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MULTISECTOR BOND SMA COMPLETION PORTFOLIO
| Not FDIC or NCUA Insured • No Financial Institution Guarantee • May Lose Value |
PORTFOLIO OF INVESTMENTS
Multisector Bond SMA Completion Portfolio, November 30, 2023 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Residential Mortgage-Backed Securities - Agency 81.6% | ||||||||||||
| Issuer |
Coupon Rate |
Principal Amount ($) |
Value ($) | |||||||||
| Uniform Mortgage-Backed Security TBA(a) |
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| 12/13/2053 |
3.500 | % | 400,000 | 350,709 | ||||||||
| 12/13/2053 |
4.000 | % | 750,000 | 680,845 | ||||||||
| 12/13/2053 |
4.500 | % | 500,000 | 468,142 | ||||||||
| 12/13/2053 |
5.000 | % | 500,000 | 481,131 | ||||||||
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| Total Residential Mortgage-Backed Securities -Agency |
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1,980,827 | ||||||||||
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| Money Market Funds 88.2% | ||||||||
| Shares | Value ($) | |||||||
| Columbia Short-Term Cash Fund, 5.605%(b),(c) |
2,139,552 | 2,139,124 | ||||||
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| Total Money Market Funds (Cost $2,138,529) |
2,139,124 | |||||||
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| Total Investments in Securities (Cost: $4,070,690) |
4,119,951 | |||||||
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| Other Assets & Liabilities, Net |
(1,693,065 | ) | ||||||
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| Net Assets |
2,426,886 | |||||||
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At November 30, 2023, securities and/or cash totaling $260,564 were pledged as collateral.
Investments in derivatives
| Long futures contracts | ||||||||||||||||||||||||
| Description |
Number of contracts |
Expiration date |
Trading currency |
Notional amount |
Value/Unrealized appreciation ($) |
Value/Unrealized depreciation ($) |
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| U.S. Treasury 5-Year Note |
17 | 03/2024 | USD | 1,816,477 | 9,702 | — | ||||||||||||||||||
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| Short futures contracts | ||||||||||||||||||||||||
| Description |
Number of contracts |
Expiration date |
Trading currency |
Notional amount |
Value/Unrealized appreciation ($) |
Value/Unrealized depreciation ($) |
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| U.S. Treasury Ultra Bond |
(6 | ) | 03/2024 | USD | (738,000 | ) | — | (8,278 | ) | |||||||||||||||
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| Cleared credit default swap contracts - sell protection | ||||||||||||||||||||||||||||||||||||||||||||||||
| Reference entity |
Counterparty | Maturity date |
Receive fixed rate (%) |
Payment frequency |
Implied credit spread (%)* |
Notional currency |
Notional amount |
Value ($) |
Upfront payments ($) |
Upfront receipts ($) |
Unrealized appreciation ($) |
Unrealized depreciation ($) |
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| Markit CDX Emerging Markets Index, Series 40 |
Morgan Stanley | 12/20/2028 | 1.000 | Quarterly | 1.907 | USD | 1,000,000 | 9,176 | — | — | 9,176 | — | ||||||||||||||||||||||||||||||||||||
| Markit CDX North America Investment Grade Index, Series 41 |
Morgan Stanley | 12/20/2028 | 5.000 | Quarterly | 4.039 | USD | 1,485,000 | 61,679 | — | — | 61,679 | — | ||||||||||||||||||||||||||||||||||||
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| Total |
70,855 | — | — | 70,855 | — | |||||||||||||||||||||||||||||||||||||||||||
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| 2 | Multisector Bond SMA Completion Portfolio | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multisector Bond SMA Completion Portfolio, November 30, 2023 (Unaudited)
* Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Notes to Portfolio of Investments
| (a) | Represents a security purchased on a when-issued basis. |
| (b) | The rate shown is the seven-day current annualized yield at November 30, 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 November 30, 2023 are as follows: |
| Affiliated issuers |
Beginning of period($) |
Purchases($) | Sales($) | Net change
in |
End of period($) |
Realized gain (loss)($) |
Dividends($) | End of period shares |
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| Columbia Short-Term Cash Fund, 5.605% |
1,158,101 | 1,240,068 | (259,247 | ) | 202 | 2,139,124 | 2 | 23,337 | 2,139,552 | |||||||||||||||||||||
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Abbreviation Legend
| TBA | To Be Announced |
Currency Legend
| USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
| Multisector Bond SMA Completion Portfolio | First Quarter Report 2023 | 3 |
You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.
1QT308_08_P01_(01/24)