 165,000 | 158,307 | |
Aon Corp./Global Holdings PLC | ||||
12/02/2031 | 2.600% | 4,495,000 | 3,666,814 | |
02/28/2033 | 5.350% | 4,743,000 | 4,739,886 | |
Arch Capital Finance LLC | ||||
12/15/2046 | 5.031% | 970,000 | 860,959 | |
Arthur J. Gallagher & Co. | ||||
03/09/2052 | 3.050% | 6,725,000 | 4,353,823 | |
Arthur J. Gallagher & Co.(c) | ||||
03/02/2053 | 5.750% | 846,000 | 840,228 | |
Assurant, Inc. | ||||
09/27/2023 | 4.200% | 1,770,000 | 1,749,420 | |
02/22/2030 | 3.700% | 1,174,000 | 1,014,222 | |
Berkshire Hathaway Finance Corp. | ||||
03/15/2052 | 3.850% | 994,000 | 801,737 | |
Berkshire Hathaway, Inc. | ||||
03/15/2026 | 3.125% | 4,674,000 | 4,464,762 | |
Chubb INA Holdings, Inc. | ||||
09/15/2030 | 1.375% | 1,192,000 | 924,793 | |
CNA Financial Corp. | ||||
08/15/2027 | 3.450% | 3,828,000 | 3,547,691 | |
Fairfax Financial Holdings Ltd. | ||||
03/03/2031 | 3.375% | 6,300,000 | 5,149,445 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Farmers Exchange Capital(a) | ||||
Subordinated | ||||
07/15/2028 | 7.050% | 800,000 | 822,926 | |
07/15/2048 | 7.200% | 1,290,000 | 1,392,797 | |
Farmers Exchange Capital II(a),(k) | ||||
Subordinated | ||||
11/01/2053 | 6.151% | 2,700,000 | 2,645,742 | |
Farmers Insurance Exchange(a) | ||||
05/01/2024 | 8.625% | 1,165,000 | 1,187,430 | |
Hartford Financial Services Group Inc. (The)(a),(b) | ||||
3-month USD LIBOR + 2.125% 02/12/2047 | 6.989% | 2,265,000 | 1,964,619 | |
Hartford Financial Services Group, Inc. (The) | ||||
10/15/2036 | 5.950% | 283,000 | 291,040 | |
Intact Financial Corp.(a) | ||||
09/22/2032 | 5.459% | 2,573,000 | 2,541,370 | |
Liberty Mutual Group, Inc.(a) | ||||
06/15/2023 | 4.250% | 275,000 | 273,743 | |
10/15/2050 | 3.951% | 2,080,000 | 1,512,407 | |
06/15/2052 | 5.500% | 588,000 | 548,517 | |
Markel Corp. | ||||
05/20/2049 | 5.000% | 5,095,000 | 4,566,305 | |
Nationwide Mutual Insurance Co.(a),(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 2.290% 12/15/2024 | 7.059% | 5,725,000 | 5,728,338 | |
Old Republic International Corp. | ||||
06/11/2051 | 3.850% | 1,403,000 | 1,003,778 | |
PartnerRe Finance B LLC(k) | ||||
10/01/2050 | 4.500% | 2,078,000 | 1,865,768 | |
Trustage Financial Group, Inc.(a) | ||||
04/15/2032 | 4.625% | 2,135,000 | 1,898,018 | |
Willis North America, Inc. | ||||
09/15/2029 | 2.950% | 2,000,000 | 1,708,920 | |
WR Berkley Corp. | ||||
05/12/2050 | 4.000% | 1,480,000 | 1,158,196 | |
XLIT Ltd. | ||||
03/31/2045 | 5.500% | 629,000 | 615,153 | |
Total | 66,314,775 | |||
Railroads 0.1% | ||||
Burlington Northern Santa Fe LLC | ||||
03/15/2043 | 4.450% | 304,000 | 270,938 | |
09/01/2043 | 5.150% | 953,000 | 934,439 | |
08/01/2046 | 3.900% | 711,000 | 575,281 | |
01/15/2053 | 4.450% | 2,519,000 | 2,241,670 |
48 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSX Corp. | ||||
05/30/2042 | 4.750% | 482,000 | 438,296 | |
11/15/2052 | 4.500% | 341,000 | 295,903 | |
08/01/2054 | 4.500% | 231,000 | 197,302 | |
11/01/2066 | 4.250% | 2,355,000 | 1,868,041 | |
Kansas City Southern | ||||
05/01/2050 | 3.500% | 3,280,000 | 2,385,561 | |
Norfolk Southern Corp. | ||||
05/15/2121 | 4.100% | 372,000 | 254,039 | |
Union Pacific Corp. | ||||
02/14/2042 | 3.375% | 1,500,000 | 1,179,693 | |
10/01/2051 | 3.799% | 946,000 | 752,396 | |
02/14/2053 | 3.500% | 1,760,000 | 1,317,071 | |
01/20/2063 | 5.150% | 635,000 | 610,201 | |
Total | 13,320,831 | |||
Refining 0.0% | ||||
Marathon Petroleum Corp. | ||||
12/15/2026 | 5.125% | 578,000 | 574,754 | |
09/15/2044 | 4.750% | 487,000 | 406,457 | |
09/15/2054 | 5.000% | 266,000 | 224,275 | |
Phillips 66 Co.(a) | ||||
02/15/2045 | 4.680% | 1,300,000 | 1,137,382 | |
Valero Energy Corp. | ||||
12/01/2031 | 2.800% | 3,235,000 | 2,629,238 | |
Total | 4,972,106 | |||
Restaurants 0.0% | ||||
Brinker International, Inc.(a) | ||||
10/01/2024 | 5.000% | 1,850,000 | 1,804,936 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2029 | 4.625% | 1,500,000 | 1,298,150 | |
01/15/2030 | 6.750% | 300,000 | 248,583 | |
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 910,000 | 685,774 | |
Starbucks Corp. | ||||
02/15/2033 | 4.800% | 1,320,000 | 1,279,473 | |
Total | 5,316,916 | |||
Retail REIT 0.1% | ||||
Brixmor Operating Partnership LP | ||||
08/16/2031 | 2.500% | 915,000 | 709,817 | |
Kimco Realty Corp. | ||||
02/01/2033 | 4.600% | 3,780,000 | 3,470,797 | |
Kite Realty Group LP | ||||
10/01/2026 | 4.000% | 320,000 | 296,274 | |
Realty Income Corp. | ||||
06/01/2026 | 4.875% | 664,000 | 657,683 | |
08/15/2027 | 3.950% | 193,000 | 183,803 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Simon Property Group LP | ||||
02/01/2028 | 1.750% | 348,000 | 297,395 | |
09/13/2029 | 2.450% | 375,000 | 314,522 | |
Total | 5,930,291 | |||
Retailers 0.5% | ||||
Alimentation Couche-Tard, Inc.(a) | ||||
07/26/2027 | 3.550% | 1,275,000 | 1,181,479 | |
Amazon.com, Inc. | ||||
12/01/2027 | 4.550% | 1,107,000 | 1,094,899 | |
05/12/2031 | 2.100% | 1,485,000 | 1,220,372 | |
04/13/2032 | 3.600% | 1,046,000 | 956,963 | |
12/01/2032 | 4.700% | 1,145,000 | 1,131,345 | |
05/12/2041 | 2.875% | 1,777,000 | 1,323,060 | |
04/13/2062 | 4.100% | 799,000 | 660,987 | |
Asbury Automotive Group, Inc. | ||||
03/01/2030 | 4.750% | 1,535,000 | 1,328,178 | |
AutoNation, Inc. | ||||
11/15/2024 | 3.500% | 2,185,000 | 2,105,088 | |
10/01/2025 | 4.500% | 2,465,000 | 2,396,073 | |
AutoZone, Inc. | ||||
04/21/2026 | 3.125% | 415,000 | 388,926 | |
01/15/2031 | 1.650% | 1,175,000 | 905,409 | |
02/01/2033 | 4.750% | 2,197,000 | 2,081,890 | |
Dick’s Sporting Goods, Inc. | ||||
01/15/2052 | 4.100% | 2,690,000 | 1,780,849 | |
Gap Inc. (The)(a) | ||||
10/01/2029 | 3.625% | 1,550,000 | 1,139,934 | |
Gap, Inc. (The)(a) | ||||
10/01/2031 | 3.875% | 1,750,000 | 1,250,632 | |
Hanesbrands, Inc.(a) | ||||
05/15/2026 | 4.875% | 1,475,000 | 1,361,646 | |
Home Depot, Inc. (The) | ||||
04/15/2052 | 3.625% | 386,000 | 296,828 | |
09/15/2052 | 4.950% | 1,542,000 | 1,480,744 | |
Kontoor Brands, Inc.(a) | ||||
11/15/2029 | 4.125% | 475,000 | 401,073 | |
L Brands, Inc. | ||||
07/01/2036 | 6.750% | 1,495,000 | 1,292,108 | |
Lowe’s Companies, Inc. | ||||
04/01/2052 | 4.250% | 944,000 | 742,991 | |
04/01/2062 | 4.450% | 539,000 | 420,846 | |
Magic MergeCo, Inc.(a) | ||||
05/01/2029 | 7.875% | 1,400,000 | 1,060,406 | |
Rent-A-Center, Inc.(a) | ||||
02/15/2029 | 6.375% | 300,000 | 256,032 | |
Sally Holdings LLC/Capital, Inc. | ||||
12/01/2025 | 5.625% | 2,000,000 | 1,950,721 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 49 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sonic Automotive Inc.(a) | ||||
11/15/2031 | 4.875% | 1,620,000 | 1,289,862 | |
Target Corp. | ||||
09/15/2032 | 4.500% | 1,238,000 | 1,188,916 | |
01/15/2033 | 4.400% | 1,130,000 | 1,071,025 | |
01/15/2052 | 2.950% | 526,000 | 358,337 | |
01/15/2053 | 4.800% | 5,360,000 | 5,003,161 | |
Tractor Supply Co. | ||||
11/01/2030 | 1.750% | 3,885,000 | 2,991,310 | |
Walgreens Boots Alliance Inc. | ||||
11/17/2023 | 0.950% | 5,730,000 | 5,551,755 | |
Walmart, Inc. | ||||
09/09/2052 | 4.500% | 818,000 | 771,233 | |
Total | 48,435,078 | |||
Supermarkets 0.1% | ||||
Ahold Finance U.S.A. LLC | ||||
05/01/2029 | 6.875% | 1,800,000 | 1,889,831 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2029 | 3.500% | 1,520,000 | 1,289,607 | |
C&S Group Enterprises LLC(a) | ||||
12/15/2028 | 5.000% | 2,700,000 | 2,079,372 | |
InRetail Consumer(a) | ||||
03/22/2028 | 3.250% | 350,000 | 296,644 | |
Total | 5,555,454 | |||
Supranational 0.1% | ||||
Inter-American Development Bank | ||||
10/15/2025 | 6.800% | 2,500,000 | 2,611,434 | |
07/15/2027 | 6.750% | 4,000,000 | 4,292,305 | |
International Bank for Reconstruction & Development(i) | ||||
09/17/2030 | 0.000% | 1,550,000 | 1,103,292 | |
Total | 8,007,031 | |||
Technology 1.8% | ||||
Advanced Micro Devices, Inc. | ||||
06/01/2032 | 3.924% | 1,784,000 | 1,652,604 | |
06/01/2052 | 4.393% | 2,361,000 | 2,098,267 | |
Apple, Inc. | ||||
02/08/2031 | 1.650% | 285,000 | 228,403 | |
05/11/2050 | 2.650% | 5,095,000 | 3,423,968 | |
08/08/2052 | 3.950% | 644,000 | 548,612 | |
08/05/2061 | 2.850% | 560,000 | 364,208 | |
08/08/2062 | 4.100% | 351,000 | 296,867 | |
Avnet, Inc. | ||||
06/01/2032 | 5.500% | 2,876,000 | 2,734,756 | |
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 1,500,000 | 1,311,926 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Boxer Parent Co., Inc.(a) | ||||
03/01/2026 | 9.125% | 2,500,000 | 2,442,099 | |
Broadcom, Inc. | ||||
10/15/2024 | 3.625% | 320,000 | 310,419 | |
Broadcom, Inc.(a) | ||||
04/15/2029 | 4.000% | 2,765,000 | 2,503,573 | |
04/15/2034 | 3.469% | 1,400,000 | 1,108,892 | |
11/15/2035 | 3.137% | 5,511,000 | 4,066,015 | |
11/15/2036 | 3.187% | 6,720,000 | 4,867,625 | |
05/15/2037 | 4.926% | 1,555,000 | 1,352,061 | |
CDW LLC/Finance Corp. | ||||
05/01/2025 | 4.125% | 2,500,000 | 2,396,998 | |
12/01/2028 | 3.276% | 5,270,000 | 4,546,369 | |
CommScope, Inc.(a) | ||||
09/01/2029 | 4.750% | 1,500,000 | 1,222,870 | |
Corning, Inc. | ||||
11/15/2079 | 5.450% | 438,000 | 386,701 | |
Dell International LLC/EMC Corp. | ||||
06/15/2026 | 6.020% | 870,000 | 880,025 | |
02/01/2028 | 5.250% | 5,720,000 | 5,625,796 | |
02/01/2033 | 5.750% | 1,393,000 | 1,355,619 | |
DXC Technology Co. | ||||
09/15/2028 | 2.375% | 5,845,000 | 4,892,361 | |
Fidelity National Information Services, Inc. | ||||
03/01/2041 | 3.100% | 2,890,000 | 1,992,310 | |
07/15/2052 | 5.625% | 2,635,000 | 2,462,229 | |
Fiserv, Inc. | ||||
07/01/2024 | 2.750% | 699,000 | 672,959 | |
Fiserv, Inc.(c) | ||||
03/02/2033 | 5.600% | 4,518,000 | 4,512,125 | |
Flex Ltd. | ||||
01/15/2028 | 6.000% | 2,560,000 | 2,573,734 | |
Global Payments, Inc. | ||||
11/15/2024 | 1.500% | 3,215,000 | 2,992,526 | |
02/15/2025 | 2.650% | 447,000 | 421,809 | |
03/01/2026 | 1.200% | 2,536,000 | 2,217,883 | |
08/15/2052 | 5.950% | 3,440,000 | 3,174,418 | |
HP, Inc. | ||||
06/17/2031 | 2.650% | 2,225,000 | 1,746,141 | |
Infor, Inc.(a) | ||||
07/15/2023 | 1.450% | 2,020,000 | 1,982,256 | |
Intel Corp. | ||||
08/05/2027 | 3.750% | 749,000 | 711,709 | |
02/10/2030 | 5.125% | 1,202,000 | 1,187,272 | |
02/10/2033 | 5.200% | 740,000 | 726,053 | |
08/12/2041 | 2.800% | 1,687,000 | 1,148,326 | |
02/10/2043 | 5.625% | 321,000 | 313,371 | |
11/15/2049 | 3.250% | 721,000 | 482,300 | |
02/10/2053 | 5.700% | 6,036,000 | 5,899,928 | |
02/15/2060 | 3.100% | 527,000 | 322,149 |
50 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
08/12/2061 | 3.200% | 671,000 | 416,716 | |
02/10/2063 | 5.900% | 3,049,000 | 3,000,848 | |
International Business Machines Corp. | ||||
07/27/2027 | 4.150% | 1,118,000 | 1,080,672 | |
02/06/2028 | 4.500% | 5,380,000 | 5,237,357 | |
05/15/2029 | 3.500% | 928,000 | 846,473 | |
07/27/2032 | 4.400% | 914,000 | 855,251 | |
02/06/2033 | 4.750% | 572,000 | 547,254 | |
02/09/2052 | 3.430% | 306,000 | 213,794 | |
07/27/2052 | 4.900% | 873,000 | 786,661 | |
KLA Corp. | ||||
07/15/2052 | 4.950% | 690,000 | 651,188 | |
07/15/2062 | 5.250% | 895,000 | 855,897 | |
Kyndryl Holdings, Inc. | ||||
10/15/2026 | 2.050% | 1,440,000 | 1,238,296 | |
10/15/2028 | 2.700% | 903,000 | 738,732 | |
10/15/2031 | 3.150% | 721,000 | 537,926 | |
Leidos, Inc. | ||||
02/15/2031 | 2.300% | 845,000 | 660,087 | |
Marvell Technology, Inc. | ||||
06/22/2023 | 4.200% | 3,740,000 | 3,722,031 | |
Microchip Technology, Inc. | ||||
09/01/2023 | 2.670% | 5,040,000 | 4,963,218 | |
02/15/2024 | 0.972% | 345,000 | 329,683 | |
Micron Technology, Inc. | ||||
11/01/2029 | 6.750% | 8,340,000 | 8,601,847 | |
Microsoft Corp. | ||||
03/17/2052 | 2.921% | 2,813,000 | 2,028,934 | |
03/17/2062 | 3.041% | 4,290,000 | 3,004,195 | |
NCR Corp.(a) | ||||
04/15/2029 | 5.125% | 1,650,000 | 1,409,057 | |
10/01/2030 | 5.250% | 325,000 | 271,950 | |
NetApp, Inc. | ||||
06/22/2025 | 1.875% | 1,845,000 | 1,699,681 | |
NXP BV/Funding LLC | ||||
03/01/2026 | 5.350% | 1,056,000 | 1,045,526 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 342,000 | 296,289 | |
11/30/2051 | 3.250% | 600,000 | 379,091 | |
Open Text Corp.(a) | ||||
12/01/2027 | 6.900% | 650,000 | 660,151 | |
Open Text Holdings, Inc.(a) | ||||
12/01/2031 | 4.125% | 1,645,000 | 1,309,086 | |
Oracle Corp. | ||||
11/15/2027 | 3.250% | 2,409,000 | 2,204,070 | |
03/25/2028 | 2.300% | 903,000 | 783,465 | |
11/09/2029 | 6.150% | 997,000 | 1,031,886 | |
03/25/2031 | 2.875% | 1,620,000 | 1,342,071 | |
11/09/2032 | 6.250% | 3,200,000 | 3,331,191 | |
11/15/2037 | 3.800% | 3,892,000 | 3,076,375 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
03/25/2041 | 3.650% | 2,929,000 | 2,157,799 | |
11/15/2047 | 4.000% | 938,000 | 686,950 | |
04/01/2050 | 3.600% | 4,551,000 | 3,086,133 | |
03/25/2051 | 3.950% | 3,048,000 | 2,187,185 | |
11/09/2052 | 6.900% | 677,000 | 729,753 | |
02/06/2053 | 5.550% | 3,583,000 | 3,276,867 | |
PayPal Holdings, Inc. | ||||
10/01/2026 | 2.650% | 964,000 | 890,282 | |
10/01/2029 | 2.850% | 204,000 | 177,068 | |
06/01/2030 | 2.300% | 1,435,000 | 1,182,356 | |
06/01/2052 | 5.050% | 520,000 | 474,471 | |
06/01/2062 | 5.250% | 3,394,000 | 3,105,570 | |
Qorvo, Inc.(a) | ||||
12/15/2024 | 1.750% | 1,200,000 | 1,112,460 | |
QUALCOMM, Inc. | ||||
05/20/2053 | 6.000% | 1,863,000 | 2,008,452 | |
S&P Global, Inc.(a) | ||||
03/01/2029 | 2.700% | 1,348,000 | 1,183,551 | |
03/01/2032 | 2.900% | 1,549,000 | 1,323,641 | |
03/01/2052 | 3.700% | 2,150,000 | 1,700,822 | |
S&P Global, Inc. | ||||
08/15/2030 | 1.250% | 592,000 | 457,743 | |
Salesforce.com, Inc. | ||||
07/15/2041 | 2.700% | 584,000 | 412,710 | |
Seagate HDD(a) | ||||
12/01/2032 | 9.625% | 776,475 | 851,916 | |
Seagate HDD Cayman | ||||
03/01/2024 | 4.875% | 2,305,000 | 2,267,629 | |
Sensata Technologies, Inc.(a) | ||||
02/15/2031 | 3.750% | 1,600,000 | 1,341,741 | |
TD SYNNEX Corp. | ||||
08/09/2026 | 1.750% | 314,000 | 270,291 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 1,550,000 | 1,534,857 | |
Tencent Holdings Ltd.(a) | ||||
04/22/2051 | 3.840% | 2,760,000 | 1,986,892 | |
Texas Instruments, Inc. | ||||
08/16/2032 | 3.650% | 696,000 | 639,944 | |
08/16/2052 | 4.100% | 372,000 | 332,880 | |
Trimble, Inc.(c) | ||||
03/15/2033 | 6.100% | 2,480,000 | 2,472,076 | |
VMware, Inc. | ||||
08/15/2026 | 1.400% | 1,441,000 | 1,243,525 | |
Western Union Co. (The) | ||||
06/09/2023 | 4.250% | 3,050,000 | 3,035,592 | |
03/15/2026 | 1.350% | 140,000 | 123,047 | |
Total | 187,567,684 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 51 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tobacco 0.5% | ||||
Altria Group, Inc. | ||||
05/06/2030 | 3.400% | 1,280,000 | 1,102,197 | |
02/04/2032 | 2.450% | 1,153,000 | 870,071 | |
02/04/2041 | 3.400% | 3,910,000 | 2,619,211 | |
09/16/2046 | 3.875% | 308,000 | 205,950 | |
02/04/2051 | 3.700% | 1,852,000 | 1,174,854 | |
BAT Capital Corp. | ||||
08/15/2027 | 3.557% | 1,548,000 | 1,410,719 | |
03/25/2028 | 2.259% | 3,280,000 | 2,749,570 | |
03/25/2031 | 2.726% | 2,253,000 | 1,758,695 | |
08/15/2037 | 4.390% | 1,409,000 | 1,093,231 | |
09/25/2040 | 3.734% | 562,000 | 384,336 | |
08/15/2047 | 4.540% | 5,800,000 | 4,160,204 | |
03/16/2052 | 5.650% | 2,800,000 | 2,352,587 | |
BAT International Finance PLC | ||||
03/16/2028 | 4.448% | 8,000,000 | 7,479,009 | |
Imperial Brands Finance PLC(a) | ||||
07/26/2024 | 3.125% | 2,000,000 | 1,920,584 | |
07/21/2025 | 4.250% | 2,000,000 | 1,922,714 | |
Philip Morris International, Inc. | ||||
02/15/2028 | 4.875% | 1,501,000 | 1,469,728 | |
02/15/2030 | 5.125% | 4,175,000 | 4,086,493 | |
02/15/2033 | 5.375% | 1,502,000 | 1,476,853 | |
Reynolds American, Inc. | ||||
06/12/2025 | 4.450% | 1,325,000 | 1,289,643 | |
08/15/2035 | 5.700% | 1,045,000 | 950,434 | |
08/04/2041 | 7.000% | 1,127,000 | 1,122,601 | |
09/15/2043 | 6.150% | 501,000 | 458,215 | |
08/15/2045 | 5.850% | 4,327,000 | 3,718,224 | |
Vector Group Ltd.(a) | ||||
02/01/2029 | 5.750% | 3,250,000 | 2,816,731 | |
Total | 48,592,854 | |||
Transportation Services 0.4% | ||||
Element Fleet Management Corp.(a) | ||||
06/15/2025 | 3.850% | 2,795,000 | 2,649,157 | |
ERAC USA Finance LLC(a) | ||||
11/01/2025 | 3.800% | 2,500,000 | 2,381,925 | |
12/01/2026 | 3.300% | 3,435,000 | 3,170,178 | |
03/15/2042 | 5.625% | 1,689,000 | 1,662,397 | |
11/01/2046 | 4.200% | 1,041,000 | 853,328 | |
FedEx Corp. Pass-Through Trust | ||||
Series 2020-1 Class AA | ||||
02/20/2034 | 1.875% | 638,477 | 523,405 | |
Penske Truck Leasing Co. LP/Finance Corp.(a) | ||||
11/15/2025 | 1.200% | 842,000 | 745,026 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.(a) | ||||
06/15/2026 | 1.700% | 1,236,000 | 1,085,287 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Penske Truck Leasing Co., LP/Finance Corp.(a) | ||||
08/01/2023 | 4.125% | 5,245,000 | 5,210,722 | |
07/15/2025 | 4.000% | 905,000 | 865,972 | |
Ryder System, Inc. | ||||
06/01/2025 | 4.625% | 2,395,000 | 2,339,659 | |
03/01/2028 | 5.650% | 7,480,000 | 7,484,023 | |
Triton Container International Ltd.(a) | ||||
04/15/2026 | 2.050% | 617,000 | 540,194 | |
06/15/2031 | 3.150% | 558,000 | 437,196 | |
TTX Co.(a) | ||||
01/15/2025 | 3.600% | 1,620,000 | 1,559,042 | |
12/01/2052 | 5.650% | 415,000 | 432,127 | |
United Parcel Service, Inc. | ||||
03/03/2053 | 5.050% | 5,335,000 | 5,271,921 | |
Total | 37,211,559 | |||
Treasury 0.1% | ||||
Romanian Government International Bond(a) | ||||
05/25/2034 | 6.000% | 5,488,000 | 5,346,380 | |
Wireless 0.7% | ||||
American Tower Corp. | ||||
02/15/2024 | 5.000% | 665,000 | 660,898 | |
03/15/2027 | 3.650% | 684,000 | 637,223 | |
American Tower Corp.(c) | ||||
03/15/2033 | 5.650% | 3,500,000 | 3,484,040 | |
Crown Castle International Corp. | ||||
07/15/2026 | 1.050% | 401,000 | 346,924 | |
03/15/2027 | 2.900% | 684,000 | 621,549 | |
04/01/2041 | 2.900% | 1,652,000 | 1,123,099 | |
Digicel Group 0.5 Ltd.(a),(l) | ||||
04/01/2025 | 8.000% | 103,826 | 25,957 | |
Digicel Holdings Bermuda Ltd./International Finance Ltd.(a) | ||||
05/25/2024 | 8.750% | 700,000 | 606,132 | |
Digicel International Finance Ltd./Holdings(a),(l) | ||||
12/31/2025 | 13.000% | 860,640 | 430,322 | |
Digicel International Finance Ltd./Holdings(a) | ||||
Subordinated | ||||
12/31/2026 | 8.000% | 500,000 | 220,000 | |
Digicel International Finance Ltd./Holdings Bermuda Ltd.(a) | ||||
05/25/2024 | 8.750% | 2,425,000 | 2,104,644 | |
Digicel Ltd.(a) | ||||
06/01/2023 | 6.750% | 1,300,000 | 507,001 | |
Millicom International Cellular SA(a) | ||||
04/27/2031 | 4.500% | 500,000 | 403,500 | |
SK Telecom Co., Ltd.(a) | ||||
04/16/2023 | 3.750% | 2,490,000 | 2,484,695 | |
Sprint Capital Corp. | ||||
03/15/2032 | 8.750% | 275,000 | 327,255 |
52 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sprint Corp. | ||||
09/15/2023 | 7.875% | 3,000,000 | 3,029,232 | |
06/15/2024 | 7.125% | 5,225,000 | 5,292,012 | |
Sprint Spectrum Co. I/II/III LLC(a) | ||||
03/20/2025 | 4.738% | 5,048,437 | 4,986,824 | |
03/20/2028 | 5.152% | 8,275,000 | 8,174,058 | |
T-Mobile US, Inc. | ||||
02/15/2026 | 2.250% | 99,000 | 90,107 | |
04/15/2027 | 3.750% | 3,514,000 | 3,304,180 | |
02/01/2028 | 4.750% | 961,000 | 931,012 | |
02/15/2028 | 2.050% | 1,548,000 | 1,329,212 | |
02/15/2029 | 2.625% | 597,000 | 508,686 | |
04/15/2029 | 3.375% | 3,200,000 | 2,831,074 | |
04/15/2030 | 3.875% | 7,131,000 | 6,467,919 | |
02/15/2031 | 2.550% | 2,165,000 | 1,765,427 | |
04/15/2031 | 3.500% | 1,692,000 | 1,465,692 | |
04/15/2040 | 4.375% | 4,308,000 | 3,661,897 | |
02/15/2041 | 3.000% | 4,844,000 | 3,379,116 | |
04/15/2050 | 4.500% | 332,000 | 275,755 | |
09/15/2062 | 5.800% | 1,266,000 | 1,238,572 | |
Vmed O2 UK Financing I PLC(a) | ||||
07/15/2031 | 4.750% | 3,290,000 | 2,713,103 | |
Vodafone Group PLC | ||||
06/19/2049 | 4.875% | 3,150,000 | 2,728,136 | |
02/10/2053 | 5.625% | 359,000 | 345,025 | |
02/10/2063 | 5.750% | 749,000 | 711,463 | |
Total | 69,211,741 | |||
Wirelines 0.5% | ||||
AT&T, Inc. | ||||
12/01/2033 | 2.550% | 3,840,000 | 2,939,850 | |
05/15/2035 | 4.500% | 759,000 | 682,238 | |
03/01/2037 | 5.250% | 2,205,000 | 2,123,755 | |
08/15/2037 | 4.900% | 584,000 | 536,079 | |
03/01/2039 | 4.850% | 1,086,000 | 975,478 | |
06/01/2041 | 3.500% | 659,000 | 494,477 | |
05/15/2046 | 4.750% | 2,220,000 | 1,907,233 | |
09/15/2053 | 3.500% | 8,582,000 | 5,891,788 | |
09/15/2055 | 3.550% | 4,271,000 | 2,895,842 | |
12/01/2057 | 3.800% | 2,257,000 | 1,584,309 | |
09/15/2059 | 3.650% | 5,008,000 | 3,390,768 | |
C&W Senior Financing DAC(a) | ||||
09/15/2027 | 6.875% | 385,000 | 348,117 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 1,500,000 | 1,152,072 | |
Frontier Communications Corp.(a) | ||||
05/01/2028 | 5.000% | 269,000 | 236,070 | |
GCI LLC(a) | ||||
10/15/2028 | 4.750% | 1,480,000 | 1,268,514 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 550,000 | 514,594 | |
10/15/2028 | 7.000% | 500,000 | 461,710 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Level 3 Financing, Inc.(a) | ||||
03/01/2027 | 3.400% | 1,925,000 | 1,621,515 | |
11/15/2029 | 3.875% | 1,264,000 | 958,381 | |
Qwest Corp. | ||||
09/15/2025 | 7.250% | 3,978,000 | 3,937,947 | |
Telecom Italia Capital SA | ||||
06/04/2038 | 7.721% | 1,550,000 | 1,410,451 | |
Total Play Telecomunicaciones SA de CV(a) | ||||
09/20/2028 | 6.375% | 1,270,000 | 979,173 | |
Verizon Communications, Inc. | ||||
02/15/2025 | 3.376% | 2,527,000 | 2,440,732 | |
12/03/2029 | 4.016% | 530,000 | 489,455 | |
03/15/2032 | 2.355% | 8,256,000 | 6,486,495 | |
08/10/2033 | 4.500% | 1,192,000 | 1,106,318 | |
11/01/2034 | 4.400% | 3,565,000 | 3,242,499 | |
03/22/2041 | 3.400% | 2,127,000 | 1,604,113 | |
11/01/2041 | 4.750% | 1,061,000 | 968,038 | |
03/22/2061 | 3.700% | 922,000 | 648,540 | |
Total | 53,296,551 | |||
Total Corporate Bonds & Notes (Cost $3,683,313,474) | 3,317,468,110 | |||
Foreign Government Obligations(m),(n) 1.6% | ||||
Australia 0.0% | ||||
NBN Co., Ltd.(a) | ||||
05/05/2026 | 1.450% | 581,000 | 514,415 | |
01/08/2027 | 1.625% | 1,230,000 | 1,070,736 | |
Total | 1,585,151 | |||
Azerbaijan 0.0% | ||||
Southern Gas Corridor CJSC(a) | ||||
03/24/2026 | 6.875% | 450,000 | 458,750 | |
Bermuda 0.0% | ||||
Bermuda Government International Bond(a) | ||||
08/20/2030 | 2.375% | 1,105,000 | 919,392 | |
Brazil 0.0% | ||||
Brazil Minas SPE via State of Minas Gerais(a) | ||||
02/15/2028 | 5.333% | 1,450,000 | 1,422,366 | |
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 800,000 | 690,402 | |
Total | 2,112,768 | |||
Canada 0.0% | ||||
Province of British Columbia | ||||
09/01/2036 | 7.250% | 2,000,000 | 2,543,338 | |
Province of Manitoba | ||||
06/22/2026 | 2.125% | 300,000 | 276,378 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 53 |
February 28, 2023 (Unaudited)
Foreign Government Obligations(m),(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Province of Quebec(k) | ||||
03/02/2026 | 7.485% | 230,000 | 245,900 | |
Total | 3,065,616 | |||
Chile 0.0% | ||||
Chile Government International Bond | ||||
01/31/2031 | 2.450% | 700,000 | 584,039 | |
01/27/2032 | 2.550% | 1,298,000 | 1,064,502 | |
Corporación Nacional del Cobre de Chile(a) | ||||
11/04/2044 | 4.875% | 200,000 | 179,092 | |
Empresa Nacional del Petroleo(a) | ||||
08/05/2026 | 3.750% | 750,000 | 696,038 | |
11/06/2029 | 5.250% | 450,000 | 427,757 | |
Total | 2,951,428 | |||
Colombia 0.1% | ||||
Colombia Government International Bond | ||||
01/28/2026 | 4.500% | 700,000 | 660,118 | |
03/15/2029 | 4.500% | 250,000 | 214,833 | |
01/30/2030 | 3.000% | 1,305,000 | 986,577 | |
04/20/2033 | 8.000% | 200,000 | 198,277 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 2,000,000 | 1,783,474 | |
01/13/2033 | 8.875% | 3,568,000 | 3,503,830 | |
Total | 7,347,109 | |||
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
01/27/2025 | 5.500% | 100,000 | 98,416 | |
01/27/2025 | 5.500% | 100,000 | 98,416 | |
07/19/2028 | 6.000% | 1,400,000 | 1,351,253 | |
07/19/2028 | 6.000% | 275,000 | 265,425 | |
02/22/2029 | 5.500% | 2,655,000 | 2,468,638 | |
02/22/2029 | 5.500% | 161,000 | 149,699 | |
01/30/2030 | 4.500% | 628,000 | 540,741 | |
09/23/2032 | 4.875% | 750,000 | 629,302 | |
Total | 5,601,890 | |||
Egypt 0.0% | ||||
Egypt Government International Bond(a) | ||||
10/06/2025 | 5.250% | 850,000 | 735,291 | |
03/01/2029 | 7.600% | 300,000 | 235,634 | |
Total | 970,925 | |||
France 0.0% | ||||
Dexia Credit Local SA(a) | ||||
09/26/2023 | 3.250% | 1,500,000 | 1,482,403 | |
Hungary 0.0% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 1,400,000 | 1,076,156 |
Foreign Government Obligations(m),(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
India 0.1% | ||||
Export-Import Bank of India(a) | ||||
08/05/2026 | 3.375% | 860,000 | 801,610 | |
02/01/2028 | 3.875% | 1,025,000 | 947,901 | |
01/13/2031 | 2.250% | 1,030,000 | 814,753 | |
Indian Railway Finance Corp., Ltd.(a) | ||||
01/21/2032 | 3.570% | 1,110,000 | 946,375 | |
Power Finance Corp., Ltd.(a) | ||||
12/06/2028 | 6.150% | 546,000 | 547,256 | |
Total | 4,057,895 | |||
Indonesia 0.2% | ||||
Freeport Indonesia PT(a) | ||||
04/14/2032 | 5.315% | 1,045,000 | 970,265 | |
Indonesia Government International Bond | ||||
02/14/2030 | 2.850% | 560,000 | 495,488 | |
Indonesia Government International Bond(a) | ||||
01/17/2038 | 7.750% | 1,000,000 | 1,227,787 | |
07/18/2047 | 4.750% | 1,000,000 | 933,784 | |
Lembaga Pembiayaan Ekspor Indonesia(a) | ||||
04/06/2024 | 3.875% | 1,450,000 | 1,421,027 | |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
06/23/2030 | 2.800% | 1,000,000 | 877,329 | |
PT Pertamina Persero(a) | ||||
08/25/2030 | 3.100% | 1,424,000 | 1,223,386 | |
02/09/2031 | 2.300% | 1,200,000 | 966,916 | |
05/20/2043 | 5.625% | 250,000 | 234,545 | |
PT Perusahaan Listrik Negara(a) | ||||
05/15/2027 | 4.125% | 5,000,000 | 4,752,006 | |
05/21/2028 | 5.450% | 2,000,000 | 1,983,753 | |
05/21/2028 | 5.450% | 500,000 | 495,938 | |
01/25/2029 | 5.375% | 200,000 | 197,278 | |
06/30/2030 | 3.000% | 750,000 | 628,177 | |
Total | 16,407,679 | |||
Israel 0.0% | ||||
Israel Electric Corp., Ltd.(a) | ||||
08/14/2028 | 4.250% | 2,200,000 | 2,054,299 | |
Italy 0.1% | ||||
Republic of Italy Government International Bond | ||||
10/17/2029 | 2.875% | 1,700,000 | 1,435,942 | |
06/15/2033 | 5.375% | 8,270,000 | 8,104,909 | |
Total | 9,540,851 | |||
Japan 0.0% | ||||
Japan Bank for International Cooperation | ||||
05/23/2024 | 2.500% | 600,000 | 579,283 |
54 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Foreign Government Obligations(m),(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Japan Finance Organization for Municipalities(a) | ||||
03/12/2024 | 3.000% | 400,000 | 390,090 | |
Total | 969,373 | |||
Kazakhstan 0.0% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2025 | 4.750% | 950,000 | 921,449 | |
04/19/2027 | 4.750% | 300,000 | 276,421 | |
04/24/2030 | 5.375% | 962,000 | 868,106 | |
KazTransGas JSC(a) | ||||
09/26/2027 | 4.375% | 200,000 | 180,664 | |
Total | 2,246,640 | |||
Malaysia 0.1% | ||||
Misc Capital Two Labuan Ltd.(a) | ||||
04/06/2027 | 3.750% | 3,700,000 | 3,432,846 | |
Marshall Islands 0.0% | ||||
Nakilat, Inc.(a) | ||||
12/31/2033 | 6.067% | 1,038,067 | 1,082,405 | |
Mexico 0.4% | ||||
Comision Federal de Electricidad(a) | ||||
05/15/2029 | 4.688% | 3,647,000 | 3,263,213 | |
Mexico City Airport Trust(a) | ||||
10/31/2026 | 4.250% | 1,435,000 | 1,340,283 | |
07/31/2047 | 5.500% | 2,150,000 | 1,603,542 | |
Mexico Government International Bond | ||||
04/22/2029 | 4.500% | 1,500,000 | 1,425,500 | |
05/24/2031 | 2.659% | 2,368,000 | 1,913,359 | |
05/19/2033 | 4.875% | 4,145,000 | 3,859,984 | |
08/14/2041 | 4.280% | 350,000 | 280,438 | |
05/24/2061 | 3.771% | 550,000 | 363,708 | |
04/19/2071 | 3.750% | 750,000 | 488,066 | |
Pemex Project Funding Master Trust | ||||
06/15/2038 | 6.625% | 50,000 | 34,871 | |
Petroleos Mexicanos | ||||
03/13/2027 | 6.500% | 13,777,000 | 12,531,398 | |
02/12/2028 | 5.350% | 276,000 | 233,487 | |
01/23/2029 | 6.500% | 625,000 | 542,102 | |
01/28/2031 | 5.950% | 3,025,000 | 2,317,638 | |
02/16/2032 | 6.700% | 3,848,000 | 3,055,720 | |
06/15/2035 | 6.625% | 900,000 | 662,481 | |
01/23/2045 | 6.375% | 940,000 | 596,362 | |
01/23/2046 | 5.625% | 300,000 | 177,620 | |
09/21/2047 | 6.750% | 5,817,000 | 3,771,725 | |
01/23/2050 | 7.690% | 1,503,000 | 1,062,133 | |
01/28/2060 | 6.950% | 800,000 | 514,464 | |
Total | 40,038,094 |
Foreign Government Obligations(m),(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Morocco 0.0% | ||||
Morocco Government International Bond(a) | ||||
12/15/2027 | 2.375% | 1,300,000 | 1,108,838 | |
12/15/2050 | 4.000% | 350,000 | 225,087 | |
OCP SA(a) | ||||
06/23/2031 | 3.750% | 350,000 | 280,859 | |
Total | 1,614,784 | |||
Netherlands 0.0% | ||||
Equate Petrochemical BV(a) | ||||
04/28/2028 | 2.625% | 700,000 | 613,401 | |
Norway 0.0% | ||||
Equinor ASA | ||||
04/06/2030 | 3.125% | 826,000 | 743,299 | |
Oman 0.0% | ||||
Oman Government International Bond(a) | ||||
01/17/2028 | 5.625% | 600,000 | 589,377 | |
10/28/2032 | 7.375% | 1,325,000 | 1,449,268 | |
Total | 2,038,645 | |||
Panama 0.0% | ||||
Banco Nacional de Panama(a) | ||||
08/11/2030 | 2.500% | 875,000 | 697,745 | |
08/11/2030 | 2.500% | 600,000 | 478,453 | |
Panama Government International Bond | ||||
03/16/2025 | 3.750% | 200,000 | 193,572 | |
01/23/2030 | 3.160% | 1,575,000 | 1,356,151 | |
09/29/2032 | 2.252% | 200,000 | 148,927 | |
01/19/2033 | 3.298% | 650,000 | 528,592 | |
Total | 3,403,440 | |||
Peru 0.1% | ||||
Corporación Financiera de Desarrollo SA(a) | ||||
09/28/2027 | 2.400% | 600,000 | 513,772 | |
Peruvian Government International Bond | ||||
08/25/2027 | 4.125% | 412,000 | 398,705 | |
06/20/2030 | 2.844% | 990,000 | 837,477 | |
01/23/2031 | 2.783% | 620,000 | 511,811 | |
12/01/2032 | 1.862% | 925,000 | 672,959 | |
03/14/2037 | 6.550% | 1,785,000 | 1,904,433 | |
12/01/2060 | 2.780% | 600,000 | 348,008 | |
Petroleos del Peru SA(a) | ||||
06/19/2032 | 4.750% | 2,100,000 | 1,613,393 | |
Total | 6,800,558 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 55 |
February 28, 2023 (Unaudited)
Foreign Government Obligations(m),(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Philippines 0.0% | ||||
Philippine Government International Bond | ||||
01/15/2032 | 6.375% | 400,000 | 432,652 | |
10/23/2034 | 6.375% | 275,000 | 299,912 | |
Total | 732,564 | |||
Poland 0.0% | ||||
Republic of Poland Government International Bond | ||||
11/16/2032 | 5.750% | 159,000 | 166,707 | |
Qatar 0.0% | ||||
Qatar Energy(a) | ||||
07/12/2031 | 2.250% | 500,000 | 410,988 | |
Qatar Government International Bond(a) | ||||
04/23/2048 | 5.103% | 1,910,000 | 1,893,647 | |
Total | 2,304,635 | |||
Romania 0.0% | ||||
Romanian Government International Bond(a) | ||||
02/14/2031 | 3.000% | 2,100,000 | 1,700,593 | |
12/02/2040 | 2.625% | EUR | 500,000 | 299,650 |
Total | 2,000,243 | |||
Russian Federation 0.0% | ||||
Russian Foreign Bond - Eurobond(a),(o) | ||||
06/23/2027 | 0.000% | 800,000 | 334,094 | |
