Columbia Fund Series Trust I
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.
Semiannual
Report
February 28, 2023 (Unaudited)
Multi-Manager
Alternative Strategies Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Multi-Manager Alternative Strategies Fund(the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive
shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
You may obtain the current net
asset value (NAV) of Fund shares at no cost by calling 800.345.6611 or by sending an e-mail to serviceinquiries@columbiathreadneedle.com.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Multi-Manager Alternative Strategies
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks capital appreciation with an emphasis on absolute (positive) returns.
Portfolio management
AlphaSimplex Group, LLC
Alexander Healy, Ph.D.
Kathryn Kaminski, Ph.D., CAIA
Philippe Lüdi, Ph.D., CFA
John Perry, Ph.D.
Robert Rickard
Crabel Capital Management, LLC
Michael Pomada
Grant Jaffarian
Manulife Investment Management (US) LLC
Daniel Janis III*
Christopher Chapman, CFA
Thomas Goggins
Bradley Lutz, CFA
Kisoo Park
* Mr. Janis retired from Manulife, effective March 15, 2023.
TCW Investment Management Company LLC
Stephen Kane, CFA
Laird Landmann
Bryan Whalen, CFA
Water Island Capital, LLC
Roger Foltynowicz, CFA, CAIA
Gregg Loprete
Todd Munn
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
|
All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the
effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance
results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
| 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.
|
The FTSE Three-Month U.S. Treasury
Bill Index, an unmanaged index, is representative of the performance of three-month Treasury bills.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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.
|
Percentages indicated are based upon
total investments including options purchased, net of investments sold short and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Portfolio breakdown — short positions (%) (at February 28, 2023)
|
Common Stocks
| (0.9)
|
Percentages indicated are based
upon total investments including options purchased, net of investments sold short and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
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)
|
(a) The Fund has market exposure
(long and/or short) to fixed income, commodity and equity asset classes and foreign currency through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that
is used to calculate payments made on that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional
exposures provide a gauge for how the Fund may behave given changes in individual markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated
Portfolio of Investments, and Note 2 of the Notes to Consolidated Financial Statements.
4
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund
expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual
funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
The Fund is offered only through
certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates, and to group retirement plan recordkeeping platforms that have an agreement with (i) Columbia Management Investment
Distributors, Inc. or an affiliate thereof that specifically authorizes the group retirement plan recordkeeper to offer and/or service Institutional 3 Class shares within such platform, provided also that Fund shares
are held in an omnibus account and (ii) Wilshire Associates, appointed or serving as investment manager or consultant to the recordkeeper’s group retirement plan platform. The Fund does not currently offer
Institutional 3 Class shares. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap program documents for information about the fees charged.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 5
|
Consolidated Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
6
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
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 $13,835,877)
| 13,256,542
|
|
Commercial Mortgage-Backed Securities - Agency 0.4%
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust(c),(f)
|
Series 2019-P002 Class X
|
07/25/2033
| 1.138%
|
| 705,000
| 57,407
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c),(f)
|
CMO Series K057 Class X1
|
07/25/2026
| 1.168%
|
| 3,705,198
| 115,037
|
Series 2018-K732 Class X3
|
05/25/2046
| 2.170%
|
| 1,350,000
| 64,301
|
Series K035 Class X3
|
12/25/2041
| 1.787%
|
| 3,000,000
| 23,425
|
Series K039 Class X3 (FHLMC)
|
08/25/2042
| 2.113%
|
| 1,520,000
| 53,498
|
Series K043 Class X3
|
02/25/2043
| 1.635%
|
| 3,951,044
| 111,177
|
Series K051 Class X3
|
10/25/2043
| 1.613%
|
| 2,100,000
| 80,227
|
Series K060 Class X3
|
12/25/2044
| 1.898%
|
| 1,350,000
| 81,150
|
Series K0728 Class X3
|
11/25/2045
| 1.956%
|
| 1,975,000
| 64,063
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 7
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
BDS Ltd.(a),(b)
|
Series 2020-FL6 Class D
|
30-day Average SOFR + 2.865%
Floor 2.750%
09/15/2035
| 7.282%
|
| 302,000
| 300,170
|
Series 2021-FL8 Class A
|
1-month USD LIBOR + 0.920%
Floor 0.920%
01/18/2036
| 5.511%
|
| 460,062
| 446,666
|
BFLD Trust(a),(b)
|
Series 2020-EYP Class A
|
1-month USD LIBOR + 1.150%
Floor 1.150%
10/15/2035
| 5.738%
|
| 480,000
| 451,451
|
Series 2021-FPM Class A
|
1-month USD LIBOR + 1.600%
Floor 1.600%
06/15/2038
| 6.188%
|
| 288,000
| 275,528
|
BOCA Commercial Mortgage Trust(a),(b)
|
Subordinated Series 2022-BOCA Class B
|
1-month Term SOFR + 2.319%
Floor 2.319%
05/15/2039
| 6.882%
|
| 100,000
| 95,792
|
BX Commercial Mortgage Trust(a),(b)
|
Series 2019-XL Class A
|
1-month Term SOFR + 1.034%
Floor 0.920%
10/15/2036
| 5.597%
|
| 429,016
| 426,872
|
Series 2021-CIP Class A
|
1-month USD LIBOR + 0.921%
Floor 0.921%
12/15/2038
| 5.509%
|
| 115,000
| 112,983
|
Series 2021-VOLT Class A
|
1-month USD LIBOR + 0.700%
Floor 0.700%
09/15/2036
| 5.288%
|
| 125,000
| 121,994
|
Subordinated CMO Series 2021-VOLT Class F
|
1-month USD LIBOR + 2.400%
Floor 2.400%
09/15/2036
| 6.988%
|
| 245,000
| 235,356
|
BX Trust(a)
|
Series 2019-OC11 Class A
|
12/09/2041
| 3.202%
|
| 225,000
| 193,824
|
Series 2022-CLS Class A
|
10/13/2027
| 5.760%
|
| 150,000
| 146,621
|
BX Trust(a),(b)
|
Series 2022-GPA Class A
|
1-month Term SOFR + 2.165%
Floor 2.165%
10/15/2039
| 6.728%
|
| 195,000
| 194,634
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
8
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 9
|
Consolidated Portfolio of Investments (continued)
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
| —
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
10
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 11
|
Consolidated Portfolio of Investments (continued)
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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
12
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
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
($)
|
Delta Air Lines, Inc./SkyMiles IP Ltd.(a)
|
10/20/2028
| 4.750%
|
| 1,034,000
| 978,501
|
JetBlue Pass-Through Trust
|
Series 2020-1 Class A
|
11/15/2032
| 4.000%
|
| 347,650
| 318,703
|
Singapore Airlines Ltd.(a)
|
01/19/2029
| 3.375%
|
| 200,000
| 180,989
|
U.S. Airways Pass-Through Trust
|
04/22/2023
| 6.250%
|
| 128,785
| 128,252
|
Total
| 2,605,362
|
Apartment REIT 0.0%
|
Invitation Homes Operating Partnership LP
|
01/15/2034
| 2.700%
|
| 75,000
| 56,053
|
Automotive 0.3%
|
Allison Transmission. Inc.(a)
|
01/30/2031
| 3.750%
|
| 100,000
| 82,969
|
BMW Finance NV(a)
|
11/14/2024
| 1.000%
| EUR
| 75,000
| 76,082
|
Ford Motor Co.
|
02/12/2032
| 3.250%
|
| 265,000
| 201,163
|
Ford Motor Credit Co. LLC
|
06/14/2024
| 2.748%
| GBP
| 100,000
| 114,281
|
08/01/2026
| 4.542%
|
| 200,000
| 185,668
|
05/28/2027
| 4.950%
|
| 430,000
| 400,791
|
02/16/2028
| 2.900%
|
| 200,000
| 166,717
|
06/17/2031
| 3.625%
|
| 275,000
| 217,965
|
Total
| 1,445,636
|
Banking 2.9%
|
American Express Co.(n)
|
12/31/2079
| 3.550%
|
| 85,000
| 72,307
|
Bank of America Corp.(n)
|
10/01/2025
| 3.093%
|
| 345,000
| 331,300
|
02/04/2028
| 2.551%
|
| 110,000
| 98,375
|
06/14/2029
| 2.087%
|
| 50,000
| 42,072
|
10/24/2031
| 1.922%
|
| 765,000
| 593,406
|
04/22/2032
| 2.687%
|
| 50,000
| 40,553
|
12/31/2079
| 4.375%
|
| 80,000
| 69,563
|
Bank of Montreal(n)
|
11/26/2082
| 7.325%
| CAD
| 300,000
| 222,107
|
Bank of Nova Scotia (The)(n)
|
10/27/2082
| 8.625%
|
| 215,000
| 226,550
|
BNP Paribas SA(a),(n)
|
06/09/2026
| 2.219%
|
| 240,000
| 222,109
|
Capital One Financial Corp.(n)
|
11/02/2027
| 1.878%
|
| 215,000
| 187,910
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 13
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Morgan Stanley(n)
|
04/28/2032
| 1.928%
|
| 85,000
| 65,019
|
07/21/2032
| 2.239%
|
| 610,000
| 474,659
|
Subordinated
|
09/16/2036
| 2.484%
|
| 445,000
| 331,774
|
Nationwide Building Society(a),(n)
|
03/08/2024
| 3.766%
|
| 660,000
| 659,698
|
08/01/2024
| 4.363%
|
| 100,000
| 99,279
|
PNC Financial Services Group, Inc. (The)(n)
|
01/24/2034
| 5.068%
|
| 60,000
| 58,118
|
Popular, Inc.
|
09/14/2023
| 6.125%
|
| 215,000
| 214,001
|
Santander UK Group Holdings PLC(n)
|
11/15/2024
| 4.796%
|
| 90,000
| 89,101
|
03/15/2025
| 1.089%
|
| 300,000
| 284,265
|
06/14/2027
| 1.673%
|
| 110,000
| 96,041
|
Santander UK PLC(a)
|
Subordinated
|
11/07/2023
| 5.000%
|
| 115,000
| 114,078
|
Shinhan Financial Group Co., Ltd.(a),(n)
|
12/31/2079
| 2.875%
|
| 200,000
| 174,404
|
Toronto-Dominion Bank (The)(n)
|
10/31/2082
| 8.125%
|
| 230,000
| 240,412
|
U.S. Bancorp
|
06/07/2024
| 0.850%
| EUR
| 500,000
| 509,139
|
US Bancorp(n)
|
12/31/2079
| 3.700%
|
| 185,000
| 155,632
|
Wells Fargo & Co.(n)
|
06/02/2028
| 2.393%
|
| 160,000
| 141,545
|
02/11/2031
| 2.572%
|
| 375,000
| 312,588
|
03/02/2033
| 3.350%
|
| 740,000
| 625,910
|
Total
| 15,522,220
|
Brokerage/Asset Managers/Exchanges 0.0%
|
Intercontinental Exchange, Inc.
|
09/15/2032
| 1.850%
|
| 175,000
| 131,281
|
Building Materials 0.1%
|
Advanced Drainage Systems, Inc.(a)
|
06/15/2030
| 6.375%
|
| 70,000
| 67,071
|
Cemex SAB de CV(a)
|
07/11/2031
| 3.875%
|
| 205,000
| 165,786
|
St. Marys Cement, Inc.(a)
|
01/28/2027
| 5.750%
|
| 200,000
| 200,552
|
Total
| 433,409
|
Cable and Satellite 0.8%
|
Cable One, Inc.(a)
|
11/15/2030
| 4.000%
|
| 260,000
| 203,129
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
14
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Unifrax Escrow Issuer Corp.(a)
|
09/30/2029
| 7.500%
|
| 155,000
| 105,744
|
Total
| 842,577
|
Construction Machinery 0.2%
|
OT Merger Corp.(a)
|
10/15/2029
| 7.875%
|
| 240,000
| 144,014
|
United Rentals North America, Inc.
|
01/15/2028
| 4.875%
|
| 205,000
| 195,456
|
07/15/2030
| 4.000%
|
| 140,000
| 123,424
|
02/15/2031
| 3.875%
|
| 345,000
| 296,977
|
United Rentals North America, Inc.(a)
|
12/15/2029
| 6.000%
|
| 170,000
| 170,037
|
Total
| 929,908
|
Consumer Cyclical Services 0.1%
|
Match Group, Inc.(a)
|
08/01/2030
| 4.125%
|
| 150,000
| 124,648
|
Uber Technologies, Inc.(a)
|
11/01/2026
| 8.000%
|
| 145,000
| 147,907
|
WASH Multifamily Acquisition, Inc.(a)
|
04/15/2026
| 5.750%
|
| 145,000
| 134,940
|
Total
| 407,495
|
Consumer Products 0.2%
|
Edgewell Personal Care Co.(a)
|
06/01/2028
| 5.500%
|
| 75,000
| 70,077
|
Energizer Holdings, Inc.(a)
|
12/31/2027
| 6.500%
|
| 150,000
| 144,007
|
Natura & Co. Luxembourg Holdings SARL(a)
|
04/19/2029
| 6.000%
|
| 200,000
| 167,224
|
Natura Cosmeticos SA(a)
|
05/03/2028
| 4.125%
|
| 200,000
| 155,269
|
Newell Brands, Inc.
|
04/01/2046
| 5.750%
|
| 185,000
| 148,413
|
Prestige Brands, Inc.(a)
|
04/01/2031
| 3.750%
|
| 185,000
| 150,185
|
Spectrum Brands, Inc.(a)
|
07/15/2030
| 5.500%
|
| 85,000
| 75,136
|
Total
| 910,311
|
Diversified Manufacturing 0.0%
|
Johnson Controls International PLC/Tyco Fire & Security Finance SCA
|
09/15/2027
| 0.375%
| EUR
| 100,000
| 89,895
|
Electric 0.6%
|
AES Corp. (The)(a)
|
07/15/2030
| 3.950%
|
| 35,000
| 31,150
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 15
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
16
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 17
|
Consolidated Portfolio of Investments (continued)
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 ($)
|
Leisure 0.2%
|
Carnival Corp.(a)
|
03/01/2027
| 5.750%
|
| 335,000
| 275,222
|
Cinemark USA, Inc.(a)
|
07/15/2028
| 5.250%
|
| 160,000
| 133,912
|
Live Nation Entertainment, Inc.(a)
|
10/15/2027
| 4.750%
|
| 70,000
| 62,981
|
Royal Caribbean Cruises Ltd.(a)
|
08/15/2027
| 11.625%
|
| 63,000
| 67,126
|
04/01/2028
| 5.500%
|
| 385,000
| 335,629
|
Total
| 874,870
|
Life Insurance 0.1%
|
Athene Global Funding(a)
|
03/08/2027
| 3.205%
|
| 95,000
| 84,684
|
08/19/2028
| 1.985%
|
| 395,000
| 322,387
|
Total
| 407,071
|
Lodging 0.3%
|
Hilton Domestic Operating Co., Inc.
|
01/15/2030
| 4.875%
|
| 316,000
| 289,754
|
Hilton Domestic Operating Co., Inc.(a)
|
02/15/2032
| 3.625%
|
| 280,000
| 229,785
|
Hyatt Hotels Corp.(n)
|
04/23/2030
| 6.000%
|
| 256,000
| 257,117
|
Travel + Leisure Co.(a)
|
07/31/2026
| 6.625%
|
| 150,000
| 147,378
|
12/01/2029
| 4.500%
|
| 345,000
| 290,592
|
Wyndham Hotels & Resorts, Inc.(a)
|
08/15/2028
| 4.375%
|
| 255,000
| 231,563
|
Total
| 1,446,189
|
Media and Entertainment 0.4%
|
Diamond Sports Group LLC/Finance Co.(a)
|
08/15/2026
| 5.375%
|
| 293,000
| 32,656
|
Gray Escrow II, Inc.(a)
|
11/15/2031
| 5.375%
|
| 150,000
| 111,375
|
Magallanes, Inc.(a)
|
03/15/2042
| 5.050%
|
| 305,000
| 246,890
|
03/15/2052
| 5.141%
|
| 513,000
| 403,129
|
Meta Platforms, Inc.
|
08/15/2052
| 4.450%
|
| 80,000
| 66,273
|
Netflix, Inc.
|
02/15/2025
| 5.875%
|
| 285,000
| 287,046
|
News Corp.(a)
|
05/15/2029
| 3.875%
|
| 370,000
| 317,108
|
Scripps Escrow II, Inc.(a)
|
01/15/2031
| 5.375%
|
| 140,000
| 98,987
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
18
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Sunoco LP/Finance Corp.
|
05/15/2029
| 4.500%
|
| 225,000
| 197,434
|
04/30/2030
| 4.500%
|
| 47,000
| 40,798
|
TransCanada PipeLines Ltd.
|
04/15/2030
| 4.100%
|
| 425,000
| 387,958
|
Transcontinental Gas Pipe Line Co. LLC
|
05/15/2030
| 3.250%
|
| 80,000
| 69,582
|
TransMontaigne Partners LP/TLP Finance Corp.
|
02/15/2026
| 6.125%
|
| 139,000
| 118,702
|
Venture Global Calcasieu Pass LLC(a)
|
08/15/2029
| 3.875%
|
| 225,000
| 194,360
|
Western Midstream Operating LP(n)
|
02/01/2030
| 4.300%
|
| 225,000
| 199,435
|
Total
| 3,435,351
|
Natural Gas 0.0%
|
Engie SA(a)
|
06/21/2027
| 0.375%
| EUR
| 100,000
| 91,646
|
Office REIT 0.0%
|
Hudson Pacific Properties LP
|
11/01/2027
| 3.950%
|
| 160,000
| 138,333
|
02/15/2028
| 5.950%
|
| 35,000
| 33,311
|
Total
| 171,644
|
Oil Field Services 0.1%
|
Archrock Partners LP/Finance Corp.(a)
|
04/01/2028
| 6.250%
|
| 153,000
| 144,930
|
Transocean Poseidon Ltd.(a)
|
02/01/2027
| 6.875%
|
| 142,188
| 138,685
|
Total
| 283,615
|
Other Financial Institutions 0.1%
|
Simpar Finance Sarl(a)
|
02/12/2028
| 10.750%
| BRL
| 640,000
| 87,792
|
Sunac China Holdings, Ltd.(a),(o)
|
01/10/2025
| 0.000%
|
| 200,000
| 53,039
|
Swiss Insured Brazil Power Finance SARL(a)
|
07/16/2032
| 9.850%
| BRL
| 1,758,850
| 293,049
|
Total
| 433,880
|
Other Industry 0.1%
|
Adtalem Global Education, Inc.(a)
|
03/01/2028
| 5.500%
|
| 84,000
| 77,575
|
AECOM
|
03/15/2027
| 5.125%
|
| 405,000
| 388,169
|
Duke University
|
10/01/2046
| 3.299%
|
| 228,000
| 177,461
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 19
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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 ($)
|
Pharmaceuticals 0.3%
|
1375209 BC Ltd.(a)
|
01/30/2028
| 9.000%
|
| 140,000
| 139,800
|
Allergan Funding SCS
|
06/01/2024
| 1.250%
| EUR
| 100,000
| 101,429
|
11/15/2028
| 2.625%
| EUR
| 100,000
| 96,595
|
Amgen, Inc.(g)
|
03/02/2033
| 5.250%
|
| 145,000
| 143,924
|
03/02/2043
| 5.600%
|
| 145,000
| 143,245
|
03/02/2053
| 5.650%
|
| 145,000
| 143,807
|
Bayer US Finance II LLC(a)
|
12/15/2025
| 4.250%
|
| 100,000
| 96,686
|
12/15/2028
| 4.375%
|
| 289,000
| 272,022
|
06/25/2038
| 4.625%
|
| 370,000
| 322,697
|
Grifols Escrow Issuer SA(a)
|
10/15/2028
| 4.750%
|
| 245,000
| 209,299
|
Organon Finance 1 LLC(a)
|
04/30/2031
| 5.125%
|
| 185,000
| 157,677
|
Total
| 1,827,181
|
Property & Casualty 0.4%
|
Acrisure LLC/Finance, Inc.(a)
|
02/15/2029
| 4.250%
|
| 150,000
| 122,309
|
08/01/2029
| 6.000%
|
| 80,000
| 65,511
|
Alliant Holdings Intermediate LLC/Co-Issuer(a)
|
10/15/2027
| 6.750%
|
| 155,000
| 140,911
|
Aon Corp.
|
05/15/2030
| 2.800%
|
| 230,000
| 196,529
|
AssuredPartners, Inc.(a)
|
01/15/2029
| 5.625%
|
| 85,000
| 72,208
|
Berkshire Hathaway Finance Corp.
|
06/19/2039
| 2.375%
| GBP
| 250,000
| 213,181
|
Berkshire Hathaway, Inc.(k)
|
03/12/2025
| 0.000%
| EUR
| 315,000
| 308,831
|
Brown & Brown, Inc.
|
03/17/2052
| 4.950%
|
| 115,000
| 96,774
|
Chubb INA Holdings, Inc.
|
12/15/2024
| 0.300%
| EUR
| 180,000
| 177,693
|
Farmers Exchange Capital III(a),(n)
|
Subordinated
|
10/15/2054
| 5.454%
|
| 300,000
| 273,913
|
Nationwide Mutual Insurance Co.(a),(b)
|
Subordinated
|
3-month USD LIBOR + 2.290%
12/15/2024
| 7.059%
|
| 450,000
| 450,262
|
Total
| 2,118,122
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
20
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 21
|
Consolidated Portfolio of Investments (continued)
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 $97,441,133)
| 87,243,762
|
|
Foreign Government Obligations(l),(p) 5.7%
|
|
|
|
|
|
Australia 0.4%
|
Australia Government Bond(a)
|
09/21/2026
| 0.500%
| AUD
| 320,000
| 192,837
|
12/21/2030
| 1.000%
| AUD
| 295,000
| 160,878
|
11/21/2031
| 1.000%
| AUD
| 1,044,000
| 554,709
|
New South Wales Treasury Corp.(a)
|
03/20/2025
| 1.250%
| AUD
| 330,000
| 210,177
|
05/20/2027
| 3.000%
| AUD
| 325,000
| 209,729
|
Queensland Treasury Corp.(a)
|
08/20/2027
| 2.750%
| AUD
| 290,000
| 184,897
|
Western Australian Treasury Corp.
|
10/22/2030
| 1.500%
| AUD
| 590,000
| 325,466
|
Total
| 1,838,693
|
Austria 0.1%
|
Republic of Austria Government Bond(a)
|
02/20/2029
| 0.500%
| EUR
| 240,000
| 217,900
|
Brazil 0.1%
|
Brazil Notas do Tesouro Nacional Series F
|
01/01/2025
| 10.000%
| BRL
| 1,400,000
| 260,629
|
Brazilian Government International Bond
|
06/12/2030
| 3.875%
|
| 400,000
| 345,201
|
Total
| 605,830
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
22
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Foreign Government Obligations(l),(p) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 23
|
Consolidated Portfolio of Investments (continued)
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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
24
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
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 ($)
|
Airport 0.0%
|
County of Miami-Dade Aviation
|
Refunding Revenue Bonds
|
Taxable
|
Series 2020B
|
10/01/2035
| 2.857%
|
| 85,000
| 67,627
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 25
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Municipal Bonds (continued)
|
Issue Description
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Federal Home Loan Mortgage Corp.
