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Multisector Bond SMA Completion Portfolio
Third Quarter Report
May 31, 2024 (Unaudited)
  
Not FDIC or NCUA Insured
No Financial Institution Guarantee
May Lose Value
Portfolio of Investments
Multisector Bond SMA Completion Portfolio, May 31, 2024 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
 
 
Corporate Bonds & Notes 27.0%
Issuer
Coupon
Rate
 
Principal
Amount ($)
Value ($)
Banking 5.1%
Bank of America Corp.(a)
09/15/2029
5.819%
 
130,000
132,197
Life Insurance 5.8%
Metropolitan Life Global Funding I(b)
08/25/2025
4.050%
 
150,000
147,665
Pharmaceuticals 5.4%
Pfizer Investment Enterprises Pte., Ltd.
05/19/2026
4.450%
 
140,000
138,110
Retailers 5.0%
Amazon.com, Inc.
12/01/2025
4.600%
 
130,000
129,159
Technology 5.7%
Microsoft Corp.
11/03/2025
3.125%
 
150,000
146,017
Total Corporate Bonds & Notes
(Cost $694,181)
693,148
 
Residential Mortgage-Backed Securities - Agency 77.2%
Issuer
Coupon
Rate
 
Principal
Amount ($)
Value ($)
Uniform Mortgage-Backed Security TBA(c)
06/13/2054
3.500%
 
400,000
350,680
06/13/2054
4.000%
 
750,000
680,590
06/13/2054
4.500%
 
500,000
468,171
06/13/2054
5.000%
 
500,000
481,182
Total Residential Mortgage-Backed Securities - Agency
(Cost $1,981,521)
1,980,623
 
Money Market Funds 64.2%
 
Shares
Value ($)
Columbia Short-Term Cash Fund, 5.547%(d),(e)
1,649,633
1,649,303
Total Money Market Funds
(Cost $1,648,754)
1,649,303
Total Investments in Securities
(Cost: $4,324,456)
4,323,074
Other Assets & Liabilities, Net
(1,756,498
)
Net Assets
2,566,576
At May 31, 2024, securities and/or cash totaling $237,600 were pledged as collateral.
Investments in derivatives 
Long futures contracts
Description
Number of
contracts
Expiration
date
Trading
currency
Notional
amount
Value/Unrealized
appreciation ($)
Value/Unrealized
depreciation ($)
U.S. Treasury 5-Year Note
6
09/2024
USD
634,781
—
(476
)
 
Short futures contracts
Description
Number of
contracts
Expiration
date
Trading
currency
Notional
amount
Value/Unrealized
appreciation ($)
Value/Unrealized
depreciation ($)
U.S. Treasury 10-Year Note
(4)
09/2024
USD
(435,188
)
929
—
U.S. Treasury Ultra Bond
(2)
09/2024
USD
(244,875
)
3,083
—
Total
 
 
 
4,012
—
 
Cleared credit default swap contracts - sell protection
Reference
entity
Counterparty
Maturity
date
Receive
fixed
rate
(%)
Payment
frequency
Implied
credit
spread
(%)*
Notional
currency
Notional
amount
Value
($)
Upfront
payments
($)
Upfront
receipts
($)
Unrealized
appreciation
($)
Unrealized
depreciation
($)
Markit CDX Emerging Markets
Index, Series 41
Morgan Stanley
06/20/2029
1.000
Quarterly
1.633
USD
1,000,000
6,401
—
—
6,401
—
Markit CDX North America High
Yield Index, Series 42
Morgan Stanley
06/20/2029
5.000
Quarterly
3.348
USD
1,500,000
15,637
—
—
15,637
—
Total
 
 
 
 
22,038
—
—
22,038
—
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Multisector Bond SMA Completion Portfolio  | 2024
Portfolio of Investments  (continued)
Multisector Bond SMA Completion Portfolio, May 31, 2024 (Unaudited)
* Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Notes to Portfolio of Investments 
(a)
Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of May 31, 2024.
(b)
Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2024, the total value of these securities amounted to $147,665, which represents 5.75% of total net assets.
(c)
Represents a security purchased on a when-issued basis.
(d)
The rate shown is the seven-day current annualized yield at May 31, 2024.
(e)
As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended May 31, 2024 are as follows:
 
Affiliated issuers
Beginning
of period($)
Purchases($)
Sales($)
Net change in
unrealized
appreciation
(depreciation)($)
End of
period($)
Realized gain
(loss)($)
Dividends($)
End of
period shares
Columbia Short-Term Cash Fund, 5.547%
 
1,158,101
1,735,288
(1,244,242
)
156
1,649,303
(23
)
68,405
1,649,633
Abbreviation Legend 
TBA
To Be Announced
Currency Legend 
USD
US Dollar
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
Multisector Bond SMA Completion Portfolio  | 2024
3
You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.
3QT308_08_P01_(07/24)