Saudi Arabia 0.0% | ||||
Saudi Government International Bond(a) | ||||
10/22/2030 | 3.250% | 505,000 | 455,114 | |
02/02/2061 | 3.450% | 575,000 | 398,697 | |
Total | 853,811 | |||
Serbia 0.1% | ||||
Serbia International Bond(a) | ||||
12/01/2030 | 2.125% | 6,640,000 | 4,915,126 | |
09/26/2033 | 6.500% | 3,000,000 | 2,921,363 | |
Total | 7,836,489 | |||
South Africa 0.1% | ||||
Eskom Holdings SOC Ltd.(a) | ||||
08/06/2023 | 6.750% | 200,000 | 199,115 | |
02/11/2025 | 7.125% | 950,000 | 933,074 | |
Republic of South Africa Government International Bond | ||||
10/12/2028 | 4.300% | 995,000 | 883,679 | |
09/30/2029 | 4.850% | 3,475,000 | 3,069,279 | |
South Africa Government International Bond | ||||
01/17/2024 | 4.665% | 1,100,000 | 1,085,176 |
Foreign Government Obligations(m),(n) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Transnet SOC Ltd.(a) | ||||
02/06/2028 | 8.250% | 255,000 | 255,743 | |
Total | 6,426,066 | |||
Turkey 0.0% | ||||
Turkey Government International Bond | ||||
03/23/2023 | 3.250% | 1,080,000 | 1,079,540 | |
Ukraine 0.0% | ||||
Ukraine Government International Bond(a) | ||||
09/01/2024 | 7.750% | 2,410,000 | 559,033 | |
02/01/2026 | 8.994% | 1,000,000 | 189,942 | |
09/01/2027 | 7.750% | 3,050,000 | 552,959 | |
11/01/2030 | 9.750% | 3,850,000 | 732,075 | |
Total | 2,034,009 | |||
United Arab Emirates 0.0% | ||||
DP World Crescent Ltd.(a) | ||||
09/26/2028 | 4.848% | 740,000 | 728,602 | |
DP World Ltd.(a) | ||||
07/02/2037 | 6.850% | 300,000 | 333,496 | |
Total | 1,062,098 | |||
United States 0.1% | ||||
Antares Holdings LP(a) | ||||
01/15/2027 | 2.750% | 746,000 | 616,790 | |
07/15/2027 | 3.750% | 4,605,000 | 3,873,733 | |
BOC Aviation USA Corp.(a) | ||||
04/29/2024 | 1.625% | 2,015,000 | 1,925,108 | |
Citgo Holding, Inc.(a) | ||||
08/01/2024 | 9.250% | 25,000 | 25,086 | |
DAE Funding LLC(a) | ||||
08/01/2024 | 1.550% | 1,910,000 | 1,788,448 | |
Total | 8,229,165 | |||
Uruguay 0.0% | ||||
Uruguay Government International Bond | ||||
04/20/2055 | 4.975% | 1,000,000 | 960,638 | |
Virgin Islands 0.1% | ||||
1MDB Global Investments Ltd(a) | ||||
03/09/2023 | 4.400% | 2,800,000 | 2,791,959 | |
Sinopec Group Overseas Development Ltd.(a) | ||||
04/28/2025 | 3.250% | 400,000 | 383,171 | |
04/28/2025 | 3.250% | 300,000 | 287,378 | |
Total | 3,462,508 | |||
Total Foreign Government Obligations (Cost $189,392,834) | 160,098,364 | |||
56 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Inflation-Indexed Bonds 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United States 0.1% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
07/15/2032 | 0.625% | 7,351,808 | 6,794,377 | |
Total Inflation-Indexed Bonds (Cost $6,835,399) | 6,794,377 | |||
Municipal Bonds 0.4% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Higher Education 0.1% | ||||
University of California | ||||
Refunding Revenue Bonds | ||||
Taxable General | ||||
Series 2017AX | ||||
07/01/2025 | 3.063% | 5,700,000 | 5,461,795 | |
University of Michigan | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2022A | ||||
04/01/2122 | 4.454% | 4,020,000 | 3,411,793 | |
University of Virginia | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2021B | ||||
11/01/2051 | 2.584% | 2,020,000 | 1,347,650 | |
Revenue Bonds | ||||
Taxable | ||||
Series 2017C | ||||
09/01/2117 | 4.179% | 725,000 | 584,616 | |
Total | 10,805,854 | |||
Hospital 0.1% | ||||
California Health Facilities Financing Authority | ||||
Refunding Revenue Bonds | ||||
Cedars-Sinai Health System | ||||
Series 2021 | ||||
08/15/2051 | 3.000% | 1,785,000 | 1,275,924 | |
Regents of the University of California Medical Center | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2020N | ||||
05/15/2060 | 3.256% | 5,650,000 | 3,911,782 | |
Total | 5,187,706 | |||
Local General Obligation 0.1% | ||||
City of New York | ||||
Unlimited General Obligation Bonds | ||||
Series 2010 (BAM) | ||||
03/01/2036 | 5.968% | 3,100,000 | 3,334,384 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2021D | ||||
08/01/2030 | 1.823% | 515,000 | 416,291 | |
Los Angeles Unified School District | ||||
Unlimited General Obligation Bonds | ||||
Taxable Build America Bonds | ||||
Series 2009 | ||||
07/01/2034 | 5.750% | 1,560,000 | 1,641,445 | |
Total | 5,392,120 | |||
Sales Tax 0.0% | ||||
Puerto Rico Sales Tax Financing Corp.(p) | ||||
Revenue Bonds | ||||
Series 2019A1 | ||||
07/01/2058 | 5.000% | 2,740,000 | 2,535,322 | |
Special Non Property Tax 0.1% | ||||
New York City Transitional Finance Authority | ||||
Refunding Revenue Bonds | ||||
Future Tax Secured | ||||
Subordinated Series 2020B-3 | ||||
08/01/2035 | 2.000% | 3,000,000 | 2,148,578 | |
Revenue Bonds | ||||
Future Tax Secured | ||||
Subordinated Series 2020D-3 | ||||
11/01/2032 | 2.400% | 1,045,000 | 833,031 | |
New York State Dormitory Authority | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020F | ||||
02/15/2032 | 2.957% | 1,250,000 | 1,072,222 | |
State of Illinois | ||||
Revenue Bonds | ||||
Taxable Sales Tax | ||||
Series 2013 | ||||
06/15/2028 | 3.350% | 2,500,000 | 2,291,359 | |
Total | 6,345,190 | |||
Transportation 0.0% | ||||
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Taxable Green Bonds | ||||
Series 2020C-2 | ||||
11/15/2049 | 5.175% | 810,000 | 730,753 | |
Turnpike / Bridge / Toll Road 0.0% | ||||
Bay Area Toll Authority | ||||
Revenue Bonds | ||||
Series 2009 (BAM) | ||||
04/01/2049 | 6.263% | 1,920,000 | 2,288,935 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 57 |
February 28, 2023 (Unaudited)
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Pennsylvania Turnpike Commission | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
12/01/2039 | 6.105% | 1,620,000 | 1,836,532 | |
Texas Private Activity Bond Surface Transportation Corp. | ||||
Revenue Bonds | ||||
Taxable North Tarrant Express Managed Lanes Project | ||||
Series 2019 | ||||
12/31/2049 | 3.922% | 875,000 | 683,952 | |
Total | 4,809,419 | |||
Water & Sewer 0.0% | ||||
City of San Francisco Public Utilities Commission Water | ||||
Refunding Revenue Bonds | ||||
Taxable Green Bonds | ||||
11/01/2041 | 2.825% | 2,510,000 | 1,953,048 | |
Total Municipal Bonds (Cost $45,047,318) | 37,759,412 | |||
Residential Mortgage-Backed Securities - Agency(q) 25.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae REMICS | ||||
CMO Series 2011-84 Class Z | ||||
09/25/2041 | 5.250% | 1,142,258 | 1,156,135 | |
Federal Home Loan Mortgage Corp. | ||||
08/01/2024- 02/01/2025 | 8.000% | 2,355 | 2,363 | |
10/01/2028- 07/01/2032 | 7.000% | 102,679 | 104,927 | |
03/01/2031- 03/01/2052 | 3.000% | 66,420,778 | 59,088,668 | |
10/01/2031- 07/01/2037 | 6.000% | 362,917 | 378,274 | |
04/01/2033- 11/01/2052 | 5.500% | 14,743,332 | 14,749,821 | |
05/01/2033- 06/01/2052 | 3.500% | 74,891,931 | 69,174,155 | |
10/01/2039- 06/01/2052 | 5.000% | 7,240,326 | 7,136,891 | |
09/01/2040- 04/01/2049 | 4.000% | 13,376,506 | 12,861,809 | |
09/01/2040- 06/01/2052 | 4.500% | 10,388,089 | 10,073,466 | |
06/01/2050- 04/01/2052 | 2.500% | 231,204,572 | 196,526,634 | |
05/01/2051- 04/01/2052 | 2.000% | 46,086,806 | 37,611,134 | |
CMO Series 2060 Class Z | ||||
05/15/2028 | 6.500% | 53,270 | 54,297 | |
CMO Series 2310 Class Z | ||||
04/15/2031 | 6.000% | 51,043 | 52,263 |
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2725 Class TA | ||||
12/15/2033 | 4.500% | 1,525,000 | 1,501,005 | |
CMO Series 2882 Class ZC | ||||
11/15/2034 | 6.000% | 2,779,303 | 2,770,585 | |
CMO Series 2953 Class LZ | ||||
03/15/2035 | 6.000% | 2,564,146 | 2,643,339 | |
CMO Series 3028 Class ZE | ||||
09/15/2035 | 5.500% | 148,228 | 131,745 | |
CMO Series 3032 Class PZ | ||||
09/15/2035 | 5.800% | 356,120 | 376,295 | |
CMO Series 3071 Class ZP | ||||
11/15/2035 | 5.500% | 7,782,201 | 7,986,956 | |
CMO Series 3121 Class EZ | ||||
03/15/2036 | 6.000% | 91,794 | 94,052 | |
CMO Series 3181 Class AZ | ||||
07/15/2036 | 6.500% | 30,778 | 32,177 | |
CMO Series 353 Class 300 | ||||
12/15/2046 | 3.000% | 5,858,650 | 5,321,472 | |
CMO Series 3740 Class BA | ||||
10/15/2040 | 4.000% | 1,142,669 | 1,081,688 | |
CMO Series 3747 Class HY | ||||
10/15/2040 | 4.500% | 2,991,000 | 2,949,582 | |
CMO Series 3753 Class KZ | ||||
11/15/2040 | 4.500% | 5,729,511 | 5,635,479 | |
CMO Series 3769 Class ZC | ||||
12/15/2040 | 4.500% | 2,851,345 | 2,803,360 | |
CMO Series 3841 Class JZ | ||||
04/15/2041 | 5.000% | 241,074 | 240,326 | |
CMO Series 3888 Class ZG | ||||
07/15/2041 | 4.000% | 555,324 | 521,179 | |
CMO Series 3926 Class NY | ||||
09/15/2041 | 4.000% | 465,017 | 440,995 | |
CMO Series 3928 Class MB | ||||
09/15/2041 | 4.500% | 1,043,125 | 1,005,178 | |
CMO Series 3934 Class CB | ||||
10/15/2041 | 4.000% | 2,789,671 | 2,640,452 | |
CMO Series 3982 Class TZ | ||||
01/15/2042 | 4.000% | 1,071,303 | 1,002,834 | |
CMO Series 4027 Class AB | ||||
12/15/2040 | 4.000% | 1,276,032 | 1,229,165 | |
CMO Series 4057 Class ZB | ||||
06/15/2042 | 3.500% | 6,244,023 | 5,793,680 | |
CMO Series 4057 Class ZL | ||||
06/15/2042 | 3.500% | 7,052,113 | 6,381,508 | |
CMO Series 4077 Class KM | ||||
11/15/2041 | 3.500% | 36,443 | 35,759 |
58 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4091 Class KB | ||||
08/15/2042 | 3.000% | 6,500,000 | 5,716,034 | |
CMO Series 4182 Class QN | ||||
02/15/2033 | 3.000% | 105,753 | 103,528 | |
CMO Series 4361 Class VB | ||||
02/15/2038 | 3.000% | 3,500,493 | 3,426,933 | |
CMO Series 4421 Class PB | ||||
12/15/2044 | 4.000% | 5,941,237 | 5,485,072 | |
CMO Series 4440 Class ZX | ||||
01/15/2045 | 4.000% | 12,053,156 | 11,121,596 | |
CMO Series 4463 Class ZA | ||||
04/15/2045 | 4.000% | 4,883,351 | 4,619,915 | |
CMO Series 4495 Class PA | ||||
09/15/2043 | 3.500% | 138,971 | 133,368 | |
CMO Series 4682 Class HZ | ||||
04/15/2047 | 3.500% | 3,296,984 | 3,030,906 | |
CMO Series 4771 Class HZ | ||||
03/15/2048 | 3.500% | 9,527,542 | 8,339,102 | |
CMO Series 4774 Class KA | ||||
12/15/2045 | 4.500% | 243,837 | 239,065 | |
CMO Series 4787 Class PY | ||||
05/15/2048 | 4.000% | 1,147,670 | 1,077,634 | |
CMO Series 4793 Class CD | ||||
06/15/2048 | 3.000% | 871,492 | 781,888 | |
CMO Series 4839 Class A | ||||
04/15/2051 | 4.000% | 2,555,708 | 2,429,632 | |
CMO Series 4941 Class CZ | ||||
11/25/2049 | 3.000% | 1,099,522 | 924,121 | |
Federal Home Loan Mortgage Corp.(b),(g) | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/15/2043 | 1.512% | 13,174,557 | 880,710 | |
CMO Series 2013-4258 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 10/15/2043 | 2.062% | 3,139,615 | 424,072 | |
CMO Series 2014-4313 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 04/15/2039 | 1.562% | 4,770,872 | 315,472 | |
CMO Series 3404 Class AS | ||||
-1.0 x 1-month USD LIBOR + 5.895% Cap 5.895% 01/15/2038 | 1.307% | 1,633,585 | 106,011 |
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3578 Class DI | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 04/15/2036 | 2.062% | 2,423,919 | 145,019 | |
CMO Series 3892 Class SC | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 07/15/2041 | 1.362% | 3,766,922 | 231,382 | |
CMO Series 3997 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 11/15/2041 | 2.012% | 7,890,087 | 338,248 | |
CMO Series 4087 Class SC | ||||
-1.0 x 1-month USD LIBOR + 5.550% Cap 5.550% 07/15/2042 | 0.962% | 4,616,654 | 214,200 | |
CMO Series 4281 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/15/2043 | 1.512% | 7,321,948 | 421,857 | |
CMO Series 4635 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/15/2046 | 1.512% | 11,733,211 | 628,814 | |
CMO Series 4910 Class SG | ||||
1-month LIBID + 6.050% Cap 6.050% 09/25/2049 | 1.433% | 16,582,693 | 1,913,623 | |
Federal Home Loan Mortgage Corp.(r) | ||||
04/01/2052- 10/01/2052 | 2.500% | 25,671,122 | 21,767,088 | |
Federal Home Loan Mortgage Corp.(b) | ||||
CMO Series 1486 Class FA | ||||
1-month USD LIBOR + 1.300% Floor 1.300%, Cap 10.000% 04/15/2023 | 5.888% | 816 | 816 | |
CMO Series 2380 Class F | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 8.500% 11/15/2031 | 5.038% | 87,279 | 87,362 | |
CMO Series 2557 Class FG | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 8.000% 01/15/2033 | 4.988% | 224,332 | 224,330 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 59 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2962 Class PF | ||||
1-month USD LIBOR + 0.250% Floor 0.250%, Cap 7.000% 03/15/2035 | 4.838% | 86,403 | 86,054 | |
CMO Series 2981 Class FU | ||||
1-month USD LIBOR + 0.200% Floor 0.200%, Cap 8.000% 05/15/2030 | 4.788% | 213,503 | 212,179 | |
CMO Series 3065 Class EB | ||||
-3.0 x 1-month USD LIBOR + 19.890% Cap 19.890% 11/15/2035 | 6.126% | 330,627 | 324,252 | |
CMO Series 3081 Class GC | ||||
-3.7 x 1-month USD LIBOR + 23.833% Cap 23.833% 12/15/2035 | 7.011% | 545,212 | 518,267 | |
CMO Series 3085 Class FV | ||||
1-month USD LIBOR + 0.700% Floor 0.700%, Cap 8.000% 08/15/2035 | 5.288% | 463,668 | 467,669 | |
CMO Series 3564 Class FC | ||||
1-month USD LIBOR + 1.250% Floor 1.250%, Cap 6.500% 01/15/2037 | 5.912% | 158,155 | 161,547 | |
CMO Series 3680 Class FA | ||||
1-month USD LIBOR + 1.000% Floor 1.000%, Cap 6.000% 06/15/2040 | 5.588% | 509,293 | 510,366 | |
CMO Series 3852 Class QN | ||||
-3.6 x 1-month USD LIBOR + 27.211% Cap 5.500% 05/15/2041 | 5.500% | 21,203 | 20,110 | |
CMO Series 4048 Class FJ | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 9,999.000% 07/15/2037 | 5.062% | 879,273 | 865,139 | |
CMO Series 5115 Class FD | ||||
30-day Average SOFR + 0.250% Floor 0.250%, Cap 4.000% 08/15/2043 | 4.000% | 7,170,901 | 6,695,366 | |
Federal Home Loan Mortgage Corp.(g) | ||||
CMO Series 303 Class C21 | ||||
01/15/2043 | 4.000% | 10,938,000 | 1,888,494 | |
CMO Series 303 Class C30 | ||||
12/15/2042 | 4.500% | 7,166,588 | 1,175,033 |
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 364 Class C15 | ||||
12/15/2046 | 3.500% | 4,426,479 | 743,528 | |
CMO Series 4146 Class IA | ||||
12/15/2032 | 3.500% | 5,146,455 | 563,812 | |
CMO Series 4186 Class IB | ||||
03/15/2033 | 3.000% | 5,199,432 | 495,114 | |
CMO Series 4627 Class PI | ||||
05/15/2044 | 3.500% | 1,645,581 | 74,749 | |
CMO Series 4698 Class BI | ||||
07/15/2047 | 5.000% | 12,325,388 | 2,157,507 | |
CMO Series 5048 Class HI | ||||
01/15/2042 | 4.500% | 3,202,274 | 525,977 | |
CMO Series 5078 Class NI | ||||
06/15/2042 | 4.000% | 2,740,000 | 557,850 | |
Federal Home Loan Mortgage Corp.(f),(g) | ||||
CMO Series 351 Class 213 | ||||
02/15/2046 | 4.084% | 298,573 | 55,769 | |
CMO Series 364 Class 141 | ||||
12/15/2046 | 2.752% | 342,257 | 49,125 | |
CMO Series 364 Class 151 | ||||
12/15/2046 | 3.381% | 340,665 | 55,535 | |
CMO Series 364 Class 158 | ||||
12/15/2046 | 3.855% | 187,272 | 33,575 | |
CMO Series 364 Class 167 | ||||
12/15/2046 | 2.550% | 321,338 | 39,655 | |
CMO Series 364 Class C23 | ||||
12/15/2046 | 2.929% | 4,270,229 | 611,937 | |
CMO Series 364 Class C24 | ||||
12/15/2046 | 3.453% | 2,421,232 | 407,072 | |
CMO Series 364 Class C25 | ||||
12/15/2046 | 4.057% | 748,406 | 143,313 | |
CMO Series 368 Class C15 | ||||
01/25/2048 | 3.249% | 4,866,897 | 599,719 | |
CMO Series 3833 Class LI | ||||
10/15/2040 | 0.000% | 6,235,144 | 280,757 | |
CMO Series 5094 Class IO | ||||
12/15/2048 | 1.544% | 13,743,758 | 971,548 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(f),(g) | ||||
CMO Series K051 Class X1 | ||||
09/25/2025 | 0.502% | 16,812,617 | 183,217 | |
CMO Series K058 Class X1 | ||||
08/25/2026 | 0.914% | 2,347,677 | 60,957 | |
CMO Series KW02 Class X1 | ||||
12/25/2026 | 0.295% | 10,560,037 | 51,185 |
60 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. REMICS(b),(g) | ||||
CMO Series 204236 Class IS | ||||
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/15/2043 | 1.412% | 11,531,500 | 908,568 | |
Federal Home Loan Mortgage Corp. REMICS | ||||
CMO Series 3843 Class JZ | ||||
04/15/2041 | 5.100% | 1,007,164 | 999,576 | |
CMO Series 4372 Class Z | ||||
08/15/2044 | 3.000% | 2,915,515 | 2,593,757 | |
CMO Series 4402 Class YB | ||||
10/15/2044 | 3.000% | 2,746,603 | 2,450,945 | |
CMO Series 4612 Class HZ | ||||
08/15/2046 | 2.500% | 7,046,346 | 5,693,042 | |
CMO Series 4753 Class VZ | ||||
12/15/2047 | 3.000% | 1,164,521 | 896,957 | |
CMO Series 4755 Class Z | ||||
02/15/2048 | 3.000% | 1,164,514 | 991,748 | |
Federal Home Loan Mortgage Corp. REMICS(g) | ||||
CMO Series 4257 Class IK | ||||
12/15/2042 | 4.000% | 3,981,905 | 694,604 | |
CMO Series 4999 Class IA | ||||
08/25/2050 | 4.500% | 10,928,405 | 2,196,851 | |
CMO Series 5043 Class IO | ||||
11/25/2050 | 5.000% | 4,719,738 | 1,037,383 | |
CMO Series 5058 Class NI | ||||
06/25/2050 | 3.000% | 16,327,373 | 2,924,154 | |
CMO Series 5079 Class DI | ||||
02/25/2051 | 6.500% | 11,549,097 | 2,382,021 | |
CMO Series 5088 Class IB | ||||
03/25/2051 | 2.500% | 26,200,004 | 3,764,988 | |
CMO Series 5095 Class AI | ||||
04/25/2051 | 3.500% | 23,732,125 | 4,071,846 | |
CMO Series 5113 Class MI | ||||
06/25/2051 | 3.500% | 18,953,013 | 3,662,533 | |
CMO Series 5115 Class GI | ||||
09/25/2050 | 3.000% | 11,375,248 | 2,093,039 | |
CMO Series 5153 Class JI | ||||
10/25/2051 | 3.500% | 9,300,325 | 1,585,221 | |
CMO Series 5217 Class PI | ||||
04/25/2052 | 3.500% | 6,224,881 | 750,655 | |
Federal Home Loan Mortgage Corp. REMICS(f),(g) | ||||
CMO Series 5065 Class EI | ||||
11/25/2044 | 5.424% | 1,545,993 | 345,981 |
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
06/01/2024 | 9.000% | 10 | 10 | |
02/01/2025- 08/01/2027 | 8.000% | 8,707 | 8,806 | |
03/01/2026- 07/01/2038 | 7.000% | 327,135 | 338,088 | |
04/01/2027- 06/01/2032 | 7.500% | 23,763 | 24,275 | |
05/01/2029- 12/01/2052 | 6.000% | 7,658,089 | 7,776,092 | |
08/01/2029- 07/01/2052 | 3.000% | 167,296,608 | 148,191,710 | |
01/01/2031- 05/01/2052 | 2.500% | 251,123,035 | 213,638,416 | |
03/01/2033- 11/01/2052 | 5.500% | 11,049,659 | 11,052,763 | |
10/01/2033- 08/01/2052 | 3.500% | 100,885,337 | 93,026,464 | |
07/01/2039- 07/01/2052 | 5.000% | 12,082,919 | 11,931,490 | |
08/01/2040- 04/01/2052 | 2.000% | 217,373,177 | 178,480,128 | |
10/01/2040- 06/01/2056 | 4.500% | 23,500,326 | 22,802,863 | |
02/01/2041- 05/01/2052 | 4.000% | 73,275,951 | 69,794,626 | |
02/01/2051 | 1.500% | 31,446,494 | 24,369,111 | |
CMO Series 2003-22 Class Z | ||||
04/25/2033 | 6.000% | 91,023 | 93,000 | |
CMO Series 2003-33 Class PT | ||||
05/25/2033 | 4.500% | 4,418 | 4,324 | |
CMO Series 2007-50 Class DZ | ||||
06/25/2037 | 5.500% | 449,260 | 450,344 | |
CMO Series 2010-139 Class HA | ||||
11/25/2040 | 4.000% | 1,503,780 | 1,429,315 | |
CMO Series 2010-37 Class A1 | ||||
05/25/2035 | 5.410% | 99,094 | 98,083 | |
CMO Series 2011-18 Class ZK | ||||
03/25/2041 | 4.000% | 3,235,921 | 3,033,989 | |
CMO Series 2011-53 Class WT | ||||
06/25/2041 | 4.500% | 299,885 | 292,277 | |
CMO Series 2011-87 Class GB | ||||
09/25/2041 | 4.500% | 7,000,000 | 6,873,361 | |
CMO Series 2012-121 Class GZ | ||||
11/25/2042 | 3.500% | 10,852,845 | 10,065,051 | |
CMO Series 2012-68 Class ZA | ||||
07/25/2042 | 3.500% | 8,413,573 | 7,830,652 | |
CMO Series 2012-94 | ||||
09/25/2042 | 3.500% | 9,900,080 | 9,187,221 | |
CMO Series 2013-106 Class LA | ||||
08/25/2041 | 4.000% | 1,649,584 | 1,590,606 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 61 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-16 Class GD | ||||
03/25/2033 | 3.000% | 1,317,550 | 1,281,383 | |
CMO Series 2013-66 Class AP | ||||
05/25/2043 | 6.000% | 38,654 | 37,459 | |
CMO Series 2016-9 Class A | ||||
09/25/2043 | 3.000% | 5,276 | 5,249 | |
CMO Series 2018-38 Class PA | ||||
06/25/2047 | 3.500% | 508,859 | 483,037 | |
CMO Series 2018-55 Class PA | ||||
01/25/2047 | 3.500% | 1,416,899 | 1,361,041 | |
CMO Series 2018-64 Class ET | ||||
09/25/2048 | 3.000% | 2,827,616 | 2,553,143 | |
CMO Series 2018-94D Class KD | ||||
12/25/2048 | 3.500% | 783,187 | 737,868 | |
CMO Series 2019-9 Class DZ | ||||
03/25/2049 | 4.000% | 3,548,507 | 3,326,787 | |
CMO Series 98-17 Class Z | ||||
04/18/2028 | 6.500% | 38,598 | 38,450 | |
Federal National Mortgage Association(r) | ||||
05/01/2051 | 2.000% | 17,889,321 | 14,618,682 | |
06/01/2052- 09/01/2052 | 2.500% | 8,134,212 | 6,894,709 | |
11/01/2052 | 4.000% | 10,037,834 | 9,584,555 | |
Federal National Mortgage Association(s) | ||||
03/01/2052 | 3.000% | 23,475,608 | 20,671,278 | |
Federal National Mortgage Association(b) | ||||
CMO Series 2002-59 Class HF | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 8.000% 08/17/2032 | 4.951% | 28,537 | 28,521 | |
CMO Series 2004-93 Class FC | ||||
1-month USD LIBOR + 0.200% Floor 0.200%, Cap 8.000% 12/25/2034 | 4.817% | 291,468 | 289,740 | |
CMO Series 2006-71 Class SH | ||||
-2.6 x 1-month USD LIBOR + 15.738% Cap 15.738% 05/25/2035 | 3.628% | 143,703 | 128,263 | |
CMO Series 2007-90 Class F | ||||
1-month USD LIBOR + 0.490% Floor 0.490%, Cap 7.000% 09/25/2037 | 5.107% | 135,641 | 134,664 | |
CMO Series 2007-W7 Class 1A4 | ||||
-6.0 x 1-month USD LIBOR + 39.180% Cap 39.180% 07/25/2037 | 11.478% | 41,410 | 46,446 |
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2008-15 Class AS | ||||
-5.0 x 1-month USD LIBOR + 33.000% Cap 33.000% 08/25/2036 | 9.915% | 252,106 | 287,057 | |
CMO Series 2010-142 Class HS | ||||
-2.0 x 1-month USD LIBOR + 10.000% Cap 10.000% 12/25/2040 | 0.676% | 452,249 | 274,554 | |
CMO Series 2010-150 Class FL | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 7.000% 10/25/2040 | 5.167% | 103,176 | 103,028 | |
CMO Series 2012-1 Class FA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 6.500% 02/25/2042 | 5.117% | 798,467 | 786,509 | |
CMO Series 2012-115 Class MT | ||||
-3.0 x 1-month USD LIBOR + 13.500% Cap 4.500% 10/25/2042 | 0.394% | 310,600 | 197,028 | |
CMO Series 2016-32 Class GT | ||||
-4.5 x 1-month USD LIBOR + 18.000% Cap 4.500% 01/25/2043 | 0.000% | 32,299 | 20,016 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 2004-29 Class PS | ||||
-1.0 x 1-month USD LIBOR + 7.600% Cap 7.600% 05/25/2034 | 2.983% | 1,073,653 | 115,026 | |
CMO Series 2006-43 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.590% Cap 6.590% 06/25/2036 | 1.973% | 792,235 | 65,663 | |
CMO Series 2009-100 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 12/25/2039 | 1.583% | 2,505,858 | 229,889 | |
CMO Series 2009-87 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 11/25/2039 | 1.633% | 4,073,570 | 247,273 |
62 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2010-131 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 11/25/2040 | 1.983% | 3,398,297 | 319,634 | |
CMO Series 2010-21 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 03/25/2040 | 1.633% | 6,134,960 | 416,875 | |
CMO Series 2010-57 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.450% Cap 6.450% 06/25/2040 | 1.833% | 1,507,555 | 121,596 | |
CMO Series 2011-131 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.540% Cap 6.540% 12/25/2041 | 1.923% | 18,960,677 | 2,099,921 | |
CMO Series 2011-47 Class GS | ||||
-1.0 x 1-month USD LIBOR + 5.930% Cap 5.930% 06/25/2041 | 1.313% | 5,082,831 | 323,099 | |
CMO Series 2012-17 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 03/25/2027 | 2.083% | 1,496,051 | 21,434 | |
CMO Series 2013-10 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 02/25/2043 | 1.533% | 4,254,185 | 345,276 | |
CMO Series 2013-19 Class KS | ||||
-1.0 x 3-month USD LIBOR + 6.200% Cap 6.200% 10/25/2041 | 1.583% | 4,253,472 | 228,450 | |
CMO Series 2013-34 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 04/25/2043 | 1.533% | 11,814,222 | 1,556,382 | |
CMO Series 2014-40 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 07/25/2044 | 2.083% | 3,080,132 | 438,676 |
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2014-52 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 09/25/2044 | 1.483% | 5,327,050 | 511,740 | |
CMO Series 2015-81 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 01/25/2037 | 2.083% | 3,697,075 | 255,640 | |
CMO Series 2016-19 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/25/2046 | 1.483% | 4,778,020 | 312,020 | |
CMO Series 2016-32 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 10/25/2034 | 1.483% | 2,180,559 | 133,855 | |
CMO Series 2016-60 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 09/25/2046 | 1.483% | 6,378,099 | 453,277 | |
CMO Series 2016-60 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 09/25/2046 | 1.483% | 20,938,422 | 1,336,114 | |
CMO Series 2016-60 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/25/2046 | 1.633% | 6,083,727 | 362,891 | |
CMO Series 2016-82 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/25/2046 | 1.483% | 8,641,115 | 499,045 | |
CMO Series 2016-88 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/25/2046 | 1.483% | 14,310,832 | 1,021,762 | |
CMO Series 2016-93 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 12/25/2046 | 2.033% | 3,940,576 | 253,651 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 63 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-26 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 04/25/2047 | 1.533% | 5,915,423 | 327,419 | |
CMO Series 2017-57 Class SD | ||||
-1.0 x 1-month USD LIBOR + 3.950% Cap 2.750% 08/25/2047 | 0.000% | 6,212,884 | 146,598 | |
CMO Series 2018-43 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/25/2038 | 1.633% | 4,567,435 | 332,233 | |
CMO Series 2018-61 Class SA | ||||
1-month USD LIBOR + 6.200% Cap 6.200% 08/25/2048 | 1.583% | 3,253,651 | 229,815 | |
CMO Series 2019-35 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2049 | 1.533% | 13,728,075 | 830,808 | |
CMO Series 2019-39 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 08/25/2049 | 1.483% | 11,794,308 | 727,401 | |
Federal National Mortgage Association(g) | ||||
CMO Series 2013-16 Class MI | ||||
03/25/2043 | 4.000% | 4,047,266 | 457,020 | |
CMO Series 2013-23 Class AI | ||||
03/25/2043 | 5.000% | 4,940,588 | 874,922 | |
CMO Series 2013-35 Class IB | ||||
04/25/2033 | 3.000% | 6,159,108 | 609,077 | |
CMO Series 2013-41 Class HI | ||||
02/25/2033 | 3.000% | 7,120,221 | 495,741 | |
CMO Series 2015-54 Class GI | ||||
07/25/2045 | 5.500% | 19,271,497 | 3,385,981 | |
CMO Series 2020-42 Class AI | ||||
06/25/2050 | 2.500% | 19,395,742 | 2,157,683 | |
CMO Series 2020-72 Class LI | ||||
12/25/2040 | 5.000% | 5,774,466 | 1,160,061 | |
CMO Series 2021-33 Class AI | ||||
05/25/2047 | 2.500% | 35,917,174 | 4,367,984 | |
CMO Series 385 Class 8 | ||||
12/25/2037 | 5.500% | 1,993,450 | 408,740 | |
CMO Series 426 Class C58 | ||||
03/25/2052 | 3.000% | 39,930,639 | 6,468,125 |
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 427 Class C17 | ||||
01/25/2035 | 3.000% | 12,492,789 | 1,277,678 | |
Federal National Mortgage Association(f),(g) | ||||
CMO Series 2021-24 Class IO | ||||
03/25/2059 | 1.157% | 8,185,274 | 494,043 | |
Federal National Mortgage Association REMICS | ||||
CMO Series 2012-105 Class Z | ||||
10/25/2042 | 3.500% | 2,878,300 | 2,668,612 | |
CMO Series 2013-18 Class ZA | ||||
03/25/2043 | 3.000% | 3,740,055 | 3,377,179 | |
CMO Series 2013-70 Class JZ | ||||
07/25/2043 | 3.000% | 13,225,845 | 11,511,621 | |
CMO Series 2018-11 Class BX | ||||
12/25/2047 | 4.000% | 9,401,686 | 8,808,944 | |
CMO Series 2019-70 Class CB | ||||
12/25/2049 | 3.500% | 2,859,938 | 2,621,947 | |
Federal National Mortgage Association REMICS(g) | ||||
CMO Series 2013-10 Class GI | ||||
02/25/2033 | 3.000% | 8,671,912 | 771,133 | |
CMO Series 2020-99 Class IB | ||||
05/25/2050 | 3.500% | 8,007,477 | 1,377,459 | |
CMO Series 2021-1 Class IB | ||||
02/25/2061 | 3.500% | 14,544,681 | 2,614,549 | |
CMO Series 2021-74 Class LI | ||||
11/25/2051 | 3.500% | 22,734,990 | 4,416,576 | |
CMO Series 2022-38 Class IH | ||||
07/25/2052 | 4.500% | 2,777,777 | 686,644 | |
CMO Series 2022-5 Class LI | ||||
02/25/2052 | 3.000% | 31,519,025 | 4,112,476 | |
Federal National Mortgage Association REMICS(b),(g) | ||||
CMO Series 2017-14 Class DS | ||||
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 03/25/2047 | 1.433% | 9,319,585 | 890,853 | |
CMO Series 3908 Class XS | ||||
-1.0 x 1-month USD LIBOR + 6.450% Cap 6.450% 06/15/2039 | 1.862% | 9,489,383 | 827,760 | |
Government National Mortgage Association | ||||
05/15/2040- 10/20/2048 | 5.000% | 2,453,974 | 2,467,272 | |
05/20/2041- 12/20/2052 | 4.500% | 9,358,262 | 9,063,092 | |
02/15/2042- 08/20/2052 | 4.000% | 17,277,965 | 16,130,898 | |
03/20/2046- 05/20/2050 | 3.500% | 36,559,348 | 33,969,758 |
64 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
12/20/2046- 06/20/2052 | 3.000% | 43,848,811 | 39,284,518 | |
08/20/2051- 04/20/2052 | 2.500% | 31,924,389 | 27,658,814 | |
CMO Series 2005-45 Class ZA | ||||
06/16/2035 | 6.000% | 1,583,317 | 1,673,610 | |
CMO Series 2009-104 Class YD | ||||
11/20/2039 | 5.000% | 1,399,494 | 1,393,939 | |
CMO Series 2009-55 Class LX | ||||
07/20/2039 | 5.000% | 1,728,176 | 1,731,232 | |
CMO Series 2009-67 Class DB | ||||
08/20/2039 | 5.000% | 1,912,569 | 1,899,802 | |
CMO Series 2010-108 Class WL | ||||
04/16/2040 | 4.000% | 1,906,547 | 1,835,929 | |
CMO Series 2010-120 Class AY | ||||
09/20/2040 | 4.000% | 1,757,616 | 1,709,294 | |
CMO Series 2010-135 Class PE | ||||
10/16/2040 | 4.000% | 3,850,915 | 3,761,062 | |
CMO Series 2014-3 Class EP | ||||
02/16/2043 | 2.750% | 5,533,126 | 5,103,881 | |
CMO Series 2016-111 Class PB | ||||
08/20/2046 | 2.500% | 1,097,000 | 823,562 | |
CMO Series 2018-1 Class LZ | ||||
01/20/2048 | 3.000% | 4,312,098 | 3,588,466 | |
CMO Series 2018-115 Class DE | ||||
08/20/2048 | 3.500% | 1,583,952 | 1,467,350 | |
CMO Series 2018-147 Class BZ | ||||
10/20/2048 | 3.500% | 3,991,427 | 3,776,794 | |
CMO Series 2018-53 Class AL | ||||
11/20/2045 | 3.500% | 733,755 | 695,515 | |
Government National Mortgage Association(s) | ||||
08/20/2051 | 3.000% | 29,693,124 | 26,656,017 | |
Government National Mortgage Association(b) | ||||
1-year CMT + 1.138% 03/20/2066 | 5.897% | 194,742 | 195,406 | |
1-year CMT + 0.708% 04/20/2066 | 5.465% | 312,083 | 312,520 | |
CMO Series 2003-60 Class GS | ||||
-1.7 x 1-month USD LIBOR + 12.417% Cap 12.417% 05/16/2033 | 4.767% | 16,255 | 15,802 | |
CMO Series 2006-37 Class AS | ||||
-6.0 x 1-month USD LIBOR + 39.660% Cap 39.660% 07/20/2036 | 12.073% | 548,644 | 640,866 |
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2010-H03 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 10.690% 03/20/2060 | 4.937% | 373,934 | 372,801 | |
CMO Series 2010-H26 Class LF | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 13.898% 08/20/2058 | 4.742% | 163,960 | 162,610 | |
CMO Series 2011-114 Class KF | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 03/20/2041 | 5.048% | 50,829 | 50,786 | |
CMO Series 2012-H20 Class BA | ||||
1-month USD LIBOR + 0.700% Floor 0.700%, Cap 10.500% 09/20/2062 | 4.952% | 67,545 | 67,326 | |
CMO Series 2012-H21 Class CF | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 05/20/2061 | 4.839% | 2,205 | 2,184 | |