|
08/01/2052
| 4.500%
|
| 337,293
| 325,736
|
08/01/2052-
11/01/2052
| 5.000%
|
| 698,463
| 694,755
|
11/01/2052
| 5.500%
|
| 178,170
| 179,734
|
Federal National Mortgage Association(m)
|
09/01/2052
| 4.500%
|
| 691,461
| 671,700
|
Federal National Mortgage Association
|
10/01/2052-
12/01/2052
| 5.500%
|
| 958,815
| 964,695
|
11/01/2052
| 5.000%
|
| 197,996
| 196,513
|
Federal National Mortgage Association(b)
|
CMO Series 2013-5 Class GF
|
1-month USD LIBOR + 1.100%
Floor 1.100%, Cap 5.000%
10/25/2042
| 5.000%
|
| 234,783
| 214,341
|
Government National Mortgage Association(f)
|
CMO Series 2017-136 Class IO
|
09/20/2047
| 5.000%
|
| 605,808
| 113,468
|
CMO Series 2018-63 Class IO
|
09/20/2047
| 4.000%
|
| 800,125
| 128,411
|
Government National Mortgage Association TBA(g)
|
03/21/2053
| 4.500%
|
| 725,000
| 702,938
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
26
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 27
|
Consolidated Portfolio of Investments (continued)
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
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
28
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
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
($)
|
CMO Series 2006-AR2 Class 1A1B
|
1-month USD LIBOR + 0.420%
Floor 0.420%
04/25/2046
| 5.037%
|
| 641,286
| 529,748
|
JPMorgan Alternative Loan Trust(b)
|
CMO Series 2006-A1 Class 1A1
|
1-month USD LIBOR + 0.460%
Floor 0.230%, Cap 11.500%
03/25/2036
| 5.077%
|
| 469,783
| 438,272
|
CMO Series 2007-S1 Class A2
|
1-month USD LIBOR + 0.680%
Floor 0.340%, Cap 11.500%
04/25/2047
| 5.297%
|
| 161,435
| 152,466
|
JPMorgan Mortgage Acquisition Trust(b)
|
CMO Series 2006-FRE1 Class M1
|
1-month USD LIBOR + 0.585%
Floor 0.585%
05/25/2035
| 3.553%
|
| 258,511
| 252,017
|
CMO Series 2007-HE1 Class AV4
|
1-month USD LIBOR + 0.280%
Floor 0.280%
03/25/2047
| 4.897%
|
| 1,103,000
| 1,014,293
|
Legacy Mortgage Asset Trust(a),(c)
|
CMO Series 2020-GS2 Class A1
|
03/25/2060
| 2.750%
|
| 651,960
| 650,535
|
Lehman Mortgage Trust
|
CMO Series 2006-1 Class 1A5
|
02/25/2036
| 5.500%
|
| 521,789
| 269,285
|
Lehman XS Trust(b)
|
CMO Series 2006-15 Class A4
|
1-month USD LIBOR + 0.340%
Floor 0.170%
10/25/2036
| 4.957%
|
| 476,786
| 427,717
|
CMO Series 2006-2N Class 2A1
|
1-year MTA + 1.010%
Floor 1.010%
02/25/2036
| 5.158%
|
| 468,638
| 404,121
|
CMO Series 2007-16N Class 2A2
|
1-month USD LIBOR + 1.700%
Floor 1.700%
09/25/2047
| 6.317%
|
| 549,098
| 459,014
|
Long Beach Mortgage Loan Trust(b)
|
CMO Series 2006-10 Class 2A3
|
1-month USD LIBOR + 0.160%
Floor 0.160%
11/25/2036
| 4.937%
|
| 1,580,993
| 481,705
|
CMO Series 2006-4 Class 1A
|
1-month USD LIBOR + 0.300%
Floor 0.300%
05/25/2036
| 4.917%
|
| 1,010,941
| 580,381
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 29
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
RALI Series Trust(b)
|
CMO Series 2006-QA6 Class A3
|
1-month USD LIBOR + 0.380%
Floor 0.190%
07/25/2036
| 4.997%
|
| 330,684
| 286,206
|
CMO Series 2007-QH6 Class A1
|
1-month USD LIBOR + 0.190%
Floor 0.190%
07/25/2037
| 4.997%
|
| 313,981
| 280,964
|
RALI Trust(b)
|
CMO Series 2006-QO10 Class A1
|
1-month USD LIBOR + 0.320%
Floor 0.160%
01/25/2037
| 4.937%
|
| 602,919
| 508,760
|
RAMP Trust(b)
|
CMO Series 2006-RZ2 Class M1
|
1-month USD LIBOR + 0.495%
Floor 0.330%, Cap 14.000%
05/25/2036
| 5.112%
|
| 535,720
| 524,010
|
RFMSI Trust
|
CMO Series 2006-S10 Class 1A1
|
10/25/2036
| 6.000%
|
| 567,478
| 453,749
|
Soundview Home Loan Trust(b)
|
CMO Series 2006-OPT5 Class 1A1
|
1-month USD LIBOR + 0.140%
Floor 0.140%
07/25/2036
| 4.897%
|
| 312,588
| 295,483
|
Structured Adjustable Rate Mortgage Loan Trust(b)
|
CMO Series 2005-19XS Class 2A1
|
1-month USD LIBOR + 0.300%
Floor 0.300%
10/25/2035
| 4.917%
|
| 467
| 468
|
Series 2007-4 Class 1A2
|
1-month USD LIBOR + 0.440%
Floor 0.220%
05/25/2037
| 5.057%
|
| 385,135
| 331,564
|
Structured Asset Investment Loan Trust(b)
|
CMO Series 2004-6 Class A3
|
1-month USD LIBOR + 0.800%
Floor 0.800%
07/25/2034
| 5.417%
|
| 371,404
| 358,629
|
Structured Asset Mortgage Investments II Trust(b)
|
CMO Series 2006-AR8 Class A1A
|
1-month USD LIBOR + 0.400%
Floor 0.200%, Cap 10.500%
10/25/2036
| 5.017%
|
| 302,859
| 258,458
|
Structured Asset Securities Corp Mortgage Loan Trust(b)
|
CMO Series 2005-2XS Class M1
|
1-month USD LIBOR + 0.705%
Floor 0.470%, Cap 11.000%
02/25/2035
| 5.322%
|
| 756,186
| 719,115
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
30
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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 ($)
|
United States 1.7%
|
U.S. Treasury Bills
|
04/20/2023
| 4.460%
|
| 1,355,000
| 1,346,607
|
05/25/2023
| 4.690%
|
| 1,925,000
| 1,903,968
|
06/01/2023
| 4.770%
|
| 1,790,000
| 1,768,513
|
06/08/2023
| 4.740%
|
| 1,190,000
| 1,174,744
|
07/06/2023
| 4.850%
|
| 555,000
| 545,718
|
07/27/2023
| 4.870%
|
| 1,135,000
| 1,112,889
|
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 31
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Treasury Bills (continued)
|
Issuer
| Yield
|
| Principal
Amount ($)
| 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
|
At February 28, 2023,
securities and/or cash totaling $34,325,073 were pledged as collateral.
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
32
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Investments in derivatives
Forward foreign currency exchange contracts
|
Currency to
be sold
| Currency to
be purchased
| Counterparty
| Settlement
date
| Unrealized
appreciation ($)
| 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
| —
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 33
|
Consolidated Portfolio of Investments (continued)
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)
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
34
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
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
| —
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 35
|
Consolidated Portfolio of Investments (continued)
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)
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
36
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
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)
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 37
|
Consolidated Portfolio of Investments (continued)
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)
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
38
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
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
| —
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 39
|
Consolidated Portfolio of Investments (continued)
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)
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
40
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
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%
|
Notes to Consolidated Portfolio of
Investments
(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.
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 41
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Notes to Consolidated Portfolio of
Investments (continued)
(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
|
Abbreviation Legend
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
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
42
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Abbreviation Legend (continued)
Currency Legend
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
|
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the consolidated financial statements – Security valuation.
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 43
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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.
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
|
|
|
|
|
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
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
44
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
| 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
|
See the Consolidated Portfolio of
Investments for all investment classifications not indicated in the table.
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.
Forward foreign currency exchange
contracts, futures contracts and swap contracts are valued at unrealized appreciation (depreciation).
The following table is a
reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| 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
|
(a) Change in unrealized
appreciation (depreciation) relating to securities held at February 28, 2023 was $116,814, which is comprised of Common Stocks of $92,879 and Rights of $23,935.
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 45
|
Consolidated Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances.
Certain common shares and rights
classified as Level 3 securities are valued using an income approach and considered estimates of future distributions from the company. Significant increases (decreases) to any of these estimates would have resulted
in a significantly higher (lower) fair value measurement.
Certain asset backed securities
classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but not limited to, observable transactions for identical or
similar assets in the market and the distressed nature of the security. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price
reviews and other control procedures. Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) valuation measurement.
Financial Assets were transferred from
Level 1 to Level 3 due to lack of an active market. As a result, as of period end, management determined to fair value the securities under consistently applied procedures established by and under the general
supervision of the Board of Trustees.
Financial assets were transferred from
Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
46
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Statement of Assets and
Liabilities
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.
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 47
|
Consolidated Statement of Operations
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
|
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
48
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Consolidated Statement of Changes in Net
Assets
| 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
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 49
|
Consolidated Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
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.
|
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
50
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Notes to Consolidated Financial
Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Multi-Manager Alternative
Strategies Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end
management investment company organized as a Massachusetts business trust.
Basis for consolidation
ASGM Offshore Fund, Ltd. and ASMF
Offshore Fund, Ltd. (each, a Subsidiary) are each a Cayman Islands exempted company and wholly-owned subsidiary of the Fund. Each Subsidiary acts as an investment vehicle in order to effect certain investment
strategies consistent with the Fund’s investment objective and policies as stated in its current prospectus and statement of additional information. In accordance with the Memorandum and Articles of Association
of the Subsidiary (the Articles), the Fund owns the sole issued share of each Subsidiary and retains all rights associated with such share, including the right to receive notice of, attend and vote at general meetings
of the Subsidiaries, rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiaries. The consolidated financial statements (financial statements) include the
accounts of the consolidated Fund and each respective Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and each Subsidiary. All
intercompany transactions and balances have been eliminated in the consolidation process.
At February 28, 2023, each
Subsidiary’s financial statement information is as follows:
| 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)
|
The financial statements present
the portfolio holdings, financial position and results of operations of the Fund and the Subsidiaries on a consolidated basis.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates, and to group retirement
plan recordkeeping platforms that have an agreement with (i) Columbia Management Investment Distributors, Inc. or an affiliate thereof that specifically authorizes the group retirement plan recordkeeper to offer
and/or service Institutional 3 Class shares within such platform, provided also that Fund shares are held in an omnibus account and (ii) Wilshire Associates, appointed or serving as investment manager or consultant to
the recordkeeper’s group retirement platform. The Fund does not currently offer Institutional 3 Class shares. The Fund offers the share class listed in the Consolidated Statement of Assets and Liabilities which
is not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 51
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued based on prices obtained from pricing services, which are intended to reflect market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing
techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes.
Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities
maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management
believes does not approximate fair value.
Senior loan securities for which
reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange
contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Option contracts are valued at the
mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using mid-market
evaluations from independent third-party vendors.
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
52
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Consolidated Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Consolidated Statement of Operations.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Consolidated Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in
the financial statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation
margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will
typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 53
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker or receive interest income on cash collateral pledged to the broker. The Fund attempts to mitigate
counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination
rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk,
whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities.
Forward foreign currency exchange
contracts
Forward foreign currency exchange
contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure
associated with some or all of the Fund’s securities, to shift foreign currency exposure back to U.S. dollars, to shift investment exposure from one currency to another, to generate total return through long and
short currency positions versus the U.S. dollar and to generate alpha. These instruments may be used for other purposes in future periods.
The values of forward foreign
currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is
exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires. Non-deliverable forward foreign currency exchange contracts are settled with the
counterparty in U.S. dollars without delivery of foreign currency.
The use of forward foreign currency
exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign
currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in
the Consolidated Statement of Assets and Liabilities.
54
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to produce incremental earnings, to manage the
duration and yield curve exposure of the Fund versus the benchmark, to manage exposure to movements in interest rates, to manage exposure to the securities market, the commodities market, the government bond market,
the currency market and to generate alpha. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated
benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not
correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Consolidated Statement of Assets and Liabilities as margin deposits. Securities deposited as
initial margin are designated in the Consolidated Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change
in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund
recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Consolidated Statement of
Assets and Liabilities.
Options contracts
Options are contracts which entitle
the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the
index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and has written option contracts to decrease the Fund’s exposure to equity market risk and to
increase return on investments, to protect gains and to facilitate buying and selling of securities for investments. These instruments may be used for other purposes in future periods. Completion of transactions for
option contracts traded in the over-the-counter market depends upon the performance of the other party. Collateral may be collected or posted by the Fund to secure over-the-counter option contract trades. Collateral
held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are
recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Consolidated Statement of
Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation
until the contract is exercised or has expired. The Fund realizes a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or
purchased put option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options
purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the
contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in
writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put
option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund
purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable
change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 55
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and are entered into bilaterally or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a
broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with
the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities
deposited as initial margin are designated in the Consolidated Portfolio of Investments and cash deposited is recorded in the Consolidated Statement of Assets and Liabilities as margin deposits. For a bilateral swap
contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. For centrally cleared swap
contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes
in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the
Consolidated Statement of Assets and Liabilities.
Entering into these contracts
involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the
possibility that there may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or
price which may result in significant losses, and that the bilateral counterparty, FCM or CCP, as applicable, may not fulfill its obligation under the contract.
Interest rate and inflation rate swap
contracts
The Fund entered into interest rate
swap transactions and/or inflation rate swap contracts to gain exposure to or protect itself from market rate changes. These instruments may be used for other purposes in future periods. An interest rate swap or
inflation rate swap, as applicable, is an agreement between two parties where there are two flows and payments are made between the two counterparties and the payments are dependent upon changes in an interest rate,
inflation rate or inflation index calculated on a nominal amount. Interest rate swaps are agreements between two parties that involve the exchange of one type of interest rate for another type of interest rate cash
flow on specified dates in the future, based on a predetermined, specified notional amount. Certain interest rate swaps are considered forward-starting, whereby the accrual for the exchange of cash flows does not
begin until a specified date in the future. The net cash flow for a standard interest rate swap transaction is generally the difference between a floating market interest rate versus a fixed interest rate.
Interest rate swaps are valued
daily and unrealized appreciation (depreciation) is recorded. Certain interest rate swaps may accrue periodic interest on a daily basis as a component of unrealized appreciation (depreciation); the Fund will realize a
gain or loss upon the payment or receipt of accrued interest. The Fund will realize a gain or a loss when the interest rate swap is terminated.
Total return swap contracts
The Fund entered into total return
swap contracts to manage long or short exposure to the total return on a specified reference security in return for periodic payments based on a fixed or variable interest rate. These instruments may be used for other
purposes in future periods. Total return swap contracts may be used to obtain exposure to an underlying reference security, instrument, or other asset or index or market without owning, taking physical custody of, or
short selling any such security, instrument or asset in a market.
Total return swap contracts are
valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time the Fund will realize a gain (loss). Periodic payments received (or made) by
the Fund over the term of the contract are recorded as realized gains (losses). Total return swap contracts are subject to the risk associated with the investment in the underlying reference security, instrument or
asset. This risk may be offset if the Fund holds any of the underlying reference security, instrument or asset. Total return swap contracts are subject to the risk that the counterparty may not fulfill its obligations
under the contract. This risk is offset by the daily exchange of variation margin with the swap counterparty.
56
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Consolidated Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Consolidated Statement of Operations, including realized and unrealized gains (losses). The derivative
instrument schedules following the Consolidated Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at February 28, 2023:
| 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 ($)
|
Equity risk
| Component of total distributable earnings (loss) — unrealized depreciation on futures contracts
| 883,810*
|
Foreign exchange risk
| Unrealized depreciation on forward foreign currency exchange contracts
| 1,489,650
|
Foreign exchange risk
| Component of total distributable earnings (loss) — unrealized depreciation on futures contracts
| 131,167*
|
Interest rate risk
| Component of total distributable earnings (loss) — unrealized depreciation on futures contracts
| 268,875*
|
Interest rate risk
| Component of total distributable earnings (loss) — unrealized depreciation on swap contracts
| 732,722*
|
Commodity-related investment risk
| Component of total distributable earnings (loss) — unrealized depreciation on futures contracts
| 674,131*
|
Total
|
| 4,180,355
|
*
| Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or
payables in the Consolidated Statement of Assets and Liabilities.
|
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 57
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Consolidated Statement of Operations for the six months ended February 28, 2023:
Amount of realized gain (loss) on derivatives recognized in income
|
Risk exposure category
| Forward
foreign
currency
exchange
contracts
($)
| 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
($)
|
Commodity-related investment risk
| —
| (372,271)
| —
| —
| —
| (372,271)
|
Equity risk
| —
| 249,020
| (14,670)
| 96,521
| (11,482)
| 319,389
|
Foreign exchange risk
| (1,623,373)
| (1,168,271)
| —
| —
| —
| (2,791,644)
|
Interest rate risk
| —
| 1,039,707
| —
| —
| (192,101)
| 847,606
|
Total
| (1,623,373)
| (251,815)
| (14,670)
| 96,521
| (203,583)
| (1,996,920)
|
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended February 28, 2023:
Derivative instrument
| Average notional
amounts ($)*
|
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.
|
Investments in senior loans
The Fund may invest in senior loan
assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from
which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience
delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the
58
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
administrator or collateral agent of a loan
becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or
subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments
which were liquid when purchased, may become illiquid.
The Fund may enter into senior loan
assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the
same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Consolidated Portfolio of Investments with a corresponding payable for investments purchased. The
Fund designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered.
Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA
maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage
“dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type,
coupon and maturity) on a specified future date. These transactions may increase the Fund’s portfolio turnover rate. During the roll period, the Fund loses the right to receive principal and interest paid on the
securities sold. However, the Fund may benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the
securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized
gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique may
diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. Mortgage dollar rolls involve the risk that the market value of the securities
the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations. All cash proceeds will be invested in instruments that are permissible investments
for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing
transactions.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 59
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Interest only and principal only
securities
The Fund may invest in Interest
Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates
and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the
issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income in the Consolidated Statement of Operations. Because no principal will be received at
the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income in the Consolidated Statement of Operations. POs are
stripped securities entitled to receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in
price. POs are also subject to credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or
PO stripped mortgage-backed securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Short sales
The Fund may sell a security it
does not own in anticipation of a decline in the fair value of the security. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the
short sale. The Fund is required to maintain a margin account with the broker and to pledge assets to the broker as collateral for the borrowed security. Securities pledged as collateral are designated in the
Consolidated Portfolio of Investments. In addition, the collateral is recorded as cash collateral held at broker in the Consolidated Statement of Assets and Liabilities. The Fund can purchase the same security at the
current market price and deliver it to the broker to close out the short sale. The Fund is obligated to pay the broker a fee for borrowing the security and may receive rebate income from the investment of collateral.
The net amount of income or fees is included in "Interest income" (for net income received) or “Dividends and interest on securities sold short” (for net expense) in the Consolidated Statement of
Operations. A short position is reported as a liability at fair value in the Consolidated Statement of Assets and Liabilities. The Fund must also pay the broker for any dividends accrued (recognized on ex-date) on the
borrowed security. This amount is recorded as an expense in the Consolidated Statement of Operations. The Fund will record a gain if the security declines in value, and will realize a loss if the security appreciates.
Such gain, limited to the price at which the Fund sold the security short, or such loss, potentially unlimited in size because the short position loses value as the market price of the security sold short increases,
will be recognized upon the termination of a short sale.
60
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of February 28, 2023:
| 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
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans
purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income. For convertible securities, premiums attributable to the conversion feature are
not amortized.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. The Fund may also adjust
accrual rates when it becomes probable the full interest will not be collected and a partial payment will be received. A defaulted debt security is removed from non-accrual status when the issuer resumes interest
payments or when collectability of interest is reasonably assured.
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
The Fund may receive other income
from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Consolidated Statement
of Operations.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Consolidated Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily
basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
62
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Consolidated Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by the
Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee
that is equal to a percentage of the Fund’s daily net assets that declines from 1.10% to 0.95% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months
ended February 28, 2023 was 1.10% of the Fund’s average daily net assets.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 63
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Subadvisory agreements
The Investment Manager has entered
into Subadvisory Agreements with AlphaSimplex Group, LLC, Crabel Capital Management, LLC, Manulife Investment Management (US) LLC, TCW Investment Management Company LLC and Water Island Capital, LLC, each of which
subadvises a portion of the assets of the Fund. New investments in the Fund, net of any redemptions, are allocated in accordance with the Investment Manager’s determination. Each subadviser’s proportionate
share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Consolidated Statement of Operations. Under a Deferred
Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been
invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the
Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current
period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Consolidated Statement of
Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Consolidated Statement of Operations, a portion of the Chief Compliance Officer’s total compensation
is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees.
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rate as a percentage of average daily net assets was as follows:
| Effective rate (%)
|
Institutional Class
| 0.11
|
64
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Distribution and service fees
The Fund has an agreement with
Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Fund
does not pay the Distributor a fee for the distribution services it provides to the Fund.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| Fee rate(s) contractual
through
December 31, 2023
|
Institutional Class
| 1.37%
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
(depreciation) ($)
|
571,401,000
| 11,451,000
| (30,974,000)
| (19,523,000)
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at August 31, 2022, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
No expiration
short-term ($)
| No expiration
long-term ($)
| Total ($)
|
—
| (8,594,898)
| (8,594,898)
|
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 65
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $341,680,461 and $356,235,072, respectively, for the six months ended February 28, 2023, of which $164,918,505
and $155,106,455, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Consolidated Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests significantly in
Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is
included as Dividends - affiliated issuers in the Consolidated Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF
prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend
redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
Borrower or lender
| Average loan
balance ($)
| Weighted average
interest rate (%)
| Number of days
with outstanding loans
|
Lender
| 1,433,333
| 4.18
| 6
|
Interest income earned by the Fund
is recorded as Interfund lending in the Consolidated Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Consolidated Statement of Operations. This agreement expires annually in October unless extended or
66
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
renewed. Prior to the October 27, 2022 amendment
and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to
$950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and
(iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Significant
risks
Alternative strategies investment
risk
An investment in alternative
investment strategies (Alternative Strategies) involves risks, which may be significant. Alternative Strategies may include strategies, instruments or other assets, such as derivatives, that seek investment returns
uncorrelated with the broad equity and fixed income/debt markets, as well as those providing exposure to other markets (such as commodity markets), including but not limited to absolute (positive) return strategies.
Alternative Strategies may fail to achieve their desired performance, market or other exposure, or their returns (or lack thereof) may be more correlated with the broad equity and/or fixed income/debt markets than was
anticipated, and the Fund may lose money.
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency,
index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund.
Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging
risk, leverage risk, liquidity risk and pricing risk.
Foreign currency risk
The performance of the Fund may be
materially affected positively or negatively by foreign currency strength or weakness relative to the U.S. dollar, particularly if the Fund invests a significant percentage of its assets in foreign securities or other
assets denominated in currencies other than the U.S. dollar. Currency rates in foreign countries may fluctuate significantly over short or long periods of time for a number of reasons, including changes in interest
rates, imposition of currency controls and economic or political developments in the U.S. or abroad. The Fund may also incur currency conversion costs when converting foreign currencies into U.S. dollars and vice
versa.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by
governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise interest rates. Increasing interest rates may
negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt
security, the greater its sensitivity to changes in interest rates. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 67
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
Leverage risk
Leverage occurs when the Fund
increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. The use of leverage may produce volatility and may exaggerate changes in the Fund’s
net asset value and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested. Because short sales involve borrowing securities and then selling them,
the Fund’s short sales effectively leverage the Fund’s assets. The Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in
value while the short positions are outstanding, which may force the Fund to use its other assets to increase the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns.