CMO Series 2012-H21 Class DF | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 05/20/2061 | 4.839% | 1,965 | 1,946 | |
CMO Series 2012-H25 Class FA | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 12/20/2061 | 4.700% | 26,403 | 26,043 | |
CMO Series 2013-115 Class EF | ||||
1-month USD LIBOR + 0.250% Floor 0.250%, Cap 6.500% 04/16/2028 | 4.840% | 65,156 | 65,130 | |
CMO Series 2013-H02 Class FD | ||||
1-month USD LIBOR + 0.340% Floor 0.340%, Cap 10.500% 12/20/2062 | 4.732% | 107,039 | 106,304 | |
CMO Series 2013-H05 Class FB | ||||
1-month USD LIBOR + 0.400% Floor 0.400% 02/20/2062 | 4.792% | 1,892 | 1,854 | |
CMO Series 2013-H08 Class BF | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 10.000% 03/20/2063 | 4.792% | 820,109 | 813,097 | |
CMO Series 2013-H14 Class FD | ||||
1-month USD LIBOR + 0.470% Floor 0.470%, Cap 11.000% 06/20/2063 | 4.862% | 574,994 | 572,337 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 65 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-H17 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 11.000% 07/20/2063 | 4.942% | 131,885 | 131,531 | |
CMO Series 2013-H18 Class EA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.190% 07/20/2063 | 4.892% | 173,475 | 173,030 | |
CMO Series 2013-H19 Class FC | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.000% 08/20/2063 | 4.992% | 886,732 | 885,010 | |
CMO Series 2015-H26 Class FC | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.000% 08/20/2065 | 4.992% | 131,200 | 130,931 | |
CMO Series 2017-H03 Class FB | ||||
1-month USD LIBOR + 0.650% Floor 0.650%, Cap 15.000% 06/20/2066 | 5.042% | 2,102,343 | 2,097,783 | |
CMO Series 2018-H04 Class FM | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 11.000% 03/20/2068 | 4.692% | 1,947,562 | 1,931,322 | |
CMO Series 2019-H01 Class FL | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 11.000% 12/20/2068 | 4.842% | 425,512 | 421,665 | |
CMO Series 2019-H10 Class FM | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 11.000% 05/20/2069 | 4.792% | 1,693,605 | 1,674,241 | |
CMO Series 2020-H13 Class FM | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 11.000% 08/20/2070 | 4.792% | 2,487,244 | 2,470,082 | |
CMO Series 2022-H01 Class FE | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 99.000% 01/20/2072 | 4.926% | 11,544,708 | 11,377,058 | |
CMO Series 2022-H09 Class EF | ||||
30-day Average SOFR + 0.450% Floor 0.450%, Cap 11.000% 04/20/2072 | 4.876% | 6,382,506 | 6,331,292 | |
CMO Series 2022-H09 Class GF | ||||
30-day Average SOFR + 0.700% Floor 0.700% 04/20/2072 | 4.393% | 3,404,943 | 3,373,075 |
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2022-H22 Class FE | ||||
30-day Average SOFR + 1.040% Floor 1.040%, Cap 7.500% 09/20/2072 | 5.466% | 2,888,802 | 2,861,096 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2010-31 Class ES | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 03/20/2040 | 0.402% | 7,098,231 | 351,760 | |
CMO Series 2011-13 Class S | ||||
1-month LIBID + 5.950% Cap 5.950% 01/16/2041 | 1.360% | 4,778,962 | 284,019 | |
CMO Series 2011-30 Class SB | ||||
1-month LIBID + 6.600% Cap 6.600% 02/20/2041 | 2.002% | 2,343,708 | 198,522 | |
CMO Series 2015-155 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.700% Cap 5.700% 10/20/2045 | 1.102% | 2,994,038 | 237,204 | |
CMO Series 2017-93 Class CS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 06/20/2047 | 1.602% | 9,222,197 | 978,273 | |
CMO Series 2019-123 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 10/20/2049 | 1.502% | 12,489,520 | 741,169 | |
CMO Series 2019-13 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 01/20/2049 | 1.502% | 9,662,470 | 897,011 | |
CMO Series 2019-6 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 01/20/2049 | 1.502% | 7,850,320 | 497,458 | |
CMO Series 2019-86 Class SG | ||||
-1.0 x 1-month USD LIBOR + 5.600% Cap 5.600% 07/20/2049 | 1.002% | 4,315,655 | 239,053 | |
Government National Mortgage Association(f) | ||||
CMO Series 2010-H17 Class XQ | ||||
07/20/2060 | 5.140% | 1,230 | 1,001 |
66 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-H04 Class DA | ||||
12/20/2066 | 4.353% | 457 | 445 | |
Series 2003-72 Class Z | ||||
11/16/2045 | 5.377% | 294,298 | 285,509 | |
Government National Mortgage Association(f),(g) | ||||
CMO Series 2014-150 Class IO | ||||
07/16/2056 | 0.379% | 11,074,164 | 180,253 | |
CMO Series 2014-H05 Class AI | ||||
02/20/2064 | 1.272% | 4,223,677 | 169,454 | |
CMO Series 2014-H14 Class BI | ||||
06/20/2064 | 1.533% | 4,872,578 | 186,751 | |
CMO Series 2014-H15 Class HI | ||||
05/20/2064 | 1.426% | 5,285,700 | 175,707 | |
CMO Series 2014-H20 Class HI | ||||
10/20/2064 | 1.315% | 1,912,189 | 104,757 | |
CMO Series 2015-163 Class IO | ||||
12/16/2057 | 0.742% | 1,612,872 | 46,845 | |
CMO Series 2015-189 Class IG | ||||
01/16/2057 | 0.701% | 7,931,792 | 214,683 | |
CMO Series 2015-30 Class IO | ||||
07/16/2056 | 0.701% | 2,523,022 | 70,763 | |
CMO Series 2015-32 Class IO | ||||
09/16/2049 | 0.580% | 3,833,623 | 73,207 | |
CMO Series 2015-73 Class IO | ||||
11/16/2055 | 0.427% | 1,499,942 | 22,753 | |
CMO Series 2015-9 Class IO | ||||
02/16/2049 | 0.528% | 6,809,548 | 114,706 | |
CMO Series 2015-H22 Class BI | ||||
09/20/2065 | 1.677% | 1,946,479 | 75,266 | |
CMO Series 2016-72 Class IO | ||||
12/16/2055 | 0.771% | 6,792,947 | 188,554 | |
CMO Series 2020-32 Class IA | ||||
03/16/2047 | 3.953% | 8,588,537 | 1,360,703 | |
CMO Series 2021-33 Class IO | ||||
10/16/2062 | 0.840% | 7,928,113 | 505,579 | |
CMO Series 2021-40 Class IO | ||||
02/16/2063 | 0.824% | 6,998,576 | 446,464 | |
CMO Series 2021-H03 Class IO | ||||
04/20/2070 | 0.000% | 15,695,788 | 63,772 | |
CMO Series 2021-H08 Class IA | ||||
01/20/2068 | 0.008% | 2,020,914 | 10,913 | |
Government National Mortgage Association(g) | ||||
CMO Series 2016-88 Class PI | ||||
07/20/2046 | 4.000% | 6,210,096 | 1,006,036 | |
CMO Series 2017-101 Class AI | ||||
07/20/2047 | 4.000% | 4,133,751 | 569,209 |
Residential Mortgage-Backed Securities - Agency(q) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-52 Class AI | ||||
04/20/2047 | 6.000% | 3,128,812 | 521,158 | |
CMO Series 2017-68 Class TI | ||||
05/20/2047 | 5.500% | 1,257,705 | 199,658 | |
CMO Series 2019-108 Class MI | ||||
07/20/2049 | 3.500% | 8,126,561 | 1,146,338 | |
CMO Series 2019-99 Class AI | ||||
08/16/2049 | 4.000% | 5,329,302 | 1,152,540 | |
CMO Series 2020-134 Class AI | ||||
09/20/2050 | 3.000% | 10,270,337 | 1,396,881 | |
CMO Series 2020-34 Class IO | ||||
12/20/2039 | 5.000% | 8,976,514 | 1,763,922 | |
Government National Mortgage Association TBA(c) | ||||
03/21/2053 | 2.500% | 35,325,000 | 30,545,086 | |
03/21/2053 | 3.500% | 29,000,000 | 26,647,148 | |
03/21/2053 | 4.500% | 22,175,000 | 21,500,222 | |
03/21/2053 | 5.500% | 15,000,000 | 15,052,148 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2018-2 Class MV (FHLMC) | ||||
11/25/2057 | 3.500% | 4,097,087 | 3,769,470 | |
Uniform Mortgage-Backed Security TBA(c) | ||||
03/16/2038- 04/13/2053 | 2.500% | 105,625,000 | 89,882,635 | |
03/13/2053- 04/13/2053 | 2.000% | 126,525,000 | 103,149,611 | |
03/13/2053 | 3.000% | 80,650,000 | 70,929,470 | |
03/13/2053 | 3.500% | 43,557,000 | 39,647,078 | |
03/13/2053 | 4.000% | 112,314,000 | 105,417,218 | |
03/13/2053 | 4.500% | 157,761,000 | 151,992,863 | |
03/13/2053 | 5.000% | 92,575,000 | 90,998,332 | |
03/13/2053 | 5.500% | 4,000,000 | 3,993,125 | |
03/13/2053 | 6.000% | 54,701,000 | 55,333,214 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $2,791,076,013) | 2,613,018,344 | |||
Residential Mortgage-Backed Securities - Non-Agency(m) 4.6% | ||||
ACE Securities Corp. Home Equity Loan Trust(b) | ||||
CMO Series 2006-OP1 Class A2D | ||||
1-month USD LIBOR + 0.480% Floor 0.240% 04/25/2036 | 5.097% | 7,547,281 | 6,820,611 | |
Ajax Mortgage Loan Trust(a),(f) | ||||
CMO Series 2019-F Class A1 | ||||
07/25/2059 | 2.860% | 4,929,893 | 4,632,604 | |
Angel Oak Mortgage Trust(a),(f) | ||||
CMO Series 2022-6 Class A1 | ||||
07/25/2067 | 4.300% | 17,775,977 | 16,781,867 | |
Arroyo Mortgage Trust(a) | ||||
CMO Series 2022-1 Class A3 | ||||
12/25/2056 | 3.650% | 1,000,000 | 778,276 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 67 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banc of America Funding Trust | ||||
CMO Series 2006-3 Class 4A14 | ||||
03/25/2036 | 6.000% | 347,677 | 276,060 | |
CMO Series 2006-3 Class 5A3 | ||||
03/25/2036 | 5.500% | 357,026 | 304,708 | |
Banc of America Funding Trust(t) | ||||
CMO Series 2006-D Class 3A1 | ||||
05/20/2036 | 3.553% | 659,590 | 569,014 | |
Banc of America Funding Trust(b) | ||||
CMO Series 2007-C Class 7A1 | ||||
1-month USD LIBOR + 0.420% Floor 0.420% 05/20/2047 | 5.011% | 1,502,440 | 1,317,807 | |
Bayview MSR Opportunity Master Fund Trust(a),(b) | ||||
CMO Series 2022-2 Class AF | ||||
30-day Average SOFR + 0.850% 12/25/2051 | 5.334% | 2,289,684 | 2,110,191 | |
Bayview MSR Opportunity Master Fund Trust(a),(f) | ||||
Subordinated CMO Series 2021-5 Class B1 | ||||
11/25/2051 | 3.488% | 971,497 | 791,111 | |
Subordinated CMO Series 2022-2 Class B3A | ||||
12/25/2051 | 3.411% | 1,465,822 | 1,065,308 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M2 | ||||
1-month USD LIBOR + 2.700% Floor 2.700% 03/25/2029 | 7.317% | 2,243,314 | 2,263,811 | |
CMO Series 2021-3A Class M1C | ||||
30-day Average SOFR + 1.550% Floor 1.550% 09/25/2031 | 6.034% | 2,200,000 | 2,087,964 | |
CMO Series 2022-1 Class M1C | ||||
30-day Average SOFR + 3.700% Floor 3.700% 01/26/2032 | 8.193% | 2,500,000 | 2,409,361 | |
BRAVO Residential Funding Trust(a),(f) | ||||
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 2,748,458 | 2,609,792 | |
BVRT Financing Trust(a),(b),(d),(e) | ||||
CMO Series 2021-4F Class A | ||||
1-month USD LIBOR + 0.000% 09/14/2026 | 2.050% | 2,947,442 | 2,941,547 | |
Carrington Mortgage Loan Trust(b) | ||||
CMO Series 2006-NC3 Class A3 | ||||
1-month USD LIBOR + 0.150% Floor 0.150%, Cap 12.500% 08/25/2036 | 4.767% | 1,431,022 | 1,345,007 |
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2006-NC3 Class A4 | ||||
1-month USD LIBOR + 0.240% Floor 0.240%, Cap 12.500% 08/25/2036 | 4.857% | 9,300,000 | 7,551,722 | |
Chase Mortgage Finance Corp.(a),(f) | ||||
Subordinated CMO Series 2019-1 Class B2 | ||||
03/25/2050 | 3.899% | 930,401 | 793,757 | |
Subordinated Series 2016-SH1 Class M2 | ||||
04/25/2045 | 3.750% | 213,082 | 177,676 | |
CIM Group(a),(f) | ||||
CMO Series 2020-R7 Class A1A | ||||
12/27/2061 | 2.250% | 6,575,133 | 5,725,990 | |
CIM Trust(a),(f) | ||||
CMO Series 2019-J2 Class B1 | ||||
10/25/2049 | 3.775% | 828,192 | 733,980 | |
CMO Series 2019-R5 Class M2 | ||||
09/25/2059 | 3.250% | 1,100,000 | 985,264 | |
CMO Series 2020-R6 Class A1A | ||||
12/25/2060 | 2.250% | 4,181,234 | 3,544,323 | |
CMO Series 2021-NR2 Class A1 | ||||
07/25/2059 | 2.568% | 5,600,201 | 5,302,269 | |
CMO Series 2021-R3 Class A1A | ||||
06/25/2057 | 1.951% | 8,418,902 | 7,396,086 | |
CMO Series 2022-I1 Class A1 | ||||
02/25/2067 | 4.350% | 6,280,035 | 6,039,652 | |
CIM Trust(a),(e),(f) | ||||
CMO Series 2023-R1 Class A1A | ||||
04/25/2062 | 5.400% | 13,538,390 | 13,115,992 | |
Citicorp Mortgage Securities Trust | ||||
CMO Series 2007-8 Class 1A3 | ||||
09/25/2037 | 6.000% | 238,323 | 232,176 | |
Citigroup Mortgage Loan Trust(a),(f) | ||||
CMO Series 2022-A Class A1 | ||||
09/25/2062 | 6.170% | 2,306,008 | 2,252,683 | |
Citigroup Mortgage Loan Trust, Inc.(a),(f) | ||||
Subordinated CMO Series 2021-J2 Class B3W | ||||
07/25/2051 | 2.772% | 476,878 | 338,659 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-R01 Class 2M2 | ||||
1-month USD LIBOR + 2.450% 07/25/2031 | 7.067% | 214,380 | 214,960 | |
CMO Series 2019-R02 Class 1M2 | ||||
1-month USD LIBOR + 2.300% 08/25/2031 | 6.917% | 49,299 | 49,299 | |
CMO Series 2020-R02 Class 2M2 | ||||
1-month USD LIBOR + 2.000% 01/25/2040 | 6.617% | 274,234 | 274,588 |
68 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-SBT1 Class 1M2 | ||||
1-month USD LIBOR + 3.650% 02/25/2040 | 8.267% | 1,500,000 | 1,509,789 | |
CMO Series 2020-SBT1 Class 2M2 | ||||
1-month USD LIBOR + 3.650% 02/25/2040 | 8.267% | 3,500,000 | 3,555,608 | |
CMO Series 2022-R07 Class 1M2 | ||||
30-day Average SOFR + 4.650% 06/25/2042 | 9.134% | 2,700,000 | 2,844,987 | |
CMO Series 2023-R01 Class 1M2 | ||||
30-day Average SOFR + 3.750% 12/25/2042 | 8.234% | 3,750,000 | 3,802,010 | |
Subordinated CMO Series 2019-R05 Class 1B1 | ||||
1-month USD LIBOR + 4.100% 07/25/2039 | 8.717% | 1,664,291 | 1,707,171 | |
Subordinated CMO Series 2020-R02 Class 2B1 | ||||
1-month USD LIBOR + 3.000% 01/25/2040 | 7.617% | 5,250,000 | 4,989,908 | |
Subordinated CMO Series 2022-R02 Class 2B1 | ||||
30-day Average SOFR + 4.500% 01/25/2042 | 8.984% | 1,000,000 | 967,832 | |
Subordinated CMO Series 2022-R04 Class 1B1 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 9.734% | 750,000 | 765,339 | |
Countrywide Home Loan Mortgage Pass-Through Trust(f) | ||||
CMO Series 2007-HY5 Class 1A1 | ||||
09/25/2047 | 4.034% | 296,539 | 216,265 | |
Credit Suisse Mortgage Capital Trust(a),(f) | ||||
CMO Series 2021-RP11 Class PT | ||||
10/25/2061 | 3.777% | 7,916,533 | 6,019,096 | |
Credit Suisse Mortgage Trust(a),(f) | ||||
CMO Series 2022-ATH2 Class A1 | ||||
05/25/2067 | 4.570% | 6,907,333 | 6,628,412 | |
CMO Series 2022-ATH3 Class A3 | ||||
08/25/2067 | 6.567% | 1,638,054 | 1,608,067 | |
CMO Series 2022-JR1 Class A1 | ||||
10/25/2066 | 4.267% | 5,378,719 | 5,125,338 | |
Credit-Based Asset Servicing & Securitization LLC(f) | ||||
CMO Series 2007-CB1 Class AF3 | ||||
01/25/2037 | 3.107% | 3,439,232 | 1,092,945 | |
CSMC Trust(a),(f) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 5,349,807 | 4,999,179 | |
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.456% | 3,514,862 | 3,464,501 |
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-RPL6 Class A1 | ||||
03/25/2059 | 2.688% | 2,593,768 | 2,503,442 | |
CMO Series 2021-NQM6 Class A1 | ||||
07/25/2066 | 1.174% | 4,092,991 | 3,260,909 | |
CSMCM Trust(a) | ||||
CMO Series 2021-RP11 Class CERT | ||||
10/27/2061 | 3.778% | 330,963 | 249,547 | |
CSMCM Trust Certificates(a),(f) | ||||
CMO Series 2018-RPL4 Class CERT | ||||
07/25/2050 | 3.735% | 1,521,747 | 1,344,599 | |
Deephaven Residential Mortgage Trust(a),(f) | ||||
CMO Series 2021-4 Class M1 | ||||
11/25/2066 | 3.257% | 2,000,000 | 1,469,945 | |
Domino’s Pizza Master Issuer LLC(a) | ||||
CMO Series 2015-1A Class A2II | ||||
10/25/2045 | 4.474% | 1,875,000 | 1,804,502 | |
Downey Savings & Loan Association Mortgage Loan Trust(b) | ||||
CMO Series 2005-AR6 Class 2A1A | ||||
1-month USD LIBOR + 0.580% Floor 0.290%, Cap 11.000% 10/19/2045 | 5.178% | 1,136,941 | 946,156 | |
CMO Series 2006-AR2 Class 2A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200% 10/19/2036 | 4.798% | 1,841,913 | 1,257,341 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 6.417% | 493,283 | 493,283 | |
CMO Series 2019-1 Class M2 | ||||
1-month USD LIBOR + 3.300% 04/25/2029 | 7.917% | 700,000 | 707,777 | |
CMO Series 2021-2 Class M1C | ||||
30-day Average SOFR + 3.450% Floor 3.450% 04/25/2034 | 7.934% | 1,500,000 | 1,517,048 | |
Fannie Mae Connecticut Avenue Securities(b) | ||||
CMO Series 2015-C02 Class 1M2 | ||||
1-month USD LIBOR + 4.000% Floor 4.000% 05/25/2025 | 8.617% | 717,866 | 739,657 | |
CMO Series 2015-C03 Class 1M2 | ||||
1-month USD LIBOR + 5.000% Floor 5.000% 07/25/2025 | 9.617% | 134,381 | 141,000 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2022-HQA2 Class M2 | ||||
30-day Average SOFR + 6.000% 07/25/2042 | 10.484% | 2,000,000 | 2,055,386 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 69 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2006-FF18 Class A2D | ||||
1-month USD LIBOR + 0.210% Floor 0.210% 12/25/2037 | 4.827% | 1,271,469 | 1,128,575 | |
CMO Series 2007-FF2 Class A2B | ||||
1-month USD LIBOR + 0.100% Floor 0.100% 03/25/2037 | 4.717% | 3,336,036 | 1,624,087 | |
First Horizon Mortgage Pass-Through Trust(f) | ||||
CMO Series 2007-AR1 Class 1A1 | ||||
05/25/2037 | 3.568% | 197,636 | 85,006 | |
Flagstar Mortgage Trust(a),(f) | ||||
Subordinated CMO Series 2018-5 Class B3 | ||||
09/25/2048 | 4.463% | 907,640 | 825,141 | |
Subordinated CMO Series 2019-2 Class B1 | ||||
12/25/2049 | 4.030% | 871,820 | 781,973 | |
Subordinated CMO Series 2019-2 Class B2 | ||||
12/25/2049 | 4.030% | 932,428 | 824,632 | |
Freddie Mac STACR Remic Trust(a),(b) | ||||
CMO Series 2020-DNA2 Class B1 | ||||
1-month USD LIBOR + 2.500% Floor 2.500% 02/25/2050 | 7.117% | 2,700,000 | 2,589,527 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2020-DNA2 Class M2 | ||||
1-month USD LIBOR + 1.850% 02/25/2050 | 6.467% | 1,240,271 | 1,247,011 | |
CMO Series 2020-HQA1 Class M2 | ||||
1-month USD LIBOR + 1.900% 01/25/2050 | 6.517% | 45,849 | 45,910 | |
CMO Series 2020-HQA2 Class M2 | ||||
1-month USD LIBOR + 3.100% 03/25/2050 | 7.717% | 1,414,467 | 1,453,338 | |
CMO Series 2021-DNA5 Class M2 | ||||
30-day Average SOFR + 1.650% 01/25/2034 | 6.134% | 1,195,976 | 1,188,058 | |
CMO Series 2021-HQA1 Class B1 | ||||
30-day Average SOFR + 3.000% 08/25/2033 | 7.484% | 6,300,000 | 5,673,846 | |
CMO Series 2021-HQA1 Class M2 | ||||
30-day Average SOFR + 2.250% 08/25/2033 | 6.734% | 11,700,000 | 11,431,212 | |
CMO Series 2021-HQA3 Class M2 | ||||
30-day Average SOFR + 2.100% 09/25/2041 | 6.584% | 3,810,000 | 3,463,724 |
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-HQA4 Class M2 | ||||
30-day Average SOFR + 2.350% 12/25/2041 | 6.834% | 3,000,000 | 2,716,096 | |
CMO Series 2022-DNA1 Class M2 | ||||
30-day Average SOFR + 2.500% 01/25/2042 | 6.984% | 2,000,000 | 1,870,788 | |
CMO Series 2022-DNA3 Class M1B | ||||
30-day Average SOFR + 2.900% 04/25/2042 | 7.384% | 3,940,000 | 3,928,304 | |
CMO Series 2022-DNA5 Class M2 | ||||
30-day Average SOFR + 6.750% 06/25/2042 | 11.234% | 3,000,000 | 3,228,042 | |
CMO Series 2022-HQA3 Class M2 | ||||
30-day Average SOFR + 5.350% 08/25/2042 | 9.834% | 2,000,000 | 2,008,750 | |
Subordinated CMO Series 2021-DNA3 Class B1 | ||||
30-day Average SOFR + 3.500% 10/25/2033 | 7.984% | 2,025,000 | 1,945,370 | |
Subordinated CMO Series 2021-DNA6 Class B1 | ||||
30-day Average SOFR + 3.400% 10/25/2041 | 7.884% | 2,000,000 | 1,915,838 | |
Subordinated CMO Series 2021-DNA7 Class M2 | ||||
30-day Average SOFR + 1.800% 11/25/2041 | 6.110% | 960,000 | 918,388 | |
Subordinated CMO Series 2021-HQA3 Class B1 | ||||
30-day Average SOFR + 3.350% 09/25/2041 | 7.834% | 1,120,000 | 1,016,905 | |
Subordinated CMO Series 2021-HQA4 Class B1 | ||||
30-day Average SOFR + 3.750% 12/25/2041 | 8.234% | 6,000,000 | 5,455,454 | |
Subordinated CMO Series 2022-DNA1 Class B1 | ||||
30-day Average SOFR + 3.400% 01/25/2042 | 7.884% | 3,000,000 | 2,811,278 | |
Subordinated CMO Series 2022-DNA6 Class M2 | ||||
30-day Average SOFR + 5.750% 09/25/2042 | 10.234% | 6,000,000 | 6,252,452 |
70 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2020-HQA5 Class M2 | ||||
30-day Average SOFR + 2.600% 11/25/2050 | 7.084% | 5,056,060 | 5,121,392 | |
CMO Series 2021-DNA2 Class M2 | ||||
30-day Average SOFR + 2.300% 08/25/2033 | 6.784% | 1,000,000 | 1,002,218 | |
Subordinated CMO Series 2020-HQA5 Class B1 | ||||
30-day Average SOFR + 4.000% 11/25/2050 | 8.484% | 1,805,000 | 1,818,809 | |
Subordinated CMO Series 2021-DNA7 Class B1 | ||||
30-day Average SOFR + 3.650% 11/25/2041 | 7.960% | 710,000 | 675,319 | |
Galton Funding Mortgage Trust(a),(f) | ||||
CMO Series 2019-1 Class B1 | ||||
02/25/2059 | 4.250% | 1,602,575 | 1,467,943 | |
CMO Series 2019-1 Class B2 | ||||
02/25/2059 | 4.500% | 899,967 | 835,517 | |
Subordinated CMO Series 2018-2 Class B2 | ||||
10/25/2058 | 4.750% | 470,952 | 442,745 | |
GCAT LLC(a),(f) | ||||
CMO Series 2021-1 Class A1 | ||||
11/25/2049 | 2.487% | 6,505,198 | 5,866,240 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2021-3 Class M1B | ||||
30-day Average SOFR + 2.900% Floor 2.900% 02/25/2034 | 7.210% | 1,000,000 | 960,792 | |
GS Mortgage-Backed Securities Corp. Trust(a),(f) | ||||
CMO Series 2019-PJ3 Class A1 | ||||
03/25/2050 | 3.500% | 21,901 | 20,058 | |
GS Mortgage-Backed Securities Trust(a),(f) | ||||
Subordinated CMO Series 2021-GR3 Class B3 | ||||
04/25/2052 | 3.392% | 1,003,363 | 750,399 | |
GSAMP Trust(b) | ||||
CMO Series 2004-OPT Class M1 | ||||
1-month USD LIBOR + 0.870% Floor 0.580% 11/25/2034 | 5.487% | 954,196 | 911,959 | |
GSR Mortgage Loan Trust(f) | ||||
CMO Series 2006-AR2 Class 2A1 | ||||
04/25/2036 | 3.465% | 992,228 | 681,834 |
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HarborView Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200% 11/19/2036 | 4.798% | 5,654,355 | 4,525,476 | |
HSI Asset Securitization Corp. Trust(b) | ||||
CMO Series 2006-OPT1 Class M1 | ||||
1-month USD LIBOR + 0.540% Floor 0.360% 12/25/2035 | 5.046% | 1,175,439 | 1,163,304 | |
JPMorgan Alternative Loan Trust(b) | ||||
CMO Series 2007-S1 Class A1 | ||||
1-month USD LIBOR + 0.560% Floor 0.280%, Cap 11.500% 04/25/2047 | 5.177% | 2,463,761 | 2,318,010 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
CMO Series 2007-CH5 Class A5 | ||||
1-month USD LIBOR + 0.260% Floor 0.260% 06/25/2037 | 4.877% | 641,610 | 637,809 | |
JPMorgan Mortgage Trust(a),(f) | ||||
CMO Series 2018-5 Class A13 | ||||
10/25/2048 | 3.500% | 905,094 | 775,309 | |
CMO Series 2018-6 Class 1A10 | ||||
12/25/2048 | 3.500% | 143,497 | 126,835 | |
CMO Series 2019-1 Class A3 | ||||
05/25/2049 | 4.000% | 286,295 | 265,234 | |
CMO Series 2019-2 Class A3 | ||||
08/25/2049 | 4.000% | 89,777 | 84,360 | |
CMO Series 2019-5 Class A3 | ||||
11/25/2049 | 4.000% | 216,232 | 201,391 | |
CMO Series 2019-8 Class A15 | ||||
03/25/2050 | 3.500% | 148,588 | 132,030 | |
CMO Series 2019-9 Class B2A | ||||
05/25/2050 | 3.418% | 1,408,121 | 1,135,872 | |
CMO Series 2019-HYB1 Class B1 | ||||
10/25/2049 | 4.414% | 949,876 | 882,039 | |
CMO Series 2019-INV2 Class A3 | ||||
02/25/2050 | 3.500% | 138,371 | 124,896 | |
CMO Series 2019-LTV2 Class A18 | ||||
12/25/2049 | 4.000% | 7,789 | 7,685 | |
CMO Series 2019-LTV3 Class B3 | ||||
03/25/2050 | 4.394% | 1,582,356 | 1,335,572 | |
CMO Series 2020-1 Class A15 | ||||
06/25/2050 | 3.500% | 449,972 | 396,191 | |
CMO Series 2020-2 Class A15 | ||||
07/25/2050 | 3.500% | 300,256 | 269,809 | |
CMO Series 2020-5 Class A15 | ||||
12/25/2050 | 3.000% | 211,138 | 179,521 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 71 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-5 Class B1 | ||||
12/25/2050 | 3.582% | 943,476 | 812,653 | |
CMO Series 2021-13 Class A3 | ||||
04/25/2052 | 2.500% | 10,201,936 | 8,272,734 | |
Subordinated CMO Series 2017-1 Class B4 | ||||
01/25/2047 | 3.449% | 412,170 | 348,075 | |
Subordinated CMO Series 2017-3 Class B1 | ||||
08/25/2047 | 3.753% | 1,242,669 | 1,128,976 | |
Subordinated CMO Series 2017-6 Class B2 | ||||
12/25/2048 | 3.781% | 531,927 | 465,120 | |
Subordinated CMO Series 2018-8 Class B1 | ||||
01/25/2049 | 4.051% | 1,087,349 | 983,044 | |
Subordinated CMO Series 2018-8 Class B2 | ||||
01/25/2049 | 4.051% | 906,124 | 766,340 | |
Subordinated CMO Series 2019-2 Class B2 | ||||
08/25/2049 | 4.478% | 2,124,018 | 1,972,817 | |
Subordinated CMO Series 2019-6 Class B1 | ||||
12/25/2049 | 4.236% | 931,699 | 853,556 | |
Subordinated CMO Series 2019-8 Class B3A | ||||
03/25/2050 | 3.417% | 1,867,440 | 1,526,564 | |
Subordinated CMO Series 2019-LTV1 Class B2 | ||||
06/25/2049 | 4.544% | 1,639,728 | 1,520,160 | |
Subordinated CMO Series 2019-LTV2 Class B2 | ||||
12/25/2049 | 4.698% | 1,119,575 | 1,038,522 | |
Subordinated CMO Series 2019-LTV2 Class B3 | ||||
12/25/2049 | 4.698% | 932,979 | 852,656 | |
Subordinated CMO Series 2020-8 Class B2 | ||||
03/25/2051 | 3.515% | 1,878,445 | 1,541,447 | |
Subordinated CMO Series 2022-LTV2 Class A1 | ||||
11/25/2052 | 3.308% | 1,576,861 | 1,229,655 | |
JPMorgan Mortgage Trust(a),(b) | ||||
CMO Series 2018-7FRB Class A1 | ||||
1-month USD LIBOR + 0.750% 04/25/2046 | 5.151% | 598,051 | 569,552 | |
JPMorgan Trust(a),(f) | ||||
Subordinated CMO Series 2015-3 Class B3 | ||||
05/25/2045 | 3.605% | 437,504 | 396,598 | |
Legacy Mortgage Asset Trust(a),(f) | ||||
CMO Series 2019-PR1 Class A1 | ||||
09/25/2059 | 3.858% | 6,869,410 | 6,685,371 | |
CMO Series 2020-GS1 Class A1 | ||||
10/25/2059 | 2.882% | 3,199,182 | 3,050,044 | |
CMO Series 2020-GS2 Class A1 | ||||
03/25/2060 | 2.750% | 11,721,406 | 11,695,782 | |
CMO Series 2020-SL1 Class A | ||||
01/25/2060 | 2.734% | 530,156 | 519,128 |
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 1,013,516 | 922,595 | |
CMO Series 2021-SL1 Class A | ||||
09/25/2060 | 1.991% | 842,357 | 829,110 | |
CMO Series 2021-SL2 Class A | ||||
10/25/2068 | 1.875% | 277,886 | 249,019 | |
Lehman XS Trust(b) | ||||
CMO Series 2005-5N Class 3A1A | ||||
1-month USD LIBOR + 0.300% Floor 0.300% 11/25/2035 | 4.917% | 426,023 | 413,076 | |
CMO Series 2006-2N Class 1A1 | ||||
1-month USD LIBOR + 0.520% Floor 0.260% 02/25/2046 | 5.137% | 1,129,129 | 978,250 | |
Loan Revolving Advance Investment Trust(a),(b),(d),(e) | ||||
CMO Series 2021-2 Class A1X | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 06/30/2023 | 7.328% | 78,832 | 78,832 | |
loanDepot GMSR Master Trust(a),(b) | ||||
Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.800% Floor 2.800% 10/16/2023 | 7.390% | 1,300,000 | 1,106,682 | |
Long Beach Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A | ||||
1-month USD LIBOR + 0.150% Floor 0.150% 11/25/2036 | 4.917% | 3,729,105 | 2,638,678 | |
CMO Series 2006-11 Class 2A2 | ||||
1-month USD LIBOR + 0.100% Floor 0.100% 12/25/2036 | 4.717% | 29,818,445 | 11,089,856 | |
MASTR Alternative Loan Trust | ||||
CMO Series 2004-12 Class 4A1 | ||||
12/25/2034 | 5.500% | 357,162 | 345,201 | |
Mello Mortgage Capital Acceptance Trust(a),(f) | ||||
Subordinated CMO Series 2021-INV1 Class B3 | ||||
06/25/2051 | 2.971% | 1,961,524 | 1,390,802 | |
Merrill Lynch First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2007-1 Class A2D | ||||
1-month USD LIBOR + 0.340% Floor 0.340% 04/25/2037 | 5.297% | 16,292,823 | 6,452,761 | |
MortgageIT Trust(b) | ||||
CMO Series 2005-5 Class A1 | ||||
1-month USD LIBOR + 0.520% Floor 0.260%, Cap 11.500% 12/25/2035 | 5.026% | 480,030 | 451,606 |
72 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
New Residential Mortgage Loan Trust(a),(b) | ||||
CMO Series 2018-4A Class A1S | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 01/25/2048 | 5.367% | 1,005,267 | 982,876 | |
Oaktown Re II Ltd.(a),(b) | ||||
CMO Series 2018-1A Class M1 | ||||
1-month USD LIBOR + 1.550% 07/25/2028 | 6.167% | 247,864 | 247,586 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1A | ||||
30-day Average SOFR + 1.650% Floor 1.650% 10/25/2033 | 6.134% | 292,716 | 292,239 | |
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 10/25/2033 | 6.534% | 915,000 | 911,035 | |
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 3.000% Floor 3.000% 10/25/2033 | 7.484% | 2,250,000 | 2,184,015 | |
Oaktown Re VII Ltd.(a),(b) | ||||
CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 2.900% Floor 2.900% 04/25/2034 | 6.844% | 2,200,000 | 2,171,510 | |
CMO Series 2021-2 Class M1C | ||||
30-day Average SOFR + 3.350% Floor 3.350% 04/25/2034 | 7.294% | 2,000,000 | 1,908,231 | |
OBX Trust(a),(f) | ||||
CMO Series 2019-EXP1 Class 1A3 | ||||
01/25/2059 | 4.000% | 54,695 | 52,452 | |
CMO Series 2019-INV2 Class A25 | ||||
05/27/2049 | 4.000% | 93,626 | 86,890 | |
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-4 Class M2 | ||||
1-month USD LIBOR + 0.750% Floor 0.500% 11/25/2035 | 5.256% | 11,526,000 | 11,084,148 | |
Preston Ridge Partners Mortgage Trust(a),(f) | ||||
CMO Series 2022-4 Class A1 | ||||
08/25/2027 | 5.000% | 3,153,147 | 3,019,363 | |
Pretium Mortgage Credit Partners LLC(a),(f) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 6,423,998 | 5,818,995 |
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2022-RN2 Class A1 | ||||
06/25/2052 | 5.000% | 8,350,564 | 7,751,555 | |
CMO Series 2022-RN2 Class A2 | ||||
06/25/2052 | 6.500% | 13,780,000 | 12,482,019 | |
CMO Series 2022-RN3 Class A1 | ||||
08/25/2052 | 5.000% | 10,195,392 | 9,393,841 | |
Radnor RE Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 12/27/2033 | 7.184% | 3,000,000 | 2,884,353 | |
RALI Trust(f) | ||||
CMO Series 2005-QA4 Class A41 | ||||
04/25/2035 | 3.853% | 33,014 | 31,992 | |
RALI Trust(f),(g) | ||||
CMO Series 2006-QS18 Class 1AV | ||||
12/25/2036 | 0.467% | 20,532,875 | 250,988 | |
CMO Series 2007-QS1 Class 2AV | ||||
01/25/2037 | 0.169% | 22,295,189 | 124,322 | |
Rathlin Residential(a),(b) | ||||
CMO Series 2021-1A Class A | ||||
1-month EURIBOR + 2.000% 09/27/2075 | 3.894% | EUR | 2,784,861 | 2,814,043 |
RFMSI Trust(f) | ||||
CMO Series 2005-SA5 Class 1A | ||||
11/25/2035 | 3.577% | 597,122 | 354,142 | |
CMO Series 2006-SA4 Class 2A1 | ||||
11/25/2036 | 5.158% | 156,053 | 128,514 | |
Seasoned Credit Risk Transfer Trust(f) | ||||
CMO Series 2017-3SC Class HT (FHLMC) | ||||
07/25/2056 | 3.250% | 17,312,768 | 15,498,380 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2017-4 Class M45T | ||||
06/25/2057 | 4.500% | 368,799 | 352,725 | |
CMO Series 2018-2 Class HT (FHLMC) | ||||
11/25/2057 | 3.000% | 275,953 | 242,675 | |
CMO Series 2018-3 Class HT (FHLMC) | ||||
08/25/2057 | 3.000% | 300,948 | 263,652 | |
CMO Series 2018-4 Class HT (FHLMC) | ||||
03/25/2058 | 3.000% | 250,863 | 219,652 | |
CMO Series 2019-1 Class HT (FHLMC) | ||||
07/25/2058 | 3.000% | 1,017,036 | 894,060 | |
CMO Series 2019-2 Class HT (FHLMC) | ||||
08/25/2058 | 3.000% | 189,093 | 166,349 | |
CMO Series 2019-3 Class HT (FHLMC) | ||||
10/25/2058 | 3.000% | 61,847 | 54,413 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 73 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sequoia Mortgage Trust(a),(f) | ||||
CMO Series 2019-4 Class A19 | ||||
11/25/2049 | 3.500% | 152,960 | 133,001 | |
CMO Series 2019-CH2 Class A1 | ||||
08/25/2049 | 4.500% | 37,195 | 36,311 | |
CMO Series 2021-5 Class A19 | ||||
07/25/2051 | 2.500% | 673,041 | 526,181 | |
Subordinated CMO Series 2015-1 Class B1 | ||||
01/25/2045 | 3.913% | 312,282 | 292,794 | |
Subordinated CMO Series 2018-6 Class B1 | ||||
07/25/2048 | 4.168% | 1,111,615 | 985,737 | |
Subordinated CMO Series 2019-2 Class B2 | ||||
06/25/2049 | 4.260% | 1,797,366 | 1,599,742 | |
Subordinated CMO Series 2020-3 Class B2 | ||||
04/25/2050 | 3.325% | 993,218 | 800,799 | |
Structured Adjustable Rate Mortgage Loan Trust(f) | ||||
CMO Series 2004-20 Class 1A2 | ||||
01/25/2035 | 4.484% | 360,451 | 340,052 | |
CMO Series 2006-5 Class 1A1 | ||||
06/25/2036 | 3.597% | 657,383 | 589,056 | |
Texas Capital Bank NA(a),(b) | ||||
CMO Series 2021 Class NOTE | ||||
3-month USD LIBOR + 4.500% 09/30/2024 | 9.254% | 7,340,000 | 7,130,194 | |
Toorak Mortgage Corp., Ltd.(a),(f) | ||||
CMO Series 2022-INV2 Class A1 | ||||
06/25/2057 | 4.350% | 6,052,770 | 5,798,480 | |
Towd Point HE Trust(a) | ||||
CMO Series 2023-1 Class A1A | ||||
02/25/2063 | 6.875% | 1,180,000 | 1,180,977 | |
Verus Securitization Trust(a),(f) | ||||
CMO Series 2022-INV1 Class A3 | ||||
08/25/2067 | 5.830% | 1,927,534 | 1,874,469 | |
WaMu Asset-Backed Certificates Trust(b) | ||||
CMO Series 2007-HE1 Class 2A3 | ||||
1-month USD LIBOR + 0.150% Floor 0.150% 01/25/2037 | 4.767% | 3,336,176 | 1,514,975 | |
WaMu Mortgage Pass-Through Certificates Trust(f) | ||||
CMO Series 2003-AR8 Class A | ||||
08/25/2033 | 4.171% | 222,999 | 210,587 | |
CMO Series 2004-AR4 Class A6 | ||||
06/25/2034 | 3.470% | 1,666,021 | 1,556,592 | |
CMO Series 2004-AR7 Class A6 | ||||
07/25/2034 | 3.495% | 793,816 | 738,119 | |
CMO Series 2007-HY1 Class 3A3 | ||||
02/25/2037 | 3.715% | 2,334,310 | 2,093,275 |
Residential Mortgage-Backed Securities - Non-Agency(m) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2007-HY3 Class 1A1 | ||||
03/25/2037 | 3.052% | 401,545 | 312,947 | |
WaMu Mortgage Pass-Through Certificates Trust(b) | ||||
CMO Series 2005-AR11 Class A1A | ||||
1-month USD LIBOR + 0.640% Floor 0.320%, Cap 10.500% 08/25/2045 | 5.257% | 572,141 | 545,886 | |
CMO Series 2005-AR17 Class A1A1 | ||||
1-month USD LIBOR + 0.540% Floor 0.270%, Cap 10.500% 12/25/2045 | 5.157% | 2,021,385 | 1,792,016 | |
CMO Series 2005-AR2 Class 2A1A | ||||
1-month USD LIBOR + 0.620% Floor 0.310%, Cap 10.500% 01/25/2045 | 5.237% | 508,828 | 490,435 | |
CMO Series 2005-AR8 Class 2A1A | ||||
1-month USD LIBOR + 0.580% Floor 0.290%, Cap 10.500% 07/25/2045 | 5.197% | 1,841,981 | 1,693,808 | |
CMO Series 2005-AR9 Class A1A | ||||
1-month USD LIBOR + 0.640% Floor 0.320%, Cap 10.500% 07/25/2045 | 5.257% | 453,799 | 416,806 | |
CMO Series 2006-AR4 Class 1A1A | ||||
1-year MTA + 0.940% Floor 0.940% 05/25/2046 | 4.078% | 1,155,557 | 1,002,244 | |
CMO Series 2006-AR5 Class A12A | ||||
1-year MTA + 0.980% Floor 0.980% 06/25/2046 | 4.118% | 328,116 | 304,299 | |
CMO Series 2007-OC2 Class A3 | ||||
1-month USD LIBOR + 0.310% Floor 0.310% 06/25/2037 | 5.237% | 1,750,894 | 1,556,375 | |
Wells Fargo Mortgage-Backed Securities Trust(a),(f) | ||||
CMO Series 2019-1 Class A1 | ||||
11/25/2048 | 3.940% | 45,048 | 42,896 | |
Subordinated CMO Series 2018-1 Class B3 | ||||
07/25/2047 | 3.664% | 1,071,132 | 884,057 | |
Subordinated CMO Series 2020-1 Class B3 | ||||
12/25/2049 | 3.368% | 1,900,025 | 1,535,126 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $502,873,328) | 466,987,940 | |||
74 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans 0.6% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
TransDigm, Inc.(b),(r),(u) | ||||
Tranche 1 Term Loan | ||||
1-month Term SOFR + 3.250% 08/10/2028 | 7.825% | 822,938 | 820,371 | |
Airlines 0.0% | ||||
United AirLines, Inc.(b),(u) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 04/21/2028 | 8.568% | 1,082,338 | 1,078,961 | |
Automotive 0.0% | ||||
Clarios Global LP(b),(u) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% 04/30/2026 | 7.885% | 836,524 | 831,430 | |
Brokerage/Asset Managers/Exchanges 0.0% | ||||
Deerfield Dakota Holdings LLC(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 1.000% 04/09/2027 | 8.368% | 720,125 | 689,742 | |
Cable and Satellite 0.1% | ||||
Charter Communications Operating LLC(b),(u) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 1.750% 02/01/2027 | 6.368% | 242,481 | 240,178 | |
CSC Holdings LLC(b),(u) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% 04/15/2027 | 7.088% | 2,700,668 | 2,427,225 | |
CSC Holdings LLC(b),(r),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 4.500% 01/17/2028 | 9.063% | 1,937,273 | 1,811,350 | |
DirectTV Financing LLC(b),(u) | ||||
Term Loan | ||||
1-month USD LIBOR + 5.000% Floor 0.750% 08/02/2027 | 9.635% | 1,286,875 | 1,250,173 | |
Virgin Media Bristol LLC(b),(u) | ||||
Tranche N Term Loan | ||||
3-month USD LIBOR + 2.500% 01/31/2028 | 7.088% | 1,250,000 | 1,224,550 | |
Total | 6,953,476 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.0% | ||||
Amentum Government Services Holdings LLC(b),(u) | ||||
Tranche 1 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% 01/29/2027 | 8.519% | 310,489 | 306,478 | |
Arches Buyer, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 12/06/2027 | 7.968% | 72,622 | 68,265 | |
Pre-Paid Legal Services, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 12/15/2028 | 8.385% | 503,970 | 495,780 | |
Prime Security Services Borrower LLC(b),(u) | ||||
Tranche B1 1st Lien Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.750% 09/23/2026 | 7.517% | 450,848 | 449,721 | |
Safe Fleet Holdings LLC(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 02/23/2029 | 8.411% | 169,371 | 165,313 | |
Spin Holdco, Inc.(b),(u) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 03/04/2028 | 8.765% | 729,272 | 612,486 | |
TruGreen LP(b),(u) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 11/02/2027 | 8.635% | 287,518 | 263,079 | |
Total | 2,361,122 | |||
Consumer Products 0.0% | ||||
Acuity Specialty Products, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 08/12/2024 | 8.730% | 279,128 | 219,116 | |
Osmosis Buyer Ltd.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.500% 07/31/2028 | 8.315% | 342,833 | 329,243 | |
Total | 548,359 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 75 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Finance Companies 0.0% | ||||
Avolon Borrower 1 LLC(b),(u) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 1.750% Floor 0.750% 01/15/2025 | 6.348% | 175,812 | 175,538 | |
Tranche B5 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 12/01/2027 | 6.848% | 1,969,849 | 1,967,998 | |
Total | 2,143,536 | |||
Food and Beverage 0.0% | ||||
Hostess Brands LLC(b),(u) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 2.250% Floor 0.750% 08/03/2025 | 7.075% | 436,237 | 435,103 | |
Naked Juice LLC(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 01/24/2029 | 7.930% | 1,556,814 | 1,411,516 | |
2nd Lien Term Loan | ||||
1-month Term SOFR + 6.000% Floor 0.500% 01/24/2030 | 10.680% | 76,405 | 58,068 | |
Total | 1,904,687 | |||
Gaming 0.0% | ||||
Fertitta Entertainment LLC(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 01/27/2029 | 8.618% | 543,668 | 528,380 | |
Light and Wonder International, Inc.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 04/14/2029 | 7.662% | 456,496 | 454,213 | |
Total | 982,593 | |||
Health Care 0.1% | ||||
Avantor Funding, Inc.(b),(u) | ||||
Tranche B5 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 11/08/2027 | 6.885% | 781,113 | 779,378 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Bausch & Lomb Corp.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 05/10/2027 | 7.842% | 219,018 | 213,935 | |
Gainwell Acquisition Corp.(b),(u) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 10/01/2027 | 8.730% | 742,424 | 714,769 | |
ICON PLC(b),(u) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.250% 07/03/2028 | 7.000% | 376,205 | 375,596 | |
3-month USD LIBOR + 2.250% 07/03/2028 | 7.000% | 93,732 | 93,580 | |
Medline Borrower LP(b),(u) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 10/23/2028 | 7.885% | 496,250 | 478,052 | |
Total | 2,655,310 | |||
Independent Energy 0.0% | ||||
Ascent Resources Utica Holdings(b),(u) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 10.000% Floor 1.000% 11/01/2025 | 10.000% | 287,000 | 304,220 | |
Leisure 0.0% | ||||
Crown Finance US, Inc.(b),(r),(u),(v) | ||||
Debtor in Possession Term Loan | ||||
1-month Term SOFR + 10.000% Floor 1.000% 09/07/2023 | 14.664% | 829,533 | 844,258 | |
Formula One Management Ltd.(b),(r),(u) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 01/15/2030 | 7.868% | 52,090 | 52,181 | |
William Morris Endeavor Entertainment LLC(b),(u) | ||||
Tranche B1 1st Lien Term Loan | ||||
3-month USD LIBOR + 2.750% 05/18/2025 | 7.390% | 90,054 | 89,523 | |
Total | 985,962 |
76 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Media and Entertainment 0.0% | ||||
Diamond Sports Group LLC(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 8.000% Floor 1.000% 05/25/2026 | 12.775% | 331,326 | 308,687 | |
2nd Lien Term Loan | ||||
1-month Term SOFR + 3.250% 08/24/2026 | 8.025% | 5,285,834 | 598,779 | |
Total | 907,466 | |||
Other Financial Institutions 0.0% | ||||
Trans Union LLC(b),(u) | ||||
Tranche B5 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/16/2026 | 6.385% | 621,512 | 616,720 | |
Tranche B6 Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.500% 12/01/2028 | 6.885% | 254,231 | 252,556 | |
Total | 869,276 | |||
Other Industry 0.0% | ||||
Adtalem Global Education, Inc.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 08/12/2028 | 8.635% | 432,404 | 431,245 | |
Artera Services LLC(b),(u) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 03/06/2025 | 7.980% | 449,104 | 374,041 | |
Total | 805,286 | |||
Packaging 0.0% | ||||
Berry Global, Inc.(b),(u) | ||||
Tranche Z Term Loan | ||||
1-month USD LIBOR + 1.750% 07/01/2026 | 6.325% | 2,213,651 | 2,206,346 | |
Pharmaceuticals 0.1% | ||||
Elanco Animal Health, Inc.(b),(u) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 08/01/2027 | 6.316% | 1,861,644 | 1,821,749 | |
Grifols Worldwide Operations Ltd.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.000% 11/15/2027 | 6.635% | 1,353,536 | 1,318,006 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Horizon Therapeutics USA, Inc.(b),(u) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 1.750% Floor 0.500% 03/15/2028 | 6.375% | 1,053,707 | 1,052,305 | |
Jazz Pharmaceuticals PLC(b),(u) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 05/05/2028 | 8.135% | 1,207,379 | 1,205,013 | |
Organon & Co.(b),(u) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 06/02/2028 | 7.750% | 3,304,759 | 3,263,449 | |
Total | 8,660,522 | |||
Property & Casualty 0.1% | ||||
Acrisure LLC(b),(u) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.500% 02/15/2027 | 8.135% | 907,952 | 866,122 | |
AmWINS Group, Inc.(b),(u) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.750% 02/19/2028 | 6.885% | 2,445,037 | 2,403,178 | |
Asurion LLC(b),(u) | ||||
Tranche B7 Term Loan | ||||
3-month USD LIBOR + 3.000% 11/03/2024 | 7.635% | 338,033 | 336,644 | |
Total | 3,605,944 | |||
Restaurants 0.0% | ||||
1011778 BC ULC(b),(u) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 6.385% | 545,013 | 539,661 | |
KFC Holding Co./Yum! Brands(b),(u) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 1.750% 03/15/2028 | 6.348% | 367,252 | 364,957 | |
Total | 904,618 | |||
Retailers 0.0% | ||||
Michaels Companies, Inc. (The)(b),(u) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.250% Floor 0.750% 04/15/2028 | 8.980% | 1,970,000 | 1,800,087 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 77 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 0.1% | ||||
athenahealth Group, Inc.(b),(r),(u),(w) | ||||
Delayed Draw Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 02/15/2029 | 3.500% | 188,947 | 174,304 | |
athenahealth Group, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 02/15/2029 | 8.061% | 1,541,934 | 1,422,434 | |
Central Parent, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.500% Floor 0.500% 07/06/2029 | 9.080% | 482,176 | 480,319 | |
Coherent Corp.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 07/02/2029 | 7.385% | 140,001 | 139,126 | |
CommScope, Inc.(b),(u) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 04/06/2026 | 7.885% | 1,707,859 | 1,655,769 | |
DTI Holdco, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.750% Floor 0.750% 04/26/2029 | 9.426% | 87,741 | 81,709 | |
Entegris, Inc.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.000% 07/06/2029 | 7.588% | 450,000 | 450,468 | |
Ingram Micro, Inc.(b),(u) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 06/30/2028 | 8.230% | 197,387 | 196,153 | |
Open Text Corp.(b),(r),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 08/27/2029 | 8.218% | 179,945 | 179,580 | |
Oracle Corp.(b),(u) | ||||
Tranche 1 Term Loan | ||||
1-month Term SOFR + 1.600% 08/16/2027 | 6.147% | 2,505,973 | 2,480,913 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Peraton Corp.(b),(u) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 02/01/2028 | 8.385% | 2,604,220 | 2,576,147 | |
Project Alpha Intermediate Holding, Inc.(b),(u) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.000% 04/26/2024 | 8.640% | 283,553 | 282,742 | |
Proofpoint, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% Floor 0.500% 08/31/2028 | 8.203% | 159,847 | 155,141 | |
RealPage, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 04/24/2028 | 7.635% | 134,320 | 129,921 | |
Total | 10,404,726 | |||
Wireless 0.1% | ||||
Digicel International Finance Ltd.(b),(u) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% 05/27/2024 | 7.885% | 2,725,574 | 2,337,862 | |
SBA Senior Finance II LLC(b),(u) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 6.410% | 711,475 | 709,995 | |
Total | 3,047,857 | |||
Wirelines 0.0% | ||||
Frontier Communications Corp.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.750% Floor 0.750% 05/01/2028 | 8.500% | 209,867 | 204,784 | |
Telenet Financing USD LLC(b),(u) | ||||
Tranche AR Term Loan | ||||
6-month USD LIBOR + 2.000% 04/30/2028 | 6.588% | 750,000 | 732,188 |
78 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Zayo Group Holdings, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 03/09/2027 | 8.868% | 305,028 | 258,782 | |
1-month USD LIBOR + 3.000% 03/09/2027 | 7.635% | 1,613,487 | 1,338,613 | |
Total | 2,534,367 | |||
Total Senior Loans (Cost $60,096,776) | 58,006,264 | |||
Treasury Bills 1.7% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 1.7% | ||||
U.S. Treasury Bills | ||||
03/14/2023 | 4.540% | 14,500,000 | 14,474,771 | |
03/16/2023 | 4.260% | 4,000,000 | 3,992,548 | |
04/18/2023 | 4.740% | 15,000,000 | 14,905,205 | |
07/27/2023 | 4.870% | 12,050,000 | 11,815,255 | |
08/03/2023 | 4.910% | 5,202,000 | 5,095,051 | |
08/10/2023 | 4.950% | 25,650,000 | 25,095,705 | |
U.S. Treasury Bills(s) | ||||
05/18/2023 | 4.700% | 102,290,000 | 101,258,892 | |
Total | 176,637,427 | |||
Total Treasury Bills (Cost $177,049,494) | 176,637,427 | |||
U.S. Government & Agency Obligations 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(i) | ||||
STRIPS | ||||
05/15/2030 | 0.000% | 295,000 | 215,931 | |
Residual Funding Corp.(i) | ||||
STRIPS | ||||
01/15/2030 | 0.000% | 7,351,000 | 5,406,752 | |
04/15/2030 | 0.000% | 425,000 | 309,176 | |
Resolution Funding Corp.(i) | ||||
STRIPS | ||||
04/15/2030 | 0.000% | 3,000,000 | 2,194,430 | |
Tennessee Valley Authority Principal STRIP(i) | ||||
09/15/2024 | 0.000% | 445,000 | 408,014 | |
Total U.S. Government & Agency Obligations (Cost $9,314,653) | 8,534,303 | |||
U.S. Treasury Obligations 13.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
01/15/2024 | 0.125% | 20,000,000 | 19,149,219 | |
01/31/2025 | 4.125% | 60,720,000 | 59,932,537 | |
02/28/2025 | 4.625% | 131,346,000 | 130,925,283 | |
02/15/2026 | 4.000% | 83,704,000 | 82,546,531 | |
12/31/2027 | 3.875% | 102,120,000 | 100,628,091 | |
01/31/2028 | 3.500% | 25,289,000 | 24,520,452 | |
02/29/2028 | 4.000% | 170,465,000 | 169,213,148 | |
03/31/2028 | 1.250% | 2,775,000 | 2,405,795 | |
02/28/2030 | 4.000% | 1,318,000 | 1,312,852 | |
11/15/2032 | 4.125% | 16,287,000 | 16,551,664 | |
02/15/2033 | 3.500% | 41,966,300 | 40,589,281 | |
11/15/2040 | 1.375% | 31,900,000 | 20,959,297 | |
08/15/2041 | 1.750% | 63,675,000 | 44,134,734 | |
11/15/2041 | 2.000% | 242,979,000 | 175,514,362 | |
02/15/2042 | 2.375% | 86,590,000 | 66,606,652 | |
05/15/2042 | 3.250% | 55,630,000 | 49,189,089 | |
11/15/2042 | 2.750% | 32,165,000 | 26,134,062 | |
11/15/2042 | 4.000% | 280,000 | 276,150 | |
02/15/2043 | 3.875% | 71,949,900 | 69,847,614 | |
05/15/2043 | 2.875% | 335,000 | 277,055 | |
08/15/2047 | 2.750% | 16,000,000 | 12,727,500 | |
02/15/2049 | 3.000% | 23,060,000 | 19,301,941 | |
08/15/2049 | 2.250% | 9,030,000 | 6,479,025 | |
11/15/2049 | 2.375% | 9,395,000 | 6,933,216 | |
05/15/2050 | 1.250% | 40,235,000 | 22,330,425 | |
11/15/2050 | 1.625% | 31,720,000 | 19,453,281 | |
11/15/2051 | 1.875% | 880,000 | 572,825 | |
08/15/2052 | 3.000% | 13,040,000 | 10,978,050 | |
11/15/2052 | 4.000% | 34,664,100 | 35,303,219 | |
02/15/2053 | 3.500% | 61,970,000 | 59,036,108 | |
U.S. Treasury(s) | ||||
05/15/2041 | 2.250% | 100,850,000 | 76,630,242 | |
08/15/2043 | 3.625% | 6,850,000 | 6,376,922 | |
05/15/2045 | 3.000% | 10,035,000 | 8,379,225 | |
U.S. Treasury(i) | ||||
STRIPS | ||||
11/15/2038 | 0.000% | 2,860,000 | 1,481,726 | |
02/15/2039 | 0.000% | 2,670,000 | 1,367,853 | |
05/15/2039 | 0.000% | 4,595,000 | 2,329,629 | |
11/15/2039 | 0.000% | 7,400,000 | 3,677,164 | |
02/15/2040 | 0.000% | 5,735,000 | 2,812,838 | |
11/15/2040 | 0.000% | 3,590,000 | 1,709,878 | |
02/15/2041 | 0.000% | 5,100,000 | 2,396,602 | |
05/15/2041 | 0.000% | 250,000 | 116,543 | |
08/15/2041 | 0.000% | 4,455,000 | 2,055,913 | |
11/15/2041 | 0.000% | 3,500,000 | 1,597,832 | |
05/15/2042 | 0.000% | 400,000 | 178,250 | |
08/15/2042 | 0.000% | 5,510,000 | 2,428,059 | |
11/15/2043 | 0.000% | 9,279,000 | 3,890,656 | |
02/15/2044 | 0.000% | 980,000 | 405,896 | |
08/15/2044 | 0.000% | 1,255,000 | 508,765 | |
02/15/2045 | 0.000% | 8,770,000 | 3,580,969 | |
02/15/2045 | 0.000% | 695,000 | 276,507 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 79 |
February 28, 2023 (Unaudited)
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(i),(s) | ||||
STRIPS | ||||
05/15/2043 | 0.000% | 18,965,000 | 8,099,388 | |
Total U.S. Treasury Obligations (Cost $1,599,277,280) | 1,424,130,315 |
Money Market Funds 8.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(x),(y) | 913,219,011 | 912,853,723 |
Total Money Market Funds (Cost $912,873,181) | 912,853,723 | |
Total Investments in Securities (Cost: $12,027,158,366) | 11,096,634,935 | |
Other Assets & Liabilities, Net | (890,444,209) | |
Net Assets | 10,206,190,726 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
572,247 EUR | 623,022 USD | Morgan Stanley | 03/17/2023 | 17,176 | — |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 214 | 06/2023 | USD | 26,796,813 | — | (137,669) |
U.S. Long Bond | 401 | 06/2023 | USD | 50,212,719 | — | (205,641) |
U.S. Treasury 10-Year Note | 168 | 06/2023 | USD | 18,758,250 | — | (37,192) |
U.S. Treasury 10-Year Note | 804 | 06/2023 | USD | 89,771,625 | — | (227,789) |
U.S. Treasury 10-Year Note | 1,965 | 06/2023 | USD | 219,404,531 | — | (370,681) |
U.S. Treasury 2-Year Note | 423 | 06/2023 | USD | 86,176,336 | — | (152,767) |
U.S. Treasury 2-Year Note | 2,513 | 06/2023 | USD | 511,964,850 | — | (1,438,549) |
U.S. Treasury 2-Year Note | 3,491 | 06/2023 | USD | 711,209,428 | — | (1,966,206) |
U.S. Treasury 5-Year Note | 757 | 06/2023 | USD | 81,040,399 | — | (413,708) |
U.S. Treasury 5-Year Note | 2,074 | 06/2023 | USD | 222,031,423 | — | (598,442) |
U.S. Treasury Ultra 10-Year Note | 640 | 06/2023 | USD | 75,000,000 | — | (107,098) |
U.S. Treasury Ultra Bond | 373 | 06/2023 | USD | 50,378,313 | — | (154,344) |
U.S. Treasury Ultra Bond | 819 | 06/2023 | USD | 110,616,188 | — | (656,237) |
U.S. Treasury Ultra Bond | 762 | 06/2023 | USD | 102,917,625 | — | (1,079,208) |
Total | — | (7,545,531) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | (1,011) | 06/2023 | USD | (126,596,156) | 666,356 | — |
U.S. Treasury 5-Year Note | (464) | 06/2023 | USD | (49,673,375) | 135,993 | — |
U.S. Treasury Ultra 10-Year Note | (285) | 06/2023 | USD | (33,398,438) | 92,926 | — |
80 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury Ultra 10-Year Note | (4) | 06/2023 | USD | (468,750) | 3,387 | — |
U.S. Treasury Ultra 10-Year Note | (3) | 06/2023 | USD | (351,563) | — | (1,011) |
Total | 898,662 | (1,011) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 1.390% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Citi | 09/28/2025 | USD | 223,000,000 | (13,616,421) | — | — | — | (13,616,421) |
3-Month USD LIBOR | Fixed rate of 1.870% | Receives Quarterly, Pays SemiAnnually | Citi | 09/28/2053 | USD | 19,000,000 | 5,530,179 | — | — | 5,530,179 | — |
Total | (8,086,242) | — | — | 5,530,179 | (13,616,421) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
3-Month USD LIBOR | London Interbank Offered Rate | 4.971% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 28, 2023, the total value of these securities amounted to $2,854,996,924, which represents 27.97% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of February 28, 2023. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 28, 2023, the total value of these securities amounted to $15,033,799, which represents 0.15% of total net assets. |
(e) | Valuation based on significant unobservable inputs. |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of February 28, 2023. |
(g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(h) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
(i) | Zero coupon bond. |
(j) | Non-income producing investment. |
(k) | 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 February 28, 2023. |
(l) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(m) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(n) | Principal and interest may not be guaranteed by a governmental entity. |
(o) | Represents a security in default. |
(p) | 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 February 28, 2023, the total value of these securities amounted to $2,535,322, which represents 0.02% of total net assets. |
(q) | Includes comparable securities held to satisfy future delivery requirements of the following open forward sale commitments at February 28, 2023: |
Security description | Principal amount ($) | Settlement date | Proceeds receivable ($) | Value ($) |
Federal National Mortgage Association | ||||
03/13/2053 3.500% | (1,500,000) | 03/13/2053 | (1,379,942) | (1,365,352) |
Federal National Mortgage Association | ||||
03/13/2053 3.000% | (1,500,000) | 03/13/2053 | (1,349,297) | (1,319,209) |
Uniform Mortgage-Backed Security TBA | ||||
03/13/2053 2.500% | (500,000) | 03/13/2053 | (432,031) | (423,496) |
Total | (3,108,057) |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 81 |
February 28, 2023 (Unaudited)
(r) | Represents a security purchased on a forward commitment basis. |
(s) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(t) | Represents a variable rate security where the coupon adjusts periodically through an auction process. |
(u) | The stated interest rate represents the weighted average interest rate at February 28, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(v) | The borrower filed for protection under Chapter 11 of the U.S. Federal Bankruptcy Code. |
(w) | At February 28, 2023, the Fund had unfunded senior loan commitments pursuant to the terms of the loan agreement. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. |
Borrower | Unfunded Commitment ($) |
athenahealth Group, Inc. Delayed Draw Term Loan 02/15/2029 3.500% | 188,947 |
(x) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(y) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
1,202,908,828 | 3,242,156,569 | (3,532,182,539) | (29,135) | 912,853,723 | 144,364 | 20,126,692 | 913,219,011 |
BAM | Build America Mutual Assurance Co. |
BIG | Bond Investors Guarantee |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
CVR | Contingent Value Rights |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corporation |
LIBID | London Interbank Bid Rate |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
EUR | Euro |
USD | US Dollar |
82 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
■ | 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 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 1,197,896,515 | 3,135,411 | 1,201,031,926 |
Commercial Mortgage-Backed Securities - Agency | — | 96,710,042 | — | 96,710,042 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 611,453,471 | — | 611,453,471 |
Common Stocks | ||||
Communication Services | — | — | 9 | 9 |
Energy | — | — | 190 | 190 |
Financials | — | 2,174,081 | — | 2,174,081 |
Total Common Stocks | — | 2,174,081 | 199 | 2,174,280 |
Convertible Bonds | — | 2,976,637 | — | 2,976,637 |
Corporate Bonds & Notes | — | 3,308,590,110 | 8,878,000 | 3,317,468,110 |
Foreign Government Obligations | — | 160,098,364 | — | 160,098,364 |
Inflation-Indexed Bonds | — | 6,794,377 | — | 6,794,377 |
Municipal Bonds | — | 37,759,412 | — | 37,759,412 |
Residential Mortgage-Backed Securities - Agency | — | 2,613,018,344 | — | 2,613,018,344 |
Residential Mortgage-Backed Securities - Non-Agency | — | 450,851,569 | 16,136,371 | 466,987,940 |
Senior Loans | — | 58,006,264 | — | 58,006,264 |
Treasury Bills | — | 176,637,427 | — | 176,637,427 |
U.S. Government & Agency Obligations | — | 8,534,303 | — | 8,534,303 |
U.S. Treasury Obligations | — | 1,424,130,315 | — | 1,424,130,315 |
Money Market Funds | 912,853,723 | — | — | 912,853,723 |
Total Investments in Securities | 912,853,723 | 10,155,631,231 | 28,149,981 | 11,096,634,935 |
Forward Sale Commitments | — | (3,108,057) | — | (3,108,057) |
Investments in Derivatives |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 83 |
February 28, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 17,176 | — | 17,176 |
Futures Contracts | 898,662 | — | — | 898,662 |
Swap Contracts | — | 5,530,179 | — | 5,530,179 |
Liability | ||||
Futures Contracts | (7,546,542) | — | — | (7,546,542) |
Swap Contracts | — | (13,616,421) | — | (13,616,421) |
Total | 906,205,843 | 10,144,454,108 | 28,149,981 | 11,078,809,932 |
84 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $11,114,285,185) | $10,183,781,212 |
Affiliated issuers (cost $912,873,181) | 912,853,723 |
Cash | 364,201 |
Foreign currency (cost $1,422,246) | 1,401,539 |
Cash collateral held at broker for: | |
TBA | 12,809,081 |
Margin deposits on: | |
Futures contracts | 17,965,233 |
Swap contracts | 4,742,158 |
Unrealized appreciation on forward foreign currency exchange contracts | 17,176 |
Receivable for: | |
Investments sold | 93,049,658 |
Investments sold on a delayed delivery basis | 306,555,888 |
Capital shares sold | 43,498,457 |
Dividends | 3,592,267 |
Interest | 60,997,349 |
Foreign tax reclaims | 272,612 |
Variation margin for futures contracts | 307,474 |
Variation margin for swap contracts | 45,542 |
Expense reimbursement due from Investment Manager | 3,361 |
Prepaid expenses | 73,171 |
Trustees’ deferred compensation plan | 415,871 |
Other assets | 133,254 |
Total assets | 11,642,879,227 |
Liabilities | |
Forward sale commitments, at value (proceeds receivable $3,161,270) | 3,108,057 |
Cash collateral due to broker for: | |
TBA | 15,000 |
Payable for: | |
Investments purchased | 108,189,001 |
Investments purchased on a delayed delivery basis | 1,275,123,751 |
Capital shares purchased | 15,686,128 |
Distributions to shareholders | 32,982,588 |
Variation margin for futures contracts | 447,577 |
Variation margin for swap contracts | 23,250 |
Interest on forward sale commitments | 11,833 |
Management services fees | 124,285 |
Transfer agent fees | 300,314 |
Compensation of board members | 117,597 |
Compensation of chief compliance officer | 964 |
Other expenses | 142,285 |
Trustees’ deferred compensation plan | 415,871 |
Total liabilities | 1,436,688,501 |
Net assets applicable to outstanding capital stock | $10,206,190,726 |
Represented by | |
Paid in capital | 12,018,583,381 |
Total distributable earnings (loss) | (1,812,392,655) |
Total - representing net assets applicable to outstanding capital stock | $10,206,190,726 |
Institutional Class | |
Net assets | $10,206,182,306 |
Shares outstanding | 1,188,204,589 |
Net asset value per share | $8.59 |
Institutional 3 Class | |
Net assets | $8,420 |
Shares outstanding | 978 |
Net asset value per share | $8.61 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 85 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $54,199 |
Dividends — affiliated issuers | 20,126,692 |
Interest | 190,360,203 |
Interfund lending | 4,418 |
Foreign taxes withheld | (9,990) |
Total income | 210,535,522 |
Expenses: | |
Management services fees | 22,500,464 |
Transfer agent fees | |
Institutional Class | 2,213,873 |
Institutional 3 Class | 1 |
Compensation of board members | 89,777 |
Custodian fees | 92,196 |
Printing and postage fees | 143,230 |
Registration fees | 113,204 |
Audit fees | 25,342 |
Legal fees | 75,624 |
Interest on collateral | 15,632 |
Compensation of chief compliance officer | 964 |
Other | 74,666 |
Total expenses | 25,344,973 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (601,715) |
Total net expenses | 24,743,258 |
Net investment income | 185,792,264 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (207,400,260) |
Investments — affiliated issuers | 144,364 |
Foreign currency translations | 2,382 |
Forward foreign currency exchange contracts | (15,598) |
Futures contracts | (100,839,942) |
Securities sold short | 78,008 |
Swap contracts | (2,599,250) |
Net realized loss | (310,630,296) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (98,069,873) |
Investments — affiliated issuers | (29,135) |
Foreign currency translations | 56,366 |
Forward sale commitments | 53,213 |
Forward foreign currency exchange contracts | (7,389) |
Futures contracts | 2,650,826 |
Swap contracts | (4,728,646) |
Net change in unrealized appreciation (depreciation) | (100,074,638) |
Net realized and unrealized loss | (410,704,934) |
Net decrease in net assets resulting from operations | $(224,912,670) |
86 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income | $185,792,264 | $226,585,063 |
Net realized loss | (310,630,296) | (517,719,951) |
Net change in unrealized appreciation (depreciation) | (100,074,638) | (1,105,323,702) |
Net decrease in net assets resulting from operations | (224,912,670) | (1,396,458,590) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Institutional Class | (192,027,231) | (261,010,283) |
Institutional 3 Class | (160) | (236) |
Total distributions to shareholders | (192,027,391) | (261,010,519) |
Increase (decrease) in net assets from capital stock activity | (25,763,581) | 1,442,995,396 |
Total decrease in net assets | (442,703,642) | (214,473,713) |
Net assets at beginning of period | 10,648,894,368 | 10,863,368,081 |
Net assets at end of period | $10,206,190,726 | $10,648,894,368 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Institutional Class | ||||
Subscriptions | 90,915,855 | 785,255,326 | 319,164,611 | 3,047,317,715 |
Distributions reinvested | 22,374,342 | 192,027,231 | 26,909,143 | 261,010,283 |
Redemptions | (116,490,468) | (1,003,046,138) | (193,550,074) | (1,865,332,602) |