Leverage presents the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of loss. There can be no guarantee that a leveraging strategy will be
successful.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Money market fund investment risk
An investment in a money market
fund is not a bank deposit and is not insured or guaranteed by any bank, the FDIC or any other government agency. Certain money market funds float their net asset value while others seek to preserve the value of
investments at a stable net asset value (typically, $1.00 per share). An investment in a money market fund, even an investment in a fund seeking to maintain a stable net asset value per share, is not guaranteed and it
is possible for the Fund to lose money by investing in these and other types of money market funds. If the liquidity of a money market fund’s portfolio deteriorates below certain levels, the money market fund
may suspend redemptions (i.e., impose a redemption gate) and
68
| Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
|
Notes to Consolidated Financial
Statements (continued)
February 28, 2023 (Unaudited)
thereby prevent the Fund from selling its
investment in the money market fund or impose a fee of up to 2% on amounts the Fund redeems from the money market fund (i.e., impose a liquidity fee). These measures may result in an investment loss or prohibit the
Fund from redeeming shares when the Investment Manager would otherwise redeem shares. In addition to the fees and expenses that the Fund directly bears, the Fund indirectly bears the fees and expenses of any money
market funds in which it invests, including affiliated money market funds. By investing in a money market fund, the Fund will be exposed to the investment risks of the money market fund in direct proportion
to such investment. To the extent the Fund invests in instruments such as derivatives, the Fund may hold investments, which may be significant, in money market fund shares to cover its obligations resulting from
the Fund’s investments in such instruments. Money market funds and the securities they invest in are subject to comprehensive regulations. The enactment of new legislation or regulations, as well as changes in
interpretation and enforcement of current laws, may affect the manner of operation, performance and/or yield of money market funds.
Shareholder concentration risk
At February 28, 2023, affiliated
shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Short selling risk
Leverage occurs when the Fund
increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. Because short sales involve borrowing securities and then selling them, the Fund’s
short sales effectively leverage the Fund’s assets. The Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in value while the
short positions are outstanding, which may force the Fund to use its other assets to increase the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns. Leverage presents
the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of loss. There can be no guarantee that a leveraging strategy will be successful.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
Multi-Manager Alternative Strategies Fund | Semiannual Report 2023
| 69
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Multi-Manager Alternative Strategies Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Columbia Balanced Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder reports from
the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Balanced Fund | Semiannual
Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks high total return by investing in common stocks and debt securities.
Portfolio management
Guy Pope, CFA
Lead Portfolio Manager
Managed Fund since 1997
Jason Callan
Portfolio Manager
Managed Fund since 2018
Gregory Liechty
Portfolio Manager
Managed Fund since 2011
Ronald Stahl, CFA
Portfolio Manager
Managed Fund since 2005
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
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedle.com/investor/ or calling 800.345.6611.
The Blended Benchmark is a weighted
custom composite consisting of 60% S&P 500 Index and 40% Bloomberg U.S. Aggregate Bond Index.
The S&P 500 Index, an unmanaged
index, measures the performance of 500 widely held, large-capitalization U.S. stocks and is frequently used as a general measure of market performance.
The Bloomberg U.S. Aggregate Bond
Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed
securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Balanced Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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
|
Percentages indicated are based upon
total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
4
| Columbia Balanced Fund | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Columbia Balanced Fund | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
6
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
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 $541,110,455)
| 524,349,623
|
|
Commercial Mortgage-Backed Securities - Non-Agency 7.1%
|
|
|
|
|
|
1211 Avenue of the Americas Trust(a)
|
Series 2015-1211 Class A1A2
|
08/10/2035
| 3.901%
|
| 7,955,000
| 7,503,043
|
American Homes 4 Rent Trust(a)
|
Series 2014-SFR2 Class A
|
10/17/2036
| 3.786%
|
| 2,587,771
| 2,507,826
|
Series 2014-SFR3 Class A
|
12/17/2036
| 3.678%
|
| 3,011,129
| 2,906,007
|
Series 2015-SFR1 Class A
|
04/17/2052
| 3.467%
|
| 3,137,117
| 3,001,245
|
Series 2015-SFR2 Class A
|
10/17/2052
| 3.732%
|
| 2,373,498
| 2,271,835
|
AMSR Trust(a)
|
Subordinated Series 2020-SFR2 Class C
|
07/17/2037
| 2.533%
|
| 2,799,000
| 2,558,431
|
Ashford Hospitality Trust(a),(b)
|
Series 2018-KEYS Class B
|
1-month USD LIBOR + 1.450%
Floor 1.450%
05/15/2035
| 6.038%
|
| 16,800,000
| 16,383,997
|
BBCMS Trust(a),(b)
|
Subordinated Series 2018-BXH Class B
|
1-month USD LIBOR + 1.250%
Floor 1.250%
10/15/2037
| 5.838%
|
| 7,370,000
| 7,053,003
|
Subordinated Series 2018-BXH Class C
|
1-month USD LIBOR + 1.500%
Floor 1.500%
10/15/2037
| 6.088%
|
| 3,975,000
| 3,796,183
|
BB-UBS Trust(a)
|
Series 2012-SHOW Class A
|
11/05/2036
| 3.430%
|
| 8,475,000
| 7,878,813
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
8
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 9
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
10
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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 ($)
|
Textiles, Apparel & Luxury Goods 0.5%
|
Tapestry, Inc.
| 904,438
| 39,352,097
|
Total Consumer Discretionary
| 292,872,627
|
Consumer Staples 4.2%
|
Beverages 0.2%
|
Monster Beverage Corp.(d)
| 138,991
| 14,143,724
|
Food & Staples Retailing 1.3%
|
Sysco Corp.
| 597,217
| 44,534,472
|
Walmart, Inc.
| 387,278
| 55,043,822
|
Total
|
| 99,578,294
|
Food Products 1.0%
|
Mondelez International, Inc., Class A
| 1,086,193
| 70,798,060
|
Household Products 1.4%
|
Procter & Gamble Co. (The)
| 731,841
| 100,672,048
|
Personal Products 0.3%
|
Coty, Inc., Class A(d)
| 2,077,754
| 23,478,620
|
Total Consumer Staples
| 308,670,746
|
Energy 2.3%
|
Oil, Gas & Consumable Fuels 2.3%
|
Canadian Natural Resources Ltd.
| 874,686
| 49,428,506
|
Chevron Corp.
| 547,444
| 88,012,572
|
EOG Resources, Inc.
| 276,697
| 31,272,295
|
Total
|
| 168,713,373
|
Total Energy
| 168,713,373
|
Financials 6.4%
|
Banks 2.3%
|
Bank of America Corp.
| 1,097,880
| 37,657,284
|
JPMorgan Chase & Co.
| 276,325
| 39,611,189
|
Wells Fargo & Co.
| 1,930,074
| 90,269,561
|
Total
|
| 167,538,034
|
Capital Markets 1.9%
|
BlackRock, Inc.
| 41,431
| 28,563,775
|
MSCI, Inc.
| 43,785
| 22,862,338
|
S&P Global, Inc.
| 60,791
| 20,741,889
|
State Street Corp.
| 742,259
| 65,823,528
|
Total
|
| 137,991,530
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 11
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Common Stocks (continued)
|
Issuer
| Shares
| Value ($)
|
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 ($)
|
Industrial Conglomerates 1.0%
|
General Electric Co.
| 592,304
| 50,174,072
|
Honeywell International, Inc.
| 131,681
| 25,214,278
|
Total
|
| 75,388,350
|
Machinery 0.8%
|
Parker-Hannifin Corp.
| 172,646
| 60,745,495
|
Road & Rail 1.7%
|
Uber Technologies, Inc.(d)
| 1,636,904
| 54,443,427
|
Union Pacific Corp.
| 328,086
| 68,005,666
|
Total
|
| 122,449,093
|
Total Industrials
| 356,300,005
|
Information Technology 16.2%
|
Electronic Equipment, Instruments & Components 0.7%
|
TE Connectivity Ltd.
| 358,758
| 45,677,069
|
Zebra Technologies Corp., Class A(d)
| 26,384
| 7,921,796
|
Total
|
| 53,598,865
|
IT Services 2.7%
|
Accenture PLC, Class A
| 129,937
| 34,504,770
|
International Business Machines Corp.
| 133,121
| 17,212,545
|
MasterCard, Inc., Class A
| 198,748
| 70,613,177
|
Visa, Inc., Class A
| 338,571
| 74,465,306
|
Total
|
| 196,795,798
|
Semiconductors & Semiconductor Equipment 3.3%
|
Advanced Micro Devices, Inc.(d)
| 267,752
| 21,039,952
|
Entegris, Inc.
| 210,219
| 17,916,965
|
Lam Research Corp.
| 97,083
| 47,183,309
|
Marvell Technology, Inc.
| 433,585
| 19,576,363
|
Microchip Technology, Inc.
| 157,105
| 12,730,218
|
NVIDIA Corp.
| 409,075
| 94,970,852
|
QUALCOMM, Inc.
| 192,813
| 23,818,190
|
Total
|
| 237,235,849
|
Software 6.1%
|
Adobe, Inc.(d)
| 207,516
| 67,224,808
|
Intuit, Inc.
| 176,784
| 71,982,909
|
Microsoft Corp.
| 1,113,898
| 277,828,439
|
Palo Alto Networks, Inc.(d)
| 133,798
| 25,203,530
|
Total
|
| 442,239,686
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
12
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Common Stocks (continued)
|
Issuer
| Shares
| Value ($)
|
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 13
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
14
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
($)
|
Ritchie Bros. Auctioneers, Inc.(a)
|
01/15/2025
| 5.375%
|
| 34,000
| 33,993
|
United Rentals North America, Inc.
|
01/15/2030
| 5.250%
|
| 198,000
| 187,614
|
Total
| 423,134
|
Consumer Cyclical Services 0.0%
|
Arches Buyer, Inc.(a)
|
06/01/2028
| 4.250%
|
| 436,000
| 358,648
|
12/01/2028
| 6.125%
|
| 378,000
| 311,067
|
Match Group, Inc.(a)
|
02/15/2029
| 5.625%
|
| 191,000
| 176,008
|
Staples, Inc.(a)
|
04/15/2026
| 7.500%
|
| 117,000
| 104,086
|
Uber Technologies, Inc.(a)
|
05/15/2025
| 7.500%
|
| 359,000
| 362,608
|
01/15/2028
| 6.250%
|
| 247,000
| 243,063
|
08/15/2029
| 4.500%
|
| 558,000
| 494,363
|
Total
| 2,049,843
|
Consumer Products 0.0%
|
CD&R Smokey Buyer, Inc.(a)
|
07/15/2025
| 6.750%
|
| 473,000
| 412,541
|
Mattel, Inc.(a)
|
04/01/2026
| 3.375%
|
| 113,000
| 104,017
|
04/01/2029
| 3.750%
|
| 222,000
| 192,076
|
Newell Brands, Inc.
|
09/15/2027
| 6.375%
|
| 79,000
| 78,542
|
09/15/2029
| 6.625%
|
| 111,000
| 110,047
|
Prestige Brands, Inc.(a)
|
01/15/2028
| 5.125%
|
| 399,000
| 375,917
|
Scotts Miracle-Gro Co. (The)
|
04/01/2031
| 4.000%
|
| 135,000
| 108,537
|
02/01/2032
| 4.375%
|
| 136,000
| 111,015
|
Spectrum Brands, Inc.(a)
|
10/01/2029
| 5.000%
|
| 131,000
| 113,328
|
07/15/2030
| 5.500%
|
| 16,000
| 14,143
|
Tempur Sealy International, Inc.(a)
|
10/15/2031
| 3.875%
|
| 212,000
| 170,971
|
Total
| 1,791,134
|
Diversified Manufacturing 0.1%
|
Carrier Global Corp.
|
04/05/2040
| 3.377%
|
| 5,000,000
| 3,747,840
|
Chart Industries, Inc.(a)
|
01/01/2030
| 7.500%
|
| 136,000
| 138,082
|
01/01/2031
| 9.500%
|
| 47,000
| 49,122
|
Gates Global LLC/Co.(a)
|
01/15/2026
| 6.250%
|
| 524,000
| 511,778
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 15
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Vistra Operations Co. LLC(a)
|
09/01/2026
| 5.500%
|
| 75,000
| 71,773
|
02/15/2027
| 5.625%
|
| 354,000
| 335,851
|
07/31/2027
| 5.000%
|
| 379,000
| 352,265
|
05/01/2029
| 4.375%
|
| 113,000
| 97,718
|
Xcel Energy, Inc.
|
06/01/2030
| 3.400%
|
| 3,000,000
| 2,657,197
|
Total
| 39,927,825
|
Environmental 0.1%
|
Clean Harbors, Inc.(a)
|
02/01/2031
| 6.375%
|
| 39,000
| 38,870
|
GFL Environmental, Inc.(a)
|
12/15/2026
| 5.125%
|
| 319,000
| 305,927
|
Waste Connections, Inc.
|
01/15/2033
| 4.200%
|
| 5,300,000
| 4,897,232
|
Waste Pro USA, Inc.(a)
|
02/15/2026
| 5.500%
|
| 517,000
| 471,936
|
Total
| 5,713,965
|
Finance Companies 0.0%
|
Navient Corp.
|
06/25/2025
| 6.750%
|
| 200,000
| 197,198
|
OneMain Finance Corp.
|
09/15/2030
| 4.000%
|
| 16,000
| 12,217
|
Provident Funding Associates LP/Finance Corp.(a)
|
06/15/2025
| 6.375%
|
| 247,000
| 223,427
|
Quicken Loans LLC/Co-Issuer, Inc.(a)
|
03/01/2031
| 3.875%
|
| 353,000
| 273,954
|
Rocket Mortgage LLC/Co-Issuer, Inc.(a)
|
10/15/2033
| 4.000%
|
| 587,000
| 434,373
|
Springleaf Finance Corp.
|
03/15/2024
| 6.125%
|
| 221,000
| 218,434
|
Total
| 1,359,603
|
Food and Beverage 0.3%
|
Anheuser-Busch InBev Worldwide, Inc.
|
01/15/2042
| 4.950%
|
| 6,500,000
| 6,069,096
|
Bacardi Ltd.(a)
|
05/15/2038
| 5.150%
|
| 8,350,000
| 7,782,095
|
Darling Ingredients, Inc.(a)
|
06/15/2030
| 6.000%
|
| 275,000
| 265,850
|
FAGE International SA/USA Dairy Industry, Inc.(a)
|
08/15/2026
| 5.625%
|
| 464,000
| 438,514
|
JBS USA LUX SA/Food Co./Finance, Inc.(a)
|
12/01/2031
| 3.750%
|
| 191,000
| 153,156
|
Kraft Heinz Foods Co.
|
06/01/2046
| 4.375%
|
| 7,000,000
| 5,725,644
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
16
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Becton Dickinson and Co.
|
12/15/2044
| 4.685%
|
| 3,502,000
| 3,105,630
|
Catalent Pharma Solutions, Inc.(a)
|
04/01/2030
| 3.500%
|
| 136,000
| 118,017
|
Charles River Laboratories International, Inc.(a)
|
05/01/2028
| 4.250%
|
| 160,000
| 144,438
|
03/15/2029
| 3.750%
|
| 122,000
| 105,973
|
CHS/Community Health Systems, Inc.(a)
|
03/15/2027
| 5.625%
|
| 75,000
| 65,949
|
04/15/2029
| 6.875%
|
| 240,000
| 168,537
|
05/15/2030
| 5.250%
|
| 587,000
| 471,789
|
CVS Health Corp.
|
03/25/2048
| 5.050%
|
| 6,500,000
| 5,826,881
|
GE Healthcare Holding LLC(a)
|
11/22/2052
| 6.377%
|
| 4,286,000
| 4,627,339
|
HCA, Inc.(a)
|
03/15/2052
| 4.625%
|
| 12,000,000
| 9,439,355
|
Mozart Debt Merger Sub, Inc.(a)
|
04/01/2029
| 3.875%
|
| 58,000
| 48,365
|
10/01/2029
| 5.250%
|
| 577,000
| 473,790
|
Select Medical Corp.(a)
|
08/15/2026
| 6.250%
|
| 811,000
| 776,024
|
Tenet Healthcare Corp.
|
07/15/2024
| 4.625%
|
| 106,000
| 104,360
|
02/01/2027
| 6.250%
|
| 370,000
| 360,428
|
11/01/2027
| 5.125%
|
| 237,000
| 222,808
|
10/01/2028
| 6.125%
|
| 331,000
| 306,356
|
01/15/2030
| 4.375%
|
| 186,000
| 162,797
|
Tenet Healthcare Corp.(a)
|
06/15/2030
| 6.125%
|
| 179,000
| 170,642
|
Total
| 28,229,352
|
Healthcare Insurance 0.1%
|
Anthem, Inc.
|
03/01/2028
| 4.101%
|
| 1,500,000
| 1,430,998
|
Centene Corp.
|
12/15/2029
| 4.625%
|
| 476,000
| 436,571
|
UnitedHealth Group, Inc.
|
05/15/2062
| 4.950%
|
| 8,000,000
| 7,529,087
|
Total
| 9,396,656
|
Home Construction 0.0%
|
Meritage Homes Corp.
|
06/01/2025
| 6.000%
|
| 302,000
| 301,674
|
Meritage Homes Corp.(a)
|
04/15/2029
| 3.875%
|
| 276,000
| 237,755
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 17
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
18
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 19
|
Portfolio of Investments (continued)
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
($)
|
RLJ Lodging Trust LP(a)
|
07/01/2026
| 3.750%
|
| 138,000
| 124,925
|
09/15/2029
| 4.000%
|
| 129,000
| 106,374
|
Total
| 1,783,806
|
Packaging 0.0%
|
Ardagh Metal Packaging Finance USA LLC/PLC(a)
|
06/15/2027
| 6.000%
|
| 354,000
| 342,400
|
09/01/2029
| 4.000%
|
| 602,000
| 482,336
|
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a)
|
08/15/2026
| 4.125%
|
| 226,000
| 206,482
|
Canpack SA/US LLC(a)
|
11/15/2029
| 3.875%
|
| 428,000
| 343,171
|
Sealed Air Corp.(a)
|
02/01/2028
| 6.125%
|
| 38,000
| 37,420
|
Trivium Packaging Finance BV(a)
|
08/15/2026
| 5.500%
|
| 388,000
| 366,796
|
Total
| 1,778,605
|
Pharmaceuticals 0.3%
|
1375209 BC Ltd.(a)
|
01/30/2028
| 9.000%
|
| 42,000
| 41,940
|
AbbVie, Inc.
|
11/06/2042
| 4.400%
|
| 8,000,000
| 6,938,866
|
Amgen, Inc.
|
09/01/2053
| 2.770%
|
| 15,184,000
| 9,162,800
|
AstraZeneca Finance LLC
|
05/28/2031
| 2.250%
|
| 3,500,000
| 2,913,936
|
Bausch Health Companies, Inc.(a)
|
02/01/2027
| 6.125%
|
| 130,000
| 89,605
|
08/15/2027
| 5.750%
|
| 170,000
| 113,049
|
06/01/2028
| 4.875%
|
| 96,000
| 59,871
|
09/30/2028
| 11.000%
|
| 75,000
| 58,983
|
10/15/2030
| 14.000%
|
| 14,000
| 8,916
|
Bristol Myers Squibb Co.
|
02/20/2048
| 4.550%
|
| 2,848,000
| 2,588,542
|
Grifols Escrow Issuer SA(a)
|
10/15/2028
| 4.750%
|
| 211,000
| 180,254
|
Organon Finance 1 LLC(a)
|
04/30/2028
| 4.125%
|
| 144,000
| 127,052
|
04/30/2031
| 5.125%
|
| 415,000
| 353,708
|
Total
| 22,637,522
|
Property & Casualty 0.2%
|
Alliant Holdings Intermediate LLC/Co-Issuer(a)
|
10/15/2027
| 4.250%
|
| 451,000
| 399,992
|
10/15/2027
| 6.750%
|
| 721,000
| 655,465
|
04/15/2028
| 6.750%
|
| 463,000
| 452,863
|
11/01/2029
| 5.875%
|
| 197,000
| 165,152
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
20
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Lowe’s Companies, Inc.
|
04/01/2052
| 4.250%
|
| 12,000,000
| 9,444,799
|
PetSmart, Inc./Finance Corp.(a)
|
02/15/2028
| 4.750%
|
| 263,000
| 240,733
|
02/15/2029
| 7.750%
|
| 217,000
| 211,543
|
Wolverine World Wide, Inc.(a)
|
08/15/2029
| 4.000%
|
| 133,000
| 107,212
|
Total
| 11,428,652
|
Supermarkets 0.0%
|
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a)
|
03/15/2026
| 7.500%
|
| 95,000
| 96,904
|
02/15/2028
| 5.875%
|
| 158,000
| 152,813
|
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a)
|
03/15/2026
| 3.250%
|
| 130,000
| 119,336
|
Total
| 369,053
|
Technology 0.4%
|
Black Knight InfoServ LLC(a)
|
09/01/2028
| 3.625%
|
| 254,000
| 222,153
|
Boxer Parent Co., Inc.(a)
|
10/02/2025
| 7.125%
|
| 88,000
| 87,333
|
Broadcom, Inc.(a)
|
02/15/2051
| 3.750%
|
| 10,832,000
| 7,553,029
|
Camelot Finance SA(a)
|
11/01/2026
| 4.500%
|
| 118,000
| 108,559
|
Clarivate Science Holdings Corp.(a)
|
07/01/2028
| 3.875%
|
| 160,000
| 138,128
|
07/01/2029
| 4.875%
|
| 466,000
| 402,444
|
CommScope Technologies LLC(a)
|
06/15/2025
| 6.000%
|
| 168,000
| 161,310
|
Condor Merger Sub, Inc.(a)
|
02/15/2030
| 7.375%
|
| 489,000
| 386,928
|
Dun & Bradstreet Corp. (The)(a)
|
12/15/2029
| 5.000%
|
| 233,000
| 194,283
|
Entegris Escrow Corp.(a)
|
06/15/2030
| 5.950%
|
| 319,000
| 297,481
|
Gartner, Inc.(a)
|
10/01/2030
| 3.750%
|
| 260,000
| 221,077
|
HealthEquity, Inc.(a)
|
10/01/2029
| 4.500%
|
| 165,000
| 144,171
|
Helios Software Holdings, Inc.(a)
|
05/01/2028
| 4.625%
|
| 176,000
| 143,408
|
ION Trading Technologies Sarl(a)
|
05/15/2028
| 5.750%
|
| 200,000
| 163,263
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 21
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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 $633,887)
| 577,956
|
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
22
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 12.3%
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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 $914,687,118)
| 896,559,256
|
|
Residential Mortgage-Backed Securities - Non-Agency 11.6%
|
|
|
|
|
|
510 Asset Backed Trust(a),(c)
|
CMO Series 2021-NPL2 Class A1
|
06/25/2061
| 2.116%
|
| 8,580,701
| 7,975,388
|
Ajax Mortgage Loan Trust(a),(c)
|
CMO Series 2021-A Class A1
|
09/25/2065
| 1.065%
|
| 14,445,227
| 12,443,516
|
CMO Series 2021-B Class A
|
06/25/2066
| 2.239%
|
| 6,986,673
| 6,521,231
|
Angel Oak Mortgage Trust(a),(c)
|
CMO Series 2020-6 Class A3
|
05/25/2065
| 1.775%
|
| 814,219
| 707,883
|
CMO Series 2020-6 Class M1
|
05/25/2065
| 2.805%
|
| 2,575,000
| 1,962,487
|
CMO Series 2020-R1 Class A1
|
04/25/2053
| 0.990%
|
| 3,691,378
| 3,278,698
|
CMO Series 2022-6 Class A1
|
07/25/2067
| 4.300%
|
| 27,723,768
| 26,173,333
|
Bellemeade Re Ltd.(a),(b)
|
CMO Series 2021-1A Class M1C
|
30-day Average SOFR + 2.950%
Floor 2.950%
03/25/2031
| 7.434%
|
| 5,337,000
| 5,272,633
|
CMO Series 2021-3A Class M1A
|
30-day Average SOFR + 1.000%
Floor 1.000%
09/25/2031
| 5.484%
|
| 9,350,061
| 9,237,992
|
BRAVO Residential Funding Trust(a),(c)
|
CMO Series 2020-NQM1 Class A1
|
05/25/2060
| 1.449%
|
| 1,170,369
| 1,090,604
|
CMO Series 2020-RPL1 Class A1
|
05/26/2059
| 2.500%
|
| 3,942,655
| 3,649,328
|
CMO Series 2021-A Class A1
|
10/25/2059
| 1.991%
|
| 7,813,970
| 7,294,453
|
CMO Series 2021-B Class A1
|
04/01/2069
| 2.115%
|
| 5,458,736
| 5,183,328
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 23
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
24
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 25
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
26
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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 $1,666,205)
| 1,570,621
|
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 27
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
U.S. Treasury Obligations 0.4%
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
At February 28, 2023, securities
and/or cash totaling $36,998,086 were pledged as collateral.