Net increase (decrease) | (3,200,271) | (25,763,581) | 152,523,680 | 1,442,995,396 |
Total net increase (decrease) | (3,200,271) | (25,763,581) | 152,523,680 | 1,442,995,396 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 87 |
Net asset value, beginning of period | Net investment income | 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 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $8.94 | 0.16 | (0.35) | (0.19) | (0.16) | — | (0.16) |
Year Ended 8/31/2022 | $10.46 | 0.21 | (1.49) | (1.28) | (0.20) | (0.04) | (0.24) |
Year Ended 8/31/2021 | $10.76 | 0.19 | (0.05) | 0.14 | (0.20) | (0.24) | (0.44) |
Year Ended 8/31/2020 | $10.38 | 0.27 | 0.42 | 0.69 | (0.28) | (0.03) | (0.31) |
Year Ended 8/31/2019 | $9.80 | 0.30 | 0.59 | 0.89 | (0.31) | — | (0.31) |
Year Ended 8/31/2018 | $10.17 | 0.26 | (0.38) | (0.12) | (0.25) | (0.00)(c) | (0.25) |
Institutional 3 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $8.96 | 0.16 | (0.35) | (0.19) | (0.16) | — | (0.16) |
Year Ended 8/31/2022 | $10.47 | 0.21 | (1.48) | (1.27) | (0.20) | (0.04) | (0.24) |
Year Ended 8/31/2021 | $10.77 | 0.20 | (0.06) | 0.14 | (0.20) | (0.24) | (0.44) |
Year Ended 8/31/2020(g) | $10.23 | 0.19 | 0.53 | 0.72 | (0.18) | — | (0.18) |
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) | Rounds to zero. |
(d) | Annualized. |
(e) | Ratios include interest on collateral expense which is less than 0.01%. |
(f) | Ratios include interfund lending expense which is less than 0.01%. |
(g) | Institutional 3 Class shares commenced operations on December 18, 2019. Per share data and total return reflect activity from that date. |
88 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
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 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $8.59 | (2.07%) | 0.50%(d),(e) | 0.49%(d),(e) | 3.68%(d) | 157% | $10,206,182 |
Year Ended 8/31/2022 | $8.94 | (12.40%) | 0.50%(e) | 0.49%(e) | 2.15% | 284% | $10,648,886 |
Year Ended 8/31/2021 | $10.46 | 1.36% | 0.50%(e) | 0.49%(e) | 1.86% | 232% | $10,863,358 |
Year Ended 8/31/2020 | $10.76 | 6.77% | 0.51% | 0.49% | 2.59% | 184% | $9,404,198 |
Year Ended 8/31/2019 | $10.38 | 9.33% | 0.52%(f) | 0.52%(f) | 3.05% | 219% | $8,398,508 |
Year Ended 8/31/2018 | $9.80 | (1.16%) | 0.52% | 0.52% | 2.66% | 228% | $7,969,883 |
Institutional 3 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $8.61 | (2.07%) | 0.46%(d),(e) | 0.46%(d),(e) | 3.70%(d) | 157% | $8 |
Year Ended 8/31/2022 | $8.96 | (12.28%) | 0.46%(e) | 0.46%(e) | 2.16% | 284% | $9 |
Year Ended 8/31/2021 | $10.47 | 1.37% | 0.47%(e) | 0.45%(e) | 1.89% | 232% | $10 |
Year Ended 8/31/2020(g) | $10.77 | 7.11% | 0.48%(d) | 0.46%(d) | 2.53%(d) | 184% | $11 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 89 |
February 28, 2023 (Unaudited)
90 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 91 |
February 28, 2023 (Unaudited)
92 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 93 |
February 28, 2023 (Unaudited)
94 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 17,176 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 898,662* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 5,530,179* |
Total | 6,446,017 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 7,546,542* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 13,616,421* |
Total | 21,162,963 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (2,598,937) | (2,598,937) |
Foreign exchange risk | (15,598) | — | — | (15,598) |
Interest rate risk | — | (100,839,942) | (313) | (100,840,255) |
Total | (15,598) | (100,839,942) | (2,599,250) | (103,454,790) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | (1,196,025) | (1,196,025) |
Foreign exchange risk | (7,389) | — | — | (7,389) |
Interest rate risk | — | 2,650,826 | (3,532,621) | (881,795) |
Total | (7,389) | 2,650,826 | (4,728,646) | (2,085,209) |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 95 |
February 28, 2023 (Unaudited)
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 2,263,963,128 |
Futures contracts — short | 213,206,532 |
Credit default swap contracts — buy protection | 37,835,000 |
Derivative instrument | Average unrealized appreciation ($)* | Average unrealized depreciation ($)* |
Forward foreign currency exchange contracts | 8,588 | (220) |
Interest rate swap contracts | 5,256,473 | (12,054,135) |
* | Based on the ending quarterly outstanding amounts for the six months ended February 28, 2023. |
96 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 97 |
February 28, 2023 (Unaudited)
Citi ($) | Morgan Stanley ($) | Total ($) | |
Assets | |||
Centrally cleared interest rate swap contracts (a) | 45,542 | - | 45,542 |
Forward foreign currency exchange contracts | - | 17,176 | 17,176 |
Total Assets | 45,542 | 17,176 | 62,718 |
Liabilities | |||
Centrally cleared interest rate swap contracts (a) | 23,250 | - | 23,250 |
Total financial and derivative net assets | 22,292 | 17,176 | 39,468 |
Total collateral received (pledged) (b) | - | - | - |
Net amount (c) | 22,292 | 17.176 | 39,468 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
98 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 99 |
February 28, 2023 (Unaudited)
100 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Institutional Class | 0.04 |
Institutional 3 Class | 0.02 |
Fee rate(s) contractual through December 31, 2023 | |
Institutional Class | 0.49% |
Institutional 3 Class | 0.47 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 101 |
February 28, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
12,023,997,000 | 21,881,000 | (967,068,000) | (945,187,000) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(350,681,507) | (178,135,050) | (528,816,557) |
102 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 7,240,000 | 4.50 | 5 |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 103 |
February 28, 2023 (Unaudited)
104 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 105 |
106 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
(Unaudited)
Manager addressing the services the Investment Manager provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
• | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
• | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
• | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
• | Terms of the Advisory Agreements; |
• | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
• | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
• | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
• | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
• | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
• | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
• | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
• | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 107 |
(Unaudited)
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
108 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
(Unaudited)
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 | 109 |
(Unaudited)
arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
110 | Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Institutional Class* | 01/03/17 | 5.40 | -5.91 | 7.13 | 9.51 | |
Institutional 3 Class* | 12/18/19 | 5.48 | -5.63 | 7.25 | 9.57 | |
Russell 2000 Index | 3.63 | -6.02 | 6.01 | 9.06 |
* | 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. Returns shown for periods prior to the inception date of each class include the returns of the Fund’s Class A shares for the period prior to January 3, 2017, and for Institutional 3 Class shares, include the returns of the Fund’s Institutional Class shares for the period from January 3, 2017 through the inception date of the class. Class A shares were offered prior to the Fund’s Institutional Class shares but have since been merged into the Fund’s Institutional Class shares. 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. |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023) | |
Common Stocks | 97.5 |
Exchange-Traded Equity Funds | 0.8 |
Money Market Funds | 1.7 |
Total | 100.0 |
Equity sector breakdown (%) (at February 28, 2023) | |
Communication Services | 0.8 |
Consumer Discretionary | 10.6 |
Consumer Staples | 2.6 |
Energy | 4.9 |
Financials | 18.7 |
Health Care | 12.8 |
Industrials | 23.6 |
Information Technology | 15.2 |
Materials | 3.8 |
Real Estate | 4.7 |
Utilities | 2.3 |
Total | 100.0 |
4 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
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 | |
Institutional Class | 1,000.00 | 1,000.00 | 1,054.00 | 1,019.89 | 5.04 | 4.96 | 0.99 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,054.80 | 1,020.78 | 4.13 | 4.06 | 0.81 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Common Stocks 97.4% | ||
Issuer | Shares | Value ($) |
Communication Services 0.8% | ||
Diversified Telecommunication Services 0.0% | ||
Bandwidth, Inc., Class A(a) | 18,589 | 295,565 |
Entertainment 0.0% | ||
Playtika Holding Corp.(a) | 44,929 | 431,318 |
Interactive Media & Services 0.3% | ||
Bumble, Inc., Class A(a) | 49,381 | 1,194,033 |
DHI Group, Inc.(a) | 24,341 | 103,206 |
Outbrain, Inc.(a) | 23,100 | 102,102 |
QuinStreet, Inc.(a) | 59,069 | 1,002,401 |
TrueCar, Inc.(a) | 74,591 | 173,797 |
Ziff Davis, Inc.(a) | 23,890 | 1,886,832 |
Total | 4,462,371 | |
Media 0.3% | ||
Cardlytics, Inc.(a) | 25,353 | 138,174 |
Emerald Holding, Inc.(a) | 94,500 | 360,045 |
Nexstar Media Group, Inc., Class A | 18,421 | 3,424,464 |
Quotient Technology, Inc.(a) | 75,975 | 287,185 |
Stagwell, Inc.(a) | 169,300 | 1,161,398 |
TEGNA, Inc. | 16,600 | 288,840 |
Total | 5,660,106 | |
Wireless Telecommunication Services 0.2% | ||
Spok Holdings, Inc. | 31,860 | 318,282 |
Telephone and Data Systems, Inc. | 195,470 | 2,480,514 |
United States Cellular Corp.(a) | 43,375 | 1,046,639 |
Total | 3,845,435 | |
Total Communication Services | 14,694,795 | |
Consumer Discretionary 10.3% | ||
Auto Components 1.5% | ||
Adient PLC(a) | 109,396 | 4,673,397 |
American Axle & Manufacturing Holdings, Inc.(a) | 228,351 | 2,009,489 |
Dana, Inc. | 84,929 | 1,345,275 |
Fox Factory Holding Corp.(a) | 99,948 | 11,743,890 |
Goodyear Tire & Rubber Co. (The)(a) | 448,476 | 5,094,688 |
LCI Industries | 7,922 | 893,681 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Lear Corp. | 11,579 | 1,617,007 |
Modine Manufacturing Co.(a) | 22,168 | 541,121 |
Total | 27,918,548 | |
Automobiles 0.2% | ||
Thor Industries, Inc. | 13,500 | 1,228,365 |
Winnebago Industries, Inc. | 30,382 | 1,931,080 |
Total | 3,159,445 | |
Distributors 0.0% | ||
Funko, Inc., Class A(a) | 84,000 | 908,040 |
Diversified Consumer Services 0.5% | ||
2U, Inc.(a) | 177,613 | 1,591,413 |
Adtalem Global Education, Inc.(a) | 24,045 | 940,640 |
American Public Education, Inc.(a) | 8,272 | 91,323 |
Bright Horizons Family Solutions, Inc.(a) | 25,805 | 2,034,466 |
Graham Holdings Co., Class B | 500 | 313,330 |
Grand Canyon Education, Inc.(a) | 898 | 101,735 |
Laureate Education, Inc., Class A | 268,173 | 3,180,532 |
Perdoceo Education Corp.(a) | 94,036 | 1,296,286 |
Total | 9,549,725 | |
Hotels, Restaurants & Leisure 2.6% | ||
Bloomin’ Brands, Inc. | 33,700 | 879,570 |
Bluegreen Vacations Holding Corp. | 6,525 | 216,434 |
Boyd Gaming Corp. | 42,640 | 2,777,143 |
Brinker International, Inc.(a) | 93,200 | 3,541,600 |
Dine Brands Global, Inc. | 11,800 | 904,706 |
El Pollo Loco Holdings, Inc. | 30,200 | 361,494 |
International Game Technology PLC | 197,480 | 5,245,069 |
Jack in the Box, Inc. | 4,700 | 368,480 |
Life Time Group Holdings, Inc.(a) | 183,109 | 3,308,780 |
Light & Wonder, Inc.(a) | 56,146 | 3,515,301 |
Marriott Vacations Worldwide Corp. | 21,549 | 3,296,782 |
Papa John’s International, Inc. | 30,925 | 2,596,154 |
Planet Fitness, Inc., Class A(a) | 52,187 | 4,229,756 |
Red Rock Resorts, Inc., Class A | 46,350 | 2,024,104 |
Ruth’s Hospitality Group, Inc. | 62,400 | 1,163,760 |
SeaWorld Entertainment, Inc.(a) | 47,947 | 3,097,376 |
6 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Six Flags Entertainment Corp.(a) | 75,454 | 1,991,986 |
Texas Roadhouse, Inc. | 52,137 | 5,293,991 |
Travel + Leisure Co. | 30,200 | 1,266,890 |
Xponential Fitness, Inc., Class A(a) | 18,695 | 474,666 |
Total | 46,554,042 | |
Household Durables 1.1% | ||
Century Communities, Inc. | 16,300 | 974,903 |
GoPro, Inc., Class A(a) | 394,950 | 2,049,790 |
Green Brick Partners, Inc.(a) | 28,300 | 882,960 |
Helen of Troy Ltd.(a) | 24,611 | 2,773,414 |
Hooker Furnishings Corp. | 49,500 | 1,088,257 |
KB Home | 132,187 | 4,662,235 |
La-Z-Boy, Inc. | 30,400 | 984,352 |
M/I Homes, Inc.(a) | 17,408 | 1,006,879 |
Meritage Homes Corp.(a) | 9,100 | 993,993 |
Sonos, Inc.(a) | 128,897 | 2,504,469 |
Taylor Morrison Home Corp., Class A(a) | 27,900 | 999,657 |
Tri Pointe Homes, Inc.(a) | 41,200 | 982,208 |
Tupperware Brands Corp.(a) | 22,119 | 90,688 |
Universal Electronics, Inc.(a) | 11,337 | 144,207 |
VOXX International Corp.(a) | 12,693 | 145,081 |
Total | 20,283,093 | |
Internet & Direct Marketing Retail 0.2% | ||
1-800-Flowers.com, Inc., Class A(a) | 96,453 | 954,885 |
1stdibs.com, Inc.(a) | 12,849 | 65,273 |
Global-e Online Ltd.(a) | 60,059 | 1,699,669 |
Lands’ End, Inc.(a) | 35,730 | 271,548 |
Total | 2,991,375 | |
Leisure Products 0.3% | ||
JAKKS Pacific, Inc.(a) | 41,733 | 807,116 |
Johnson Outdoors, Inc., Class A | 22,000 | 1,426,920 |
Latham Group, Inc.(a) | 242,800 | 772,104 |
Vista Outdoor, Inc.(a) | 59,700 | 1,705,032 |
Total | 4,711,172 | |
Multiline Retail 0.1% | ||
Macy’s, Inc. | 108,700 | 2,224,002 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Specialty Retail 3.4% | ||
Aaron’s Co., Inc. (The) | 141,863 | 2,035,734 |
Abercrombie & Fitch Co., Class A(a) | 104,026 | 3,059,405 |
American Eagle Outfitters, Inc. | 152,629 | 2,193,279 |
Asbury Automotive Group, Inc.(a) | 4,200 | 953,820 |
Barnes & Noble Education, Inc.(a) | 23,835 | 49,100 |
Big 5 Sporting Goods Corp. | 2,400 | 21,192 |
Boot Barn Holdings, Inc.(a) | 13,200 | 1,022,340 |
Burlington Stores, Inc.(a) | 8,265 | 1,770,776 |
Cato Corp. (The), Class A | 51,700 | 478,225 |
Citi Trends, Inc.(a) | 30,099 | 843,976 |
Container Store Group, Inc. (The)(a) | 61,501 | 267,529 |
Floor & Decor Holdings, Inc., Class A(a) | 25,725 | 2,361,812 |
Foot Locker, Inc. | 193,779 | 8,472,018 |
Genesco, Inc.(a) | 81,252 | 3,653,902 |
Group 1 Automotive, Inc. | 23,400 | 5,173,038 |
Haverty Furniture Companies, Inc. | 42,328 | 1,597,459 |
Hibbett, Inc. | 71,522 | 5,144,578 |
Lithia Motors, Inc., Class A | 10,061 | 2,567,366 |
LL Flooring Holdings, Inc.(a) | 156,700 | 791,335 |
MarineMax, Inc.(a) | 34,300 | 1,151,794 |
National Vision Holdings, Inc.(a) | 94,578 | 3,533,434 |
OneWater Marine, Inc., Class A(a) | 37,000 | 1,029,340 |
Petco Health & Wellness Co., Inc.(a) | 233,523 | 2,405,287 |
Signet Jewelers Ltd. | 54,328 | 3,890,971 |
Sleep Number Corp.(a) | 26,137 | 1,041,821 |
Sonic Automotive, Inc., Class A | 26,800 | 1,524,652 |
Tilly’s, Inc.(a) | 56,805 | 493,067 |
TravelCenters of America, Inc.(a) | 15,600 | 1,315,860 |
Upbound Group, Inc. | 59,500 | 1,597,575 |
Urban Outfitters, Inc.(a) | 15,300 | 412,335 |
Zumiez, Inc.(a) | 14,700 | 341,922 |
Total | 61,194,942 | |
Textiles, Apparel & Luxury Goods 0.4% | ||
Carter’s, Inc. | 3,900 | 294,021 |
Crocs, Inc.(a) | 19,815 | 2,411,684 |
G-III Apparel Group Ltd.(a) | 79,500 | 1,320,892 |
Kontoor Brands, Inc. | 7,100 | 370,265 |
Lakeland Industries, Inc. | 32,300 | 489,991 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Movado Group, Inc. | 21,110 | 730,828 |
Steven Madden Ltd. | 28,800 | 1,045,440 |
Unifi, Inc.(a) | 30,659 | 317,321 |
Vera Bradley, Inc.(a) | 111,009 | 588,348 |
Total | 7,568,790 | |
Total Consumer Discretionary | 187,063,174 | |
Consumer Staples 2.5% | ||
Food & Staples Retailing 1.1% | ||
Andersons, Inc. (The) | 47,707 | 2,176,870 |
BJ’s Wholesale Club Holdings, Inc.(a) | 21,380 | 1,535,084 |
Grocery Outlet Holding Corp.(a) | 124,248 | 3,360,908 |
Natural Grocers by Vitamin Cottage, Inc. | 44,900 | 493,002 |
Performance Food Group, Inc.(a) | 52,491 | 2,970,466 |
Rite Aid Corp.(a) | 45,700 | 176,402 |
The Chefs’ Warehouse(a) | 119,741 | 3,897,570 |
United Natural Foods, Inc.(a) | 118,211 | 4,814,734 |
Total | 19,425,036 | |
Food Products 0.5% | ||
B&G Foods, Inc. | 75,800 | 960,386 |
Fresh Del Monte Produce, Inc. | 13,799 | 431,633 |
Freshpet, Inc.(a) | 45,822 | 2,849,212 |
Hain Celestial Group, Inc. (The)(a) | 28,335 | 505,213 |
TreeHouse Foods, Inc.(a) | 90,927 | 4,436,328 |
Total | 9,182,772 | |
Household Products 0.2% | ||
Central Garden & Pet Co.(a) | 19,800 | 801,900 |
WD-40 Co. | 21,625 | 3,750,424 |
Total | 4,552,324 | |
Personal Products 0.7% | ||
BellRing Brands, Inc.(a) | 57,368 | 1,771,524 |
Edgewell Personal Care Co. | 80,181 | 3,423,729 |
elf Beauty, Inc.(a) | 33,627 | 2,513,618 |
Herbalife Nutrition Ltd.(a) | 60,040 | 1,161,774 |
Medifast, Inc. | 8,300 | 930,679 |
Nature’s Sunshine Products, Inc.(a) | 7,517 | 81,484 |
Nu Skin Enterprises, Inc., Class A | 23,800 | 948,192 |
Usana Health Sciences, Inc.(a) | 17,500 | 1,063,650 |
Total | 11,894,650 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 0.0% | ||
Vector Group Ltd. | 51,240 | 679,955 |
Total Consumer Staples | 45,734,737 | |
Energy 4.8% | ||
Energy Equipment & Services 1.7% | ||
Cactus, Inc., Class A | 106,577 | 4,897,213 |
ChampionX Corp. | 29,500 | 901,815 |
Dril-Quip, Inc.(a) | 47,700 | 1,633,725 |
Expro Group Holdings NV(a) | 50,449 | 1,146,706 |
Helix Energy Solutions Group, Inc.(a) | 113,700 | 941,436 |
Helmerich & Payne, Inc. | 55,050 | 2,316,504 |
Liberty Energy, Inc., Class A | 60,600 | 924,150 |
Matrix Service Co.(a) | 15,787 | 99,932 |
National Energy Services Reunited Corp.(a) | 151,800 | 980,628 |
Newpark Resources, Inc.(a) | 247,400 | 1,095,982 |
NexTier Oilfield Solutions, Inc.(a) | 102,600 | 936,738 |
Noble Corp PLC(a) | 10,500 | 437,745 |
Precision Drilling Corp.(a) | 18,300 | 1,042,917 |
ProFrac Holding Corp., Class A(a) | 37,758 | 722,310 |
ProPetro Holding Corp.(a) | 327,001 | 2,880,879 |
Solaris Oilfield Infrastructure, Inc., Class A | 90,100 | 804,593 |
TechnipFMC PLC(a) | 196,301 | 3,001,442 |
Tidewater, Inc.(a) | 28,100 | 1,372,404 |
Transocean Ltd.(a) | 613,677 | 4,289,602 |
Total | 30,426,721 | |
Oil, Gas & Consumable Fuels 3.1% | ||
Alto Ingredients, Inc.(a) | 97,500 | 284,700 |
Berry Corp. | 169,500 | 1,598,385 |
California Resources Corp. | 27,200 | 1,147,840 |
Chord Energy Corp. | 28,111 | 3,784,303 |
Civitas Resources, Inc. | 96,118 | 6,744,600 |
Crescent Energy Co., Class A | 147,400 | 1,700,996 |
Denbury, Inc.(a) | 10,900 | 908,733 |
Equitrans Midstream Corp. | 519,141 | 3,130,420 |
Golar LNG Ltd.(a) | 159,870 | 3,649,832 |
Kinetik Holdings, Inc. | 37,400 | 1,112,650 |
Kosmos Energy Ltd.(a) | 222,700 | 1,752,649 |
Matador Resources Co. | 109,573 | 5,893,932 |
8 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Murphy Oil Corp. | 75,051 | 2,928,490 |
Northern Oil and Gas, Inc. | 39,500 | 1,226,080 |
Par Pacific Holdings, Inc.(a) | 40,400 | 1,122,312 |
PBF Energy, Inc., Class A | 55,935 | 2,444,919 |
Permian Resources Corp. | 149,800 | 1,619,338 |
Plains GP Holdings LP, Class A(a) | 7,247 | 100,806 |
Ranger Oil Corp. | 27,600 | 1,145,400 |
REX American Resources Corp.(a) | 60,401 | 1,993,837 |
SM Energy Co. | 105,076 | 3,100,793 |
Talos Energy, Inc.(a) | 50,600 | 901,186 |
Teekay Tankers Ltd., Class A(a) | 66,174 | 2,987,756 |
Vertex Energy, Inc.(a) | 119,700 | 1,133,559 |
Vital Energy, Inc.(a) | 17,400 | 894,186 |
W&T Offshore, Inc.(a) | 97,269 | 545,679 |
World Fuel Services Corp. | 101,387 | 2,783,073 |
Total | 56,636,454 | |
Total Energy | 87,063,175 | |
Financials 18.2% | ||
Banks 10.0% | ||
1st Source Corp. | 21,984 | 1,095,243 |
ACNB Corp. | 10,900 | 403,736 |
Amalgamated Financial Corp. | 16,307 | 384,030 |
Amerant Bancorp, Inc. | 1,740 | 49,416 |
American National Bankshares, Inc. | 5,180 | 174,307 |
Ameris Bancorp | 113,182 | 5,418,022 |
Associated Banc-Corp. | 307,027 | 7,107,675 |
Atlantic Union Bankshares Corp. | 144,468 | 5,411,771 |
Banc of California, Inc. | 80,035 | 1,404,614 |
Bancorp, Inc. (The)(a) | 142,990 | 4,946,024 |
Bank of Marin Bancorp | 17,678 | 512,662 |
BankUnited, Inc. | 115,162 | 4,079,038 |
Bankwell Financial Group, Inc. | 3,283 | 99,081 |
Banner Corp. | 14,913 | 939,221 |
Bar Harbor Bankshares | 6,962 | 207,955 |
Baycom Corp. | 24,826 | 509,678 |
BCB Bancorp, Inc. | 26,939 | 467,392 |
Berkshire Hills Bancorp, Inc. | 58,709 | 1,706,084 |
Brookline Bancorp, Inc. | 62,400 | 808,704 |
Business First Bancshares, Inc. | 4,812 | 100,282 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Byline Bancorp, Inc. | 18,969 | 467,586 |
Cadence Bank | 32,450 | 861,872 |
Camden National Corp. | 18,400 | 757,160 |
Capital Bancorp, Inc. | 7,476 | 151,838 |
Capital City Bank Group, Inc. | 9,850 | 351,349 |
Capstar Financial Holdings, Inc. | 16,510 | 285,623 |
Carter Bankshares, Inc.(a) | 12,045 | 209,222 |
Cathay General Bancorp | 156,055 | 6,697,881 |
Central Pacific Financial Corp. | 102,987 | 2,309,998 |
Central Valley Community Bancorp | 23,915 | 610,072 |
Civista Bancshares, Inc. | 19,700 | 420,201 |
CNB Financial Corp. | 28,609 | 682,039 |
Columbia Banking System, Inc. | 52,900 | 1,572,717 |
Community Bank System, Inc. | 57,412 | 3,505,003 |
Community Financial Corp. (The) | 4,100 | 163,180 |
Community Trust Bancorp, Inc. | 36,660 | 1,567,215 |
ConnectOne Bancorp, Inc. | 65,100 | 1,578,675 |
CrossFirst Bankshares, Inc.(a) | 34,900 | 493,835 |
Customers Bancorp, Inc.(a) | 109,824 | 3,382,579 |
Eagle Bancorp, Inc. | 36,700 | 1,607,827 |
Enterprise Financial Services Corp. | 13,300 | 724,318 |
FB Financial Corp. | 38,526 | 1,452,045 |
Financial Institutions, Inc. | 26,325 | 657,072 |
First BanCorp | 305,609 | 4,434,387 |
First Bancshares, Inc. (The) | 6,802 | 212,971 |
First Busey Corp. | 45,000 | 1,086,300 |
First Business Financial Services, Inc. | 15,336 | 543,201 |
First Commonwealth Financial Corp. | 165,129 | 2,643,715 |
First Financial Bankshares, Inc. | 110,408 | 4,049,765 |
First Financial Corp. | 25,258 | 1,110,089 |
First Hawaiian, Inc. | 58,200 | 1,591,770 |
First Internet Bancorp | 39,731 | 1,073,134 |
First Merchants Corp. | 21,131 | 864,681 |
First Mid Bancshares, Inc. | 15,200 | 471,048 |
First of Long Island Corp. (The) | 35,165 | 598,508 |
Flushing Financial Corp. | 56,100 | 1,091,706 |
FNB Corp. | 87,900 | 1,254,333 |
Great Southern Bancorp, Inc. | 18,534 | 1,078,493 |
Guaranty Bancshares, Inc. | 6,540 | 204,113 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Hancock Whitney Corp. | 97,524 | 4,790,379 |
Hanmi Financial Corp. | 100,281 | 2,368,637 |
HarborOne Bancorp, Inc. | 47,224 | 645,552 |
Heartland Financial U.S.A., Inc. | 11,817 | 584,232 |
Heritage Commerce Corp. | 9,375 | 113,531 |
Heritage Financial Corp. | 34,822 | 970,489 |
Hilltop Holdings, Inc. | 42,700 | 1,416,359 |
HomeStreet, Inc. | 91,201 | 2,301,001 |
HomeTrust Bancshares, Inc. | 13,228 | 387,184 |
Hope Bancorp, Inc. | 118,900 | 1,523,109 |
Horizon Bancorp, Inc. | 97,524 | 1,484,315 |
Independent Bank Corp. | 44,186 | 3,520,740 |
Independent Bank Corp. | 80,615 | 1,777,561 |
Independent Bank Group, Inc. | 40,299 | 2,371,999 |
Investar Holding Corp. | 15,700 | 309,290 |
Lakeland Bancorp, Inc. | 61,900 | 1,191,575 |
Live Oak Bancshares, Inc. | 24,179 | 835,626 |
Macatawa Bank Corp. | 50,779 | 553,999 |
Mercantile Bank Corp. | 25,253 | 873,501 |
Meta Financial Group, Inc. | 41,322 | 2,107,835 |
Midland States Bancorp, Inc. | 50,950 | 1,326,738 |
MidWestOne Financial Group, Inc. | 17,849 | 536,184 |
National Bank Holdings Corp., Class A | 5,186 | 209,981 |
National Bankshares, Inc. | 11,100 | 464,313 |
NBT Bancorp, Inc. | 17,425 | 707,281 |
Nicolet Bankshares, Inc.(a) | 10,847 | 807,668 |
Northeast Bank | 7,600 | 335,008 |
Northrim BanCorp, Inc. | 8,200 | 430,582 |
OceanFirst Financial Corp. | 87,920 | 2,085,462 |
OFG Bancorp | 46,835 | 1,424,721 |
Old Second Bancorp, Inc. | 23,657 | 392,233 |
Pacific Premier Bancorp, Inc. | 96,852 | 3,139,942 |
PacWest Bancorp | 61,400 | 1,703,850 |
Parke Bancorp, Inc. | 10,300 | 210,223 |
PCB Bancorp | 23,900 | 436,414 |
Peapack-Gladstone Financial Corp. | 17,501 | 650,162 |
Pinnacle Financial Partners, Inc. | 27,435 | 2,032,659 |
Popular, Inc. | 21,900 | 1,563,660 |
Preferred Bank | 25,234 | 1,776,474 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Premier Financial Corp. | 44,300 | 1,099,526 |
Primis Financial Corp. | 53,017 | 620,829 |
QCR Holdings, Inc. | 17,863 | 955,492 |
RBB Bancorp | 33,581 | 663,561 |
Renasant Corp. | 64,452 | 2,318,983 |
Republic Bancorp, Inc. | 8,500 | 378,250 |
S&T Bancorp, Inc. | 9,620 | 358,441 |
Sandy Spring Bancorp, Inc. | 132,821 | 4,376,452 |
Sierra Bancorp | 30,121 | 608,745 |
Simmons First National Corp., Class A | 73,500 | 1,633,905 |
SmartFinancial, Inc. | 7,629 | 208,272 |
South Plains Financial, Inc. | 7,841 | 206,140 |
South State Corp. | 18,373 | 1,482,334 |
Southern First Bancshares, Inc.(a) | 11,697 | 470,804 |
Stellar Bancorp, Inc. | 4,994 | 146,074 |
Texas Capital Bancshares, Inc.(a) | 85,606 | 5,669,685 |
Third Coast Bancshares, Inc.(a) | 6,980 | 128,781 |
Towne Bank | 29,752 | 902,378 |
Trico Bancshares | 17,323 | 874,985 |
Triumph Financial, Inc.(a) | 34,000 | 2,068,900 |
Trustmark Corp. | 30,998 | 911,341 |
UMB Financial Corp. | 86,869 | 7,875,544 |
United Bankshares, Inc. | 46,158 | 1,881,862 |
United Community Banks, Inc. | 5,862 | 194,091 |
Univest Corporation of Pennsylvania | 34,181 | 963,904 |
Washington Federal, Inc. | 78,861 | 2,765,655 |
Washington Trust Bancorp, Inc. | 20,000 | 840,000 |
Wintrust Financial Corp. | 13,900 | 1,280,607 |
Total | 180,888,466 | |
Capital Markets 1.9% | ||
Artisan Partners Asset Management, Inc., Class A | 33,400 | 1,101,198 |
Diamond Hill Investment Group, Inc. | 4,500 | 785,700 |
Evercore, Inc., Class A | 55,136 | 7,232,740 |
Federated Hermes, Inc., Class B | 39,200 | 1,542,520 |
Focus Financial Partners, Inc., Class A(a) | 144,284 | 7,482,568 |
GCM Grosvenor, Inc., Class A | 12,837 | 105,649 |
Greenhill & Co., Inc. | 45,634 | 512,926 |
Houlihan Lokey, Inc., Class A | 45,375 | 4,342,388 |
Janus Henderson Group PLC | 58,500 | 1,606,410 |
10 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Perella Weinberg Partners | 82,600 | 835,086 |
Silvercrest Asset Management Group, Inc., Class A | 17,600 | 313,104 |
Stifel Financial Corp. | 35,930 | 2,401,202 |
StoneX Group, Inc.(a) | 16,870 | 1,701,002 |
Victory Capital Holdings, Inc., Class A | 34,400 | 1,168,224 |
Virtu Financial, Inc. Class A | 82,600 | 1,518,188 |
Virtus Investment Partners, Inc. | 5,600 | 1,178,408 |
Total | 33,827,313 | |
Consumer Finance 1.0% | ||
Bread Financial Holdings, Inc. | 41,200 | 1,692,084 |
Encore Capital Group, Inc.(a) | 19,007 | 982,282 |
Enova International, Inc.(a) | 57,451 | 2,800,736 |
Ezcorp, Inc., Class A(a) | 122,241 | 1,078,166 |
Green Dot Corp., Class A(a) | 76,897 | 1,455,660 |
LendingClub Corp.(a) | 129,280 | 1,215,232 |
Navient Corp. | 241,278 | 4,355,068 |
PROG Holdings, Inc.(a) | 62,278 | 1,539,512 |
Regional Management Corp. | 5,333 | 168,096 |
SLM Corp. | 223,116 | 3,208,408 |
World Acceptance Corp.(a) | 3,378 | 315,370 |
Total | 18,810,614 | |
Diversified Financial Services 0.2% | ||
A-Mark Precious Metals, Inc. | 23,230 | 680,871 |
Jackson Financial, Inc., Class A | 88,418 | 4,012,409 |
Total | 4,693,280 | |
Insurance 2.8% | ||
American Equity Investment Life Holding Co. | 145,986 | 6,080,317 |
AMERISAFE, Inc. | 72,206 | 3,938,115 |
Argo Group International Holdings Ltd. | 127,400 | 3,700,970 |
Assured Guaranty Ltd. | 23,400 | 1,460,394 |
Axis Capital Holdings Ltd. | 19,200 | 1,165,824 |
Bright Health Group, Inc.(a) | 165,236 | 143,755 |
Brighthouse Financial, Inc.(a) | 26,777 | 1,548,514 |
CNO Financial Group, Inc. | 253,317 | 6,489,982 |
Donegal Group, Inc., Class A | 10,194 | 156,682 |
Employers Holdings, Inc. | 60,689 | 2,695,198 |
Enstar Group Ltd.(a) | 6,000 | 1,467,060 |
Greenlight Capital Re Ltd., Class A(a) | 33,100 | 303,858 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Horace Mann Educators Corp. | 41,304 | 1,526,596 |
James River Group Holdings Ltd. | 37,577 | 905,606 |
Kemper Corp. | 25,700 | 1,583,120 |
Kinsale Capital Group, Inc. | 6,659 | 2,122,223 |
Lincoln National Corp. | 12,320 | 390,790 |
Mercury General Corp. | 21,800 | 742,290 |
National Western Life Group, Inc., Class A | 3,300 | 890,307 |
Oscar Health, Inc., Class A(a) | 16,315 | 90,385 |
Primerica, Inc. | 2,400 | 460,656 |
ProAssurance Corp. | 76,516 | 1,521,903 |
Reinsurance Group of America, Inc. | 16,799 | 2,426,952 |
Safety Insurance Group, Inc. | 9,000 | 726,210 |
Selectquote, Inc.(a) | 437,151 | 1,022,933 |
SiriusPoint Ltd.(a) | 256,490 | 1,821,079 |
Stewart Information Services Corp. | 64,832 | 2,754,712 |
United Fire Group, Inc. | 28,438 | 811,621 |
White Mountains Insurance Group Ltd. | 800 | 1,154,856 |
Total | 50,102,908 | |
Mortgage Real Estate Investment Trusts (REITS) 0.4% | ||
Apollo Commercial Real Estate Finance, Inc. | 24,300 | 279,207 |
BrightSpire Capital, Inc. | 42,900 | 317,031 |
Granite Point Mortgage Trust, Inc. | 67,300 | 403,127 |
Great Ajax Corp. | 53,261 | 446,327 |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 64,757 | 2,034,018 |
MFA Financial, Inc. | 37,425 | 400,822 |
New York Mortgage Trust, Inc. | 256,300 | 684,321 |
Starwood Property Trust, Inc. | 117,383 | 2,249,058 |
TPG RE Finance Trust, Inc. | 50,600 | 429,594 |
Total | 7,243,505 | |
Thrifts & Mortgage Finance 1.9% | ||
Axos Financial, Inc.(a) | 87,400 | 4,141,886 |
Bridgewater Bancshares, Inc.(a) | 25,304 | 372,222 |
Capitol Federal Financial, Inc. | 99,100 | 831,449 |
Columbia Financial, Inc.(a) | 9,321 | 196,673 |
Enact Holdings, Inc. | 33,700 | 817,225 |
Essent Group Ltd. | 38,500 | 1,653,575 |
FS Bancorp, Inc. | 10,780 | 387,326 |
Home Bancorp, Inc. | 10,889 | 430,660 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 11 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Kearny Financial Corp. | 89,300 | 896,572 |
Luther Burbank Corp. | 41,400 | 481,482 |
Merchants Bancorp | 22,493 | 680,413 |
MGIC Investment Corp. | 341,049 | 4,692,834 |
New York Community Bancorp, Inc. | 177,200 | 1,573,536 |
NMI Holdings, Inc., Class A(a) | 62,000 | 1,447,080 |
Northeast Community Bancorp, Inc. | 25,700 | 402,462 |
Northfield Bancorp, Inc. | 60,170 | 885,101 |
Ocwen Financial Corp.(a) | 3,789 | 123,749 |
Provident Bancorp, Inc. | 12,716 | 116,606 |
Provident Financial Services, Inc. | 73,952 | 1,726,779 |
Radian Group, Inc. | 221,392 | 4,726,719 |
Southern Missouri Bancorp, Inc. | 13,912 | 643,847 |
Territorial Bancorp, Inc. | 12,700 | 291,846 |
TrustCo Bank Corp. | 37,272 | 1,396,209 |
Waterstone Financial, Inc. | 42,558 | 685,184 |
William Penn Bancorp | 13,100 | 155,497 |
WSFS Financial Corp. | 87,900 | 4,387,089 |
Total | 34,144,021 | |
Total Financials | 329,710,107 | |
Health Care 12.5% | ||
Biotechnology 4.7% | ||
2seventy bio, Inc.(a) | 9,768 | 131,770 |
ACADIA Pharmaceuticals, Inc.(a) | 89,391 | 1,849,500 |
ADC Therapeutics SA(a) | 107,219 | 385,988 |
Agios Pharmaceuticals, Inc.(a) | 129,771 | 3,284,504 |
Alector, Inc.(a) | 94,761 | 809,259 |
Allogene Therapeutics, Inc.(a) | 124,236 | 788,899 |
Amicus Therapeutics, Inc.(a) | 337,615 | 4,453,142 |
AnaptysBio, Inc.(a) | 45,385 | 1,130,086 |
Anika Therapeutics, Inc.(a) | 15,492 | 491,096 |
Apellis Pharmaceuticals, Inc.(a) | 51,844 | 3,394,745 |
Arcutis Biotherapeutics, Inc.(a) | 59,780 | 967,240 |
Arrowhead Pharmaceuticals, Inc.(a) | 83,263 | 2,689,395 |
ARS Pharmaceuticals, Inc.(a) | 63,453 | 566,001 |
Atara Biotherapeutics, Inc.(a) | 271,931 | 1,101,321 |
BioCryst Pharmaceuticals, Inc.(a) | 100,634 | 890,611 |
bluebird bio, Inc.(a) | 76,190 | 396,188 |
Blueprint Medicines Corp.(a) | 48,277 | 2,045,496 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
C4 Therapeutics, Inc.(a) | 70,560 | 371,851 |
Century Therapeutics, Inc.(a) | 1,000 | 4,510 |
Chimerix, Inc.(a) | 117,394 | 185,483 |
Clementia Pharmaceuticals, Inc.(a),(b),(c),(d) | 134,864 | 0 |
Coherus Biosciences, Inc.(a) | 212,603 | 1,439,322 |
Deciphera Pharmaceuticals, Inc.(a) | 58,958 | 854,891 |
Dyne Therapeutics, Inc.(a) | 39,011 | 502,462 |
Emergent BioSolutions, Inc.(a) | 201,062 | 2,489,148 |
Enanta Pharmaceuticals, Inc.(a) | 22,579 | 1,095,082 |
EQRx, Inc.(a) | 163,644 | 369,835 |
Erasca, Inc.(a) | 19,275 | 69,390 |
Exelixis, Inc.(a) | 164,925 | 2,816,919 |
FibroGen, Inc.(a) | 48,998 | 1,087,756 |
G1 Therapeutics, Inc.(a) | 108,326 | 392,140 |
Halozyme Therapeutics, Inc.(a) | 115,901 | 5,562,089 |
Heron Therapeutics, Inc.(a) | 348,624 | 826,239 |
Ideaya Biosciences, Inc.(a) | 64,154 | 1,132,318 |
Immunocore Holdings PLC, ADR(a) | 12,659 | 694,346 |
Insmed, Inc.(a) | 43,319 | 882,841 |
Instil Bio, Inc.(a) | 91,258 | 70,917 |
Invivyd, Inc.(a) | 25,243 | 43,923 |
Iovance Biotherapeutics, Inc.(a) | 138,901 | 1,012,588 |
Ironwood Pharmaceuticals, Inc.(a) | 130,500 | 1,470,735 |
iTeos Therapeutics, Inc.(a) | 46,947 | 831,431 |
IVERIC bio, Inc.(a) | 49,754 | 1,033,888 |
KalVista Pharmaceuticals, Inc.(a) | 12,336 | 90,423 |
Kiniksa Pharmaceuticals(a) | 60,692 | 780,499 |
Kinnate Biopharma, Inc.(a) | 3,800 | 20,064 |
Kodiak Sciences, Inc.(a) | 21,539 | 140,004 |
Kronos Bio, Inc.(a) | 133,015 | 231,446 |
Lyell Immunopharma, Inc.(a) | 93,891 | 201,866 |
MacroGenics, Inc.(a) | 27,510 | 167,536 |
Mersana Therapeutics, Inc.(a) | 46,151 | 279,675 |
MiMedx Group, Inc.(a) | 19,700 | 94,757 |
Monte Rosa Therapeutics, Inc.(a) | 6,154 | 37,416 |
Natera, Inc.(a) | 69,403 | 3,369,516 |
Nurix Therapeutics, Inc.(a) | 40,144 | 378,558 |
Organogenesis Holdings, Inc.(a) | 165,700 | 405,965 |
PMV Pharmaceuticals, Inc.(a) | 80,295 | 578,927 |
12 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Praxis Precision Medicines, Inc.(a) | 54,688 | 167,619 |
Precigen, Inc.(a) | 45,324 | 57,108 |
Protagonist Therapeutics, Inc.(a) | 16,513 | 267,841 |
PTC Therapeutics, Inc.(a) | 72,801 | 3,179,220 |
REGENXBIO, Inc.(a) | 101,716 | 2,263,181 |
Relay Therapeutics, Inc.(a) | 102,756 | 1,659,509 |
Revolution Medicines, Inc.(a) | 75,695 | 2,025,598 |
Sage Therapeutics, Inc.(a) | 81,032 | 3,374,172 |
Sana Biotechnology, Inc.(a) | 61,781 | 226,736 |
Sangamo Therapeutics, Inc.(a) | 16,027 | 48,882 |
Sutro Biopharma, Inc.(a) | 128,483 | 724,644 |
Tango Therapeutics, Inc.(a) | 52,444 | 274,282 |
Travere Therapeutics, Inc.(a) | 87,252 | 1,933,504 |
Twist Bioscience Corp.(a) | 97,371 | 1,894,840 |
Ultragenyx Pharmaceutical, Inc.(a) | 43,132 | 1,918,943 |
Vanda Pharmaceuticals, Inc.(a) | 299,490 | 1,928,716 |
Vericel Corp.(a) | 167,999 | 5,108,850 |
Verve Therapeutics, Inc.(a) | 56,106 | 1,066,014 |
Total | 85,511,656 | |
Health Care Equipment & Supplies 3.7% | ||
Angiodynamics, Inc.(a) | 59,671 | 738,727 |
Avanos Medical, Inc.(a) | 7,058 | 198,118 |
CONMED Corp. | 41,306 | 3,973,224 |
Cue Health, Inc.(a) | 31,046 | 66,749 |
Haemonetics Corp.(a) | 55,222 | 4,294,615 |
Inogen, Inc.(a) | 9,718 | 152,281 |
iRhythm Technologies, Inc.(a) | 35,972 | 4,233,185 |
LeMaitre Vascular, Inc. | 137,636 | 6,896,940 |
Merit Medical Systems, Inc.(a) | 176,051 | 12,425,680 |
Mesa Laboratories, Inc. | 42,109 | 7,433,081 |
Neogen Corp.(a) | 362,868 | 6,419,135 |
Nevro Corp.(a) | 25,341 | 796,721 |
Omnicell, Inc.(a) | 98,471 | 5,360,761 |
OraSure Technologies, Inc.(a) | 177,580 | 1,120,530 |
Orthofix Medical, Inc.(a) | 58,792 | 1,211,115 |
Outset Medical, Inc.(a) | 157,652 | 3,596,042 |
Shockwave Medical, Inc.(a) | 26,888 | 5,115,173 |
Tactile Systems Technology, Inc.(a) | 26,628 | 384,775 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Varex Imaging Corp.(a) | 42,807 | 757,256 |
Zimvie, Inc.(a) | 95,525 | 1,087,074 |
Total | 66,261,182 | |
Health Care Providers & Services 1.0% | ||
Acadia Healthcare Co., Inc.(a) | 48,567 | 3,521,593 |
Accolade, Inc.(a) | 213,753 | 2,374,796 |
AdaptHealth Corp.(a) | 144,461 | 2,309,931 |
Amedisys, Inc.(a) | 27,527 | 2,531,108 |
Cano Health, Inc.(a) | 512,179 | 845,095 |
Cross Country Healthcare, Inc.(a) | 14,331 | 379,055 |
National HealthCare Corp. | 15,800 | 880,376 |
National Research Corp., Class A | 54,318 | 2,453,001 |
Premier, Inc. | 44,600 | 1,435,674 |
Select Medical Holdings Corp. | 36,800 | 1,000,592 |
Total | 17,731,221 | |
Health Care Technology 1.3% | ||
Computer Programs & Systems, Inc.(a) | 39,523 | 1,186,085 |
Definitive Healthcare Corp.(a) | 229,000 | 2,615,180 |
Evolent Health, Inc., Class A(a) | 155,517 | 5,444,650 |
Health Catalyst, Inc.(a) | 194,315 | 2,712,637 |
HealthStream, Inc.(a) | 21,581 | 553,553 |
NextGen Healthcare, Inc.(a) | 25,469 | 461,244 |
Simulations Plus, Inc. | 162,994 | 6,200,292 |
Veradigm, Inc.(a) | 227,438 | 3,777,745 |
Total | 22,951,386 | |
Life Sciences Tools & Services 0.9% | ||
Azenta, Inc.(a) | 93,276 | 4,093,884 |
Berkeley Lights, Inc.(a) | 228,929 | 400,626 |
Harvard Bioscience, Inc.(a) | 8,964 | 25,368 |
Personalis, Inc.(a) | 136,731 | 411,560 |
Repligen Corp.(a) | 39,000 | 6,800,430 |
Seer, Inc.(a) | 61,405 | 251,146 |
Stevanato Group SpA | 220,075 | 4,786,631 |
Total | 16,769,645 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 13 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharmaceuticals 0.9% | ||
Amylyx Pharmaceuticals, Inc.(a) | 24,639 | 857,930 |
Arvinas, Inc.(a) | 61,256 | 1,877,497 |
Atea Pharmaceuticals, Inc.(a) | 42,293 | 149,717 |
Athira Pharma, Inc.(a) | 35,142 | 108,237 |
Intra-Cellular Therapies, Inc.(a) | 56,311 | 2,760,928 |
Nektar Therapeutics(a) | 323,308 | 446,165 |
NGM Biopharmaceuticals, Inc.(a) | 79,712 | 377,835 |
Phibro Animal Health Corp., Class A | 42,300 | 664,533 |
Prestige Consumer Healthcare, Inc.(a) | 48,203 | 2,904,231 |
Revance Therapeutics, Inc.(a) | 154,723 | 5,368,888 |
Taro Pharmaceutical Industries Ltd.(a) | 39,400 | 1,190,668 |
Theravance Biopharma, Inc.(a) | 14,850 | 160,380 |
Total | 16,867,009 | |
Total Health Care | 226,092,099 | |
Industrials 22.9% | ||
Aerospace & Defense 2.2% | ||
AerSale Corp.(a) | 68,054 | 1,351,553 |
Astra Space, Inc.(a) | 235,817 | 134,416 |
Astronics Corp.(a) | 42,172 | 642,701 |
Axon Enterprise, Inc.(a) | 52,821 | 10,580,575 |
Hexcel Corp. | 67,572 | 4,929,377 |
Mercury Systems, Inc.(a) | 152,543 | 7,984,101 |
Moog, Inc., Class A | 56,278 | 5,550,136 |
National Presto Industries, Inc. | 16,100 | 1,104,943 |
Parsons Corp.(a) | 117,642 | 5,297,419 |
V2X, Inc.(a) | 37,100 | 1,720,327 |
Total | 39,295,548 | |
Air Freight & Logistics 0.1% | ||
Atlas Air Worldwide Holdings, Inc.(a) | 10,000 | 1,008,100 |
Forward Air Corp. | 10,600 | 1,094,026 |
Radiant Logistics, Inc.(a) | 25,369 | 144,096 |
Total | 2,246,222 | |
Airlines 0.2% | ||
Frontier Group Holdings, Inc.(a) | 129,205 | 1,519,451 |
JetBlue Airways Corp.(a) | 220,321 | 1,828,664 |
Total | 3,348,115 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 2.5% | ||
AAON, Inc. | 162,787 | 14,807,106 |
Advanced Drainage Systems, Inc. | 24,999 | 2,218,161 |
AZZ, Inc. | 36,400 | 1,479,660 |
Insteel Industries, Inc. | 36,100 | 1,073,975 |
JELD-WEN Holding, Inc.(a) | 133,964 | 1,761,627 |
PGT, Inc.(a) | 15,200 | 321,480 |
Quanex Building Products Corp. | 45,753 | 1,187,290 |
Resideo Technologies, Inc.(a) | 170,495 | 3,126,878 |
Simpson Manufacturing Co., Inc. | 125,085 | 13,491,668 |
Trex Company, Inc.(a) | 105,300 | 5,383,989 |
UFP Industries, Inc. | 3,794 | 324,501 |
Total | 45,176,335 | |
Commercial Services & Supplies 2.4% | ||
ABM Industries, Inc. | 115,000 | 5,567,150 |
ACCO Brands Corp. | 195,100 | 1,106,217 |
ACV Auctions, Inc., Class A(a) | 207,779 | 2,543,215 |
BrightView Holdings, Inc.(a) | 32,979 | 208,427 |
Brink’s Co. (The) | 19,100 | 1,246,275 |
Casella Waste Systems, Inc., Class A(a) | 245,733 | 19,122,942 |
CoreCivic, Inc.(a) | 322,785 | 3,134,242 |
Harsco Corp.(a) | 86,704 | 733,516 |
Healthcare Services Group, Inc. | 75,600 | 1,003,212 |
Interface, Inc. | 95,300 | 840,546 |
Kimball International, Inc., Class B | 139,746 | 965,645 |
MillerKnoll, Inc. | 61,200 | 1,460,844 |
MSA Safety, Inc. | 34,671 | 4,658,049 |
Steelcase, Inc., Class A | 98,602 | 775,998 |
Viad Corp.(a) | 15,716 | 404,058 |
Total | 43,770,336 | |
Construction & Engineering 1.9% | ||
API Group Corp.(a) | 228,800 | 5,374,512 |
Argan, Inc. | 10,090 | 392,097 |
Construction Partners, Inc., Class A(a) | 327,524 | 8,859,524 |
EMCOR Group, Inc. | 42,957 | 7,183,270 |
Fluor Corp.(a) | 42,500 | 1,558,475 |
Great Lakes Dredge & Dock Corp.(a) | 10,304 | 59,093 |
MasTec, Inc.(a) | 22,772 | 2,225,280 |
14 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Primoris Services Corp. | 47,061 | 1,294,177 |
Sterling Infrastructure, Inc.(a) | 9,200 | 353,832 |
Tutor Perini Corp.(a) | 203,262 | 1,648,455 |
Valmont Industries, Inc. | 14,681 | 4,658,722 |
Total | 33,607,437 | |
Electrical Equipment 1.2% | ||
Bloom Energy Corp., Class A(a) | 303,315 | 6,578,902 |
Encore Wire Corp. | 32,189 | 6,212,799 |
EnerSys | 11,700 | 1,061,073 |
GrafTech International Ltd. | 200,100 | 1,130,565 |
NEXTracker, Inc., Class A(a) | 19,444 | 591,876 |
Powell Industries, Inc. | 19,695 | 873,473 |
Preformed Line Products Co. | 5,000 | 445,825 |
Shoals Technologies Group, Inc., Class A(a) | 152,556 | 3,743,724 |
Thermon(a) | 40,200 | 1,063,290 |
Vertiv Holdings Co. | 51,069 | 829,871 |
Total | 22,531,398 | |
Machinery 5.1% | ||
AGCO Corp. | 7,396 | 1,041,431 |
Allison Transmission Holdings, Inc. | 30,200 | 1,434,500 |
Astec Industries, Inc. | 25,129 | 1,131,559 |
Barnes Group, Inc. | 23,200 | 977,648 |
Blue Bird Corp.(a) | 25,600 | 519,936 |
Chart Industries, Inc.(a) | 23,176 | 3,093,996 |
Columbus McKinnon Corp. | 28,800 | 1,069,056 |
Douglas Dynamics, Inc. | 158,910 | 5,925,754 |
Enerpac Tool Group Corp. | 38,600 | 1,039,498 |
ESCO Technologies, Inc. | 72,987 | 6,801,659 |
Evoqua Water Technologies Corp.(a) | 242,809 | 11,790,805 |
Flowserve Corp. | 46,900 | 1,626,961 |
Gates Industrial Corp. PLC(a) | 64,100 | 899,964 |
Greenbrier Companies, Inc. (The) | 49,132 | 1,577,628 |
Helios Technologies, Inc. | 115,811 | 7,845,037 |
Hillenbrand, Inc. | 27,200 | 1,282,208 |
Hillman Solutions Corp.(a) | 412,855 | 3,670,281 |
Hyster-Yale Materials Handling, Inc. | 8,200 | 319,062 |
ITT, Inc. | 44,037 | 4,002,523 |
John Bean Technologies Corp. | 88,130 | 9,772,736 |
Manitowoc Co., Inc. (The)(a) | 82,894 | 1,567,526 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Miller Industries, Inc. | 17,800 | 495,018 |
Mueller Industries, Inc. | 12,100 | 895,037 |
Mueller Water Products, Inc., Class A | 78,100 | 1,083,247 |
Omega Flex, Inc. | 40,251 | 4,684,411 |
Proto Labs, Inc.(a) | 77,016 | 2,421,383 |
RBC Bearings, Inc.(a) | 41,877 | 9,623,753 |
REV Group, Inc. | 32,193 | 376,336 |
Timken Co. (The) | 19,400 | 1,657,730 |
Trinity Industries, Inc. | 58,431 | 1,630,809 |
Wabash National Corp. | 112,962 | 3,095,159 |
Total | 93,352,651 | |
Marine 0.2% | ||
Matson, Inc. | 15,500 | 1,030,905 |
Star Bulk Carriers Corp. | 96,400 | 2,362,764 |
Total | 3,393,669 | |
Professional Services 2.5% | ||
Alight, Inc., Class A(a) | 223,924 | 2,149,671 |
Barrett Business Services, Inc. | 10,746 | 1,031,401 |
BGSF, Inc. | 15,300 | 216,342 |
Exponent, Inc. | 152,991 | 15,742,774 |
Heidrick & Struggles International, Inc. | 68,613 | 2,355,484 |
ICF International, Inc. | 36,123 | 3,593,877 |
KBR, Inc. | 146,693 | 8,084,251 |
Kelly Services, Inc., Class A | 78,652 | 1,315,848 |
Kforce, Inc. | 17,400 | 1,087,326 |
Korn/Ferry International | 27,800 | 1,553,742 |
ManpowerGroup, Inc. | 10,600 | 899,728 |
Resources Connection, Inc. | 95,546 | 1,725,561 |
Science Applications International Corp. | 38,203 | 4,073,968 |
TrueBlue, Inc.(a) | 116,074 | 2,170,584 |
Total | 46,000,557 | |
Road & Rail 1.1% | ||
ArcBest Corp. | 78,121 | 7,515,240 |
Covenant Logistics Group, Inc., Class A | 27,611 | 956,721 |
Heartland Express, Inc. | 228,769 | 3,690,044 |
Lyft, Inc., Class A(a) | 80,728 | 807,280 |
PAM Transportation Services, Inc.(a) | 16,700 | 484,300 |
Saia, Inc.(a) | 16,810 | 4,553,325 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 15 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
TuSimple Holdings, Inc., Class A(a) | 81,635 | 156,739 |
Werner Enterprises, Inc. | 19,502 | 905,868 |
Total | 19,069,517 | |
Trading Companies & Distributors 3.5% | ||
Air Lease Corp. | 65,643 | 2,841,029 |
Alta Equipment Group, Inc. | 8,403 | 158,060 |
Applied Industrial Technologies, Inc. | 44,090 | 6,298,697 |
Beacon Roofing Supply, Inc.(a) | 50,954 | 3,312,010 |
BlueLinx Holdings, Inc.(a) | 14,300 | 1,206,777 |
Boise Cascade Co. | 48,556 | 3,355,705 |
Core & Main, Inc., Class A(a) | 137,742 | 3,210,766 |
FTAI Aviation Ltd. | 99,712 | 2,519,722 |
Global Industrial Co. | 17,527 | 493,035 |
Herc Holdings Inc | 31,874 | 4,576,788 |
NOW, Inc.(a) | 79,926 | 1,027,049 |
Rush Enterprises, Inc., Class A | 71,916 | 4,076,199 |
SiteOne Landscape Supply, Inc.(a) | 83,551 | 12,393,955 |
Titan Machinery, Inc.(a) | 25,272 | 1,157,205 |
Transcat, Inc.(a) | 52,188 | 4,696,398 |
Triton International Ltd. | 50,300 | 3,467,682 |
Univar, Inc.(a) | 113,306 | 3,937,383 |
WESCO International, Inc.(a) | 23,325 | 3,862,154 |
Xometry, Inc., Class A(a) | 55,677 | 1,693,138 |
Total | 64,283,752 | |
Total Industrials | 416,075,537 | |
Information Technology 14.8% | ||
Communications Equipment 0.5% | ||
Aviat Networks, Inc.(a) | 7,339 | 260,755 |
Ciena Corp.(a) | 65,474 | 3,157,156 |
Comtech Telecommunications Corp. | 33,068 | 528,757 |
Digi International, Inc.(a) | 2,075 | 69,243 |
Extreme Networks, Inc.(a) | 152,001 | 2,845,459 |
Inseego Corp.(a) | 92,847 | 83,144 |
InterDigital, Inc. | 17,700 | 1,291,923 |
NETGEAR, Inc.(a) | 27,568 | 498,981 |
Netscout Systems, Inc.(a) | 6,043 | 171,863 |
Ribbon Communications, Inc.(a) | 114,490 | 510,625 |
Total | 9,417,906 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electronic Equipment, Instruments & Components 2.7% | ||
Avnet, Inc. | 31,700 | 1,417,307 |
Belden, Inc. | 18,600 | 1,569,468 |
Benchmark Electronics, Inc. | 53,270 | 1,267,293 |
Coherent Corp.(a) | 100,941 | 4,353,585 |
ePlus, Inc.(a) | 19,400 | 1,050,898 |
Fabrinet(a) | 15,042 | 1,833,169 |
FARO Technologies, Inc.(a) | 23,203 | 631,122 |
Insight Enterprises, Inc.(a) | 9,800 | 1,312,416 |
IPG Photonics Corp.(a) | 12,400 | 1,528,176 |
Itron, Inc.(a) | 65,030 | 3,626,723 |
Kimball Electronics, Inc.(a) | 45,434 | 1,136,304 |
Knowles Corp.(a) | 106,881 | 1,814,839 |
Littelfuse, Inc. | 7,814 | 2,021,716 |
nLight, Inc.(a) | 60,471 | 683,322 |
Novanta, Inc.(a) | 91,079 | 14,291,206 |
Ouster, Inc.(a) | 118,547 | 142,257 |
PC Connection, Inc. | 11,000 | 481,800 |
Plexus Corp.(a) | 14,576 | 1,397,693 |
Sanmina Corp.(a) | 19,900 | 1,203,154 |
Scansource, Inc.(a) | 33,996 | 1,059,995 |
TTM Technologies, Inc.(a) | 79,000 | 1,049,910 |
Vishay Intertechnology, Inc. | 201,156 | 4,270,542 |
Vontier Corp. | 62,300 | 1,630,391 |
Total | 49,773,286 | |
IT Services 1.3% | ||
Cass Information Systems, Inc. | 24,000 | 1,160,400 |
DigitalOcean Holdings, Inc.(a) | 52,606 | 1,682,340 |
Euronet Worldwide, Inc.(a) | 14,100 | 1,534,785 |
ExlService Holdings, Inc.(a) | 39,340 | 6,471,823 |
Flywire Corp.(a) | 44,624 | 1,103,552 |
Globant SA(a) | 12,142 | 2,004,401 |
International Money Express, Inc.(a) | 60,900 | 1,555,995 |
MAXIMUS, Inc. | 12,100 | 993,168 |
Paysafe Ltd.(a) | 60,995 | 1,216,240 |
Rackspace Technology, Inc.(a) | 154,809 | 363,801 |
Remitly Global, Inc.(a) | 149,770 | 2,191,135 |
TTEC Holdings, Inc. | 21,800 | 877,668 |
16 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Unisys Corp.(a) | 99,620 | 496,108 |
Verra Mobility Corp.(a) | 68,500 | 1,180,255 |
Total | 22,831,671 | |
Semiconductors & Semiconductor Equipment 1.9% | ||
ACM Research, Inc., Class A(a) | 134,800 | 1,399,224 |
Allegro MicroSystems, Inc.(a) | 54,999 | 2,402,356 |
Amkor Technology, Inc. | 55,478 | 1,429,113 |
Cirrus Logic, Inc.(a) | 33,206 | 3,411,917 |
Credo Technology Group Holding Ltd.(a) | 77,729 | 824,705 |
Diodes, Inc.(a) | 51,869 | 4,755,869 |
Impinj, Inc.(a) | 13,070 | 1,733,343 |
MaxLinear, Inc., Class A(a) | 27,700 | 947,617 |
MKS Instruments, Inc. | 19,340 | 1,874,626 |
Photronics, Inc.(a) | 59,400 | 1,046,628 |
Power Integrations, Inc. | 25,528 | 2,099,678 |
Rambus, Inc.(a) | 131,779 | 5,828,585 |
Semtech Corp.(a) | 48,500 | 1,494,285 |
Ultra Clean Holdings, Inc.(a) | 77,600 | 2,472,336 |
Wolfspeed, Inc.(a) | 28,604 | 2,116,124 |
Total | 33,836,406 | |
Software 8.1% | ||
ACI Worldwide, Inc.(a) | 63,800 | 1,649,230 |
Adeia, Inc. | 120,789 | 1,190,980 |
Altair Engineering, Inc., Class A(a) | 158,243 | 10,137,047 |
Blackline, Inc.(a) | 149,309 | 10,206,763 |
Blend Labs, Inc., Class A(a) | 319,421 | 504,685 |
Box, Inc., Class A(a) | 71,064 | 2,369,984 |
Cerence, Inc.(a) | 179,154 | 4,905,237 |
Clear Secure, Inc., Class A | 76,672 | 2,356,897 |
Clearwater Analytics Holdings, Inc., Class A(a) | 226,775 | 3,902,798 |
Confluent, Inc., Class A(a) | 92,348 | 2,252,368 |
Consensus Cloud Solutions, Inc.(a) | 15,178 | 622,905 |
CyberArk Software Ltd.(a) | 27,634 | 4,000,574 |
Descartes Systems Group, Inc. (The)(a) | 192,485 | 14,182,295 |
Dropbox, Inc., Class A(a) | 69,997 | 1,427,939 |
Ebix, Inc. | 51,400 | 893,332 |
Elastic NV(a) | 31,603 | 1,865,209 |
Envestnet, Inc.(a) | 63,821 | 3,989,451 |
Everbridge, Inc.(a) | 47,276 | 1,544,980 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Five9, Inc.(a) | 34,788 | 2,296,008 |
HashiCorp, Inc., Class A(a) | 85,987 | 2,510,820 |
Informatica, Inc., Class A(a) | 52,426 | 904,349 |
Intelligent Systems Corp.(a) | 11,900 | 395,913 |
Jamf Holding Corp.(a) | 18,500 | 392,570 |
JFrog Ltd.(a) | 72,151 | 1,659,473 |
Latch, Inc.(a) | 28,600 | 22,594 |
Model N, Inc.(a) | 276,900 | 9,193,080 |
NCR Corp.(a) | 48,000 | 1,225,440 |
New Relic, Inc.(a) | 53,421 | 3,898,130 |
Nutanix, Inc., Class A(a) | 102,149 | 2,885,709 |
ON24, Inc.(a) | 17,351 | 167,264 |
Paycor HCM, Inc.(a) | 359,487 | 8,904,493 |
PowerSchool Holdings, Inc., Class A(a) | 11,541 | 264,866 |
PROS Holdings, Inc.(a) | 227,048 | 5,923,682 |
Q2 Holdings, Inc.(a) | 132,990 | 4,292,917 |
SecureWorks Corp., Class A(a) | 9,338 | 70,689 |
SentinelOne, Inc., Class A(a) | 121,874 | 1,948,765 |
Smartsheet, Inc., Class A(a) | 75,359 | 3,317,303 |
SolarWinds Corp.(a) | 77,714 | 662,123 |
Sprout Social, Inc., Class A(a) | 22,209 | 1,354,305 |
SPS Commerce, Inc.(a) | 102,400 | 15,425,536 |
Telos Corp.(a) | 211,800 | 819,666 |
Upland Software, Inc.(a) | 63,538 | 367,885 |
Vertex, Inc.(a) | 321,591 | 5,010,388 |
Workiva, Inc., Class A(a) | 57,155 | 5,098,226 |
Xperi, Inc.(a) | 4,360 | 50,968 |
Total | 147,065,836 | |
Technology Hardware, Storage & Peripherals 0.3% | ||
Avid Technology, Inc.(a) | 40,653 | 1,181,376 |
Quantum Corp.(a) | 48,960 | 55,325 |
Super Micro Computer, Inc.(a) | 23,407 | 2,293,184 |
Xerox Holdings Corp. | 143,083 | 2,359,439 |
Total | 5,889,324 | |
Total Information Technology | 268,814,429 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 17 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 3.7% | ||
Chemicals 1.8% | ||
AdvanSix, Inc. | 36,388 | 1,497,366 |
Ashland, Inc. | 24,300 | 2,473,254 |
Avient Corp. | 29,737 | 1,297,425 |
Balchem Corp. | 69,057 | 8,977,410 |
Cabot Corp. | 69,068 | 5,492,978 |
Chase Corp. | 9,700 | 950,018 |
Ecovyst, Inc.(a) | 291,147 | 2,923,116 |
Hawkins, Inc. | 7,000 | 284,690 |
HB Fuller Co. | 41,800 | 2,915,968 |
Ingevity Corp.(a) | 4,600 | 379,776 |
Koppers Holdings, Inc. | 6,410 | 230,055 |
Minerals Technologies, Inc. | 15,100 | 917,325 |
NewMarket Corp. | 1,000 | 343,500 |
Rayonier Advanced Materials, Inc.(a) | 119,669 | 981,286 |
Trinseo PLC | 114,532 | 2,654,852 |
Valhi, Inc. | 4,967 | 117,668 |
Total | 32,436,687 | |
Containers & Packaging 0.4% | ||
Myers Industries, Inc. | 38,500 | 994,840 |
O-I Glass, Inc.(a) | 234,252 | 5,205,079 |
TriMas Corp. | 35,000 | 1,049,650 |
Total | 7,249,569 | |
Metals & Mining 1.3% | ||
Arconic Corp.(a) | 50,706 | 1,340,667 |
ATI, Inc.(a) | 97,275 | 3,954,229 |
Constellium SE(a) | 53,700 | 858,663 |
Kaiser Aluminum Corp. | 12,647 | 1,003,160 |
Materion Corp. | 41,000 | 4,578,880 |
Novagold Resources, Inc.(a) | 53,851 | 301,027 |
Olympic Steel, Inc. | 10,100 | 530,250 |
Ryerson Holding Corp. | 113,170 | 4,066,198 |
Schnitzer Steel Industries, Inc., Class A | 39,848 | 1,302,631 |
SunCoke Energy, Inc. | 83,563 | 794,684 |
Tredegar Corp. | 85,900 | 998,158 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Warrior Met Coal, Inc. | 69,529 | 2,660,875 |
Worthington Industries, Inc. | 6,200 | 374,728 |
Total | 22,764,150 | |
Paper & Forest Products 0.2% | ||
Clearwater Paper Corp.(a) | 23,861 | 920,796 |
Louisiana-Pacific Corp. | 25,900 | 1,515,409 |
Mercer International, Inc. | 95,100 | 1,025,178 |
Sylvamo Corp. | 18,235 | 899,533 |
Total | 4,360,916 | |
Total Materials | 66,811,322 | |
Real Estate 4.6% | ||
Equity Real Estate Investment Trusts (REITS) 3.5% | ||
Alexander’s, Inc. | 4,500 | 985,095 |
American Assets Trust, Inc. | 88,600 | 2,235,378 |
Apple Hospitality REIT, Inc. | 497,355 | 8,211,331 |
Armada Hoffler Properties, Inc. | 38,136 | 488,903 |
Braemar Hotels & Resorts, Inc. | 172,000 | 801,520 |
Chatham Lodging Trust | 41,243 | 503,577 |
CTO Realty Growth, Inc. | 14,153 | 248,810 |
CubeSmart | 56,279 | 2,644,550 |
Diversified Healthcare Trust | 161,900 | 158,662 |
Empire State Realty Trust, Inc., Class A | 195,700 | 1,426,653 |
Equity Commonwealth | 165,696 | 3,517,726 |
First Industrial Realty Trust, Inc. | 52,894 | 2,790,158 |
Hersha Hospitality Trust | 100,456 | 839,812 |
Kite Realty Group Trust | 210,709 | 4,576,599 |
NetSTREIT Corp. | 88,735 | 1,791,560 |
Park Hotels & Resorts, Inc. | 121,300 | 1,667,875 |
Pebblebrook Hotel Trust | 110,300 | 1,573,981 |
Piedmont Office Realty Trust, Inc. | 107,973 | 987,953 |
Rayonier, Inc. | 88,074 | 2,957,525 |
RLJ Lodging Trust | 338,593 | 3,839,645 |
Ryman Hospitality Properties, Inc. | 46,370 | 4,301,745 |
STAG Industrial, Inc. | 82,998 | 2,792,053 |
Sunstone Hotel Investors, Inc. | 291,486 | 3,081,007 |
Tanger Factory Outlet Centers, Inc. | 226,946 | 4,287,010 |
Terreno Realty Corp. | 71,465 | 4,445,838 |
Xenia Hotels & Resorts, Inc. | 163,239 | 2,291,875 |
Total | 63,446,841 |
18 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Real Estate Management & Development 1.1% | ||
Cushman & Wakefield PLC(a) | 106,900 | 1,383,286 |
Douglas Elliman, Inc. | 176,161 | 743,399 |
FirstService Corp. | 80,950 | 11,108,769 |
Forestar Group, Inc.(a) | 19,656 | 280,491 |
Marcus & Millichap, Inc. | 47,800 | 1,642,886 |
RE/MAX Holdings, Inc., Class A | 86,900 | 1,606,781 |
RMR Group, Inc. (The), Class A | 40,500 | 1,139,670 |
Seritage Growth Properties, Class A(a) | 118,300 | 1,429,064 |
Zillow Group, Inc., Class A(a) | 7,245 | 299,581 |
Total | 19,633,927 | |
Total Real Estate | 83,080,768 | |
Utilities 2.3% | ||
Electric Utilities 0.8% | ||
Allete, Inc. | 33,840 | 2,070,669 |
Hawaiian Electric Industries, Inc. | 35,400 | 1,431,930 |
NRG Energy, Inc. | 51,701 | 1,695,276 |
Otter Tail Corp. | 23,700 | 1,680,093 |
PNM Resources, Inc. | 29,400 | 1,440,600 |
Portland General Electric Co. | 126,671 | 6,054,874 |
Total | 14,373,442 | |
Gas Utilities 0.9% | ||
New Jersey Resources Corp. | 109,303 | 5,577,732 |
Northwest Natural Holding Co. | 49,971 | 2,415,598 |
ONE Gas, Inc. | 76,052 | 6,096,329 |
Southwest Gas Holdings, Inc. | 22,500 | 1,417,725 |
Spire, Inc. | 20,300 | 1,429,120 |
Total | 16,936,504 | |
Independent Power and Renewable Electricity Producers 0.3% | ||
Altus Power, Inc.(a) | 28,921 | 195,795 |
Clearway Energy, Inc., Class C | 115,872 | 3,639,539 |
Vistra Corp. | 84,147 | 1,850,393 |
Total | 5,685,727 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Multi-Utilities 0.3% | ||
Avista Corp. | 36,600 | 1,504,992 |
Black Hills Corp. | 22,600 | 1,387,866 |
NorthWestern Corp. | 25,700 | 1,484,946 |
Total | 4,377,804 | |
Total Utilities | 41,373,477 | |
Total Common Stocks (Cost $1,699,409,616) | 1,766,513,620 | |
Exchange-Traded Equity Funds 0.8% | ||
Shares | Value ($) | |
Sector 0.3% | ||
SPDR S&P Biotech ETF(a) | 72,299 | 5,989,972 |
U.S. Small Cap 0.5% | ||
iShares Russell 2000 ETF | 44,100 | 8,298,738 |
Total Exchange-Traded Equity Funds (Cost $14,730,339) | 14,288,710 | |
Money Market Funds 1.7% | ||
Columbia Short-Term Cash Fund, 4.748%(e),(f) | 31,590,159 | 31,577,523 |
Total Money Market Funds (Cost $31,578,185) | 31,577,523 | |
Total Investments in Securities (Cost: $1,745,718,140) | 1,812,379,853 | |
Other Assets & Liabilities, Net | 1,099,884 | |
Net Assets | 1,813,479,737 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 28, 2023, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
(c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 28, 2023, the total market value of these securities amounted to $0, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Clementia Pharmaceuticals, Inc. | 04/23/2019 | 134,864 | — | — |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
14,327,819 | 251,361,076 | (234,110,837) | (535) | 31,577,523 | 733 | 524,713 | 31,590,159 |
ADR | American Depositary Receipt |
■ | 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). |
20 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
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 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. Representatives of Columbia Management Investment Advisers, LLC report to 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 | ||||
Common Stocks | ||||
Communication Services | 14,694,795 | — | — | 14,694,795 |
Consumer Discretionary | 187,063,174 | — | — | 187,063,174 |
Consumer Staples | 45,734,737 | — | — | 45,734,737 |
Energy | 87,063,175 | — | — | 87,063,175 |
Financials | 329,710,107 | — | — | 329,710,107 |
Health Care | 226,092,099 | — | 0* | 226,092,099 |
Industrials | 416,075,537 | — | — | 416,075,537 |
Information Technology | 268,814,429 | — | — | 268,814,429 |
Materials | 66,811,322 | — | — | 66,811,322 |
Real Estate | 83,080,768 | — | — | 83,080,768 |
Utilities | 41,373,477 | — | — | 41,373,477 |
Total Common Stocks | 1,766,513,620 | — | 0* | 1,766,513,620 |
Exchange-Traded Equity Funds | 14,288,710 | — | — | 14,288,710 |
Money Market Funds | 31,577,523 | — | — | 31,577,523 |
Total Investments in Securities | 1,812,379,853 | — | 0* | 1,812,379,853 |
* | Rounds to zero. |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,714,139,955) | $1,780,802,330 |
Affiliated issuers (cost $31,578,185) | 31,577,523 |
Receivable for: | |
Investments sold | 3,564,614 |
Capital shares sold | 1,738,399 |
Dividends | 2,093,080 |
Foreign tax reclaims | 4,699 |
Expense reimbursement due from Investment Manager | 9,227 |
Prepaid expenses | 12,124 |
Trustees’ deferred compensation plan | 108,787 |
Other assets | 35,201 |
Total assets | 1,819,945,984 |
Liabilities | |
Payable for: | |
Investments purchased | 3,608,876 |
Capital shares purchased | 2,229,395 |
Management services fees | 40,308 |
Transfer agent fees | 400,630 |
Compensation of board members | 25,856 |
Compensation of chief compliance officer | 121 |
Other expenses | 52,274 |
Trustees’ deferred compensation plan | 108,787 |
Total liabilities | 6,466,247 |
Net assets applicable to outstanding capital stock | $1,813,479,737 |
Represented by | |
Paid in capital | 1,776,649,118 |
Total distributable earnings (loss) | 36,830,619 |
Total - representing net assets applicable to outstanding capital stock | $1,813,479,737 |
Institutional Class | |
Net assets | $1,813,477,320 |
Shares outstanding | 121,905,348 |
Net asset value per share | $14.88 |
Institutional 3 Class | |
Net assets | $2,417 |
Shares outstanding | 163 |
Net asset value per share(a) | $14.86 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
22 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $9,831,776 |
Dividends — affiliated issuers | 524,713 |
Foreign taxes withheld | (18,198) |
Total income | 10,338,291 |
Expenses: | |
Management services fees | 5,367,180 |
Transfer agent fees | |
Institutional Class | 2,153,111 |
Compensation of board members | 18,060 |
Custodian fees | 38,475 |
Printing and postage fees | 172,299 |
Registration fees | 38,034 |
Audit fees | 27,318 |
Legal fees | 14,844 |
Compensation of chief compliance officer | 121 |
Other | 12,905 |
Total expenses | 7,842,347 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (1,419,869) |
Total net expenses | 6,422,478 |
Net investment income | 3,915,813 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (10,238,528) |
Investments — affiliated issuers | 733 |
Net realized loss | (10,237,795) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 61,303,006 |
Investments — affiliated issuers | (535) |
Net change in unrealized appreciation (depreciation) | 61,302,471 |
Net realized and unrealized gain | 51,064,676 |
Net increase in net assets resulting from operations | $54,980,489 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 23 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income | $3,915,813 | $1,845,505 |
Net realized gain (loss) | (10,237,795) | 138,601,938 |
Net change in unrealized appreciation (depreciation) | 61,302,471 | (363,318,981) |
Net increase (decrease) in net assets resulting from operations | 54,980,489 | (222,871,538) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Institutional Class | (116,769,103) | (213,409,162) |
Institutional 3 Class | (236) | (529) |
Total distributions to shareholders | (116,769,339) | (213,409,691) |
Increase in net assets from capital stock activity | 590,164,655 | 237,772,579 |
Total increase (decrease) in net assets | 528,375,805 | (198,508,650) |
Net assets at beginning of period | 1,285,103,932 | 1,483,612,582 |