Investments in derivatives
Long futures contracts
|
Description
| Number of
contracts
| Expiration
date
| Trading
currency
| Notional
amount
| Value/Unrealized
appreciation ($)
| Value/Unrealized
depreciation ($)
|
U.S. Treasury 10-Year Note
| 3,245
| 06/2023
| USD
| 362,324,531
| —
| (741,687)
|
U.S. Treasury 5-Year Note
| 2,135
| 06/2023
| USD
| 228,561,759
| —
| (264,297)
|
U.S. Treasury Ultra Bond
| 502
| 06/2023
| USD
| 67,801,375
| —
| (737,521)
|
Total
|
|
|
|
| —
| (1,743,505)
|
Short futures contracts
|
Description
| Number of
contracts
| Expiration
date
| Trading
currency
| Notional
amount
| Value/Unrealized
appreciation ($)
| Value/Unrealized
depreciation ($)
|
U.S. Treasury 2-Year Note
| (985)
| 06/2023
| USD
| (200,670,664)
| 452,251
| —
|
Notes to Portfolio of
Investments
(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.
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
28
| Columbia Balanced Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Notes to Portfolio of Investments (continued)
(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
|
Abbreviation Legend
CMO
| Collateralized Mortgage Obligation
|
LIBOR
| London Interbank Offered Rate
|
SOFR
| Secured Overnight Financing Rate
|
TBA
| To Be Announced
|
Currency Legend
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 29
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
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
|
|
|
|
|
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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
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.
Derivative instruments are valued at
unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are
an integral part of this statement.
30
| Columbia Balanced Fund | Semiannual Report 2023
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 31
|
Statement of Assets and Liabilities (continued)
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
32
| Columbia Balanced Fund | Semiannual Report 2023
|
Statement of Operations
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)
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 33
|
Statement of Changes in Net Assets
| 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
| $7,843,480,485
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
34
| Columbia Balanced Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets (continued)
| Six Months Ended
| Year Ended
|
| February 28, 2023 (Unaudited)
| August 31, 2022
|
| Shares
| Dollars ($)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 35
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
36
| Columbia Balanced Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 37
|
Financial Highlights (continued)
| 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%.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
38
| Columbia Balanced Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Balanced Fund | Semiannual Report 2023
| 39
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Columbia Balanced Fund (the
Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment
company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class,
Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued based on prices obtained from pricing services, which are intended to reflect market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing
techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes.
Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities
maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management
believes does not approximate fair value.
40
| Columbia Balanced Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Senior loan securities for which
reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may
Columbia Balanced Fund | Semiannual Report 2023
| 41
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
also use derivative instruments to mitigate
certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation
margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will
typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker or receive interest income on cash collateral pledged to the broker. The Fund attempts to mitigate
counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination
rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk,
whether termination would result in a net liability owed from the counterparty.
42
| Columbia Balanced Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve
exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears
risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in
the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss
when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at February 28, 2023:
| 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 ($)
|
Interest rate risk
| Component of total distributable earnings (loss) — unrealized depreciation on futures contracts
| 1,743,505*
|
*
| Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in
the Statement of Assets and Liabilities.
|
Columbia Balanced Fund | Semiannual Report 2023
| 43
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended February 28, 2023:
Amount of realized gain (loss) on derivatives recognized in income
|
Risk exposure category
| Futures
contracts
($)
|
Interest rate risk
| (49,364,113)
|
|
Change in unrealized appreciation (depreciation) on derivatives recognized in income
|
Risk exposure category
| Futures
contracts
($)
|
Interest rate risk
| (34,304)
|
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended February 28, 2023:
Derivative instrument
| Average notional
amounts ($)*
|
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.
|
Investments in senior loans
The Fund may invest in senior loan
assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from
which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience
delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters
into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In
addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when
purchased, may become illiquid.
The Fund may enter into senior loan
assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the
same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund
designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
44
| Columbia Balanced Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
To be announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered.
Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA
maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage
“dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type,
coupon and maturity) on a specified future date. These transactions may increase the Fund’s portfolio turnover rate. During the roll period, the Fund loses the right to receive principal and interest paid on the
securities sold. However, the Fund may benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the
securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized
gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique may
diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. Mortgage dollar rolls involve the risk that the market value of the securities
the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations. All cash proceeds will be invested in instruments that are permissible investments
for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing
transactions.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans
purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income. For convertible securities, premiums attributable to the conversion feature are
not amortized.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. The Fund may also adjust
accrual rates when it becomes probable the full interest will not be collected and a partial payment will be received. A defaulted debt security is removed from non-accrual status when the issuer resumes interest
payments or when collectability of interest is reasonably assured.
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is
Columbia Balanced Fund | Semiannual Report 2023
| 45
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
recorded as a reduction of the cost basis of
securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for
return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s
estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
The value of additional securities
received as an income payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income
from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of
Operations.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid each calendar quarter. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with
federal income tax regulations, which may differ from GAAP.
46
| Columbia Balanced Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.72% to 0.5075% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended February 28, 2023 was 0.5745%
of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to
Columbia Balanced Fund | Semiannual Report 2023
| 47
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
serve as sub-transfer agent. Prior to January 1,
2023, SS&C GIDS was known as DST Asset Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees
from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| 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
|
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended February 28, 2023, these minimum account balance fees reduced total
expenses of the Fund by $1,548.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund,
respectively.
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
48
| Columbia Balanced Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended February 28, 2023, if any, are listed below:
| Front End (%)
| CDSC (%)
| Amount ($)
|
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.
|
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| 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
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
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
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $6,310,173,611 and $6,392,007,120, respectively, for the six months ended February 28, 2023, of which
$5,164,964,618 and $4,855,960,670, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
Borrower or lender
| Average loan
balance ($)
| Weighted average
interest rate (%)
| Number of days
with outstanding loans
|
Lender
| 2,533,333
| 4.10
| 6
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under
50
| Columbia Balanced Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
the credit facility matures no later than 60 days
after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses
in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a revolving credit facility with a
syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its
borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency,
index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund.
Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging
risk, leverage risk, liquidity risk and pricing risk.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by
governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise interest rates. Increasing interest rates may
negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt
security, the greater its sensitivity to changes in interest rates. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant
Columbia Balanced Fund | Semiannual Report 2023
| 51
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
redemptions and operational challenges. Global
economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market.
These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional
or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events –
could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Mortgage- and other asset-backed
securities risk
The value of any mortgage-backed
and other asset-backed securities including collateralized debt obligations, if any, held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the
interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements;
or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by
the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities
issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than
obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in
mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest
payments to mortgage-backed securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more
sensitive to changes in interest rates.
Shareholder concentration risk
At February 28, 2023, affiliated
shareholders of record owned 38.2% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not
52
| Columbia Balanced Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
currently the subject of, and that neither
Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise
Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange
Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
Columbia Balanced Fund | Semiannual Report 2023
| 53
|
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Columbia Balanced Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Columbia Contrarian
Core Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Columbia Contrarian Core Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder reports
from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Contrarian Core
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks total return, consisting of long-term capital appreciation and current income.
Portfolio management
Guy Pope, CFA
Portfolio Manager
Managed Fund since 2005
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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
|
Returns for Class A and Class V
shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s
other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales
charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund
distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its
affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
The Russell 1000 Index tracks the
performance of 1,000 of the largest U.S. companies, based on market capitalization.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023)
|
Common Stocks
| 98.4
|
Money Market Funds
| 1.6
|
Total
| 100.0
|
Percentages indicated are based
upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
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
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
6
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
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: $6,720,451,742)
| 10,108,637,220
|
Other Assets & Liabilities, Net
|
| (982,269)
|
Net Assets
| 10,107,654,951
|
Notes to Portfolio of
Investments
(a)
| Non-income producing investment.
|
(b)
| The rate shown is the seven-day current annualized yield at February 28, 2023.
|
(c)
| As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a
company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows:
|
Affiliated issuers
| Beginning
of period($)
| 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
|
Fair value
measurements
The Fund categorizes
its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when
available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that
reflect the Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are
summarized in the three broad levels listed below:
■
| 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).
|
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.
The accompanying Notes to Financial Statements are
an integral part of this statement.
8
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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.
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
|
|
|
|
|
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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 9
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
10
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
Statement of Assets and Liabilities (continued)
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 11
|
Statement of Operations
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
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
12
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets
| 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
| $10,565,087,846
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 13
|
Statement of Changes in Net Assets (continued)
| Six Months Ended
| Year Ended
|
| February 28, 2023 (Unaudited)
| August 31, 2022
|
| Shares
| Dollars ($)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
14
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Columbia Contrarian Core Fund | Semiannual Report 2023
| 15
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
16
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 17
|
Financial Highlights (continued)
| 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%.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
18
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 19
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Columbia Contrarian Core Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class,
Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus. Class V shares are available only to investors who received (and who continuously held) Class V shares in connection with previous fund reorganizations.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
20
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 21
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
22
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.77% to 0.555% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended February 28, 2023 was 0.612% of
the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 23
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| 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
|
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended February 28, 2023, these minimum account balance fees reduced total
expenses of the Fund by $5,966.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund,
respectively.
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
Shareholder services fees
The Fund has adopted a shareholder
services plan that permits it to pay for certain services provided to Class V shareholders by their selling and/or servicing agents. The Fund may pay shareholder servicing fees up to an aggregate annual rate of 0.50%
of the Fund’s average daily net assets attributable to Class V shares (comprised of up to 0.25% for shareholder services and up to 0.25% for administrative support services). These fees are currently limited to
an aggregate annual rate of not more than 0.25% of the Fund’s average daily net assets attributable to Class V shares.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended February 28, 2023, if any, are listed below:
| 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
|
Notes to Financial Statements (continued)
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.
|
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| 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
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
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
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Columbia Contrarian Core Fund | Semiannual Report 2023
| 25
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $2,168,222,667 and $2,473,515,628, respectively, for the six months ended February 28, 2023. The amount of
purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
Borrower or lender
| Average loan
balance ($)
| Weighted average
interest rate (%)
| Number of days
with outstanding loans
|
Lender
| 8,900,000
| 3.60
| 2
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate
26
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
of banks led by JPMorgan Chase Bank, N.A.,
Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the
federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Significant
risks
Information technology sector
risk
The Fund is more susceptible to the
particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector are subject
to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by
factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for
market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their
securities may fall or fail to rise. In addition, many information technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than
other securities, especially over the short term. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory
action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Shareholder concentration risk
At February 28, 2023, one
unaffiliated shareholder of record owned 13.3% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated
shareholders of record owned 25.4% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a
Columbia Contrarian Core Fund | Semiannual Report 2023
| 27
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
large redemption, the Fund may be forced to sell
investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased
economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
28
| Columbia Contrarian Core Fund | Semiannual Report 2023
|
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BLANK]
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Columbia Contrarian Core Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Columbia Emerging
Markets Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Columbia Emerging Markets Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder
reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Emerging Markets
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks long-term capital appreciation.
Portfolio management
Dara White, CFA
Lead Portfolio Manager
Managed Fund since 2008
Robert Cameron
Portfolio Manager
Managed Fund since 2008
Perry Vickery, CFA
Portfolio Manager
Managed Fund since 2017
Derek Lin, CFA
Portfolio Manager
Managed Fund since 2020
Darren Powell, CFA
Portfolio Manager
Managed Fund since 2021
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
| 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.
|
The MSCI Emerging Markets Index
(Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets.
The MSCI EAFE Index (Net) is a free
float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of
Europe, Australasia and the Far East and is widely recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI Emerging Markets Index (Net) and the MSCI EAFE Index (Net) which reflect reinvested
dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Emerging Markets Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
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.
|
Country breakdown is based
primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject
to change.
4
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia Emerging Markets Fund | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
6
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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 $9,843,439)
| 16,491,853
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Emerging Markets Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Money Market Funds 0.9%
|
| Shares
| Value ($)
|
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
|
Notes to Portfolio of
Investments
(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
|
Abbreviation Legend
ADR
| American Depositary Receipt
|
GDR
| Global Depositary Receipt
|
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in
The accompanying Notes to Financial Statements are
an integral part of this statement.
8
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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.
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
|
|
|
|
|
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Emerging Markets Fund | Semiannual Report 2023
| 9
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
| 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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
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.
The Fund does not hold any
significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
10
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Emerging Markets Fund | Semiannual Report 2023
| 11
|
Statement of Assets and Liabilities (continued)
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
12
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Statement of Operations
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)
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Columbia Emerging Markets Fund | Semiannual Report 2023
| 13
|
Statement of Changes in Net Assets
| 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
| $1,515,605,539
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
14
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets (continued)
| Six Months Ended
| Year Ended
|
| February 28, 2023 (Unaudited)
| August 31, 2022
|
| Shares
| Dollars ($)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Emerging Markets Fund | Semiannual Report 2023
| 15
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
16
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Emerging Markets Fund | Semiannual Report 2023
| 17
|
Financial Highlights (continued)
| 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.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
18
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Emerging Markets Fund | Semiannual Report 2023
| 19
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Columbia Emerging Markets Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class,
Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
20
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Columbia Emerging Markets Fund | Semiannual Report 2023
| 21
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting
22
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
services. The management services fee is an annual
fee that is equal to a percentage of the Fund’s daily net assets that declines from 1.10% to 0.70% as the Fund’s net assets increase. The annualized effective management services fee rate for the six
months ended February 28, 2023 was 1.02% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class. In addition, effective January 1, 2023 through December 31, 2023, Institutional 2
Class shares are subject to a contractual transfer agency fee annual limitation of not more than 0.05% of the average daily net assets attributable to that share class.
For the six months
ended February 28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| 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
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended February 28, 2023, these minimum account balance fees reduced total
expenses of the Fund by $1,708.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended February 28, 2023, if any, are listed below:
| Front End (%)
| CDSC (%)
| Amount ($)
|
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.
|
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| 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
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage
24
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
commissions, costs related to any securities
lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder
meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the
Investment Manager, certain of its affiliates and the Fund. In addition to the contractual agreement, the Investment Manager and certain of its affiliates have voluntarily agreed to waive fees and/or reimburse Fund
expenses (excluding certain fees and expenses described above) so that Fund level expenses (expenses directly attributable to the Fund and not to a specific share class) are waived proportionately across all share
classes. This arrangement may be revised or discontinued at any time. Reflected in the contractual cap commitment, effective January 1, 2023 through December 31, 2023, is the Transfer Agent’s contractual
agreement to limit total transfer agency fees to an annual rate of not more than 0,05% for Institutional 2 Class of the average daily net assets attributable to that share class, unless sooner terminated at the sole
discretion of the Board of Trustees. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future
periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
appreciation ($)
|
1,112,497,000
| 387,343,000
| (165,447,000)
| 221,896,000
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at August 31, 2022 as arising on September 1, 2022.
Late year
ordinary losses ($)
| Post-October
capital losses ($)
|
20,808,706
| 108,399,274
|
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $294,868,752 and $411,779,457, respectively, for the six months ended February 28, 2023. The amount of
purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition,
Columbia Emerging Markets Fund | Semiannual Report 2023
| 25
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
the Board of Trustees of the Affiliated
MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory
limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
Borrower or lender
| Average loan
balance ($)
| Weighted average
interest rate (%)
| Number of days
with outstanding loans
|
Borrower
| 7,428,571
| 4.19
| 14
|
Interest expense incurred by the
Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus
in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Fund
reorganization
At the close of business on
December 10, 2021, the Fund acquired the assets and assumed the identified liabilities of BMO LGM Emerging Markets Equity Fund (the Acquired Fund), a series of BMO Funds, Inc. The reorganization was completed
after shareholders of the Acquired Fund approved a plan of reorganization at a shareholder meeting held on November 23, 2021. The purpose of the reorganization was to combine two funds with comparable investment
objectives and strategies.
The aggregate net assets of the
Fund immediately before the reorganization were $2,217,656,191 and the combined net assets immediately after the reorganization were $2,387,592,476.
26
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The reorganization was accomplished
by a tax-free exchange of 13,904,828 shares of the Acquired Fund valued at $169,936,285 (including $5,849,889 of unrealized appreciation/(depreciation)).
In exchange for the Acquired
Fund’s shares, the Fund issued the following number of shares:
| Shares
|
Class A
| 269,775
|
Advisor Class
| 9,411,874
|
For financial reporting purposes,
net assets received and shares issued by the Fund were recorded at fair value; however, the Acquired Fund’s cost of investments was carried forward.
The Fund’s financial
statements reflect both the operations of the Fund for the period prior to the reorganization and the combined Fund for the period subsequent to the reorganization. Because the combined investment portfolios have been
managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the combined
Fund’s Statement of Operations since the reorganization was completed.
Assuming the reorganization had
been completed on September 1, 2021, the Fund’s pro-forma results of operations for the year ended August 31, 2022 would have been approximately:
| ($)
|
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)
|
Note 10. Significant
risks
Consumer discretionary sector
risk
The Fund is more susceptible to the
particular risks that may affect companies in the consumer discretionary sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the consumer discretionary sector are subject
to certain risks, including fluctuations in the performance of the overall domestic and international economy, interest rate changes, increased competition and consumer confidence. Performance of such companies may be
affected by factors including reduced disposable household income, reduced consumer spending, changing demographics and consumer tastes.
Financial sector risk
The Fund is more susceptible to the
particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to
certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to one or more
industries or sectors, which makes them vulnerable to economic conditions that affect such industries or sectors. Performance of such companies may be affected by competitive pressures and exposure to investments,
agreements and counterparties, including credit products that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental
regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely
dependent upon the availability and the cost of capital.
Foreign securities and emerging
market countries risk
Investing in foreign securities may
involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business
operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In
addition, certain foreign securities may
Columbia Emerging Markets Fund | Semiannual Report 2023
| 27
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
be more volatile and less liquid than U.S.
securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. To the extent that the Fund concentrates
its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated with the conditions, events or other factors impacting those countries or regions and
may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and disclosure made available by issuers of emerging market securities may be considerably
less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work
papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the
U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly
susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net
asset value may be more volatile than the net asset value of a more geographically diversified fund.
Asia Pacific Region. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries in the Asia Pacific region. Many of the countries in
the region are considered underdeveloped or developing, including from a political, economic and/or social perspective, and may have relatively unstable governments and economies based on limited business, industries
and/or natural resources or commodities. Events in any one country within the region may impact other countries in the region or the region as a whole. As a result, events in the region will generally have a greater
effect on the Fund than if the Fund were more geographically diversified. This could result in increased volatility in the value of the Fund’s investments and losses for the Fund. Also, securities of some
companies in the region can be less liquid than U.S. or other foreign securities, potentially making it difficult for the Fund to sell such securities at a desirable time and price.
Greater China. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers in the Greater China region. The region consists of Hong Kong, The
People’s Republic of China and Taiwan, among other countries, and the Fund’s investments in the region are particularly susceptible to risks in that region. The Hong Kong, Taiwanese, and Chinese economies
are dependent on the economies of other countries and can be significantly affected by currency fluctuations and increasing competition from other emerging economies in Asia with lower costs. Adverse events in any one
country within the region may impact the other countries in the region or Asia as a whole. As a result, adverse events in the region will generally have a greater effect on the Fund than if the Fund were more
geographically diversified, which could result in greater volatility in the Fund’s net asset value and losses. Markets in the Greater China region can experience significant volatility due to social, economic,
regulatory and political uncertainties. Changes in Chinese government policy and economic growth rates could significantly affect local markets and the entire Greater China region. China has yet to develop
comprehensive securities, corporate, or commercial laws, its market is relatively new and less developed, and its economy is experiencing a relative slowdown. Export growth continues to be a major driver of
China’s economic growth. As a result, a reduction in spending on Chinese products and services, the institution of additional tariffs or other trade barriers, including as a result of heightened trade tensions
between China and the United States, or a downturn in any of the economies of China’s key trading partners may have an adverse impact on the Chinese economy.
Information technology sector risk
The Fund is more susceptible to the
particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector are subject
to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by
factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for
market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their
securities may fall or fail to rise. In addition, many information technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than
other
28
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
securities, especially over the short term. Some
companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their
securities.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Shareholder concentration risk
At February 28, 2023, two
unaffiliated shareholders of record owned 45.0% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated
shareholders of record owned 25.1% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Variable interest entity risk
Many Chinese companies to which the
Fund seeks investment exposure use a structure known as a variable interest entity (a VIE) to address Chinese restrictions on direct foreign investment in Chinese companies operating in certain sectors. The
Fund’s investment exposure to VIEs may pose additional risks because the Fund’s investment is in a holding company domiciled outside of China (a Holding Company) whose interests in the business of the
underlying Chinese operating company (the VIE) are established through contracts rather than equity ownership. The VIE structure is a longstanding practice in China that, until recently, was not acknowledged by the
Chinese government, creating uncertainty over the possibility that the Chinese government might cease to tolerate VIE structures at any time or impose new restrictions on the structure. In such a scenario, the Chinese
operating company could be subject to penalties, including revocation of its business and operating license, or the Holding Company could forfeit its interest in the business of the Chinese operating company. Further,
in case of a dispute, the remedies and rights of the Fund may be limited, and such legal uncertainty may be exploited against the interests of the Fund. Control over a VIE may also be jeopardized if a natural person
who holds the equity interest in the VIE breaches the terms of the contractual arrangements, is subject to legal proceedings, or if any physical instruments or property of the VIE, such as seals, business registration
certificates, financial data and licensing
Columbia Emerging Markets Fund | Semiannual Report 2023
| 29
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
arrangements (sometimes referred to as
“chops”), are used without authorization. In the event of such an occurrence, the Fund, as a foreign investor, may have little or no legal recourse. In addition to the risk of government intervention,
investments through a VIE structure are subject to the risks that the China-based company (or its officers, directors, or Chinese equity owners) may breach the contractual arrangements, that Chinese law changes in a
way that adversely affects the enforceability of the arrangements and that the contracts are otherwise not enforceable under Chinese law, in which case a Fund may suffer significant losses on its investments through a
VIE structure with little or no recourse available. Further, the Fund is not a VIE owner/shareholder and cannot exert influence through proxy voting or other means. Foreign companies listed on stock exchanges in the
United States, including companies using the VIE structure, could also face delisting or other ramifications for failure to meet the expectations and/or requirements of U.S. regulators. Recently, however, China has
proposed the adoption of rules which would affirm that VIEs are legally permissible, though there remains significant uncertainty over how these rules will operate. Any of these risks could reduce the liquidity and
value of the Fund’s investments in Holding Companies or render them valueless.
Note 11. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 12. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
30
| Columbia Emerging Markets Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Columbia Emerging Markets Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Columbia Greater
China Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Columbia Greater China Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder reports
from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Greater China
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks long-term capital appreciation.
Portfolio management
Dara White, CFA
Co-Portfolio Manager
Managed Fund since 2019
Derek Lin, CFA
Co-Portfolio Manager
Managed Fund since 2020
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
| 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.
|
The MSCI China Index (Net) is
designed to broadly and fairly represent the full diversity of business activities in China. This index aims to capture 85% of the free float adjusted market capitalization in each industry group.
The Hang Seng Index tracks the
performance of approximately 70% of the total market capitalization of the stock exchange of Hong Kong.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI China Index (Net) which reflects reinvested dividends net of withholding taxes) or other
expenses of investing. Securities in the Fund may not match those in an index.
Columbia Greater China Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
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.
|
Country breakdown is based
primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject
to change.
4
| Columbia Greater China Fund | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia Management Investment
Advisers, LLC and/or certain of its affiliates have contractually agreed to waive certain fees and/or to reimburse certain expenses until December 31, 2023, unless sooner terminated at the sole discretion of the
Fund’s Board, such that net expenses, subject to applicable exclusions, will not exceed 1.48% for Class A, 1.23%for Class AD, 2.23% for Class C, 1.23% for Institutional Class, 1.14% for Institutional 2 Class and
1.09% for Institutional 3 Class. Any amounts waived will not be reimbursed by the Fund. This change was effective January 1, 2023. If this change had been in place for the entire six month period ended February 28,
2023, the actual expenses paid would have been$7.14 for Class A,$5.93 for Class AD,$10.73 for Class C,$5.93 for Institutional Class,$5.50 for Institutional 2 Class and$5.26 for Institutional 3 Class; the hypothetical
expenses paid would have been$7.40 for Class A,$6.16 for Class AD,$11.13 for Class C,$6.16 for Institutional Class,$5.71 for Institutional 2 Class and$5.46 for Institutional 3 Class.
Columbia Greater China Fund | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
Common Stocks 97.4%
|
Issuer
| Shares
| Value ($)
|
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 ($)
|
Textiles, Apparel & Luxury Goods 5.0%
|
Li Ning Co., Ltd.
| 387,000
| 3,302,157
|
Shenzhou International Group Holdings Ltd.
| 169,700
| 1,856,783
|
Total
|
| 5,158,940
|
Total Consumer Discretionary
| 35,795,336
|
Consumer Staples 11.1%
|
Beverages 5.7%
|
China Resources Beer Holdings Co., Ltd.
| 206,000
| 1,524,004
|
Eastroc Beverage Group Co., Ltd., Class A
| 29,600
| 874,350
|
Kweichow Moutai Co., Ltd., Class A
| 9,700
| 2,537,680
|
Wuliangye Yibin Co., Ltd., Class A
| 31,933
| 938,505
|
Total
|
| 5,874,539
|
Food Products 4.8%
|
China Mengniu Dairy Co., Ltd.(a)
| 580,000
| 2,552,971
|
Foshan Haitian Flavouring & Food Co., Ltd., Class A
| 86,357
| 1,023,294
|
Inner Mongolia Yili Industrial Group Co., Ltd., Class A
| 317,100
| 1,392,499
|
Total
|
| 4,968,764
|
Personal Products 0.6%
|
Proya Cosmetics Co., Ltd., Class A
| 20,580
| 541,225
|
Total Consumer Staples
| 11,384,528
|
Financials 12.4%
|
Banks 4.6%
|
China Construction Bank Corp., Class H
| 1,947,340
| 1,190,366
|
China Merchants Bank Co., Ltd., Class H
| 453,000
| 2,458,205
|
Industrial & Commercial Bank of China Ltd., Class H
| 2,228,000
| 1,111,688
|
Total
|
| 4,760,259
|
Capital Markets 2.3%
|
Hong Kong Exchanges and Clearing Ltd.
| 58,500
| 2,343,081
|
Insurance 5.5%
|
AIA Group Ltd.
| 336,400
| 3,575,265
|
Ping An Insurance Group Co. of China Ltd., Class H
| 314,500
| 2,146,945
|
Total
|
| 5,722,210
|
Total Financials
| 12,825,550
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
6
| Columbia Greater China Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Common Stocks (continued)
|
Issuer
| Shares
| Value ($)
|
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Greater China Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Notes to Portfolio of
Investments
(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
|
Abbreviation Legend
ADR
| American Depositary Receipt
|
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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
The accompanying Notes to Financial Statements are
an integral part of this statement.
8
| Columbia Greater China Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
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
|
|
|
|
|
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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
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.
The Fund does not hold any
significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Greater China Fund | Semiannual Report 2023
| 9
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
10
| Columbia Greater China Fund | Semiannual Report 2023
|
Statement of Assets and Liabilities (continued)
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Greater China Fund | Semiannual Report 2023
| 11
|
Statement of Operations
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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
12
| Columbia Greater China Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets
| 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
| $133,437,639
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Columbia Greater China Fund | Semiannual Report 2023
| 13
|
Statement of Changes in Net Assets (continued)
| Six Months Ended
| Year Ended
|
| February 28, 2023 (Unaudited)
| August 31, 2022
|
| Shares
| Dollars ($)
| 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)
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
14
| Columbia Greater China Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Columbia Greater China Fund | Semiannual Report 2023
| 15
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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)
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
16
| Columbia Greater China Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Columbia Greater China Fund | Semiannual Report 2023
| 17
|
Financial Highlights (continued)
| 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.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
18
| Columbia Greater China Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Greater China Fund | Semiannual Report 2023
| 19
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Columbia Greater China Fund (the
Fund), a series of Columbia Funds Series Trust I (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class
and Institutional 3 Class shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the
Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
20
| Columbia Greater China Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Columbia Greater China Fund | Semiannual Report 2023
| 21
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.95% to 0.72% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended February 28, 2023 was 0.95% of
the Fund’s average daily net assets.
22
| Columbia Greater China Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class. In addition, prior to January 1, 2023, Class A, Advisor Class, Class C and
Institutional Class shares were subject to a voluntary transfer agency fee waiver of 0.01% of the average daily net assets attributable to these share classes.
For the six months
ended February 28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| 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
|
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended February 28, 2023, these minimum account balance fees reduced total
expenses of the Fund by $366.
Columbia Greater China Fund | Semiannual Report 2023
| 23
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly
distribution fee to the Distributor at the maximum annual rate of 0.75% of the average daily net assets attributable to Class C shares of the Fund.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended February 28, 2023, if any, are listed below:
| Front End (%)
| CDSC (%)
| Amount ($)
|
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.
|
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| 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
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Separately, prior to January 1, 2023, the Transfer Agent had voluntarily agreed to waive a portion of
the transfer agency fees for Class A, Advisor Class, Class C and Institutional Class fees, as discussed above. The net transfer agency fees were used in calculating the classes’ total expenses for any
24
| Columbia Greater China Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
waiver/reimbursement commitment under the expense
limitation agreement. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
appreciation ($)
|
79,519,000
| 27,618,000
| (4,486,000)
| 23,132,000
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at August 31, 2022, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
No expiration
short-term ($)
| No expiration
long-term ($)
| Total ($)
|
(16,156,260)
| —
| (16,156,260)
|
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at August 31, 2022 as arising on September 1, 2022.
Late year
ordinary losses ($)
| Post-October
capital losses ($)
|
26,739
| —
|
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $39,300,803 and $59,000,595, respectively, for the six months ended February 28, 2023. The amount of purchase
and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Columbia Greater China Fund | Semiannual Report 2023
| 25
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
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
|
Interest income earned and
interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus
in each case, 1.00%.
For the six months
ended February 28, 2023, the Fund’s borrowing activity was as follows:
Average loan
balance ($)
| Weighted average
interest rate (%)
| Days
outstanding
|
15,450,000
| 3.77
| 4
|
Interest expense incurred by the
Fund is recorded as a line of credit interest expense in the Statement of Operations. The Fund had no outstanding borrowings at February 28, 2023.
26
| Columbia Greater China Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 9. Significant
risks
Consumer discretionary sector
risk
The Fund is more susceptible to the
particular risks that may affect companies in the consumer discretionary sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the consumer discretionary sector are subject
to certain risks, including fluctuations in the performance of the overall domestic and international economy, interest rate changes, increased competition and consumer confidence. Performance of such companies may be
affected by factors including reduced disposable household income, reduced consumer spending, changing demographics and consumer tastes.
Foreign securities and emerging
market countries risk
Investing in foreign securities may
involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business
operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In
addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased
inflation, deflation or currency devaluation. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated
with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and
disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board,
which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue
shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against
foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly
susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net
asset value may be more volatile than the net asset value of a more geographically diversified fund.
Asia Pacific Region. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries in the Asia Pacific region. Many of the countries in
the region are considered underdeveloped or developing, including from a political, economic and/or social perspective, and may have relatively unstable governments and economies based on limited business, industries
and/or natural resources or commodities. Events in any one country within the region may impact other countries in the region or the region as a whole. As a result, events in the region will generally have a greater
effect on the Fund than if the Fund were more geographically diversified. This could result in increased volatility in the value of the Fund’s investments and losses for the Fund. Also, securities of some
companies in the region can be less liquid than U.S. or other foreign securities, potentially making it difficult for the Fund to sell such securities at a desirable time and price.
Greater China. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers in the Greater China region. The region consists of Hong Kong, The
People’s Republic of China and Taiwan, among other countries, and the Fund’s investments in the region are particularly susceptible to risks in that region. The Hong Kong, Taiwanese, and Chinese economies
are dependent on the economies of other countries and can be significantly affected by currency fluctuations and increasing competition from other emerging economies in Asia with lower costs. Adverse events in any one
country within the region may impact the other countries in the region or Asia as a whole. As a result, adverse events in the region will generally have a greater effect on the Fund than if the Fund were more
geographically diversified, which could result in greater volatility in the Fund’s net asset value and losses. Markets in the Greater China region can experience significant volatility due to social, economic,
regulatory and political uncertainties. Changes in Chinese government policy and economic growth rates could significantly affect local markets and the entire Greater China region. China has yet to develop
Columbia Greater China Fund | Semiannual Report 2023
| 27
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
comprehensive securities, corporate, or commercial
laws, its market is relatively new and less developed, and its economy is experiencing a relative slowdown. Export growth continues to be a major driver of China’s economic growth. As a result, a reduction in
spending on Chinese products and services, the institution of additional tariffs or other trade barriers, including as a result of heightened trade tensions between China and the United States, or a downturn in any of
the economies of China’s key trading partners may have an adverse impact on the Chinese economy.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Non-diversification risk
A non-diversified fund is permitted
to invest a greater percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of
the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At February 28, 2023, one
unaffiliated shareholders of record owned 39.4% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Subscription
and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times,
including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating
expenses for non-redeeming Fund shareholders.
Variable interest entity risk
Many Chinese companies to which the
Fund seeks investment exposure use a structure known as a variable interest entity (a VIE) to address Chinese restrictions on direct foreign investment in Chinese companies operating in certain sectors. The
Fund’s investment exposure to VIEs may pose additional risks because the Fund’s investment is in a holding company domiciled outside of China (a Holding Company) whose interests in the business of the
underlying Chinese operating company (the VIE) are established through contracts rather than equity ownership. The VIE structure is a longstanding practice in China that, until recently, was not acknowledged by the
Chinese government, creating uncertainty over the
28
| Columbia Greater China Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
possibility that the Chinese government might
cease to tolerate VIE structures at any time or impose new restrictions on the structure. In such a scenario, the Chinese operating company could be subject to penalties, including revocation of its business and
operating license, or the Holding Company could forfeit its interest in the business of the Chinese operating company. Further, in case of dispute, the remedies and rights of the Fund may be limited and such legal
uncertainty may be exploited against the interests of the Fund. Control over a VIE may also be jeopardized if a natural person who holds the equity interest in the VIE breaches the terms of the contractual
arrangements, is subject to legal proceedings, or if any physical instruments or property of the VIE, such as seals, business registration certificates, financial data and licensing arrangements (sometimes referred to
as “chops”), are used without authorization. In the event of such an occurrence, the Fund, as a foreign investor, may have little or no legal recourse. In addition to the risk of government intervention,
investments through a VIE structure are subject to the risks that the China-based company (or its officers, directors, or Chinese equity owners) may breach the contractual arrangements, that Chinese law changes in a
way that adversely affects the enforceability of the arrangements and that the contracts are otherwise not enforceable under Chinese law, in which case a Fund may suffer significant losses on its investments through a
VIE structure with little or no recourse available. Further, the Fund is not a VIE owner/shareholder and cannot exert influence through proxy voting or other means. Foreign companies listed on stock exchanges in the
United States, including companies using the VIE structure, could also face delisting or other ramifications for failure to meet the expectations and/or requirements of U.S. regulators. Recently, however, China has
proposed the adoption of rules which would affirm that VIEs are legally permissible, though there remains significant uncertainty over how these rules will operate. The Fund invests significantly in Holding Companies
(and similar structures) in connection with its 80% investment policy and any of these risks could reduce the liquidity and value of the Fund’s investments in Holding Companies or render them valueless.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
Columbia Greater China Fund | Semiannual Report 2023
| 29
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Greater China Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Columbia Select Mid
Cap Growth Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Columbia Select Mid Cap Growth Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder
reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Select Mid Cap Growth
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks significant capital appreciation by investing, under normal market conditions, at least 80% of its net assets (plus any borrowings for investment purposes) in stocks of companies with a market capitalization, at
the time of initial purchase, equal to or less than the largest stock in the Russell Midcap Index.
Portfolio management
Daniel Cole, CFA
Co-Portfolio Manager
Managed Fund since 2021
Wayne Collette, CFA
Co-Portfolio Manager
Managed Fund since February 2023
Dana Kelley, CFA
Co-Portfolio Manager
Managed Fund since February 2023
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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
|
Returns for Class A and Class V
shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s
other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales
charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund
distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its
affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
The Russell Midcap Growth Index, an
unmanaged index, measures the performance of those Russell Midcap Index companies with higher price-to-book ratios and forecasted growth values.
The Russell Midcap Index, an
unmanaged index, measures the performance of the 800 smallest companies in the Russell 1000 Index, which represents approximately 25% of the total market capitalization or the Russell 1000 Index.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023)
|
Common Stocks
| 94.1
|
Money Market Funds
| 5.9
|
Total
| 100.0
|
Percentages indicated are based
upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
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
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
6
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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: $1,368,751,843)
| 1,442,736,583
|
Other Assets & Liabilities, Net
|
| (18,997,989)
|
Net Assets
| 1,423,738,594
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Notes to Portfolio of
Investments
(a)
| Non-income producing investment.
|
(b)
| The rate shown is the seven-day current annualized yield at February 28, 2023.
|
(c)
| As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a
company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows:
|
Affiliated issuers
| Beginning
of period($)
| 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
|
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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.
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
|
|
|
|
|
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
8
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
| 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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 9
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
10
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
Statement of Assets and Liabilities (continued)
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 11
|
Statement of Operations
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
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
12
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets
| 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
| $1,482,601,622
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 13
|
Statement of Changes in Net Assets (continued)
| Six Months Ended
| Year Ended
|
| February 28, 2023 (Unaudited)
| August 31, 2022
|
| Shares
| Dollars ($)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
14
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 15
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
16
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 17
|
Financial Highlights (continued)
| 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.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
18
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 19
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Columbia Select Mid Cap Growth
Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class,
Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus. Class V shares are available only to investors who received (and who continuously held) Class V shares in connection with previous fund reorganizations.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
20
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 21
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.82% to 0.65% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended February 28, 2023 was 0.77% of
the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to
22
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
serve as sub-transfer agent. Prior to January 1,
2023, SS&C GIDS was known as DST Asset Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees
from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| 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
|
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended February 28, 2023, these minimum account balance fees reduced total
expenses of the Fund by $3,980.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund,
respectively.
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 23
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Shareholder services fees
The Fund has adopted a shareholder
services plan that permits it to pay for certain services provided to Class V shareholders by their selling and/or servicing agents. The Fund may pay shareholder servicing fees up to an aggregate annual rate of 0.50%
of the Fund’s average daily net assets attributable to Class V shares (comprised of up to 0.25% for shareholder services and up to 0.25% for administrative support services). These fees are currently limited to
an aggregate annual rate of not more than 0.25% of the Fund’s average daily net assets attributable to Class V shares.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended February 28, 2023, if any, are listed below:
| 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.
|
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| 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
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
24
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
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
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $915,255,487 and $1,031,399,408, respectively, for the six months ended February 28, 2023. The amount of
purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
Borrower or lender
| Average loan
balance ($)
| Weighted average
interest rate (%)
| Number of days
with outstanding loans
|
Lender
| 1,966,667
| 4.10
| 3
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 25
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus
in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Fund
reorganization
At the close of business on
January 21, 2022, the Fund acquired the assets and assumed the identified liabilities of BMO Mid-Cap Growth Fund (the Acquired Fund), a series of BMO Funds, Inc. The reorganization was completed after
shareholders of the Acquired Fund approved a plan of reorganization at a shareholder meeting held on January 7, 2022. The purpose of the reorganization was to combine two funds with comparable investment objectives
and strategies.
The aggregate net assets of the
Fund immediately before the reorganization were $1,794,349,761 and the combined net assets immediately after the reorganization were $1,810,824,181.
The reorganization was accomplished
by a tax-free exchange of 3,006,453 shares of the Acquired Fund valued at $16,474,420 (including $299,571 of unrealized appreciation/(depreciation)).
In exchange for the Acquired
Fund’s shares, the Fund issued the following number of shares:
| Shares
|
Class A
| 727,078
|
Advisor Class
| 61,087
|
For financial reporting purposes,
net assets received and shares issued by the Fund were recorded at fair value; however, the Acquired Fund’s cost of investments was carried forward.
The Fund’s financial
statements reflect both the operations of the Fund for the period prior to the reorganization and the combined Fund for the period subsequent to the reorganization. Because the combined investment portfolios have been
managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the combined
Fund’s Statement of Operations since the reorganization was completed.
Assuming the reorganization had
been completed on September 1, 2021, the Fund’s pro-forma results of operations for the year ended August 31, 2022 would have been approximately:
| ($)
|
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
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 10. Significant
risks
Information technology sector
risk
The Fund is more susceptible to the
particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector are subject
to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by
factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for
market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their
securities may fall or fail to rise. In addition, many information technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than
other securities, especially over the short term. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory
action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Shareholder concentration risk
At February 28, 2023, affiliated
shareholders of record owned 30.4% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
| 27
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Small- and mid-cap company risk
Investments in small- and
mid-capitalization companies (small- and mid-cap companies) often involve greater risks than investments in larger, more established companies (larger companies) because small- and mid-cap companies tend to have less
predictable earnings and may lack the management experience, financial resources, product diversification and competitive strengths of larger companies. Securities of small- and mid-cap companies may be less liquid
and more volatile than the securities of larger companies.
Note 11. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 12. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
28
| Columbia Select Mid Cap Growth Fund | Semiannual Report 2023
|
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Columbia Select Mid Cap Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Columbia Small Cap
Growth Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Columbia Small Cap Growth Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder
reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Small Cap Growth
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks long-term capital appreciation.
Portfolio management
Daniel Cole, CFA
Co-Portfolio Manager
Managed Fund since 2015
Wayne Collette, CFA
Co-Portfolio Manager
Managed Fund since 2006
Dana Kelley, CFA
Co-Portfolio Manager
Managed Fund since October 2022
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
The Russell 2000 Growth Index, an
unmanaged index, measures the performance of those Russell 2000 Index companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000 Index measures the
performance of the small-cap segment of the U.S. equity universe. The Russell 2000 is a subset of the Russell 3000 Index representing approximately 10% of the total market capitalization of that index. It includes
approximately 2,000 of the smallest securities based on a combination of their market capitalization and current index membership.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(Unaudited)
Portfolio breakdown (%) (at February 28, 2023)
|
Common Stocks
| 93.6
|
Money Market Funds
| 6.4
|
Total
| 100.0
|
Percentages indicated are based
upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
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
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
6
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Notes to Portfolio of
Investments
(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
|
Abbreviation Legend
ADR
| American Depositary Receipt
|
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
The accompanying Notes to Financial Statements are
an integral part of this statement.
8
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
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
|
|
|
|
|
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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund does not hold any
significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 9
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
10
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Statement of Assets and Liabilities (continued)
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 11
|
Statement of Operations
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
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
12
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets
| 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
| $1,620,736,927
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 13
|
Statement of Changes in Net Assets (continued)
| Six Months Ended
| Year Ended
|
| February 28, 2023 (Unaudited)
| August 31, 2022
|
| Shares
| Dollars ($)
| 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)
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
14
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 15
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
16
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 17
|
Financial Highlights (continued)
| 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%.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
18
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 19
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Columbia Small Cap Growth Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2
Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
Effective June 1, 2021, the Fund
closed to investors, other than those who invest in the Fund through certain financial intermediaries selected by Columbia Management Investment Distributors, Inc. (the Distributor) and retirement plans currently
invested and those approved by the Distributor to invest in the Fund.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the
20
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
close of the foreign exchange or market, to
determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or
published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 21
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.87% to 0.75% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended February 28, 2023 was 0.82% of
the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
22
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| 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
|
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended February 28, 2023, these minimum account balance fees reduced total
expenses of the Fund by $4,023.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 23
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund,
respectively.
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended February 28, 2023, if any, are listed below:
| Front End (%)
| CDSC (%)
| Amount ($)
|
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.
|
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| 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
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
24
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
appreciation ($)
|
1,462,050,000
| 176,641,000
| (128,242,000)
| 48,399,000
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at August 31, 2022, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
No expiration
short-term ($)
| No expiration
long-term ($)
| Total ($)
|
(349,596,766)
| (234,883)
| (349,831,649)
|
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at August 31, 2022 as arising on September 1, 2022.
Late year
ordinary losses ($)
| Post-October
capital losses ($)
|
11,054,142
| —
|
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $730,072,518 and $915,403,420, respectively, for the six months ended February 28, 2023. The amount of
purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 25
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
Borrower or lender
| Average loan
balance ($)
| Weighted average
interest rate (%)
| Number of days
with outstanding loans
|
Lender
| 2,200,000
| 4.03
| 4
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus
in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Significant
risks
Health care sector risk
The Fund is more susceptible to the
particular risks that may affect companies in the health care sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the health care sector are subject to certain risks,
including restrictions on government reimbursement for medical expenses, government approval of medical products and services, competitive pricing pressures, and the rising cost of medical products and services
(especially for companies dependent upon a relatively limited number of products or services). Performance of such companies may be affected by factors including, government regulation, obtaining and protecting
patents (or the failure to do so), product liability and other similar litigation as well as product obsolescence.