Net assets at end of period | $1,813,479,737 | $1,285,103,932 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Institutional Class | ||||
Subscriptions | 38,437,041 | 584,981,457 | 21,496,910 | 377,218,941 |
Distributions reinvested | 8,364,549 | 116,769,103 | 11,448,989 | 213,409,162 |
Redemptions | (7,520,954) | (111,585,905) | (18,945,152) | (352,855,524) |
Net increase | 39,280,636 | 590,164,655 | 14,000,747 | 237,772,579 |
Total net increase | 39,280,636 | 590,164,655 | 14,000,747 | 237,772,579 |
24 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 25 |
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 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $15.55 | 0.04 | 0.71 | 0.75 | (0.05) | (1.37) | (1.42) |
Year Ended 8/31/2022 | $21.62 | 0.02 | (2.85) | (2.83) | (0.01) | (3.23) | (3.24) |
Year Ended 8/31/2021 | $14.76 | 0.00(e) | 6.92 | 6.92 | (0.06) | — | (0.06) |
Year Ended 8/31/2020 | $14.39 | 0.04 | 0.80 | 0.84 | (0.05) | (0.42) | (0.47) |
Year Ended 8/31/2019 | $17.75 | 0.03 | (2.37) | (2.34) | (0.02) | (1.00) | (1.02) |
Year Ended 8/31/2018 | $15.18 | (0.01) | 3.80 | 3.79 | (0.01) | (1.21) | (1.22) |
Institutional 3 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $15.55 | 0.05 | 0.71 | 0.76 | (0.08) | (1.37) | (1.45) |
Year Ended 8/31/2022 | $21.58 | 0.05 | (2.83) | (2.78) | (0.02) | (3.23) | (3.25) |
Year Ended 8/31/2021 | $14.73 | 0.03 | 6.90 | 6.93 | (0.08) | — | (0.08) |
Year Ended 8/31/2020(g) | $15.37 | 0.04 | (0.68)(h) | (0.64) | — | — | — |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Rounds to zero. |
(f) | Ratios include line of credit interest expense which is less than 0.01%. |
(g) | Institutional 3 Class shares commenced operations on December 18, 2019. Per share data and total return reflect activity from that date. |
(h) | 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. |
26 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
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 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $14.88 | 5.40% | 1.21%(c) | 0.99%(c) | 0.60%(c) | 21% | $1,813,477 |
Year Ended 8/31/2022 | $15.55 | (15.57%) | 1.17%(d) | 0.99%(d) | 0.13% | 59% | $1,285,101 |
Year Ended 8/31/2021 | $21.62 | 46.94% | 1.13% | 0.99% | 0.01% | 59% | $1,483,609 |
Year Ended 8/31/2020 | $14.76 | 5.76% | 1.09% | 0.99% | 0.26% | 83% | $1,167,589 |
Year Ended 8/31/2019 | $14.39 | (12.85%) | 1.06% | 1.05% | 0.22% | 97% | $1,664,350 |
Year Ended 8/31/2018 | $17.75 | 26.26% | 1.17%(f) | 1.09%(f) | (0.04%) | 82% | $1,794,886 |
Institutional 3 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $14.86 | 5.48% | 0.90%(c) | 0.81%(c) | 0.74%(c) | 21% | $2 |
Year Ended 8/31/2022 | $15.55 | (15.33%) | 0.84%(d) | 0.81%(d) | 0.30% | 59% | $3 |
Year Ended 8/31/2021 | $21.58 | 47.18% | 0.86% | 0.81% | 0.16% | 59% | $4 |
Year Ended 8/31/2020(g) | $14.73 | (4.16%) | 0.86%(c) | 0.81%(c) | 0.38%(c) | 83% | $2 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
28 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 29 |
February 28, 2023 (Unaudited)
30 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Institutional Class | 0.33 |
Institutional 3 Class | 0.02 |
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 31 |
February 28, 2023 (Unaudited)
Fee rate(s) contractual through December 31, 2023 | |
Institutional Class | 0.99% |
Institutional 3 Class | 0.81 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,745,718,000 | 197,144,000 | (130,482,000) | 66,662,000 |
32 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 33 |
February 28, 2023 (Unaudited)
34 | Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023 | 35 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Institutional Class | 05/17/18 | 16.04 | -1.80 | 3.42 | |
Institutional 3 Class* | 12/18/19 | 16.06 | -1.64 | 3.51 | |
MSCI EAFE Index (Net) | 12.58 | -3.14 | 2.52 |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at February 28, 2023) | |
Communication Services | 4.5 |
Consumer Discretionary | 10.8 |
Consumer Staples | 9.0 |
Energy | 6.1 |
Financials | 15.6 |
Health Care | 9.7 |
Industrials | 19.4 |
Information Technology | 15.3 |
Materials | 6.3 |
Real Estate | 0.0(a) |
Utilities | 3.3 |
Total | 100.0 |
(a) | Rounds to zero. |
4 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
(Unaudited)
Country breakdown (%) (at February 28, 2023) | |
Argentina | 1.4 |
Australia | 0.5 |
Austria | 0.2 |
Belgium | 1.1 |
Brazil | 0.8 |
Canada | 2.5 |
China | 2.4 |
Denmark | 1.8 |
Finland | 0.9 |
France | 11.7 |
Germany | 10.0 |
Hong Kong | 2.1 |
Ireland | 3.1 |
Israel | 0.1 |
Italy | 4.1 |
Japan | 16.8 |
Jersey | 0.0(a) |
Luxembourg | 0.0(a) |
Netherlands | 7.0 |
Norway | 0.7 |
Panama | 0.3 |
Portugal | 0.0(a) |
Russian Federation | 0.0(a) |
Singapore | 0.0(a) |
South Africa | 0.4 |
South Korea | 2.9 |
Spain | 3.7 |
Sweden | 2.4 |
Switzerland | 6.6 |
Taiwan | 1.2 |
Turkey | 0.6 |
United Kingdom | 13.2 |
United States(b) | 1.5 |
Total | 100.0 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds. |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 5 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
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 | |
Institutional Class | 1,000.00 | 1,000.00 | 1,160.40 | 1,019.93 | 5.25 | 4.91 | 0.98 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,160.60 | 1,020.68 | 4.45 | 4.16 | 0.83 |
6 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks 92.4% | ||
Issuer | Shares | Value ($) |
Argentina 1.4% | ||
MercadoLibre, Inc.(a) | 25,222 | 30,770,840 |
Australia 0.5% | ||
Aurizon Holdings Ltd. | 25,745 | 57,209 |
Cochlear Ltd. | 29,468 | 4,394,406 |
Coles Group Ltd. | 41,640 | 508,575 |
Estia Health | 703,546 | 983,569 |
GrainCorp Ltd. | 200,172 | 1,055,541 |
Metcash Ltd. | 71,054 | 194,252 |
South32 Ltd. | 366,863 | 1,065,893 |
Treasury Wine Estates Ltd. | 138,024 | 1,298,191 |
Yancoal Australia Ltd. | 467,517 | 1,841,128 |
Total | 11,398,764 | |
Austria 0.2% | ||
OMV AG | 63,123 | 3,074,563 |
Wienerberger AG | 40,580 | 1,261,484 |
Total | 4,336,047 | |
Belgium 1.0% | ||
Anheuser-Busch InBev SA/NV | 347,655 | 21,088,272 |
Proximus SADP | 164,188 | 1,511,984 |
Total | 22,600,256 | |
Brazil 0.6% | ||
Banco Bradesco SA, ADR | 1,619,665 | 4,097,752 |
Petroleo Brasileiro SA, ADR | 457,463 | 5,073,265 |
Petroleo Brasileiro SA, ADR | 341,818 | 3,336,144 |
Total | 12,507,161 | |
Canada 2.3% | ||
AbCellera Biologics, Inc.(a) | 243,042 | 2,041,553 |
Alimentation Couche-Tard, Inc. | 237,817 | 11,156,223 |
Canadian National Railway Co. | 109,982 | 12,526,422 |
Constellation Software, Inc. | 5,577 | 9,589,252 |
Eldorado Gold Corp.(a) | 6,213 | 57,905 |
Lumine Group, Inc.(a),(b),(c) | 16,733 | 171,295 |
Ritchie Bros. Auctioneers, Inc. | 71,103 | 4,349,370 |
Shopify, Inc., Class A(a) | 133,849 | 5,506,548 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Topicus.com, Inc.(a) | 111,713 | 7,263,596 |
Total | 52,662,164 | |
China 2.2% | ||
Alibaba Group Holding Ltd.(a) | 507,132 | 5,574,113 |
Beijing Capital International Airport Co., Ltd., Class H(a) | 6,456,000 | 4,725,696 |
China Communications Services Corp., Ltd., Class H | 148,000 | 57,542 |
China Construction Bank Corp., ADR | 30,522 | 371,758 |
China Construction Bank Corp., Class H | 3,764,000 | 2,300,849 |
China Minsheng Banking Corp. Ltd., Class H | 553,500 | 191,154 |
Dongfeng Motor Group Co., Ltd. | 510,000 | 260,542 |
Everbright Securities Co., Ltd., Class H | 545,200 | 376,050 |
GF Securities Co., Ltd. | 52,800 | 74,966 |
Hangzhou Steam Turbine Power Group Co., Ltd., Class B | 76,600 | 110,859 |
Kingboard Chemical Holdings Ltd. | 256,000 | 913,954 |
Meituan, Class B(a) | 418,930 | 7,270,502 |
Ping An Insurance Group Co. of China Ltd., Class H | 940,500 | 6,420,357 |
SITC International Holdings Co., Ltd. | 125,000 | 261,494 |
Tencent Holdings Ltd. | 293,300 | 12,884,202 |
Tencent Music Entertainment Group, ADR(a) | 877,602 | 6,617,119 |
WuXi Biologics Cayman, Inc.(a) | 339,500 | 2,376,553 |
Zhongliang Holdings Group Co., Ltd.(a),(d) | 1,455,500 | 133,656 |
Total | 50,921,366 | |
Denmark 1.7% | ||
Ambu A/S(a) | 209,577 | 3,071,156 |
AP Moller - Maersk A/S, Class A | 778 | 1,778,269 |
AP Moller - Maersk A/S, Class B | 1,115 | 2,597,223 |
Chr. Hansen Holding A/S | 96,434 | 6,685,387 |
DSV A/S | 66,494 | 12,082,376 |
Novo Nordisk A/S, Class B | 34,177 | 4,827,681 |
Novozymes AS, Class B | 171,524 | 8,261,269 |
Total | 39,303,361 |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Finland 0.8% | ||
KONE OYJ, Class B | 179,760 | 9,335,238 |
Nordea Bank | 181,450 | 2,296,508 |
Nordea Bank Abp | 522,777 | 6,624,751 |
Total | 18,256,497 | |
France 11.0% | ||
Air Liquide SA | 74,171 | 11,784,024 |
Alstom SA | 652,139 | 19,139,130 |
AXA SA | 527,985 | 16,637,595 |
BNP Paribas SA | 298,541 | 20,871,356 |
Capgemini SE | 2,987 | 560,171 |
Carrefour SA | 487,229 | 9,632,256 |
Christian Dior SE | 743 | 616,983 |
Cie Generale des Etablissements Michelin SCA | 32,425 | 1,018,666 |
Credit Agricole SA | 66,932 | 815,736 |
Danone SA | 552,073 | 31,033,333 |
Dassault Systemes SE | 341,366 | 13,173,388 |
Edenred | 218,404 | 12,293,154 |
Engie SA | 742,015 | 10,828,504 |
Kering SA | 19,109 | 11,204,013 |
Nexans SA | 42,661 | 4,113,062 |
Orange SA | 609,272 | 6,955,633 |
Pernod Ricard SA | 44,567 | 9,297,186 |
Sanofi | 169,243 | 15,823,938 |
Sanofi, ADR | 99,187 | 4,646,911 |
Sartorius Stedim Biotech | 21,393 | 6,967,631 |
TotalEnergies SE | 255,041 | 15,737,107 |
TotalEnergies SE, ADR | 206,952 | 12,812,398 |
Valeo | 196,520 | 4,082,653 |
VINCI SA | 97,313 | 11,065,253 |
Total | 251,110,081 | |
Germany 8.6% | ||
Allianz SE, Registered Shares | 48,247 | 11,329,045 |
Bayer AG, Registered Shares | 191,557 | 11,374,895 |
Bayerische Motoren Werke AG | 139,061 | 14,346,292 |
Beiersdorf AG | 16,006 | 1,910,246 |
Beiersdorf AG, ADR | 11,780 | 280,482 |
BioNTech SE, ADR | 41,797 | 5,435,700 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Continental AG | 5,345 | 383,729 |
Deutsche Boerse AG | 76,725 | 13,378,848 |
Deutsche Lufthansa AG, Registered Shares(a) | 31,714 | 328,581 |
Deutsche Post AG | 134,221 | 5,676,337 |
Deutsche Telekom AG, Registered Shares | 1,325,742 | 29,753,722 |
Evonik Industries AG | 21,069 | 449,860 |
Fresenius Medical Care AG & Co. KGaA | 30,955 | 1,209,584 |
Fresenius SE & Co. KGaA | 54,215 | 1,491,845 |
Henkel AG & Co. KGaA | 37,852 | 2,617,276 |
Infineon Technologies AG | 29,351 | 1,038,333 |
Mercedes-Benz Group AG, Registered Shares | 140,192 | 10,744,703 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 22,622 | 7,792,766 |
Rational AG | 15,784 | 10,469,409 |
RWE AG | 290,659 | 12,337,677 |
SAP SE | 363,513 | 41,299,071 |
Scout24 SE | 233,509 | 12,797,739 |
Total | 196,446,140 | |
Hong Kong 2.0% | ||
AIA Group Ltd. | 2,206,200 | 23,447,532 |
ASMPT Ltd. | 116,500 | 994,023 |
CK Hutchison Holdings Ltd. | 245,500 | 1,465,942 |
CK Hutchison Holdings Ltd., ADR | 4,406 | 26,128 |
Far East Horizon Ltd. | 46,000 | 40,690 |
Futu Holdings Ltd., ADR(a) | 50,442 | 2,482,251 |
Genertec Universal Medical Group Co., Ltd. | 2,389,000 | 1,379,300 |
Hong Kong Exchanges and Clearing Ltd. | 212,980 | 8,530,417 |
Jardine Matheson Holdings Ltd. | 33,100 | 1,640,756 |
Sands China Ltd.(a) | 955,200 | 3,315,130 |
WH Group Ltd. | 350,000 | 203,675 |
Xinyi Glass Holdings Ltd. | 723,000 | 1,351,826 |
Total | 44,877,670 | |
Ireland 3.0% | ||
CRH PLC | 338,913 | 15,943,133 |
Kingspan Group PLC | 53,898 | 3,498,415 |
Kingspan Group PLC | 138,469 | 9,064,425 |
Ryanair Holdings PLC, ADR(a) | 419,691 | 38,934,734 |
Total | 67,440,707 |
8 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Israel 0.1% | ||
Bank Hapoalim BM | 22,181 | 185,527 |
Bank Leumi Le-Israel BM | 80,660 | 627,093 |
Israel Chemicals Ltd. | 33,989 | 246,671 |
Mizrahi Tefahot Bank Ltd. | 7,805 | 232,097 |
Total | 1,291,388 | |
Italy 3.9% | ||
Anima Holding SpA | 152,720 | 659,744 |
Assicurazioni Generali SpA | 7,190 | 142,214 |
Azimut Holding SpA | 47,157 | 1,118,846 |
Banca Mediolanum SpA | 21,469 | 208,003 |
Enel SpA | 4,530,693 | 25,415,207 |
ENI SpA | 833,106 | 11,766,815 |
ENI SpA, ADR | 76,442 | 2,167,895 |
FinecoBank Banca Fineco SpA | 655,127 | 11,320,910 |
Poste Italiane SpA | 25,199 | 271,715 |
UniCredit SpA | 1,723,380 | 35,257,844 |
Total | 88,329,193 | |
Japan 15.9% | ||
AGC, Inc. | 43,000 | 1,590,858 |
Air Water, Inc. | 20,200 | 242,862 |
Alfresa Holdings Corp. | 20,900 | 252,404 |
Anritsu Corp. | 224,000 | 2,044,689 |
Asahi Group Holdings Ltd. | 80,600 | 2,850,366 |
Asahi Yukizai Corp. | 10,000 | 206,597 |
Awa Bank Ltd. (The) | 42,200 | 688,969 |
Brother Industries Ltd. | 89,300 | 1,313,509 |
Canon, Inc. | 279,600 | 6,017,620 |
Chori Co., Ltd. | 11,400 | 219,198 |
Chubu Electric Power Co., Inc. | 282,500 | 2,925,076 |
Dai Nippon Toryo Co., Ltd. | 13,700 | 85,514 |
Daicel Corp. | 248,800 | 1,727,432 |
Dai-ichi Life Holdings, Inc. | 238,900 | 5,096,769 |
Daiken Corp. | 8,300 | 134,939 |
Dainichiseika Color & Chemicals Manufacturing Co., Ltd. | 2,100 | 28,435 |
Denso Corp. | 186,373 | 9,909,208 |
Disco Corp. | 100 | 31,356 |
Electric Power Development Co., Ltd. | 176,800 | 2,817,856 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
ENEOS Holdings, Inc. | 164,400 | 565,188 |
Enomoto Co., Ltd. | 84,100 | 1,143,683 |
FANUC Corp. | 221,850 | 37,708,060 |
FUJIFILM Holdings Corp. | 72,100 | 3,363,601 |
Fujitsu Ltd. | 34,200 | 4,392,247 |
Furukawa Electric Co., Ltd. | 47,300 | 826,803 |
Gunma Bank Ltd. (The) | 195,100 | 732,317 |
Hakuhodo DY Holdings, Inc. | 30,300 | 337,788 |
Harima Chemicals Group, Inc. | 10,800 | 71,983 |
Hokkaido Electric Power Co., Inc. | 43,200 | 149,599 |
Honda Motor Co., Ltd. | 468,900 | 12,192,890 |
Honda Motor Co., Ltd. ADR | 18,004 | 467,564 |
Hoya Corp. | 14,300 | 1,415,739 |
Hoya Corp., ADR | 4,532 | 446,062 |
Hyakugo Bank Ltd. (The) | 112,600 | 346,512 |
Idemitsu Kosan Co., Ltd. | 10,500 | 232,381 |
Inpex Corp. | 1,039,000 | 10,893,283 |
ITOCHU ENEX Co., Ltd. | 44,900 | 366,367 |
Iwaki Co., Ltd. | 34,700 | 335,322 |
Japan Exchange Group, Inc. | 468,703 | 6,990,520 |
Japan Petroleum Exploration Co., Ltd. | 4,700 | 169,344 |
Japan Post Holdings Co., Ltd. | 123,300 | 1,096,037 |
Japan Post Insurance Co., Ltd. | 40,300 | 699,702 |
Kajima Corp. | 126,700 | 1,514,195 |
Kamigumi Co., Ltd. | 2,800 | 55,371 |
Kao Corp. | 70,500 | 2,626,264 |
Kawasaki Heavy Industries Ltd. | 30,300 | 662,120 |
Kawasaki Kisen Kaisha Ltd. | 47,400 | 1,135,145 |
KDDI Corp. | 40,900 | 1,196,647 |
Keyence Corp. | 32,800 | 14,177,057 |
Kirin Holdings Co., Ltd. | 315,800 | 4,727,049 |
Kissei Pharmaceutical Co., Ltd. | 30,900 | 555,682 |
Konoike Transport Co., Ltd. | 7,600 | 83,515 |
Kuraray Co., Ltd. | 277,900 | 2,492,616 |
Kyocera Corp. | 91,300 | 4,493,416 |
Kyocera Corp., ADR | 20,155 | 993,138 |
Lixil Corp. | 7,500 | 119,567 |
Mazda Motor Corp. | 28,200 | 252,307 |
Mebuki Financial Group, Inc. | 367,600 | 988,178 |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Megmilk Snow Brand Co., Ltd. | 37,500 | 486,564 |
Mitsubishi Electric Corp. | 374,600 | 4,209,462 |
Mitsubishi Heavy Industries Ltd. | 16,500 | 608,019 |
Mitsubishi Pencil Co., Ltd. | 28,900 | 312,732 |
Mitsui & Co., Ltd. | 101,700 | 2,854,299 |
Mitsui Chemicals, Inc. | 57,000 | 1,375,132 |
Mitsui OSK Lines Ltd. | 341,300 | 8,914,794 |
MonotaRO Co., Ltd | 538,980 | 7,330,864 |
MS&AD Insurance Group Holdings, Inc. | 32,100 | 1,050,445 |
Murata Manufacturing Co., Ltd. | 312,600 | 16,732,661 |
NGK Insulators Ltd. | 66,800 | 886,699 |
NH Foods Ltd. | 7,400 | 204,331 |
Nidec Corp. | 108,044 | 5,483,178 |
Nintendo Co., Ltd. | 158,650 | 5,939,393 |
Nippon Electric Glass Co., Ltd. | 104,300 | 1,941,198 |
Nippon Express Holdings, Inc. | 3,800 | 211,983 |
Nippon Sanso Holdings Corp. | 60,900 | 1,085,726 |
Nippon Steel Corp. | 72,200 | 1,613,509 |
Nippon Yusen KK | 416,800 | 10,833,880 |
Nishi-Nippon Financial Holdings, Inc. | 5,600 | 47,756 |
Nissan Motor Co., Ltd. | 573,400 | 2,226,157 |
Nomura Holdings, Inc. | 219,100 | 902,978 |
NS United Kaiun Kaisha Ltd. | 6,100 | 197,809 |
NTT Data Corp. | 22,700 | 314,955 |
Obic Co., Ltd. | 2,300 | 336,972 |
Okinawa Electric Power Co., Inc. (The) | 51,600 | 390,227 |
Okumura Corp. | 45,100 | 1,087,930 |
ORIX Corp. | 159,400 | 2,856,927 |
Osaka Gas Co., Ltd. | 96,300 | 1,564,234 |
Pigeon Corp. | 23,400 | 360,956 |
Press Kogyo Co., Ltd. | 64,300 | 226,612 |
Qol Holdings Co., Ltd. | 27,500 | 240,512 |
Renesas Electronics Corp.(a) | 58,900 | 760,841 |
Ricoh Co., Ltd. | 104,200 | 809,522 |
Rohm Co., Ltd. | 3,600 | 277,246 |
San-Ai Obbli Co., Ltd. | 38,500 | 394,714 |
Sanshin Electronics Co., Ltd. | 4,600 | 87,040 |
SCSK Corp. | 15,000 | 217,651 |
Seikitokyu Kogyo Co., Ltd. | 83,600 | 511,331 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Seiko Epson Corp. | 176,800 | 2,437,666 |
Seino Holdings Corp. | 12,100 | 124,899 |
Shikoku Electric Power Co., Inc. | 86,700 | 464,673 |
Shimadzu Corp. | 4,000 | 115,516 |
Shimano, Inc. | 47,733 | 7,422,483 |
Shin-Etsu Chemical Co., Ltd. | 49,600 | 6,876,106 |
Shiseido Co., Ltd. | 212,847 | 9,807,474 |
SMC Corp. | 17,888 | 9,092,583 |
Sojitz Corp. | 114,500 | 2,198,140 |
Sompo Holdings, Inc. | 74,900 | 3,215,540 |
Sony Group Corp. | 148,323 | 12,402,248 |
Starzen Co., Ltd. | 2,300 | 37,048 |
Sumco Corp. | 453,200 | 6,253,446 |
Sumitomo Chemical Co., Ltd. | 193,000 | 676,271 |
Sumitomo Heavy Industries Ltd. | 4,100 | 96,526 |
Sumitomo Mitsui Financial Group, Inc. | 227,200 | 9,922,702 |
Sumitomo Pharma Co., Ltd. | 6,400 | 40,071 |
Suntory Beverage & Food Ltd. | 44,100 | 1,546,986 |
Suzuken Co., Ltd. | 64,600 | 1,631,319 |
Taisho Pharmaceutical Holdings Co., Ltd. | 4,800 | 189,230 |
Takara Standard Co., Ltd. | 6,700 | 70,795 |
Takeda Pharmaceutical Co., Ltd. | 480,400 | 14,807,994 |
Tama Home Co., Ltd. | 56,800 | 1,416,635 |
Teijin Ltd. | 149,900 | 1,557,549 |
Tokuyama Corp. | 4,400 | 70,141 |
Tokyo Electric Power Co. Holdings, Inc.(a) | 81,300 | 269,372 |
Tokyo Electron Ltd. | 42,100 | 14,444,596 |
Tokyo Gas Co., Ltd. | 203,300 | 3,921,140 |
Tokyo Steel Manufacturing Co., Ltd. | 5,000 | 55,262 |
Toray Industries, Inc. | 530,900 | 3,039,623 |
Tosoh Corp. | 6,600 | 89,821 |
Toyo Seikan Group Holdings Ltd. | 23,900 | 311,007 |
Toyota Tsusho Corp. | 10,600 | 432,305 |
Trend Micro, Inc. | 3,500 | 164,572 |
Tsubakimoto Chain Co. | 6,200 | 145,239 |
Wakita & Co., Ltd. | 14,700 | 121,681 |
Yamaichi Electronics Co., Ltd. | 6,800 | 91,441 |
Yamazen Corp. | 42,900 | 329,816 |
Yokogawa Electric Corp. | 18,400 | 274,809 |
10 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Yuasa Trading Co., Ltd. | 14,000 | 376,076 |
Total | 361,626,956 | |
Jersey 0.0% | ||
Glencore PLC, ADR | 7,458 | 88,452 |
Luxembourg 0.0% | ||
ArcelorMittal, Registered Shares | 9,034 | 273,278 |
Tenaris SA | 45,374 | 746,500 |
Total | 1,019,778 | |
Netherlands 6.6% | ||
Adyen NV(a) | 5,690 | 8,065,177 |
Akzo Nobel NV | 232,311 | 16,994,696 |
ArcelorMittal SA | 178,474 | 5,355,903 |
ASML Holding NV | 52,984 | 32,657,037 |
ASML Holding NV | 5,296 | 3,271,498 |
ASR Nederland NV | 18,633 | 848,004 |
EXOR NV(a) | 87,714 | 7,237,669 |
IMCD NV | 99,854 | 15,806,015 |
ING Groep NV | 946,283 | 13,243,345 |
Iveco Group NV(a) | 101,464 | 957,831 |
Just Eat Takeaway.com NV(a) | 46,217 | 1,001,783 |
Koninklijke Philips NV | 784,699 | 12,811,616 |
NN Group NV, ADR | 14,369 | 289,823 |
Prosus NV(a) | 79,128 | 5,672,625 |
SBM Offshore NV | 3,515 | 51,437 |
Shell PLC | 442,757 | 13,410,393 |
Shell PLC | 72,724 | 2,210,077 |
Stellantis NV | 381,518 | 6,649,622 |
Stellantis NV | 198,845 | 3,478,654 |
Wolters Kluwer NV, ADR | 2,199 | 254,051 |
Total | 150,267,256 | |
Norway 0.7% | ||
Aker BP ASA | 16,962 | 455,271 |
Aker Carbon Capture ASA(a) | 3,288,146 | 4,937,308 |
Equinor ASA | 52,687 | 1,612,926 |
Equinor ASA, ADR | 96,750 | 2,951,842 |
Norsk Hydro ASA | 64,690 | 470,863 |
Yara International ASA | 94,485 | 4,491,705 |
Total | 14,919,915 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Panama 0.3% | ||
Copa Holdings SA, Class A(a) | 80,801 | 7,461,972 |
Portugal 0.0% | ||
Galp Energia SGPS SA | 18,095 | 220,750 |
Jeronimo Martins SGPS SA | 14,252 | 292,536 |
Sonae SGPS SA | 361,654 | 396,248 |
Total | 909,534 | |
Russian Federation —% | ||
Gazprom PJSC(b),(c),(e) | 1,247,200 | 0 |
Lukoil PJSC(b),(c),(e) | 31,251 | — |
Magnit PJSC(a),(b),(c),(e) | 63,585 | — |
MMC Norilsk Nickel PJSC(b),(c),(e) | 20,201 | — |
MMC Norilsk Nickel PJSC, ADR(a),(b),(c),(e) | 5 | — |
Rosneft Oil Co. PJSC(b),(c),(e) | 563,548 | 0 |
Sberbank of Russia PJSC(a),(b),(c),(e),(f) | 436,630 | 0 |
Total | 0 | |
Singapore 0.0% | ||
Yangzijiang Shipbuilding Holdings Ltd. | 746,500 | 714,251 |
South Africa 0.4% | ||
Discovery Ltd.(a) | 1,148,094 | 9,361,670 |
South Korea 2.7% | ||
Coupang, Inc.(a) | 364,506 | 5,653,488 |
Hana Financial Group, Inc. | 44,584 | 1,529,110 |
Kia Motors Corp. | 1,493 | 84,847 |
NHN Corp.(a) | 13,915 | 304,399 |
Samsung Electronics Co., Ltd. | 593,925 | 27,174,994 |
Samsung Electronics Co., Ltd. GDR | 12,869 | 14,727,499 |
SK Hynix, Inc. | 186,938 | 12,634,165 |
Total | 62,108,502 | |
Spain 3.5% | ||
Aena SME SA(a) | 89,760 | 13,886,467 |
Amadeus IT Group SA, Class A(a) | 477,584 | 30,031,867 |
Banco Bilbao Vizcaya Argentaria SA | 282,661 | 2,197,134 |
Banco Bilbao Vizcaya Argentaria SA, ADR | 37,847 | 293,693 |
Banco Santander SA | 780,667 | 3,073,804 |
Banco Santander SA, ADR | 86,717 | 339,064 |
CaixaBank SA | 387,739 | 1,664,902 |
Iberdrola SA | 710,796 | 8,148,162 |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 11 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industria de Diseno Textil SA | 427,850 | 13,180,675 |
Mapfre SA | 150,458 | 322,792 |
Repsol SA | 317,486 | 5,020,992 |
Repsol SA, ADR | 4,279 | 67,929 |
Telefonica SA | 510,253 | 2,081,567 |
Total | 80,309,048 | |
Sweden 2.3% | ||
Atlas Copco AB, Class B | 1,317,872 | 13,883,123 |
Electrolux AB | 65,640 | 794,292 |
Epiroc AB, Class B | 673,019 | 11,072,457 |
Essity AB, Class B | 112,482 | 3,033,932 |
H & M Hennes & Mauritz AB | 191,402 | 2,411,740 |
MIPS AB | 81,783 | 3,683,191 |
SSAB AB, Class B | 516,664 | 3,534,194 |
Swedbank AB, Class A | 351,358 | 7,179,137 |
Tele2 AB, Class B | 81,057 | 745,060 |
Telia Co. AB | 2,252,687 | 5,817,306 |
Total | 52,154,432 | |
Switzerland 6.3% | ||
Baloise Holding AG, Registered Shares | 544 | 90,591 |
Cie Financiere Richemont SA, Class A, Registered Shares | 141,495 | 21,379,378 |
Kuehne & Nagel International AG | 22,413 | 5,738,567 |
Nestlé SA, Registered Shares | 133,948 | 15,092,008 |
Novartis AG, Registered Shares | 388,564 | 32,701,595 |
Roche Holding AG, Genusschein Shares | 126,218 | 36,393,570 |
Swatch Group AG (The) | 15,549 | 5,410,975 |
Swatch Group AG (The), Registered Shares | 944 | 60,134 |
Swiss Life Holding AG, Registered Shares | 3,595 | 2,163,298 |
Swiss Re AG | 116,463 | 12,166,619 |
Wizz Air Holdings PLC(a) | 94,700 | 2,931,062 |
Zurich Insurance Group AG | 17,319 | 8,215,325 |
Total | 142,343,122 | |
Taiwan 1.1% | ||
Evergreen Marine Corp. Taiwan Ltd. | 130,800 | 668,419 |
Sea Ltd. ADR(a) | 52,972 | 3,310,220 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,338,400 | 22,142,350 |
Total | 26,120,989 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Turkey 0.5% | ||
Borusan Yatirim ve Pazarlama AS | 7,388 | 335,384 |
Dogus Otomotiv Servis ve Ticaret AS | 5,863 | 52,447 |
Haci Omer Sabanci Holding AS | 924,263 | 2,132,538 |
KOC Holding AS | 380,488 | 1,558,493 |
TAV Havalimanlari Holding AS(a) | 62,801 | 249,159 |
Torunlar Gayrimenkul Yatirim Ortakligi AS(a) | 211,603 | 173,565 |
Turk Hava Yollari AO(a) | 741,496 | 5,633,990 |
Turkiye Garanti Bankasi AS | 619,004 | 761,801 |
Turkiye Is Bankasi AS | 1,781,340 | 1,069,051 |
Turkiye Sinai Kalkinma Bankasi AS(a) | 307,733 | 64,541 |
Total | 12,030,969 | |
United Kingdom 12.4% | ||
Anglo American PLC | 166,636 | 5,758,063 |
AstraZeneca PLC | 130,281 | 16,972,760 |
Barclays Bank PLC | 8,041,895 | 16,876,627 |
Barclays Bank PLC, ADR | 272,611 | 2,306,289 |
BP PLC | 2,060,032 | 13,537,568 |
BP PLC, ADR | 339,577 | 13,447,249 |
British American Tobacco PLC | 148,586 | 5,623,355 |
British American Tobacco, ADR | 141,195 | 5,373,882 |
Compass Group PLC | 646,869 | 14,943,843 |
Experian PLC | 323,445 | 10,904,668 |
GSK PLC | 664,871 | 11,389,853 |
GSK PLC, ADR | 232,055 | 7,952,525 |
Lloyds Banking Group PLC, ADR | 59,638 | 150,884 |
Oxford Nanopore Technologies PLC(a) | 1,013,579 | 2,546,590 |
Prudential PLC | 1,553,120 | 23,736,256 |
Reckitt Benckiser Group PLC | 345,099 | 23,944,700 |
RELX PLC | 390,917 | 11,788,296 |
RELX PLC | 269,450 | 8,131,534 |
Rio Tinto PLC | 434,978 | 29,850,172 |
Rolls-Royce Holdings PLC(a) | 23,517,603 | 40,974,704 |
Smith & Nephew PLC, ADR | 22,303 | 637,197 |
Unilever PLC | 325,231 | 16,192,444 |
Total | 283,039,459 |
12 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
United States 0.4% | ||
Diversified Energy Co. PLC | 74,249 | 93,061 |
Spotify Technology SA(a) | 44,122 | 5,131,389 |
Tenaris SA, ADR | 92,304 | 3,046,955 |
Total | 8,271,405 | |
Total Common Stocks (Cost $1,928,802,835) | 2,104,999,345 | |
Exchange-Traded Equity Funds 0.2% | ||
Shares | Value ($) | |
United States 0.2% | ||
iShares MSCI EAFE ETF | 21,799 | 1,511,761 |
iShares MSCI Eurozone ETF | 50,967 | 2,221,142 |
Total | 3,732,903 | |
Total Exchange-Traded Equity Funds (Cost $3,427,876) | 3,732,903 |
Preferred Stocks 1.0% | |||
Issuer | Shares | Value ($) | |
Brazil 0.2% | |||
Petroleo Brasileiro SA | 783,100 | 3,823,174 | |
Germany 0.8% | |||
BMW AG | 2,878 | 272,593 | |
Henkel AG & Co. KGaA | 111,078 | 8,080,743 | |
Porsche Automobil Holding SE | 10,386 | 589,497 |
Preferred Stocks (continued) | |||
Issuer | Shares | Value ($) | |
Volkswagen AG | 67,423 | 9,177,999 | |
Total | 18,120,832 | ||
Total Preferred Stocks (Cost $21,392,946) | 21,944,006 |
Warrants 0.0% | ||
Issuer | Shares | Value ($) |
Switzerland 0.0% | ||
Cie Financiere Richemont SA(a) | 43,768 | 51,117 |
Total Warrants (Cost $11,703) | 51,117 | |
Money Market Funds 0.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(g),(h) | 19,278,880 | 19,271,168 |
Total Money Market Funds (Cost $19,269,697) | 19,271,168 | |
Total Investments in Securities (Cost $1,972,905,057) | 2,149,998,539 | |
Other Assets & Liabilities, Net | 128,541,138 | |
Net Assets | $2,278,539,677 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 28, 2023, the total value of these securities amounted to $171,295, which represents 0.01% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(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 February 28, 2023, the total value of these securities amounted to $133,656, which represents 0.01% of total net assets. |
(e) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 28, 2023, the total market value of these securities amounted to $0, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Gazprom PJSC | 11/11/2020-06/10/2021 | 1,247,200 | 3,820,620 | — |
Lukoil PJSC | 03/30/2020-12/29/2021 | 31,251 | 2,094,074 | — |
Magnit PJSC | 05/23/2018-11/22/2021 | 63,585 | 5,002,872 | — |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 13 |
February 28, 2023 (Unaudited)
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
MMC Norilsk Nickel PJSC | 08/07/2019-11/22/2021 | 20,201 | 4,978,804 | — |
MMC Norilsk Nickel PJSC, ADR | 08/07/2019-11/22/2021 | 5 | 123 | — |
Rosneft Oil Co. PJSC | 03/31/2020-03/16/2021 | 563,548 | 3,458,257 | — |
Sberbank of Russia PJSC | 03/29/2021-04/08/2021 | 436,630 | 1,642,454 | — |
20,997,204 | — |
(f) | On May 25, 2022, the Office of Foreign Assets Control (OFAC) license permitting the holding of the Sberbank position expired, and the position is now considered blocked property. As such the security has been segregated on the Fund’s books and records and cannot be sold or transferred at this time. |
(g) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(h) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
72,917,032 | 215,086,541 | (268,728,130) | (4,275) | 19,271,168 | 14,284 | 794,594 | 19,278,880 |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
■ | 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). |
14 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
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 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. Representatives of Columbia Management Investment Advisers, LLC report to 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 | ||||
Common Stocks | ||||
Argentina | 30,770,840 | — | — | 30,770,840 |
Australia | — | 11,398,764 | — | 11,398,764 |
Austria | — | 4,336,047 | — | 4,336,047 |
Belgium | — | 22,600,256 | — | 22,600,256 |
Brazil | 12,507,161 | — | — | 12,507,161 |
Canada | 52,490,869 | — | 171,295 | 52,662,164 |
China | 6,617,119 | 44,304,247 | — | 50,921,366 |
Denmark | — | 39,303,361 | — | 39,303,361 |
Finland | — | 18,256,497 | — | 18,256,497 |
France | 17,459,309 | 233,650,772 | — | 251,110,081 |
Germany | 5,435,700 | 191,010,440 | — | 196,446,140 |
Hong Kong | 2,482,251 | 42,395,419 | — | 44,877,670 |
Ireland | 38,934,734 | 28,505,973 | — | 67,440,707 |
Israel | — | 1,291,388 | — | 1,291,388 |
Italy | 2,167,895 | 86,161,298 | — | 88,329,193 |
Japan | 467,564 | 361,159,392 | — | 361,626,956 |
Jersey | — | 88,452 | — | 88,452 |
Luxembourg | 273,278 | 746,500 | — | 1,019,778 |
Netherlands | 3,271,498 | 146,995,758 | — | 150,267,256 |
Norway | 2,951,842 | 11,968,073 | — | 14,919,915 |
Panama | 7,461,972 | — | — | 7,461,972 |
Portugal | — | 909,534 | — | 909,534 |
Russian Federation | — | — | 0* | 0* |
Singapore | — | 714,251 | — | 714,251 |
South Africa | — | 9,361,670 | — | 9,361,670 |
South Korea | 5,653,488 | 56,455,014 | — | 62,108,502 |
Spain | 632,757 | 79,676,291 | — | 80,309,048 |
Sweden | — | 52,154,432 | — | 52,154,432 |
Switzerland | — | 142,343,122 | — | 142,343,122 |
Taiwan | 3,310,220 | 22,810,769 | — | 26,120,989 |
Turkey | — | 12,030,969 | — | 12,030,969 |
United Kingdom | 29,868,026 | 253,171,433 | — | 283,039,459 |
United States | 8,178,344 | 93,061 | — | 8,271,405 |
Total Common Stocks | 230,934,867 | 1,873,893,183 | 171,295 | 2,104,999,345 |
Exchange-Traded Equity Funds | 3,732,903 | — | — | 3,732,903 |
Preferred Stocks | ||||
Brazil | 3,823,174 | — | — | 3,823,174 |
Germany | — | 18,120,832 | — | 18,120,832 |
Total Preferred Stocks | 3,823,174 | 18,120,832 | — | 21,944,006 |
Warrants | ||||
Switzerland | — | 51,117 | — | 51,117 |
Total Warrants | — | 51,117 | — | 51,117 |
Money Market Funds | 19,271,168 | — | — | 19,271,168 |
Total Investments in Securities | 257,762,112 | 1,892,065,132 | 171,295 | 2,149,998,539 |
* | Rounds to zero. |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 15 |
February 28, 2023 (Unaudited)
See the Portfolio of Investments for all investment classifications not indicated in the table.