26
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Industrials sector risk
The Fund is more susceptible to the
particular risks that may affect companies in the industrials sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the industrials sector are subject to certain risks,
including changes in supply and demand for their specific product or service and for industrial sector products in general, including decline in demand for such products due to rapid technological developments and
frequent new product introduction. Performance of such companies may be affected by factors including government regulation, world events and economic conditions and risks for environmental damage and product
liability claims.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Shareholder concentration risk
At February 28, 2023, affiliated
shareholders of record owned 24.5% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Small- and mid-cap company risk
Investments in small- and
mid-capitalization companies (small- and mid-cap companies) often involve greater risks than investments in larger, more established companies (larger companies) because small- and mid-cap companies tend to have less
predictable earnings and may lack the management experience, financial resources, product diversification and competitive strengths of larger companies. Securities of small- and mid-cap companies may be less liquid
and more volatile than the securities of larger companies.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Columbia Small Cap Growth Fund | Semiannual Report 2023
| 27
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
28
| Columbia Small Cap Growth Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Small Cap Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Columbia Strategic
Income Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Columbia Strategic Income Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder
reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Strategic Income
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks total return, consisting of current income and capital appreciation.
Portfolio management
Gene Tannuzzo, CFA
Lead Portfolio Manager
Managed Fund since 2010
Jason Callan
Portfolio Manager
Managed Fund since 2017
Alex Christensen, CFA
Portfolio Manager
Managed Fund since 2021
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
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 4.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
| 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.
|
The Fund’s performance prior
to August 29, 2014 reflects returns achieved pursuant to different principal investment strategies. If the Fund’s current strategies had been in place for the prior periods, results shown may have been
different.
The Bloomberg U.S. Aggregate Bond
Index is a market value-weighted index that tracks the daily price, coupon, pay-downs and total return performance of fixed-rate, publicly placed, dollar-denominated and non-convertible investment-grade debt issues
with at least $250 million par amount outstanding and with at least one year to final maturity.
The ICE BofA US Cash Pay High Yield
Constrained Index tracks the performance of U.S. dollar-denominated below investment-grade corporate debt, currently in a coupon paying period, that is publicly issued in the U.S. domestic market. Effective July 1,
2022 the ICE BofA US Cash Pay High Yield Constrained Index now includes transaction costs.
The FTSE Non-U.S. World Government
Bond (All Maturities) Index — Unhedged is calculated on a market-weighted basis and includes all fixed-rate bonds with a remaining maturity of one year or longer and with amounts outstanding of at least the
equivalent of U.S. $25 million, while excluding floating or variable rate bonds.
The JPMorgan Emerging Markets Bond
Index — Global is based on U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities, such as Brady bonds, Eurobonds and loans, and reflects reinvestment of all
distributions and changes in market prices.
Columbia Strategic Income Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(Unaudited)
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes, other expenses of investing or, for ICE BofA US Cash Pay High Yield Constrained Index for periods prior
to July 2022, transaction costs. Securities in the Fund may not match those in an index.
4
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Fund at a Glance (continued)
(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
|
Percentages indicated are based upon
total investments including options purchased and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
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
|
Percentages indicated are based upon
total fixed income investments.
Bond ratings apply to the underlying
holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the
highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. If a security is
not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. When a bond is not rated by any rating agency, it is designated as “Not
rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one
of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and
leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g.,
interest rate and time to maturity) and the amount and type of any collateral.
Columbia Strategic Income Fund | Semiannual Report 2023
| 5
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
6
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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 $175,548,243)
| 160,285,211
|
|
Commercial Mortgage-Backed Securities - Non-Agency 3.8%
|
|
|
|
|
|
BFLD Trust(a),(b)
|
Subordinated Series 2019-DPLO Class D
|
1-month USD LIBOR + 1.840%
Floor 1.840%
10/15/2034
| 6.428%
|
| 3,485,000
| 3,423,722
|
Subordinated Series 2019-DPLO Class E
|
1-month USD LIBOR + 2.240%
Floor 2.240%
10/15/2034
| 6.828%
|
| 11,510,000
| 11,294,631
|
Braemar Hotels & Resorts Trust(a),(b)
|
Series 2018-PRME Class E
|
1-month USD LIBOR + 2.400%
Floor 2.400%
06/15/2035
| 6.988%
|
| 8,700,000
| 8,166,145
|
Subordinated Series 2018-PRME Class D
|
1-month USD LIBOR + 1.800%
Floor 1.925%
06/15/2035
| 6.388%
|
| 13,700,000
| 13,194,507
|
BX Trust(a)
|
Series 2019-OC11 Class E
|
12/09/2041
| 4.076%
|
| 7,208,000
| 5,741,393
|
BX Trust(a),(f)
|
Subordinated Series 2019-OC11 Class D
|
12/09/2041
| 3.944%
|
| 6,000,000
| 4,938,260
|
CLNY Trust(a),(b)
|
Subordinated Series 2019-IKPR Class E
|
1-month USD LIBOR + 2.721%
Floor 2.721%
11/15/2038
| 7.309%
|
| 8,490,000
| 7,916,915
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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 $8,994,157)
| 6,050,811
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
8
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Convertible Preferred Stocks 0.0%
|
Issuer
|
| Shares
| Value ($)
|
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 9
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
10
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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 ($)
|
Consumer Cyclical Services 0.5%
|
APX Group, Inc.(a)
|
07/15/2029
| 5.750%
|
| 685,000
| 573,416
|
Arches Buyer, Inc.(a)
|
06/01/2028
| 4.250%
|
| 3,340,000
| 2,747,444
|
12/01/2028
| 6.125%
|
| 3,159,000
| 2,599,626
|
ASGN, Inc.(a)
|
05/15/2028
| 4.625%
|
| 2,024,000
| 1,828,360
|
Staples, Inc.(a)
|
04/15/2026
| 7.500%
|
| 2,014,000
| 1,791,707
|
Uber Technologies, Inc.(a)
|
05/15/2025
| 7.500%
|
| 2,461,000
| 2,485,736
|
08/15/2029
| 4.500%
|
| 11,992,000
| 10,624,373
|
Total
| 22,650,662
|
Consumer Products 0.3%
|
CD&R Smokey Buyer, Inc.(a)
|
07/15/2025
| 6.750%
|
| 4,962,000
| 4,327,756
|
Mattel, Inc.(a)
|
12/15/2027
| 5.875%
|
| 1,314,000
| 1,283,188
|
Newell Brands, Inc.
|
09/15/2027
| 6.375%
|
| 879,000
| 873,900
|
09/15/2029
| 6.625%
|
| 1,242,000
| 1,231,339
|
Prestige Brands, Inc.(a)
|
01/15/2028
| 5.125%
|
| 934,000
| 879,966
|
Scotts Miracle-Gro Co. (The)
|
04/01/2031
| 4.000%
|
| 1,475,000
| 1,185,870
|
Spectrum Brands, Inc.
|
07/15/2025
| 5.750%
|
| 1,006,000
| 989,676
|
Spectrum Brands, Inc.(a)
|
10/01/2029
| 5.000%
|
| 2,915,000
| 2,521,761
|
07/15/2030
| 5.500%
|
| 183,000
| 161,764
|
Tempur Sealy International, Inc.(a)
|
10/15/2031
| 3.875%
|
| 1,884,000
| 1,519,385
|
Total
| 14,974,605
|
Diversified Manufacturing 0.6%
|
Carrier Global Corp.
|
02/15/2030
| 2.722%
|
| 16,226,000
| 13,685,215
|
Chart Industries, Inc.(a)
|
01/01/2030
| 7.500%
|
| 1,355,000
| 1,375,747
|
01/01/2031
| 9.500%
|
| 465,000
| 485,993
|
Gates Global LLC/Co.(a)
|
01/15/2026
| 6.250%
|
| 2,554,000
| 2,494,428
|
Madison IAQ LLC(a)
|
06/30/2028
| 4.125%
|
| 1,254,000
| 1,071,916
|
06/30/2029
| 5.875%
|
| 2,297,000
| 1,831,857
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 11
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes(h) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
12
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 13
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
14
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 15
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
16
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 17
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
18
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
($)
|
Colombian TES
|
03/26/2031
| 7.000%
| COP
| 45,619,500,000
| 6,659,767
|
Ecopetrol SA
|
04/29/2030
| 6.875%
|
| 23,038,000
| 20,543,838
|
Total
| 44,216,001
|
Dominican Republic 0.4%
|
Dominican Republic International Bond(a)
|
01/25/2027
| 5.950%
|
| 4,475,000
| 4,392,492
|
01/30/2030
| 4.500%
|
| 2,295,000
| 1,976,118
|
09/23/2032
| 4.875%
|
| 500,000
| 419,535
|
04/30/2044
| 7.450%
|
| 7,900,000
| 7,602,933
|
01/27/2045
| 6.850%
|
| 4,881,000
| 4,368,568
|
Total
| 18,759,646
|
Egypt 0.4%
|
Egypt Government International Bond(a)
|
03/01/2029
| 7.600%
|
| 1,250,000
| 981,809
|
04/16/2030
| 5.625%
| EUR
| 6,600,000
| 4,661,918
|
02/16/2031
| 5.875%
|
| 500,000
| 334,359
|
05/29/2032
| 7.625%
|
| 8,162,000
| 5,797,509
|
01/31/2047
| 8.500%
|
| 5,700,000
| 3,648,233
|
02/21/2048
| 7.903%
|
| 3,000,000
| 1,814,387
|
03/01/2049
| 8.700%
|
| 965,000
| 620,599
|
Total
| 17,858,814
|
Ghana 0.1%
|
Ghana Government International Bond(a),(l)
|
02/11/2035
| 0.000%
|
| 2,400,000
| 894,745
|
03/26/2051
| 0.000%
|
| 5,000,000
| 1,815,581
|
Total
| 2,710,326
|
Guatemala 0.1%
|
Guatemala Government Bond(a)
|
06/01/2050
| 6.125%
|
| 5,000,000
| 4,746,192
|
Hungary 0.3%
|
Hungary Government International Bond(a)
|
09/22/2031
| 2.125%
|
| 20,100,000
| 15,450,518
|
India 0.1%
|
Export-Import Bank of India(a)
|
01/15/2030
| 3.250%
|
| 6,200,000
| 5,384,755
|
Indonesia 0.5%
|
Indonesia Asahan Aluminium Persero PT(a)
|
05/15/2050
| 5.800%
|
| 6,000,000
| 5,323,467
|
Indonesia Government International Bond(a)
|
01/15/2045
| 5.125%
|
| 3,600,000
| 3,512,271
|
Indonesia Treasury Bond
|
04/15/2039
| 8.375%
| IDR
| 68,305,000,000
| 5,042,334
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 19
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Foreign Government Obligations(h),(m) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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 $424,667,235)
| 355,600,241
|
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
20
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency 32.9%
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
CMO Series 2012-131 Class MI
|
01/25/2040
| 3.500%
|
| 1,346,340
| 55,085
|
CMO Series 2012-133 Class EI
|
07/25/2031
| 3.500%
|
| 342,066
| 6,036
|
CMO Series 2013-1 Class AI
|
02/25/2043
| 3.500%
|
| 1,729,024
| 237,673
|
Federal National Mortgage Association(b),(n)
|
CMO Series 2013-101 Class CS
|
-1.0 x 1-month USD LIBOR + 5.900%
Cap 5.900%
10/25/2043
| 1.283%
|
| 6,479,843
| 596,470
|
CMO Series 2014-93 Class ES
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
01/25/2045
| 1.533%
|
| 11,241,123
| 1,196,195
|
CMO Series 2016-26 Class SA
|
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
05/25/2046
| 1.433%
|
| 10,376,630
| 1,452,505
|
CMO Series 2016-31 Class VS
|
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
06/25/2046
| 1.383%
|
| 6,519,784
| 581,771
|
CMO Series 2016-42 Class SB
|
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
07/25/2046
| 1.383%
|
| 23,444,170
| 2,597,246
|
CMO Series 2017-47 Class SE
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
06/25/2047
| 1.483%
|
| 7,489,055
| 1,063,617
|
CMO Series 2017-56 Class SB
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/25/2047
| 1.533%
|
| 24,908,965
| 2,949,159
|
CMO Series 2018-76 Class SN
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
10/25/2048
| 1.533%
|
| 8,022,450
| 917,394
|
CMO Series 2019-67 Class SE
|
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
11/25/2049
| 1.433%
|
| 22,611,966
| 2,981,399
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 21
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
CMO Series 2018-155 Class ES
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
11/20/2048
| 1.502%
|
| 11,580,233
| 880,660
|
CMO Series 2018-168 Class SA
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
12/20/2048
| 1.502%
|
| 10,223,254
| 1,018,037
|
CMO Series 2018-67 Class SP
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
05/20/2048
| 1.602%
|
| 9,068,994
| 733,049
|
CMO Series 2019-152 Class BS
|
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
12/20/2049
| 1.452%
|
| 23,477,078
| 1,924,472
|
CMO Series 2019-23 Class LS
|
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2049
| 1.452%
|
| 7,075,448
| 655,510
|
CMO Series 2019-23 Class QS
|
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2049
| 1.452%
|
| 20,046,395
| 1,834,881
|
CMO Series 2019-29 Class DS
|
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
03/20/2049
| 1.452%
|
| 16,509,453
| 1,125,505
|
CMO Series 2019-41 Class AS
|
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
03/20/2049
| 1.452%
|
| 15,938,678
| 1,451,158
|
CMO Series 2019-5 Class SH
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
01/20/2049
| 1.552%
|
| 10,836,537
| 1,029,741
|
CMO Series 2019-59 Class JS
|
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
05/20/2049
| 1.552%
|
| 10,648,812
| 1,001,004
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
22
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
BVRT Financing Trust(a),(b),(d)
|
CMO Series 2021-2F Class M2
|
30-day Average SOFR + 2.500%
Floor 2.500%
01/10/2032
| 3.761%
|
| 2,359,206
| 2,362,257
|
CMO Series 2021-3F Class M2
|
30-day Average SOFR + 2.900%
Floor 2.900%
07/12/2033
| 4.187%
|
| 20,000,000
| 20,000,000
|
BVRT Financing Trust(a),(b),(c),(d)
|
CMO Series 2021-CRT1 Class M4
|
1-month USD LIBOR + 3.500%
Floor 3.500%
07/10/2032
| 3.589%
|
| 41,000,000
| 39,449,175
|
CIM Trust(a),(f)
|
CMO Series 2021-NR4 Class A1
|
10/25/2061
| 2.816%
|
| 10,786,522
| 10,014,823
|
Citigroup Mortgage Loan Trust, Inc.(a),(f)
|
CMO Series 2010-6 Class 2A2
|
09/25/2035
| 4.198%
|
| 187,205
| 181,042
|
Citigroup Mortgage Loan Trust, Inc.(a)
|
Subordinated CMO Series 2014-C Class B1
|
02/25/2054
| 4.250%
|
| 2,545,870
| 2,448,044
|
Connecticut Avenue Securities Trust(a),(b)
|
CMO Series 2019-HRP1 Class M2
|
1-month USD LIBOR + 2.150%
11/25/2039
| 6.767%
|
| 7,212,091
| 7,211,344
|
Subordinated CMO Series 2022-R01 Class 1B2
|
30-day Average SOFR + 6.000%
12/25/2041
| 10.484%
|
| 34,900,000
| 31,017,134
|
Subordinated CMO Series 2022-R07 Class 1B2
|
30-day Average SOFR + 12.000%
06/25/2042
| 16.484%
|
| 11,850,000
| 12,632,098
|
CSMC Trust(a),(f)
|
CMO Series 2020-RPL2 Class A12
|
02/25/2060
| 3.456%
|
| 7,381,211
| 7,275,452
|
CTS Corp.(a)
|
CMO Series 2015-6R Class 3A2
|
02/27/2036
| 3.750%
|
| 2,280,994
| 2,189,136
|
Eagle Re Ltd.(a),(b)
|
CMO Series 2019-1 Class M2
|
1-month USD LIBOR + 3.300%
04/25/2029
| 7.917%
|
| 16,541,000
| 16,724,772
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 23
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b),(c),(d)
|
CMO Series 2019-CS03 Class M2
|
1-month USD LIBOR + 0.000%
10/25/2032
| 4.506%
|
| 23,000,000
| 22,051,250
|
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b)
|
CMO Series 2020-HQA5 Class M2
|
30-day Average SOFR + 2.600%
11/25/2050
| 7.084%
|
| 11,376,856
| 11,523,862
|
Subordinated CMO Series 2020-HQA5 Class B1
|
30-day Average SOFR + 4.000%
11/25/2050
| 8.484%
|
| 18,650,000
| 18,792,684
|
Subordinated CMO Series 2022-DNA2 Class B1
|
30-day Average SOFR + 4.750%
02/25/2042
| 9.234%
|
| 19,550,000
| 19,097,128
|
Subordinated CMO Series 2022-DNA2 Class B2
|
30-day Average SOFR + 8.500%
02/25/2042
| 12.984%
|
| 16,300,000
| 15,224,472
|
Glebe Funding Trust (The)(a),(d)
|
CMO Series 2021-1 Class PT
|
10/27/2023
| 3.000%
|
| 15,720,693
| 14,423,735
|
Home Re Ltd.(a),(b)
|
CMO Series 2018-1 Class M2
|
1-month USD LIBOR + 3.000%
10/25/2028
| 7.617%
|
| 6,979,360
| 7,051,280
|
Loan Revolving Advance Investment Trust(a),(b),(c),(d)
|
CMO Series 2021-2 Class A1X
|
1-month USD LIBOR + 2.750%
Floor 2.750%
06/30/2023
| 7.328%
|
| 321,326
| 321,326
|
Mortgage Acquisition Trust I LLC(a),(d)
|
CMO Series 2021-1 Class PT
|
11/29/2023
| 3.500%
|
| 7,323,248
| 6,691,618
|
Mortgage Insurance-Linked Notes(a),(b)
|
CMO Series 2020-1 Class M1C
|
1-month USD LIBOR + 1.750%
Floor 1.750%
01/25/2030
| 6.367%
|
| 4,150,000
| 4,032,380
|
CMO Series 2020-1 Class M2A
|
1-month USD LIBOR + 2.000%
Floor 2.000%
01/25/2030
| 6.617%
|
| 7,700,000
| 7,554,139
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
24
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Pretium Mortgage Credit Partners I LLC(a),(f)
|
CMO Series 2021-NPL1 Class A1
|
09/27/2060
| 2.240%
|
| 7,563,085
| 7,096,785
|
Pretium Mortgage Credit Partners LLC(a),(f)
|
CMO Series 2021-RN2 Class A1
|
07/25/2051
| 1.744%
|
| 9,748,054
| 8,829,997
|
Radnor Re Ltd.(a),(b)
|
CMO Series 2018-1 Class M2
|
1-month USD LIBOR + 2.700%
03/25/2028
| 7.317%
|
| 9,595,926
| 9,601,287
|
CMO Series 2021-1 Class M2
|
30-day Average SOFR + 3.150%
12/27/2033
| 7.634%
|
| 18,984,000
| 18,385,055
|
Stonnington Mortgage Trust(a),(c),(d),(f)
|
CMO Series 2020-1 Class A
|
07/28/2024
| 3.500%
|
| 1,903,899
| 1,871,581
|
Toorak Mortgage Corp., Ltd.(a),(f)
|
CMO Series 2021-1 Class A1
|
06/25/2024
| 2.240%
|
| 15,000,000
| 14,190,816
|
Triangle Re Ltd.(a),(b)
|
CMO Series 2021-2 Class M1C
|
1-month USD LIBOR + 4.500%
Floor 4.500%
10/25/2033
| 9.117%
|
| 19,500,000
| 20,177,633
|
CMO Series 2021-2 Class M2
|
1-month USD LIBOR + 5.500%
Floor 5.500%
10/25/2033
| 10.117%
|
| 10,750,000
| 10,795,790
|
VCAT Asset Securitization LLC(a),(f)
|
CMO Series 2021-NPL6 Class A1
|
09/25/2051
| 1.917%
|
| 19,758,026
| 18,087,293
|
VCAT LLC(a),(f)
|
CMO Series 2021-NPL5 Class A1
|
08/25/2051
| 1.868%
|
| 22,073,359
| 20,147,690
|
Vericrest Opportunity Loan Transferee(a),(f)
|
CMO Series 2021-NPL4 Class A1
|
03/27/2051
| 2.240%
|
| 8,719,771
| 8,329,220
|
Verus Securitization Trust(a),(f)
|
Subordinated CMO Series 2019-INV3 Class B1
|
11/25/2059
| 3.731%
|
| 7,300,000
| 5,950,437
|
Visio Trust(a),(f)
|
CMO Series 2019-2 Class M1
|
11/25/2054
| 3.260%
|
| 4,200,000
| 3,676,838
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 25
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
First Brands Group LLC(b),(o)
|
1st Lien Term Loan
|
1-month Term SOFR + 5.000%
Floor 1.000%
03/30/2027
| 10.252%
|
| 3,134,667
| 3,033,762
|
Total
| 5,278,973
|
Brokerage/Asset Managers/Exchanges 0.2%
|
AlixPartners LLP(b),(o)
|
Term Loan
|
1-month USD LIBOR + 2.750%
Floor 0.500%
02/04/2028
| 7.385%
|
| 1,468,763
| 1,465,326
|
Allspring Buyer LLC(b),(o)
|
Term Loan
|
3-month USD LIBOR + 3.000%
Floor 0.500%
11/01/2028
| 7.750%
|
| 1,320,665
| 1,312,411
|
Citadel Securities LP(b),(o)
|
Term Loan
|
1-month Term SOFR + 2.500%
02/02/2028
| 7.232%
|
| 2,942,538
| 2,914,496
|
Russell Investments US Institutional Holdco, Inc.(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.500%
Floor 1.000%
05/30/2025
| 8.135%
|
| 2,466,439
| 2,426,359
|
VFH Parent LLC(b),(o)
|
Term Loan
|
SOFR + 3.000%
01/13/2029
| 7.661%
|
| 2,265,430
| 2,240,510
|
Total
| 10,359,102
|
Building Materials 0.2%
|
Cornerstone Building Brands, Inc.(b),(o)
|
Tranche B Term Loan
|
1-month USD LIBOR + 3.250%
04/12/2028
| 7.838%
|
| 1,395,855
| 1,288,989
|
Covia Holdings LLC(b),(o)
|
Term Loan
|
1-month USD LIBOR + 4.000%
Floor 1.000%
07/31/2026
| 8.782%
|
| 1,750,241
| 1,726,175
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
26
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Radiate Holdco LLC(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.250%
Floor 0.750%
09/25/2026
| 7.885%
|
| 1,645,383
| 1,362,065
|
Telesat Canada(b),(o)
|
Tranche B5 Term Loan
|
1-month USD LIBOR + 2.750%
12/07/2026
| 7.580%
|
| 2,179,765
| 1,164,365
|
Virgin Media Bristol LLC(b),(o)
|
Tranche N Term Loan
|
3-month USD LIBOR + 2.500%
01/31/2028
| 7.088%
|
| 1,175,000
| 1,151,077
|
Tranche Q Term Loan
|
1-month USD LIBOR + 3.250%
01/31/2029
| 7.838%
|
| 1,000,000
| 993,750
|
Total
| 9,562,979
|
Chemicals 0.3%
|
Ascend Performance Materials Operations LLC(b),(o)
|
Term Loan
|
6-month Term SOFR + 4.750%
Floor 0.750%
08/27/2026
| 8.831%
|
| 1,896,888
| 1,892,145
|
ColourOz Investment 1 GmbH(b),(o)
|
Tranche C 1st Lien Term Loan
|
3-month USD LIBOR + 4.250%
Floor 1.000%
09/21/2023
| 9.066%
|
| 352,889
| 249,376
|
ColourOz Investment 2 LLC(b),(o)
|
Tranche B2 1st Lien Term Loan
|
3-month USD LIBOR + 4.250%
Floor 1.000%
09/21/2023
| 9.066%
|
| 2,134,685
| 1,508,518
|
Diamond BV(b),(o)
|
Term Loan
|
1-month USD LIBOR + 2.750%
Floor 0.500%
09/29/2028
| 7.575%
|
| 1,727,939
| 1,696,975
|
Herens Holdco SARL(b),(o)
|
Tranche B Term Loan
|
1-month USD LIBOR + 4.000%
Floor 0.750%
07/03/2028
| 8.730%
|
| 1,470,789
| 1,388,322
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 27
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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 ($)
|
Consumer Cyclical Services 0.5%
|
8th Avenue Food & Provisions, Inc.(b),(o)
|
1st Lien Term Loan
|
1-month USD LIBOR + 3.500%
10/01/2025
| 8.385%
|
| 874,907
| 765,002
|
2nd Lien Term Loan
|
1-month USD LIBOR + 7.750%
10/01/2026
| 12.385%
|
| 1,686,397
| 1,049,782
|
Allied Universal Holdco LLC(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.750%
Floor 0.500%
05/12/2028
| 8.468%
|
| 1,397,052
| 1,344,285
|
Amentum Government Services Holdings LLC(b),(o)
|
Tranche 1 1st Lien Term Loan
|
1-month USD LIBOR + 4.000%
01/29/2027
| 8.519%
|
| 958,855
| 946,467
|
Tranche 3 1st Lien Term Loan
|
1-month Term SOFR + 4.000%
Floor 0.500%
02/15/2029
| 8.124%
|
| 1,152,012
| 1,137,128
|
Arches Buyer, Inc.(b),(o)
|
Term Loan
|
1-month Term SOFR + 3.250%
Floor 0.500%
12/06/2027
| 7.968%
|
| 2,235,956
| 2,101,798
|
Cast & Crew LLC(b),(o)
|
1st Lien Term Loan
|
1-month Term SOFR + 3.750%
Floor 0.500%
12/29/2028
| 8.368%
|
| 1,818,842
| 1,813,531
|
Conservice Midco LLC(b),(o)
|
1st Lien Term Loan
|
1-month USD LIBOR + 4.250%
05/13/2027
| 8.885%
|
| 2,433,764
| 2,398,280
|
Corporation Service Co.(b),(o)
|
Tranche B Term Loan
|
1-month Term SOFR + 3.250%
Floor 0.500%
11/02/2029
| 7.968%
|
| 632,006
| 631,615
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
28
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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 ($)
|
Consumer Products 0.2%
|
Bombardier Recreaional Products, Inc.(b),(i),(o)
|
Tranche B Term Loan
|
1-month USD LIBOR + 2.000%
05/24/2027
|
|
| 500,000
| 486,875
|
Bombardier Recreational Products, Inc. (b),(i),(o)
|
Term Loan
|
1-month Term SOFR + 3.500%
Floor 0.500%
12/13/2029
| 8.118%
|
| 951,916
| 946,681
|
Serta Simmons Bedding LLC(l),(o)
|
1st Lien Term Loan
|
11/08/2023
| 0.000%
|
| 1,120,761
| 69,487
|
SRAM LLC(b),(d),(o)
|
Term Loan
|
1-month USD LIBOR + 2.750%
Floor 0.500%
05/18/2028
| 7.385%
|
| 1,120,322
| 1,109,119
|
SWF Holdings I Corp.(b),(o)
|
1st Lien Term Loan
|
1-month USD LIBOR + 4.000%
Floor 0.750%
10/06/2028
| 8.753%
|
| 1,557,127
| 1,332,636
|
Thor Industries, Inc.(b),(o)
|
Tranche B1 Term Loan
|
1-month USD LIBOR + 3.000%
02/01/2026
| 7.688%
|
| 884,938
| 879,964
|
Weber-Stephen Products LLC(b),(o)
|
Tranche B Term Loan
|
1-month USD LIBOR + 3.250%
Floor 0.750%
10/30/2027
| 7.885%
|
| 2,429,982
| 2,114,084
|
Total
| 6,938,846
|
Diversified Manufacturing 0.3%
|
Brookfield WEC Holdings, Inc.(b),(o)
|
1st Lien Term Loan
|
1-month USD LIBOR + 2.750%
Floor 0.500%
08/01/2025
| 7.385%
|
| 2,156,392
| 2,146,774
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 29
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Constellation Renewables LLC(b),(o)
|
Term Loan
|
1-month USD LIBOR + 2.500%
Floor 1.000%
12/15/2027
| 7.460%
|
| 2,767,423
| 2,757,903
|
Invenergy Thermal Operating I LLC(b),(o)
|
Term Loan
|
1-month Term SOFR + 3.750%
08/28/2025
| 8.482%
|
| 401,842
| 399,833
|
LMBE-MC Holdco II LLC(b),(o)
|
Term Loan
|
3-month USD LIBOR + 4.150%
Floor 1.000%
12/03/2025
| 8.730%
|
| 385,767
| 381,265
|
Nautilus Power LLC(b),(o)
|
Term Loan
|
3-month USD LIBOR + 4.250%
Floor 1.000%
05/16/2024
| 8.885%
|
| 499,560
| 366,867
|
New Frontera Holdings LLC(b),(d),(o)
|
1st Lien Term Loan
|
1-month USD LIBOR + 13.000%
07/28/2026
| 17.730%
|
| 217,161
| 214,989
|
2nd Lien Term Loan
|
1-month USD LIBOR + 1.500%
07/28/2028
| 6.230%
|
| 75,277
| 15,055
|
PG&E Corp.(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.000%
Floor 1.000%
06/23/2025
| 7.688%
|
| 1,423,888
| 1,416,769
|
Total
| 5,931,884
|
Environmental 0.1%
|
EnergySolutions LLC(b),(o)
|
Term Loan
|
3-month USD LIBOR + 3.750%
Floor 1.000%
05/09/2025
| 8.480%
|
| 1,150,729
| 1,106,713
|
GFL Environmental, Inc.(b),(o)
|
Tranche B Term Loan
|
1-month Term SOFR + 3.000%
Floor 0.500%
05/28/2027
| 7.718%
|
| 1,467,419
| 1,468,681
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
30
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Entain PLC(b),(i),(o)
|
Tranche B2 Term Loan
|
1-month Term SOFR + 3.500%
Floor 0.500%
10/31/2029
| 8.180%
|
| 605,585
| 605,016
|
Fertitta Entertainment LLC(b),(o)
|
Tranche B Term Loan
|
1-month Term SOFR + 4.000%
Floor 0.500%
01/27/2029
| 8.618%
|
| 1,639,415
| 1,593,315
|
Flutter Entertainment PLC(b),(o)
|
Term Loan
|
3-month USD LIBOR + 2.250%
07/21/2026
| 6.980%
|
| 2,411,264
| 2,407,165
|
Tranche B Term Loan
|
1-month Term SOFR + 3.250%
07/22/2028
| 8.092%
|
| 424,758
| 424,600
|
HRNI Holdings LLC(b),(o)
|
Tranche B Term Loan
|
1-month USD LIBOR + 4.250%
Floor 0.750%
12/11/2028
| 8.885%
|
| 3,057,818
| 2,985,195
|
Light and Wonder International, Inc.(b),(o)
|
Tranche B Term Loan
|
1-month Term SOFR + 3.000%
Floor 0.500%
04/14/2029
| 7.662%
|
| 1,331,853
| 1,325,194
|
PCI Gaming Authority(b),(o)
|
Tranche B Term Loan
|
3-month USD LIBOR + 2.500%
05/29/2026
| 7.135%
|
| 1,188,266
| 1,185,854
|
Scientific Games Holdings LP(b),(o)
|
1st Lien Term Loan
|
1-month Term SOFR + 3.500%
Floor 0.500%
04/04/2029
| 8.103%
|
| 1,240,561
| 1,218,652
|
Total
| 14,802,240
|
Health Care 0.2%
|
CHG Healthcare Services, Inc.(b),(o)
|
1st Lien Term Loan
|
1-month USD LIBOR + 3.250%
Floor 0.500%
09/29/2028
| 7.885%
|
| 977,525
| 971,005
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 31
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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 ($)
|
Independent Energy 0.1%
|
Hamilton Projects Acquiror LLC(b),(o)
|
Term Loan
|
1-month USD LIBOR + 4.500%
Floor 1.000%
06/17/2027
| 9.230%
|
| 1,118,317
| 1,113,430
|
Oryx Midstream Services Permian Basin LLC(b),(o)
|
Term Loan
|
1-month Term SOFR + 3.250%
Floor 0.500%
10/05/2028
| 7.932%
|
| 1,122,060
| 1,114,576
|
Parkway Generation LLC(b),(o)
|
Tranche B Term Loan
|
1-month Term SOFR + 4.750%
Floor 0.750%
02/18/2029
| 9.902%
|
| 2,355,858
| 2,326,410
|
Tranche C Term Loan
|
3-month Term SOFR + 4.750%
Floor 0.750%
02/18/2029
| 9.902%
|
| 309,020
| 305,061
|
Total
| 4,859,477
|
Leisure 0.3%
|
Alterra Mountain Co.(b),(o)
|
Tranche B2 Term Loan
|
1-month USD LIBOR + 3.500%
Floor 0.500%
08/17/2028
| 8.135%
|
| 1,889,786
| 1,882,700
|
Carnival Corp.(b),(o)
|
Tranche B Term Loan
|
1-month USD LIBOR + 3.250%
Floor 0.750%
10/18/2028
| 7.885%
|
| 1,374,409
| 1,331,459
|
Crown Finance US, Inc.(b),(o),(p)
|
Debtor in Possession Term Loan
|
1-month Term SOFR + 10.000%
Floor 1.000%
09/07/2023
| 14.664%
|
| 940,794
| 957,493
|
Crown Finance US, Inc.(b),(o)
|
Term Loan
|
3-month USD LIBOR + 2.500%
02/28/2025
| 4.000%
|
| 1,919,036
| 291,463
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
32
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Travel + Leisure Co.(b),(o)
|
Term Loan
|
1-month Term SOFR + 4.000%
Floor 0.500%
12/14/2029
| 8.608%
|
| 741,237
| 738,457
|
Total
| 4,756,273
|
Media and Entertainment 0.6%
|
AppLovin Corp.(b),(o)
|
Term Loan
|
1-month Term SOFR + 3.100%
Floor 0.500%
10/25/2028
| 7.693%
|
| 1,608,317
| 1,590,223
|
Cengage Learning, Inc.(b),(o)
|
Tranche B 1st Lien Term Loan
|
1-month USD LIBOR + 4.750%
Floor 1.000%
07/14/2026
| 9.880%
|
| 1,958,184
| 1,846,920
|
Clear Channel Outdoor Holdings, Inc.(b),(o)
|
Tranche B Term Loan
|
3-month USD LIBOR + 3.500%
08/21/2026
| 8.325%
|
| 942,237
| 891,196
|
CMG Media Corp.(b),(o)
|
Tranche B 1st Lien Term Loan
|
1-month USD LIBOR + 3.500%
12/17/2026
| 8.230%
|
| 1,074,170
| 1,007,571
|
Creative Artists Agency(b),(i),(o)
|
Tranche B Term Loan
|
1-month Term SOFR + 3.500%
10/26/2028
| 8.064%
|
| 1,968,773
| 1,962,630
|
Cumulus Media New Holdings, Inc.(b),(o)
|
Term Loan
|
3-month USD LIBOR + 3.750%
Floor 1.000%
03/31/2026
| 8.575%
|
| 1,418,469
| 1,347,248
|
Diamond Sports Group LLC(b),(o)
|
1st Lien Term Loan
|
1-month Term SOFR + 8.000%
Floor 1.000%
05/25/2026
| 12.775%
|
| 959,361
| 893,808
|
2nd Lien Term Loan
|
1-month Term SOFR + 3.250%
08/24/2026
| 8.025%
|
| 1,693,519
| 191,842
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 33
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Pug LLC(b),(o)
|
Tranche B Term Loan
|
1-month USD LIBOR + 3.500%
02/12/2027
| 8.135%
|
| 1,112,626
| 876,193
|
Sinclair Television Group, Inc.(b),(o)
|
Tranche B3 Term Loan
|
1-month USD LIBOR + 3.000%
04/01/2028
| 7.640%
|
| 1,234,169
| 1,186,654
|
Univision Communications, Inc.(b),(o)
|
1st Lien Term Loan
|
1-month USD LIBOR + 3.250%
Floor 0.750%
03/15/2026
| 7.885%
|
| 985,000
| 976,933
|
1-month USD LIBOR + 3.250%
Floor 0.750%
01/31/2029
| 7.885%
|
| 1,240,625
| 1,222,016
|
1-month Term SOFR + 4.250%
Floor 0.500%
06/24/2029
| 8.830%
|
| 199,000
| 198,586
|
Total
| 30,057,596
|
Midstream 0.2%
|
AL GCX Holdings LLC(b),(o)
|
Term Loan
|
1-month Term SOFR + 3.750%
Floor 0.500%
05/17/2029
| 8.525%
|
| 1,149,248
| 1,147,811
|
CQP Holdco LP(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.500%
Floor 0.500%
06/05/2028
| 8.230%
|
| 1,371,557
| 1,368,279
|
GIP III Stetson I LP(b),(o)
|
Term Loan
|
3-month USD LIBOR + 4.250%
07/18/2025
| 8.885%
|
| 1,374,285
| 1,370,423
|
ITT Holdings LLC(b),(d),(o)
|
Term Loan
|
1-month USD LIBOR + 2.750%
Floor 0.500%
07/10/2028
| 7.482%
|
| 1,546,823
| 1,535,222
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
34
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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 ($)
|
Other Industry 0.1%
|
APi Group, Inc.(b),(o)
|
Term Loan
|
3-month USD LIBOR + 2.500%
10/01/2026
| 7.135%
|
| 1,083,625
| 1,082,000
|
Hillman Group, Inc. (The)(b),(i),(o),(q)
|
Delayed Draw Term Loan
|
1-month USD LIBOR + 2.750%
Floor 0.500%
07/14/2028
| 3.117%
|
| 421,519
| 416,908
|
Hillman Group, Inc. (The)(b),(o)
|
Term Loan
|
1-month USD LIBOR + 2.750%
Floor 0.500%
07/14/2028
| 7.385%
|
| 1,739,583
| 1,720,552
|
Vericast Corp.(b),(o)
|
Term Loan
|
1-month Term SOFR + 7.750%
Floor 1.000%
06/16/2026
| 12.330%
|
| 461,257
| 360,933
|
WireCo WorldGroup, Inc.(b),(o)
|
Term Loan
|
1-month USD LIBOR + 4.250%
Floor 0.500%
11/13/2028
| 8.875%
|
| 1,240,653
| 1,234,710
|
Total
| 4,815,103
|
Packaging 0.1%
|
Anchor Glass Container Corp.(b),(o)
|
1st Lien Term Loan
|
3-month USD LIBOR + 2.750%
Floor 1.000%
12/07/2023
| 7.560%
|
| 792,098
| 562,588
|
Charter Next Generation, Inc.(b),(o)
|
1st Lien Term Loan
|
1-month Term SOFR + 3.750%
Floor 0.750%
12/01/2027
| 8.482%
|
| 2,156,985
| 2,119,583
|
Graham Packaging Co., Inc.(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.000%
Floor 0.750%
08/04/2027
| 7.635%
|
| 388,272
| 385,845
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 35
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Tranche B7 Term Loan
|
3-month USD LIBOR + 3.000%
11/03/2024
| 7.635%
|
| 627,955
| 625,375
|
Tranche B8 Term Loan
|
1-month USD LIBOR + 3.250%
12/23/2026
| 7.885%
|
| 825,806
| 784,813
|
Hub International Ltd.(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.000%
Floor 0.750%
04/25/2025
| 7.817%
|
| 2,453,767
| 2,445,670
|
Sedgwick Claims Management Services, Inc.(b),(o)
|
Term Loan
|
3-month USD LIBOR + 3.250%
12/31/2025
| 5.686%
|
| 929,852
| 927,527
|
Sedgwick Claims Management Services, Inc.(b),(i),(o)
|
Tranche B Term Loan
|
1-month Term SOFR + 3.750%
02/17/2028
| 8.597%
|
| 1,279,463
| 1,263,469
|
USI, Inc.(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.250%
12/02/2026
| 7.980%
|
| 977,362
| 975,056
|
1-month Term SOFR + 3.750%
Floor 0.500%
11/22/2029
| 8.330%
|
| 1,698,913
| 1,693,952
|
Total
| 10,114,922
|
Restaurants 0.1%
|
1011778 BC ULC(b),(o)
|
Tranche B4 Term Loan
|
3-month USD LIBOR + 1.750%
11/19/2026
| 6.385%
|
| 2,594,668
| 2,569,188
|
Carrols Restaurant Group, Inc.(b),(i),(o)
|
Term Loan
|
1-month Term SOFR + 3.250%
04/30/2026
| 7.968%
|
| 1,095,601
| 1,004,535
|
IRB Holding Corp.(b),(o)
|
Tranche B Term Loan
|
1-month Term SOFR + 3.000%
Floor 0.750%
12/15/2027
| 7.687%
|
| 842,143
| 830,563
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
36
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
athenahealth Group, Inc.(b),(o)
|
Term Loan
|
1-month Term SOFR + 3.500%
Floor 0.500%
02/15/2029
| 8.061%
|
| 1,894,070
| 1,747,280
|
Atlas CC Acquisition Corp.(b),(o)
|
Tranche B 1st Lien Term Loan
|
3-month Term SOFR + 4.250%
Floor 0.750%
05/25/2028
| 9.402%
|
| 2,128,155
| 1,857,581
|
Tranche C 1st Lien Term Loan
|
3-month Term SOFR + 4.250%
Floor 0.750%
05/25/2028
| 9.140%
|
| 432,845
| 377,813
|
Avaya, Inc.(b),(i),(o),(p)
|
Debtor In Possession Term Loan
|
1-month Term SOFR + 8.000%
Floor 1.000%
08/15/2023
| 10.050%
|
| 848,703
| 874,164
|
Avaya, Inc.(l),(o)
|
Tranche B1 Term Loan
|
12/15/2027
| 0.000%
|
| 1,843,084
| 463,536
|
Tranche B2 Term Loan
|
12/15/2027
| 0.000%
|
| 1,511,557
| 376,000
|
Camelot U.S. Acquisition 1 Co.(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.000%
10/30/2026
| 7.635%
|
| 1,189,079
| 1,183,383
|
1-month USD LIBOR + 3.000%
Floor 1.000%
10/30/2026
| 7.635%
|
| 920,981
| 917,141
|
Central Parent, Inc.(b),(o)
|
1st Lien Term Loan
|
1-month Term SOFR + 4.500%
Floor 0.500%
07/06/2029
| 9.080%
|
| 1,979,059
| 1,971,439
|
Cloud Software Group, Inc.(b),(o)
|
Tranche B 1st Lien Term Loan
|
1-month Term SOFR + 4.500%
Floor 0.500%
03/30/2029
| 9.180%
|
| 976,520
| 904,404
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 37
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Endurance International Group Holdings, Inc.(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.500%
Floor 0.750%
02/10/2028
| 8.072%
|
| 1,610,336
| 1,488,756
|
Entegris, Inc.(b),(o)
|
Tranche B Term Loan
|
1-month Term SOFR + 3.000%
07/06/2029
| 7.588%
|
| 558,131
| 558,711
|
Everi Holdings, Inc.(b),(o)
|
Tranche B Term Loan
|
1-month USD LIBOR + 2.500%
08/03/2028
| 7.135%
|
| 1,845,620
| 1,836,133
|
Gen Digital, Inc.(b),(o)
|
Tranche B Term Loan
|
SOFR + 2.000%
Floor 0.500%
09/12/2029
| 6.718%
|
| 1,729,554
| 1,709,785
|
GoTo Group, Inc.(b),(o)
|
1st Lien Term Loan
|
1-month USD LIBOR + 4.750%
08/31/2027
| 9.385%
|
| 2,444,982
| 1,332,980
|
Idemia Group SAS(b),(o)
|
Tranche B3 Term Loan
|
1-month USD LIBOR + 4.500%
Floor 0.750%
01/10/2026
| 9.230%
|
| 1,767,500
| 1,743,197
|
Idera, Inc.(b),(o)
|
Tranche B1 1st Lien Term Loan
|
1-month USD LIBOR + 3.750%
Floor 0.750%
03/02/2028
| 8.510%
|
| 1,215,270
| 1,170,961
|
Informatica LLC(b),(o)
|
Term Loan
|
1-month USD LIBOR + 2.750%
10/27/2028
| 7.438%
|
| 2,257,958
| 2,251,184
|
Ingram Micro, Inc.(b),(o)
|
Term Loan
|
1-month USD LIBOR + 3.500%
Floor 0.500%
06/30/2028
| 8.230%
|
| 1,770,049
| 1,758,987
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
38
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Natel Engineering Co., Inc.(b),(o)
|
Term Loan
|
3-month USD LIBOR + 6.250%
Floor 1.000%
04/30/2026
| 10.420%
|
| 2,461,311
| 2,184,413
|
NCR Corp.(b),(o)
|
Term Loan
|
1-month USD LIBOR + 2.500%
08/28/2026
| 7.330%
|
| 1,452,018
| 1,438,108
|
Nielseniq(b),(i),(o)
|
Tranche B2 Term Loan
|
1-month Term SOFR + 6.250%
Floor 0.500%
03/06/2028
| 10.818%
|
| 100,429
| 89,884
|
Nielseniq (b),(i),(o)
|
Tranche B2 Term Loan
|
1-month Term SOFR + 6.250%
Floor 0.500%
03/06/2028
| 10.818%
|
| 207,200
| 185,444
|
Open Text Corp.(b),(i),(o)
|
Tranche B Term Loan
|
1-month Term SOFR + 3.500%
Floor 0.500%
08/27/2029
| 8.218%
|
| 1,383,490
| 1,380,682
|
Peraton Corp.(b),(o)
|
Tranche B 1st Lien Term Loan
|
3-month USD LIBOR + 3.750%
Floor 0.750%
02/01/2028
| 8.385%
|
| 1,600,340
| 1,583,088
|
Presidio Holdings, Inc.(b),(o)
|
Term Loan
|
1-month Term SOFR + 3.500%
01/22/2027
| 8.322%
|
| 1,711,757
| 1,703,918
|
Proofpoint, Inc.(b),(o)
|
1st Lien Term Loan
|
1-month USD LIBOR + 3.250%
Floor 0.500%
08/31/2028
| 8.203%
|
| 1,980,000
| 1,921,709
|
Rackspace Technology Global, Inc.(b),(o)
|
Tranche B 1st Lien Term Loan
|
1-month USD LIBOR + 2.750%
Floor 0.750%
02/15/2028
| 7.595%
|
| 1,218,201
| 763,032
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 39
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Tempo Acquisition LLC(b),(o)
|
Tranche B1 Term Loan
|
1-month Term SOFR + 3.000%
Floor 0.500%
08/31/2028
| 7.618%
|
| 2,623,558
| 2,618,652
|
TTM Technologies, Inc.(b),(o)
|
Tranche B Term Loan
|
3-month USD LIBOR + 2.500%
09/28/2024
| 7.075%
|
| 832,820
| 829,438
|
UKG, Inc.(b),(o)
|
1st Lien Term Loan
|
3-month USD LIBOR + 3.750%
05/04/2026
| 8.575%
|
| 1,935,000
| 1,907,194
|
1-month USD LIBOR + 3.250%
Floor 0.500%
05/04/2026
| 8.032%
|
| 962,787
| 942,569
|
2nd Lien Term Loan
|
1-month USD LIBOR + 5.250%
Floor 0.500%
05/03/2027
| 10.032%
|
| 1,147,411
| 1,113,941
|
Veritas US, Inc.(b),(o)
|
Tranche B Term Loan
|
1-month USD LIBOR + 5.000%
Floor 1.000%
09/01/2025
| 9.730%
|
| 1,300,649
| 1,014,506
|
Verscend Holdings Corp.(b),(o)
|
Tranche B1 Term Loan
|
1-month USD LIBOR + 4.000%
08/27/2025
| 8.635%
|
| 2,467,414
| 2,461,690
|
Virtusa Corp.(b),(o)
|
Tranche B1 Term Loan
|
1-month Term SOFR + 3.750%
Floor 0.750%
02/15/2029
| 8.468%
|
| 1,708,649
| 1,696,689
|
Xperi Holding Corp.(b),(o)
|
Tranche B Term Loan
|
1-month USD LIBOR + 3.500%
06/08/2028
| 8.135%
|
| 2,131,680
| 2,097,701
|
Total
| 86,486,469
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
40
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
At February 28, 2023,
securities and/or cash totaling $99,167,998 were pledged as collateral.