16 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,953,635,360) | $2,130,727,371 |
Affiliated issuers (cost $19,269,697) | 19,271,168 |
Cash | 6,750 |
Foreign currency (cost $226,771) | 227,827 |
Receivable for: | |
Investments sold | 119,553,758 |
Capital shares sold | 2,109,985 |
Dividends | 3,533,802 |
Foreign tax reclaims | 7,179,480 |
Prepaid expenses | 17,579 |
Trustees’ deferred compensation plan | 47,031 |
Other assets | 34,202 |
Total assets | 2,282,708,953 |
Liabilities | |
Payable for: | |
Investments purchased | 556,611 |
Capital shares purchased | 3,008,950 |
Management services fees | 49,293 |
Transfer agent fees | 288,723 |
Compensation of board members | 35,112 |
Compensation of chief compliance officer | 211 |
Other expenses | 183,345 |
Trustees’ deferred compensation plan | 47,031 |
Total liabilities | 4,169,276 |
Net assets applicable to outstanding capital stock | $2,278,539,677 |
Represented by | |
Paid in capital | 2,258,175,679 |
Total distributable earnings (loss) | 20,363,998 |
Total - representing net assets applicable to outstanding capital stock | $2,278,539,677 |
Institutional Class | |
Net assets | $2,278,537,033 |
Shares outstanding | 215,050,578 |
Net asset value per share | $10.60 |
Institutional 3 Class | |
Net assets | $2,644 |
Shares outstanding | 249 |
Net asset value per share | $10.62 |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 17 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $20,745,414 |
Dividends — affiliated issuers | 794,594 |
Foreign taxes withheld | (1,944,028) |
Total income | 19,595,980 |
Expenses: | |
Management services fees | 8,809,697 |
Transfer agent fees | |
Institutional Class | 1,769,324 |
Compensation of board members | 24,720 |
Custodian fees | 149,722 |
Printing and postage fees | 121,379 |
Registration fees | 51,994 |
Audit fees | 17,720 |
Legal fees | 21,191 |
Interest on interfund lending | 1,587 |
Compensation of chief compliance officer | 211 |
Other | 110,956 |
Total expenses | 11,078,501 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (61,681) |
Total net expenses | 11,016,820 |
Net investment income | 8,579,160 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (59,548,452) |
Investments — affiliated issuers | 14,284 |
Foreign currency translations | (423,227) |
Net realized loss | (59,957,395) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 393,886,402 |
Investments — affiliated issuers | (4,275) |
Foreign currency translations | 530,986 |
Net change in unrealized appreciation (depreciation) | 394,413,113 |
Net realized and unrealized gain | 334,455,718 |
Net increase in net assets resulting from operations | $343,034,878 |
18 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income | $8,579,160 | $56,311,926 |
Net realized loss | (59,957,395) | (52,434,209) |
Net change in unrealized appreciation (depreciation) | 394,413,113 | (702,781,171) |
Net increase (decrease) in net assets resulting from operations | 343,034,878 | (698,903,454) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Institutional Class | (53,998,519) | (90,994,416) |
Institutional 3 Class | (64) | (100) |
Total distributions to shareholders | (53,998,583) | (90,994,516) |
Increase (decrease) in net assets from capital stock activity | (247,254,689) | 495,046,513 |
Total increase (decrease) in net assets | 41,781,606 | (294,851,457) |
Net assets at beginning of period | 2,236,758,071 | 2,531,609,528 |
Net assets at end of period | $2,278,539,677 | $2,236,758,071 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Institutional Class | ||||
Subscriptions | 12,552,806 | 122,700,936 | 78,383,736 | 910,675,109 |
Distributions reinvested | 5,526,972 | 53,998,519 | 7,919,444 | 90,994,416 |
Redemptions | (41,947,740) | (423,954,144) | (47,240,328) | (506,623,012) |
Net increase (decrease) | (23,867,962) | (247,254,689) | 39,062,852 | 495,046,513 |
Total net increase (decrease) | (23,867,962) | (247,254,689) | 39,062,852 | 495,046,513 |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 19 |
Net asset value, beginning of period | Net investment income | 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 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $9.36 | 0.04 | 1.44 | 1.48 | (0.24) | — | (0.24) |
Year Ended 8/31/2022 | $12.67 | 0.24 | (3.17) | (2.93) | (0.14) | (0.24) | (0.38) |
Year Ended 8/31/2021 | $10.02 | 0.15 | 2.65 | 2.80 | (0.15) | — | (0.15) |
Year Ended 8/31/2020 | $9.06 | 0.11 | 1.10 | 1.21 | (0.25) | — | (0.25) |
Year Ended 8/31/2019 | $9.67 | 0.23 | (0.77) | (0.54) | (0.07) | — | (0.07) |
Year Ended 8/31/2018(f) | $10.00 | 0.04 | (0.37) | (0.33) | — | — | — |
Institutional 3 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $9.39 | 0.05 | 1.44 | 1.49 | (0.26) | — | (0.26) |
Year Ended 8/31/2022 | $12.69 | 0.26 | (3.16) | (2.90) | (0.16) | (0.24) | (0.40) |
Year Ended 8/31/2021 | $10.05 | 0.17 | 2.63 | 2.80 | (0.16) | — | (0.16) |
Year Ended 8/31/2020(g) | $10.04 | 0.10 | (0.09)(h) | 0.01 | — | — | — |
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) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
(f) | Institutional Class shares commenced operations on May 17, 2018. Per share data and total return reflect activity from that date. |
(g) | Institutional 3 Class shares commenced operations on December 18, 2019. Per share data and total return reflect activity from that date. |
(h) | 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. |
20 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
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 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $10.60 | 16.04% | 0.99%(c),(d) | 0.98%(c),(d) | 0.77%(c) | 17% | $2,278,537 |
Year Ended 8/31/2022 | $9.36 | (23.66%) | 0.96%(d) | 0.96%(d) | 2.20% | 59% | $2,236,756 |
Year Ended 8/31/2021 | $12.67 | 28.10% | 0.99%(d) | 0.99%(d) | 1.24% | 82% | $2,531,606 |
Year Ended 8/31/2020 | $10.02 | 13.34% | 1.00%(d),(e) | 0.98%(d),(e) | 1.22% | 89% | $2,045,267 |
Year Ended 8/31/2019 | $9.06 | (5.53%) | 1.02%(d) | 1.02%(d) | 2.54% | 63% | $1,901,132 |
Year Ended 8/31/2018(f) | $9.67 | (3.30%) | 1.05%(c) | 1.05%(c) | 1.51%(c) | 17% | $2,043,274 |
Institutional 3 Class | |||||||
Six Months Ended 2/28/2023 (Unaudited) | $10.62 | 16.06% | 0.83%(c),(d) | 0.83%(c),(d) | 0.93%(c) | 17% | $3 |
Year Ended 8/31/2022 | $9.39 | (23.42%) | 0.80%(d) | 0.80%(d) | 2.34% | 59% | $2 |
Year Ended 8/31/2021 | $12.69 | 28.07% | 0.83%(d) | 0.81%(d) | 1.43% | 82% | $3 |
Year Ended 8/31/2020(g) | $10.05 | 0.10% | 0.86%(c),(d) | 0.84%(c),(d) | 1.57%(c) | 89% | $3 |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
22 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
24 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Effective rate (%) | |
Institutional Class | 0.16 |
Institutional 3 Class | 0.02 |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 25 |
February 28, 2023 (Unaudited)
January 1, 2023 through December 31, 2023 | Prior to January 1, 2023 | |
Institutional Class | 0.99% | 0.99% |
Institutional 3 Class | 0.85 | 0.87 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,972,905,000 | 314,364,000 | (137,270,000) | 177,094,000 |
Late year ordinary losses ($) | Post-October capital losses ($) |
— | 43,210,363 |
26 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 2,800,000 | 5.10 | 4 |
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 27 |
February 28, 2023 (Unaudited)
28 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 | 29 |
February 28, 2023 (Unaudited)
30 | Multi-Manager International Equity Strategies Fund | Semiannual Report 2023 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Overseas SMA Completion Portfolio | 09/12/19 | 14.38 | -3.74 | 4.36 | |
MSCI EAFE Value Index (Net) | 15.68 | 0.61 | 4.46 |
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 3 |
(Unaudited)
Equity sector breakdown (%) (at February 28, 2023) | |
Communication Services | 6.4 |
Consumer Discretionary | 2.7 |
Consumer Staples | 10.3 |
Energy | 6.8 |
Financials | 32.1 |
Health Care | 3.1 |
Industrials | 14.1 |
Information Technology | 9.1 |
Materials | 6.4 |
Real Estate | 0.9 |
Utilities | 8.1 |
Total | 100.0 |
Country breakdown (%) (at February 28, 2023) | |
Australia | 3.6 |
Canada | 3.0 |
China | 3.4 |
Finland | 2.7 |
France | 3.7 |
Germany | 4.8 |
Greece | 2.8 |
Ireland | 3.3 |
Israel | 4.5 |
Japan | 19.4 |
Netherlands | 6.8 |
Norway | 2.5 |
Singapore | 7.5 |
South Korea | 2.1 |
Spain | 3.5 |
Sweden | 1.8 |
Taiwan | 3.3 |
United Kingdom | 14.9 |
United States(a) | 6.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
4 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Overseas SMA Completion Portfolio | 1,000.00 | 1,000.00 | 1,143.80 | 1,024.79 | 0.00 | 0.00 | 0.00 |
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Common Stocks 97.8% | ||
Issuer | Shares | Value ($) |
Australia 3.6% | ||
Northern Star Resources Ltd. | 27,184 | 189,726 |
Canada 3.0% | ||
Alimentation Couche-Tard, Inc. | 3,331 | 156,260 |
China 3.4% | ||
Guangdong Investment Ltd. | 178,000 | 179,876 |
Finland 2.7% | ||
UPM-Kymmene OYJ | 3,931 | 142,446 |
France 3.7% | ||
Eiffage SA | 1,781 | 195,463 |
Germany 4.8% | ||
Duerr AG | 4,439 | 167,100 |
E.ON SE | 7,717 | 84,199 |
Total | 251,299 | |
Greece 2.8% | ||
Piraeus Financial Holdings SA(a) | 58,514 | 148,347 |
Ireland 3.4% | ||
Amarin Corp. PLC, ADR(a) | 994 | 2,018 |
Bank of Ireland Group PLC | 15,840 | 174,511 |
Total | 176,529 | |
Israel 4.5% | ||
Bank Hapoalim BM | 16,737 | 139,992 |
Bezeq Israeli Telecommunication Corp., Ltd. | 71,769 | 99,340 |
Total | 239,332 | |
Japan 19.5% | ||
Dai-ichi Life Holdings, Inc. | 10,300 | 219,743 |
Daiwabo Holdings Co., Ltd. | 11,800 | 182,353 |
ITOCHU Corp. | 1,700 | 50,814 |
Kinden Corp. | 6,800 | 76,350 |
MatsukiyoCocokara & Co. | 5,300 | 246,297 |
Mebuki Financial Group, Inc. | 26,200 | 70,430 |
Ship Healthcare Holdings, Inc. | 7,300 | 131,757 |
Takuma Co., Ltd. | 4,800 | 48,332 |
Total | 1,026,076 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Netherlands 6.8% | ||
ABN AMRO Bank NV | 3,769 | 66,508 |
ASR Nederland NV | 6,406 | 291,543 |
Total | 358,051 | |
Norway 2.5% | ||
Leroy Seafood Group ASA | 26,224 | 130,037 |
Singapore 7.5% | ||
BW LPG Ltd. | 12,838 | 112,305 |
Venture Corp., Ltd. | 22,300 | 283,982 |
Total | 396,287 | |
South Korea 2.1% | ||
Hyundai Home Shopping Network Corp. | 724 | 28,188 |
Youngone Corp.(a) | 2,599 | 83,682 |
Total | 111,870 | |
Spain 3.6% | ||
Endesa SA | 7,769 | 152,350 |
Tecnicas Reunidas SA(a) | 3,002 | 34,395 |
Total | 186,745 | |
Sweden 1.8% | ||
Samhallsbyggnadsbolaget i Norden AB | 27,684 | 45,173 |
Stillfront Group AB(a) | 27,911 | 51,382 |
Total | 96,555 | |
Taiwan 3.4% | ||
Fubon Financial Holding Co., Ltd. | 90,195 | 176,369 |
United Kingdom 14.9% | ||
BT Group PLC | 105,782 | 177,339 |
Crest Nicholson Holdings PLC | 8,650 | 25,420 |
DCC PLC | 3,376 | 187,491 |
John Wood Group PLC(a) | 13,470 | 31,667 |
Just Group PLC | 156,773 | 165,003 |
TP Icap Group PLC | 85,511 | 198,514 |
Total | 785,434 |
6 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
United States 3.8% | ||
Diversified Energy Co. PLC | 139,105 | 174,350 |
Insmed, Inc.(a) | 1,099 | 22,398 |
Quotient Ltd.(a) | 41 | 2 |
Sage Therapeutics, Inc.(a) | 132 | 5,496 |
Total | 202,246 | |
Total Common Stocks (Cost $5,014,525) | 5,148,948 | |
Money Market Funds 2.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(b),(c) | 134,117 | 134,063 |
Total Money Market Funds (Cost $134,056) | 134,063 | |
Total Investments in Securities (Cost $5,148,581) | 5,283,011 | |
Other Assets & Liabilities, Net | (18,431) | |
Net Assets | $5,264,580 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
MSCI EAFE Index | 1 | 03/2023 | USD | 102,330 | 3,423 | — |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
223,418 | 1,017,367 | (1,106,729) | 7 | 134,063 | 9 | 3,262 | 134,117 |
ADR | American Depositary Receipt |
USD | US Dollar |
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
■ | 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 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 189,726 | — | 189,726 |
Canada | 156,260 | — | — | 156,260 |
China | — | 179,876 | — | 179,876 |
Finland | — | 142,446 | — | 142,446 |
France | — | 195,463 | — | 195,463 |
Germany | — | 251,299 | — | 251,299 |
Greece | — | 148,347 | — | 148,347 |
Ireland | 2,018 | 174,511 | — | 176,529 |
Israel | — | 239,332 | — | 239,332 |
Japan | — | 1,026,076 | — | 1,026,076 |
Netherlands | — | 358,051 | — | 358,051 |
Norway | — | 130,037 | — | 130,037 |
Singapore | — | 396,287 | — | 396,287 |
South Korea | — | 111,870 | — | 111,870 |
Spain | — | 186,745 | — | 186,745 |
Sweden | — | 96,555 | — | 96,555 |
Taiwan | — | 176,369 | — | 176,369 |
United Kingdom | — | 785,434 | — | 785,434 |
United States | 27,894 | 174,352 | — | 202,246 |
Total Common Stocks | 186,172 | 4,962,776 | — | 5,148,948 |
Money Market Funds | 134,063 | — | — | 134,063 |
Total Investments in Securities | 320,235 | 4,962,776 | — | 5,283,011 |
8 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 3,423 | — | — | 3,423 |
Total | 323,658 | 4,962,776 | — | 5,286,434 |
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 9 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $5,014,525) | $5,148,948 |
Affiliated issuers (cost $134,056) | 134,063 |
Margin deposits on: | |
Futures contracts | 3,407 |
Receivable for: | |
Dividends | 4,274 |
Foreign tax reclaims | 10,700 |
Expense reimbursement due from Investment Manager | 319 |
Prepaid expenses | 1,284 |
Trustees’ deferred compensation plan | 6,587 |
Total assets | 5,309,582 |
Liabilities | |
Payable for: | |
Variation margin for futures contracts | 805 |
Transfer agent fees | 9 |
Compensation of board members | 13,045 |
Compensation of chief compliance officer | 1 |
Audit fees | 13,941 |
State registration fees | 6,891 |
Other expenses | 3,723 |
Trustees’ deferred compensation plan | 6,587 |
Total liabilities | 45,002 |
Net assets applicable to outstanding capital stock | $5,264,580 |
Represented by | |
Paid in capital | 5,829,582 |
Total distributable earnings (loss) | (565,002) |
Total - representing net assets applicable to outstanding capital stock | $5,264,580 |
Shares outstanding | 433,015 |
Net asset value per share | 12.16 |
10 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $53,627 |
Dividends — affiliated issuers | 3,262 |
Foreign taxes withheld | (5,806) |
Total income | 51,083 |
Expenses: | |
Transfer agent fees | 151 |
Compensation of board members | 8,782 |
Custodian fees | 7,425 |
Printing and postage fees | 2,751 |
Registration fees | 14,801 |
Audit fees | 15,886 |
Legal fees | 6,195 |
Interest on interfund lending | 81 |
Other | 2,407 |
Total expenses | 58,479 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (58,398) |
Total net expenses | 81 |
Net investment income | 51,002 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (168,683) |
Investments — affiliated issuers | 9 |
Foreign currency translations | (1,087) |
Futures contracts | 3,777 |
Net realized loss | (165,984) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 773,183 |
Investments — affiliated issuers | 7 |
Foreign currency translations | 637 |
Futures contracts | 12,818 |
Net change in unrealized appreciation (depreciation) | 786,645 |
Net realized and unrealized gain | 620,661 |
Net increase in net assets resulting from operations | $671,663 |
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 11 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income | $51,002 | $244,520 |
Net realized loss | (165,984) | (431,230) |
Net change in unrealized appreciation (depreciation) | 786,645 | (1,905,004) |
Net increase (decrease) in net assets resulting from operations | 671,663 | (2,091,714) |
Distributions to shareholders | ||
Net investment income and net realized gains | (201,999) | (487,293) |
Total distributions to shareholders | (201,999) | (487,293) |
Decrease in net assets from capital stock activity | (128,097) | (520,215) |
Total increase (decrease) in net assets | 341,567 | (3,099,222) |
Net assets at beginning of period | 4,923,013 | 8,022,235 |
Net assets at end of period | $5,264,580 | $4,923,013 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Subscriptions | 39,304 | 462,609 | 189,016 | 2,457,612 |
Distributions reinvested | 17,519 | 201,999 | 36,122 | 487,293 |
Redemptions | (69,489) | (792,705) | (292,218) | (3,465,120) |
Total net decrease | (12,666) | (128,097) | (67,080) | (520,215) |
12 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, | |||
2022 | 2021 | 2020 (a) | ||
Per share data | ||||
Net asset value, beginning of period | $11.05 | $15.65 | $12.14 | $12.00 |
Income from investment operations: | ||||
Net investment income | 0.12 | 0.45 | 0.41 | 0.31 |
Net realized and unrealized gain (loss) | 1.44 | (4.10) | 3.30 | 0.01 |
Total from investment operations | 1.56 | (3.65) | 3.71 | 0.32 |
Less distributions to shareholders from: | ||||
Net investment income | (0.45) | (0.51) | (0.19) | (0.18) |
Net realized gains | — | (0.44) | (0.01) | — |
Total distributions to shareholders | (0.45) | (0.95) | (0.20) | (0.18) |
Net asset value, end of period | $12.16 | $11.05 | $15.65 | $12.14 |
Total return | 14.38% | (24.44%) | 30.77% | 2.57% |
Ratios to average net assets | ||||
Total gross expenses(b) | 2.36%(c),(d) | 1.60%(e),(f) | 1.73% | 5.92%(c) |
Total net expenses(b),(g) | 0.00%(c),(d),(h) | 0.00%(e),(f) | 0.00%(h) | 0.00%(c),(h) |
Net investment income | 2.06%(c) | 3.39% | 2.81% | 2.79%(c) |
Supplemental data | ||||
Portfolio turnover | 19% | 53% | 33% | 47% |
Net assets, end of period (in thousands) | $5,265 | $4,923 | $8,022 | $2,296 |
Notes to Financial Highlights | |
(a) | The Fund commenced operations on September 12, 2019. Per share data and total return reflect activity from that date. |
(b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(c) | Annualized. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include interest on collateral expense which is less than 0.01%. |
(f) | Ratios include line of credit interest expense which is less than 0.01%. |
(g) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(h) | Rounds to zero. |
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 13 |
February 28, 2023 (Unaudited)
14 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 15 |
February 28, 2023 (Unaudited)
16 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 3,423* |
* | 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 ($) |
Equity risk | 3,777 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 12,818 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 150,155 |
* | Based on the ending quarterly outstanding amounts for the six months ended February 28, 2023. |
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 17 |
February 28, 2023 (Unaudited)
18 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
5,149,000 | 649,000 | (512,000) | 137,000 |
Late year ordinary losses ($) | Post-October capital losses ($) |
— | 487,433 |
20 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 300,000 | 4.85 | 2 |
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
22 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Overseas SMA Completion Portfolio | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
24 | Overseas SMA Completion Portfolio | Semiannual Report 2023 |
columbiathreadneedleus.com/investment-products/managed-accounts/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
February 28, 2023 (Unaudited)
(Unaudited)
Average annual total returns (%) (for the period ended February 28, 2023) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Multisector Bond SMA Completion Portfolio | 10/29/19 | 7.59 | 2.26 | 2.51 | |
Bloomberg U.S. Aggregate Bond Index | -2.13 | -9.72 | -2.15 |
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 3 |
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023) | |
Money Market Funds(a) | 26.2 |
Residential Mortgage-Backed Securities - Agency | 50.0 |
Treasury Bills | 23.8 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
Quality breakdown (%) (at February 28, 2023) | |
AAA rating | 100.0 |
Total | 100.0 |
Market exposure through derivatives investments (% of notional exposure) (at February 28, 2023)(a) | |||
Long | Short | Net | |
Fixed Income Derivative Contracts | 154.2 | (54.2) | 100.0 |
Total Notional Market Value of Derivative Contracts | 154.2 | (54.2) | 100.0 |
4 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
(Unaudited)
September 1, 2022 — February 28, 2023 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Multisector Bond SMA Completion Portfolio | 1,000.00 | 1,000.00 | 1,075.90 | 1,024.84 | (0.05) | (0.05) | (0.01) | 0.00 | 0.00 | 0.00 |
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 5 |
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 90.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(a) | ||||
03/13/2053 | 3.500% | 400,000 | 364,094 | |
03/13/2053 | 4.000% | 750,000 | 703,945 | |
03/13/2053 | 4.500% | 500,000 | 481,719 | |
03/13/2053 | 5.000% | 500,000 | 491,484 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $2,078,249) | 2,041,242 | |||
Treasury Bills 43.1% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 43.1% | ||||
U.S. Treasury Bills | ||||
10/05/2023 | 4.850% | 1,000,000 | 971,700 | |
Total Treasury Bills (Cost $973,507) | 971,700 |
Money Market Funds 47.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 4.748%(b),(c) | 1,070,370 | 1,069,942 |
Total Money Market Funds (Cost $1,069,682) | 1,069,942 | |
Total Investments in Securities (Cost: $4,121,438) | 4,082,884 | |
Other Assets & Liabilities, Net | (1,830,230) | |
Net Assets | 2,252,654 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 7 | 06/2023 | USD | 781,594 | 696 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 2-Year Note | (5) | 06/2023 | USD | (1,018,633) | 2,216 | — |
U.S. Treasury Ultra Bond | (1) | 06/2023 | USD | (135,063) | 225 | — |
Total | 2,441 | — |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX Emerging Markets Index, Series 38 | Morgan Stanley | 12/20/2027 | 1.000 | Quarterly | 2.405 | USD | 1,000,000 | 21,284 | — | — | 21,284 | — |
Markit CDX North America High Yield Index, Series 39 | Morgan Stanley | 12/20/2027 | 5.000 | Quarterly | 4.596 | USD | 1,500,000 | 95,356 | — | — | 95,356 | — |
Total | 116,640 | — | — | 116,640 | — |
* | 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. |
6 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
(a) | Represents a security purchased on a when-issued basis. |
(b) | The rate shown is the seven-day current annualized yield at February 28, 2023. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 4.748% | ||||||||
2,543,132 | 2,385,928 | (3,859,133) | 15 | 1,069,942 | 223 | 25,869 | 1,070,370 |
TBA | To Be Announced |
USD | US Dollar |
■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 7 |
February 28, 2023 (Unaudited)
The following table is a summary of the inputs used to value the Fund’s investments at February 28, 2023:
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Residential Mortgage-Backed Securities - Agency | — | 2,041,242 | — | 2,041,242 |
Treasury Bills | — | 971,700 | — | 971,700 |
Money Market Funds | 1,069,942 | — | — | 1,069,942 |
Total Investments in Securities | 1,069,942 | 3,012,942 | — | 4,082,884 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 3,137 | — | — | 3,137 |
Swap Contracts | — | 116,640 | — | 116,640 |
Total | 1,073,079 | 3,129,582 | — | 4,202,661 |
8 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $3,051,756) | $3,012,942 |
Affiliated issuers (cost $1,069,682) | 1,069,942 |
Margin deposits on: | |
Futures contracts | 9,737 |
Swap contracts | 278,277 |
Receivable for: | |
Dividends | 3,765 |
Interest | 3,050 |
Variation margin for futures contracts | 539 |
Variation margin for swap contracts | 87 |
Expense reimbursement due from Investment Manager | 378 |
Prepaid expenses | 1,281 |
Trustees’ deferred compensation plan | 5,567 |
Total assets | 4,385,565 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 2,081,298 |
Variation margin for swap contracts | 681 |
Transfer agent fees | 24 |
Compensation of board members | 13,101 |
Other expenses | 32,240 |
Trustees’ deferred compensation plan | 5,567 |
Total liabilities | 2,132,911 |
Net assets applicable to outstanding capital stock | $2,252,654 |
Represented by | |
Paid in capital | 3,590,222 |
Total distributable earnings (loss) | (1,337,568) |
Total - representing net assets applicable to outstanding capital stock | $2,252,654 |
Shares outstanding | 184,079 |
Net asset value per share | 12.24 |
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 9 |
Six Months Ended February 28, 2023 (Unaudited)
Net investment income | |
Income: | |
Dividends — affiliated issuers | $25,869 |
Interest | 22,274 |
Total income | 48,143 |
Expenses: | |
Transfer agent fees | 101 |
Compensation of board members | 8,781 |
Custodian fees | 8,714 |
Printing and postage fees | 2,704 |
Registration fees | 18,958 |
Audit fees | 21,401 |
Legal fees | 6,177 |
Other | 2,447 |
Total expenses | 69,283 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (69,361) |
Total net expenses | (78) |
Net investment income | 48,221 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 9,300 |
Investments — affiliated issuers | 223 |
Futures contracts | (24,570) |
Swap contracts | (91,615) |
Net realized loss | (106,662) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (18,558) |
Investments — affiliated issuers | 15 |
Futures contracts | 3,137 |
Swap contracts | 259,493 |
Net change in unrealized appreciation (depreciation) | 244,087 |
Net realized and unrealized gain | 137,425 |
Net increase in net assets resulting from operations | $185,646 |
10 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, 2022 | |
Operations | ||
Net investment income | $48,221 | $368,732 |
Net realized loss | (106,662) | (1,177,937) |
Net change in unrealized appreciation (depreciation) | 244,087 | (344,448) |
Net increase (decrease) in net assets resulting from operations | 185,646 | (1,153,653) |
Distributions to shareholders | ||
Net investment income and net realized gains | (44,401) | (549,674) |
Total distributions to shareholders | (44,401) | (549,674) |
Decrease in net assets from capital stock activity | (895,543) | (17,569,714) |
Total decrease in net assets | (754,298) | (19,273,041) |
Net assets at beginning of period | 3,006,952 | 22,279,993 |
Net assets at end of period | $2,252,654 | $3,006,952 |
Six Months Ended | Year Ended | |||
February 28, 2023 (Unaudited) | August 31, 2022 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Subscriptions | — | — | 1,212,097 | 15,118,959 |
Distributions reinvested | 3,674 | 44,401 | 44,574 | 549,674 |
Redemptions | (79,245) | (939,944) | (2,748,178) | (33,238,347) |
Total net decrease | (75,571) | (895,543) | (1,491,507) | (17,569,714) |
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 11 |
Six Months Ended February 28, 2023 (Unaudited) | Year Ended August 31, | |||
2022 | 2021 | 2020 (a) | ||
Per share data | ||||
Net asset value, beginning of period | $11.58 | $12.72 | $11.73 | $12.00 |
Income from investment operations: | ||||
Net investment income | 0.22 | 0.21 | 0.05 | 0.12 |
Net realized and unrealized gain (loss) | 0.66 | (0.99) | 0.99 | (0.26) |
Total from investment operations | 0.88 | (0.78) | 1.04 | (0.14) |
Less distributions to shareholders from: | ||||
Net investment income | (0.22) | (0.27) | (0.05) | (0.13) |
Net realized gains | — | (0.09) | — | — |
Total distributions to shareholders | (0.22) | (0.36) | (0.05) | (0.13) |
Net asset value, end of period | $12.24 | $11.58 | $12.72 | $11.73 |
Total return | 7.59% | (6.21%) | 8.91% | (1.16%) |
Ratios to average net assets | ||||
Total gross expenses(b) | 5.43%(c) | 0.62%(d) | 3.72%(d) | 5.21%(c) |
Total net expenses(b),(e) | (0.01)%(c),(f) | 0.00%(d) | 0.00%(d),(g) | 0.00%(c) |
Net investment income | 3.78%(c) | 1.66% | 0.37% | 1.28%(c) |
Supplemental data | ||||
Portfolio turnover | 596% | 372% | 15% | 0% |
Net assets, end of period (in thousands) | $2,253 | $3,007 | $22,280 | $2,054 |
Notes to Financial Highlights | |
(a) | The Fund commenced operations on October 29, 2019. Per share data and total return reflect activity from that date. |
(b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(c) | Annualized. |
(d) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 8/31/2022 | 8/31/2021 |
No Class | 0.01% | less than 0.01% |
(e) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(f) | Had indirect expenses been included in the total gross expense ratio, the total net expense ratio would have been 0.00%. |
(g) | Rounds to zero. |
12 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 13 |
February 28, 2023 (Unaudited)
14 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 15 |
February 28, 2023 (Unaudited)
16 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 116,640* |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 3,137* |
Total | 119,777 |
* | 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 ($) |
Credit risk | — | (91,615) | (91,615) |
Interest rate risk | (24,570) | — | (24,570) |
Total | (24,570) | (91,615) | (116,185) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | 259,493 | 259,493 |
Interest rate risk | 3,137 | — | 3,137 |
Total | 3,137 | 259,493 | 262,630 |
Derivative instrument | Average notional amounts ($)* |
Futures contracts — long | 390,797 |
Futures contracts — short | 576,848 |
Credit default swap contracts — sell protection | 2,750,000 |
* | Based on the ending quarterly outstanding amounts for the six months ended February 28, 2023. |
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 17 |
February 28, 2023 (Unaudited)
Morgan Stanley ($) | |
Assets | |
Centrally cleared credit default swap contracts (a) | 87 |
Liabilities | |
Centrally cleared credit default swap contracts (a) | 681 |
Total financial and derivative net assets | (594) |
Total collateral received (pledged) (b) | (594) |
Net amount (c) | - |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in 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. |
18 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 19 |
February 28, 2023 (Unaudited)
20 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
4,121,000 | 120,000 | (38,000) | 82,000 |
Late year ordinary losses ($) | Post-October capital losses ($) |
3,741 | 1,312,208 |
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 21 |
February 28, 2023 (Unaudited)
22 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 23 |
February 28, 2023 (Unaudited)
24 | Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 |
February 28, 2023 (Unaudited)
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023 | 25 |
columbiathreadneedleus.com/investment-products/managed-accounts/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semiannual reports.
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.
(a) | 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. |
(b) | 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: Not applicable for semiannual reports.
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.
(registrant) | Columbia Funds Series Trust I |
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By (Signature and Title) | /s/ Daniel J. Beckman |
| Daniel J. Beckman, President and Principal Executive Officer |
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Date | April 21, 2023 |
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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 |
| Daniel J. Beckman, President and Principal Executive Officer |
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|
Date | April 21, 2023 |
By (Signature and Title) | /s/ Michael G. Clarke |
| Michael G. Clarke, Chief Financial Officer, |
| Principal Financial Officer and Senior Vice President |
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Date | April 21, 2023 |
By (Signature and Title) | /s/ Joseph Beranek |
| Joseph Beranek, Treasurer, Chief Accounting |
| Officer and Principal Financial Officer |
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Date | April 21, 2023 |