Investments in
derivatives
Forward foreign currency exchange contracts
|
Currency to
be sold
| Currency to
be purchased
| Counterparty
| Settlement
date
| Unrealized
appreciation ($)
| Unrealized
depreciation ($)
|
36,250,000,000 COP
| 7,547,366 USD
| HSBC
| 03/16/2023
| 109,555
| —
|
500,000 EUR
| 537,230 USD
| HSBC
| 03/28/2023
| 7,500
| —
|
208,300,000 ZAR
| 11,598,180 USD
| HSBC
| 03/28/2023
| 282,776
| —
|
49,852,000 EUR
| 53,561,487 USD
| UBS
| 03/28/2023
| 745,321
| —
|
Total
|
|
|
| 1,145,152
| —
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 41
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Long futures contracts
|
Description
| Number of
contracts
| Expiration
date
| Trading
currency
| Notional
amount
| Value/Unrealized
appreciation ($)
| 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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
42
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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)
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 43
|
Portfolio of Investments (continued)
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%
|
Notes to Portfolio of
Investments
(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.
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
44
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Notes to Portfolio of Investments (continued)
(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
|
Abbreviation Legend
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
|
Currency Legend
COP
| Colombian Peso
|
EUR
| Euro
|
IDR
| Indonesian Rupiah
|
JPY
| Japanese Yen
|
MXN
| Mexican Peso
|
USD
| US Dollar
|
ZAR
| South African Rand
|
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 45
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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.
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
|
|
|
|
|
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
46
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
| Level 1 ($)
| Level 2 ($)
| Level 3 ($)
| Total ($)
|
Liability
|
|
|
|
|
Futures Contracts
| (498,580)
| —
| —
| (498,580)
|
Options Contracts Written
| —
| (6,354,344)
| —
| (6,354,344)
|
Swap Contracts
| —
| (34,476,741)
| —
| (34,476,741)
|
Total
| 328,278,291
| 5,570,099,213
| 133,918,335
| 6,032,295,839
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to
the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical
assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical
pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
Forward foreign currency exchange
contracts, futures contracts and swap contracts are valued at unrealized appreciation (depreciation).
The following table is a
reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| Balance
as of
08/31/2022
($)
| 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
|
(a) Change in unrealized
appreciation (depreciation) relating to securities held at February 28, 2023 was $(1,882,023), which is comprised of Asset-Backed Securities - Non-Agency of $(17,028), Common Stocks of $(36,592), Convertible Preferred
Stocks of $(67,398), Residential Mortgage-Backed Securities — Non-Agency of $(1,780,023) and Senior Loans of $19,018.
The Fund’s assets assigned to
the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain common stocks, residential mortgage backed securities, asset backed securities, convertible
preferred stocks and senior loans classified as Level 3 securities are valued using the market approach. To determine fair value for these securities, management considered various factors which may have included, but
were not limited to, single market quotations from broker dealers and the estimates of future distributions from the company. The appropriateness of fair values for these securities is monitored on an ongoing basis
which may include results of back testing, manual price reviews and other control procedures. Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value
measurement.
Financial assets were transferred
from Level 2 to Level 3 due to utilizing a single market quotation from a broker dealer. As a result, management concluded that the market input(s) were generally unobservable.
Financial assets were transferred
from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable, and observable market data to value these assets as of period end.
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 47
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
48
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Statement of Assets and Liabilities (continued)
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.
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 49
|
Statement of Operations
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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
50
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets
| 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
| $5,685,245,917
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 51
|
Statement of Changes in Net Assets (continued)
| Six Months Ended
| Year Ended
|
| February 28, 2023 (Unaudited)
| August 31, 2022
|
| Shares
| Dollars ($)
| 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)
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
52
| Columbia Strategic Income Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Columbia Strategic Income Fund | Semiannual Report 2023
| 53
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
54
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 55
|
Financial Highlights (continued)
| 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.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
56
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Strategic Income Fund | Semiannual Report 2023
| 57
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Columbia Strategic Income Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class,
Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued based on prices obtained from pricing services, which are intended to reflect market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing
techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes.
Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities
maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management
believes does not approximate fair value.
58
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Senior loan securities for which
reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange
contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Option contracts are valued at the
mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using mid-market
evaluations from independent third-party vendors.
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
Columbia Strategic Income Fund | Semiannual Report 2023
| 59
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation
margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will
typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the
60
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
broker or receive interest income on cash
collateral pledged to the broker. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by
monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination
rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk,
whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Forward foreign currency exchange
contracts
Forward foreign currency exchange
contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure
associated with some or all of the Fund’s securities. These instruments may be used for other purposes in future periods.
The values of forward foreign
currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is
exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires. Non-deliverable forward foreign currency exchange contracts are settled with the
counterparty in U.S. dollars without delivery of foreign currency.
The use of forward foreign currency
exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign
currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in
the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve
exposure of the Fund versus the benchmark. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated
benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not
correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss
when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle
the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the
index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and has written option contracts to manage exposure to fluctuations in interest rates. These instruments
may be used for other
Columbia Strategic Income Fund | Semiannual Report 2023
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
purposes in future periods. Completion of
transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Collateral may be collected or posted by the Fund to secure over-the-counter option contract
trades. Collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are
recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and
Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the
contract is exercised or has expired. The Fund realizes a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put
option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options
purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the
contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in
writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put
option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund
purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable
change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts
entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption contract
will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized
appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
When the Fund writes an interest
rate swaption contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to
reflect the current fair value of the interest rate swaption contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the expiration date as
realized gains from options written in the Statement of Operations. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also recorded
as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts are reflected as net realized gain (loss) on options written in the Statement of
Operations.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and are entered into bilaterally or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a
broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with
the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities
deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. For a bilateral swap contract, the Fund has
credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. For centrally cleared swap contracts, the Fund has
minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the
62
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
contract. Swap contracts are marked-to-market
daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin
in the Statement of Assets and Liabilities.
Entering into these contracts
involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there
may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in
significant losses, and that the bilateral counterparty, FCM or CCP, as applicable, may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit
default swap contracts to increase or decrease its credit exposure to an index. These instruments may be used for other purposes in future periods. Credit default swap contracts are transactions in which one party
pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are
contract specific, credit events are typically bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit
default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange
for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the
value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default
swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference
obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery
value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of
undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may
be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in
which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund
bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an
indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront payment or receipt by
the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default
swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can
involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging
risk, correlation risk and liquidity risk.
Columbia Strategic Income Fund | Semiannual Report 2023
| 63
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Interest rate and inflation rate swap
contracts
The Fund entered into interest rate
swap transactions and/or inflation rate swap contracts to manage interest rate and market risk exposure to produce incremental earnings. These instruments may be used for other purposes in future periods. An interest
rate swap or inflation rate swap, as applicable, is an agreement between two parties where there are two flows and payments are made between the two counterparties and the payments are dependent upon changes in an
interest rate, inflation rate or inflation index calculated on a nominal amount. Interest rate swaps are agreements between two parties that involve the exchange of one type of interest rate for another type of
interest rate cash flow on specified dates in the future, based on a predetermined, specified notional amount. Certain interest rate swaps are considered forward-starting, whereby the accrual for the exchange of cash
flows does not begin until a specified date in the future. The net cash flow for a standard interest rate swap transaction is generally the difference between a floating market interest rate versus a fixed interest
rate.
Interest rate swaps are valued
daily and unrealized appreciation (depreciation) is recorded. Certain interest rate swaps may accrue periodic interest on a daily basis as a component of unrealized appreciation (depreciation); the Fund will realize a
gain or loss upon the payment or receipt of accrued interest. The Fund will realize a gain or a loss when the interest rate swap is terminated.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at February 28, 2023:
| 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 ($)
|
Credit risk
| Component of total distributable earnings (loss) — unrealized depreciation on swap contracts
| 30,213,768*
|
Credit risk
| Upfront receipts on swap contracts
| 22,415,499
|
Interest rate risk
| Component of total distributable earnings (loss) — unrealized depreciation on futures contracts
| 498,580*
|
Interest rate risk
| Options contracts written, at value
| 6,354,344
|
Interest rate risk
| Component of total distributable earnings (loss) — unrealized depreciation on swap contracts
| 4,262,973*
|
Total
|
| 63,745,164
|
*
| Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in
the Statement of Assets and Liabilities.
|
64
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended February 28, 2023:
Amount of realized gain (loss) on derivatives recognized in income
|
Risk exposure category
| Forward
foreign
currency
exchange
contracts
($)
| 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
($)
|
Credit risk
| —
| —
| —
| —
| (60,125,670)
| (60,125,670)
|
Foreign exchange risk
| 1,288,130
| —
| —
| —
| —
| 1,288,130
|
Interest rate risk
| —
| 9,014,640
| (2,130,300)
| (30,238,926)
| 3,423,481
| (19,931,105)
|
Total
| 1,288,130
| 9,014,640
| (2,130,300)
| (30,238,926)
| (56,702,189)
| (78,768,645)
|
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended February 28, 2023:
Derivative instrument
| Average notional
amounts ($)*
|
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.
|
Investments in senior loans
The Fund may invest in senior loan
assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from
which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience
delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters
into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for
Columbia Strategic Income Fund | Semiannual Report 2023
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
unsecured or subordinated loans. In addition,
senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased, may
become illiquid.
The Fund may enter into senior loan
assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the
same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund
designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered.
Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA
maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage
“dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type,
coupon and maturity) on a specified future date. These transactions may increase the Fund’s portfolio turnover rate. During the roll period, the Fund loses the right to receive principal and interest paid on the
securities sold. However, the Fund may benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the
securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized
gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique may
diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. Mortgage dollar rolls involve the risk that the market value of the securities
the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations. All cash proceeds will be invested in instruments that are permissible investments
for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing
transactions.
66
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Interest only and principal only
securities
The Fund may invest in Interest
Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates
and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the
issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income in the Statement of Operations. Because no principal will be received at the maturity of
an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income in the Statement of Operations. POs are stripped securities entitled to
receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to
credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed
securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of February 28, 2023:
| 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.
|
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Columbia Strategic Income Fund | Semiannual Report 2023
| 67
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The trade date for senior loans
purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income. For convertible securities, premiums attributable to the conversion feature are
not amortized.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. The Fund may also adjust
accrual rates when it becomes probable the full interest will not be collected and a partial payment will be received. A defaulted debt security is removed from non-accrual status when the issuer resumes interest
payments or when collectability of interest is reasonably assured.
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
The value of additional securities
received as an income payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income
from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of
Operations.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
68
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.60% to 0.393% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended February 28, 2023 was 0.557% of
the Fund’s average daily net assets.
Columbia Strategic Income Fund | Semiannual Report 2023
| 69
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transactions with affiliates
The Fund is permitted to engage in
purchase and/or sale transactions with affiliates and/or accounts that have a common investment manager (or affiliated investment managers), common directors/trustees, and/or common officers under specified conditions
outlined in a policy adopted by the Board, pursuant to Rule 17a-7 under the 1940 Act (cross-trades). The Board relies on quarterly written representation from the Fund’s Chief Compliance Officer that
cross-trades complied with approved policy.
For the six months ended February
28, 2023, the Fund engaged in cross-trades as follows:
Purchases ($)
| Sales ($)
| Net realized gain (loss) ($)
|
—
| 37,110
| 2,074
|
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
70
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| 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
|
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended February 28, 2023, these minimum account balance fees reduced total
expenses of the Fund by $3,103.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended February 28, 2023, if any, are listed below:
| Front End (%)
| CDSC (%)
| Amount ($)
|
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.
|
The Fund’s other share
classes are not subject to sales charges.
Columbia Strategic Income Fund | Semiannual Report 2023
| 71
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| 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
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
(depreciation) ($)
|
6,576,615,000
| 63,665,000
| (629,578,000)
| (565,913,000)
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at August 31, 2022, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
No expiration
short-term ($)
| No expiration
long-term ($)
| Total ($)
|
(83,287,149)
| (115,587,438)
| (198,874,587)
|
72
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $8,777,242,074 and $8,781,389,157, respectively, for the six months ended February 28, 2023, of which
$7,992,704,160 and $7,673,420,387, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
Borrower or lender
| Average loan
balance ($)
| Weighted average
interest rate (%)
| Number of days
with outstanding loans
|
Lender
| 2,550,000
| 4.23
| 6
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed.
Columbia Strategic Income Fund | Semiannual Report 2023
| 73
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Prior to the October 27, 2022 amendment and
restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950
million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii)
the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Fund
reorganization
At the close of business on
December 10, 2021, the Fund acquired the assets and assumed the identified liabilities of BMO Strategic Income Fund (the Acquired Fund), a series of BMO Funds Inc. The reorganization was completed after
shareholders of the Acquired Fund approved a plan of reorganization at a shareholder meeting held on November 23, 2021. The purpose of the reorganization was to combine two funds with comparable investment objectives
and strategies.
The aggregate net assets of the
Fund immediately before the reorganization were $6,878,447,698 and the combined net assets immediately after the reorganization were $6,990,663,256.
The reorganization was accomplished
by a tax-free exchange of 11,715,409 shares of the Acquired Fund valued at $112,215,558 (including $348,590 of unrealized appreciation/(depreciation)).
In exchange for the Acquired
Fund’s shares, the Fund issued the following number of shares:
| Shares
|
Class A
| 2,720,908
|
Advisor Class
| 1,900,358
|
For financial reporting purposes,
net assets received and shares issued by the Fund were recorded at fair value; however, the Acquired Fund’s cost of investments was carried forward.
The Fund’s financial
statements reflect both the operations of the Fund for the period prior to the reorganization and the combined Fund for the period subsequent to the reorganization. Because the combined investment portfolios have been
managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the combined
Fund’s Statement of Operations since the reorganization was completed.
Assuming the reorganization had
been completed on September 1, 2021, the Fund’s pro-forma results of operations for the year ended August 31, 2022 would have been approximately:
| ($)
|
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)
|
Note 10. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
74
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency,
index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund.
Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging
risk, leverage risk, liquidity risk and pricing risk.
High-yield investments risk
Securities and other debt
instruments held by the Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of
principal and income than a fund that invests solely or primarily in investment grade debt instruments. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience
a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by
governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise interest rates. Increasing interest rates may
negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt
security, the greater its sensitivity to changes in interest rates. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international
Columbia Strategic Income Fund | Semiannual Report 2023
| 75
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
sanctions, a downgrade in the country’s
credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities
and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of
inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
Mortgage- and other asset-backed
securities risk
The value of any mortgage-backed
and other asset-backed securities including collateralized debt obligations, if any, held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the
interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements;
or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by
the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities
issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than
obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in
mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest
payments to mortgage-backed securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more
sensitive to changes in interest rates.
Shareholder concentration risk
At February 28, 2023, affiliated
shareholders of record owned 25.6% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 11. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 12. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could
76
| Columbia Strategic Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
Columbia Strategic Income Fund | Semiannual Report 2023
| 77
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Strategic Income Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Columbia
International Dividend Income Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Columbia International Dividend Income Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive
shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia International Dividend Income
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks total return, consisting of current income and capital appreciation.
Portfolio management
Jonathan Crown
Co-Portfolio Manager
Managed Fund since 2016
Georgina Hellyer, CFA
Co-Portfolio Manager
Managed Fund since 2018
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
The Fund’s performance prior
to September 2020 reflects returns achieved according to different principal investment strategies. If the Fund’s current strategies had been in place for the prior periods, results shown may have been
different.
*
| 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.
|
The MSCI ACWI ex USA Index (Net)
captures a large- and mid-cap representation across 22 of 23 developed market countries (excluding the United States) and 24 emerging market countries. The index covers approximately 85% of the global equity
opportunity set outside the United States.
The MSCI ACWI ex USA Value Index
(Net) captures large- and mid-cap securities exhibiting overall value style characteristics across 22 developed and 24 emerging market countries.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI ACWI ex USA Index (Net) and MSCI ACWI ex USA Value Index (Net) which reflect reinvested
dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
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.
|
Country breakdown is based
primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject
to change.
4
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
6
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
| $480,743,259
|
Notes to Portfolio of
Investments
(a)
| Non-income producing investment.
|
(b)
| The rate shown is the seven-day current annualized yield at February 28, 2023.
|
(c)
| As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a
company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows:
|
Affiliated issuers
| Beginning
of period($)
| 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
|
Abbreviation Legend
ADR
| American Depositary Receipt
|
Fair value
measurements
The Fund categorizes
its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when
available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that
reflect the Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are
summarized in the three broad levels listed below:
■
| 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.
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
■
| 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).
|
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.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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.
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
|
|
|
|
|
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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are
an integral part of this statement.
8
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 9
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
10
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Statement of Assets and Liabilities (continued)
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 11
|
Statement of Operations
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
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
12
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets
| 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
| $442,266,741
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 13
|
Statement of Changes in Net Assets (continued)
| Six Months Ended
| Year Ended
|
| February 28, 2023 (Unaudited)
| August 31, 2022
|
| Shares
| Dollars ($)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
14
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Columbia International Dividend Income Fund | Semiannual Report 2023
| 15
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
16
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 17
|
Financial Highlights (continued)
| 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%.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
18
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 19
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Columbia International Dividend
Income Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end
management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class,
Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
20
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 21
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid each calendar quarter. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with
federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting
22
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
services. The management services fee is an annual
fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.77% to 0.57% as the Fund’s net assets increase. The annualized effective management services fee rate for the six
months ended February 28, 2023 was 0.77% of the Fund’s average daily net assets.
Participating Affiliates
The Investment Manager and its
investment advisory affiliates (Participating Affiliates) around the world may coordinate in providing services to their clients. From time to time the Investment Manager (or any affiliated investment subadviser to
the Fund, as the case may be) may engage its Participating Affiliates to provide a variety of services such as investment research, investment monitoring, trading and discretionary investment management (including
portfolio management) to certain accounts managed by the Investment Manager, including the Fund. These Participating Affiliates provide services to the Investment Manager (or any affiliated investment subadviser to
the Fund, as the case may be) either pursuant to subadvisory agreements, personnel-sharing agreements or other inter-company arrangements, and the Fund pays no additional fees and expenses as a result of any such
arrangements.
These Participating Affiliates,
like the Investment Manager, are direct or indirect subsidiaries of Ameriprise Financial and are registered, as appropriate, with respective regulators in their home jurisdictions and, where required, the Securities
and Exchange Commission and the Commodity Futures Trading Commission in the United States.
Pursuant to some of these
arrangements, certain employees of these Participating Affiliates may serve as "associated persons" of the Investment Manager and, in this capacity, subject to the oversight and supervision of the Investment Manager
and consistent with the investment objectives, policies and limitations set forth in the Fund’s prospectus and Statement of Additional Information (SAI), may provide such services to the Fund on behalf of the
Investment Manager.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 23
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| 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
|
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended February 28, 2023, these minimum account balance fees reduced total
expenses of the Fund by $55,765.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended February 28, 2023, if any, are listed below:
| Front End (%)
| CDSC (%)
| Amount ($)
|
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.
|
The Fund’s other share
classes are not subject to sales charges.
24
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| 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
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
appreciation ($)
|
448,292,000
| 60,820,000
| (33,135,000)
| 27,685,000
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at August 31, 2022 as arising on September 1, 2022.
Late year
ordinary losses ($)
| Post-October
capital losses ($)
|
—
| 3,383,414
|
Columbia International Dividend Income Fund | Semiannual Report 2023
| 25
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $47,645,964 and $50,197,632, respectively, for the six months ended February 28, 2023. The amount of purchase
and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the six months ended February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus
in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
26
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 9. Significant
risks
Financial sector risk
The Fund is more susceptible to the
particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to
certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to one or more
industries or sectors, which makes them vulnerable to economic conditions that affect such industries or sectors. Performance of such companies may be affected by competitive pressures and exposure to investments,
agreements and counterparties, including credit products that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental
regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely
dependent upon the availability and the cost of capital.
Foreign securities and emerging
market countries risk
Investing in foreign securities may
involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business
operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In
addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased
inflation, deflation or currency devaluation. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated
with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and
disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board,
which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue
shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against
foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly
susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net
asset value may be more volatile than the net asset value of a more geographically diversified fund.
Asia Pacific Region. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries in the Asia Pacific region. Many of the countries in
the region are considered underdeveloped or developing, including from a political, economic and/or social perspective, and may have relatively unstable governments and economies based on limited business, industries
and/or natural resources or commodities. Events in any one country within the region may impact other countries in the region or the region as a whole. As a result, events in the region will generally have a greater
effect on the Fund than if the Fund were more geographically diversified. This could result in increased volatility in the value of the Fund’s investments and losses for the Fund. Also, securities of some
companies in the region can be less liquid than U.S. or other foreign securities, potentially making it difficult for the Fund to sell such securities at a desirable time and price.
Europe. The Fund is particularly susceptible to risks related to economic, political, regulatory or other events or conditions, including acts of war or other conflicts in the region, affecting
issuers and countries in Europe. Countries in Europe are often closely connected and interdependent, and events in one European country can have an adverse impact on, and potentially spread to, other European
countries. In addition, significant private or public debt problems in a single European Union (EU) country can pose economic risks to the EU as a whole. As a result, the Fund’s net asset value may be more
volatile than the net asset value of a more geographically diversified fund. If securities of issuers in Europe fall out of favor, it may cause the
Columbia International Dividend Income Fund | Semiannual Report 2023
| 27
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Fund to underperform other funds that do not focus
their investments in this region of the world. The departure of the United Kingdom (UK) from the EU single market became effective January 1, 2021 with the end of the Brexit transition period and the post-Brexit trade
deal between the UK and EU taking effect on December 31, 2020. The impact of Brexit on the UK and European economies and the broader global economy could be significant, resulting in negative impacts on currency and
financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in Europe, which may adversely affect the value of your investment in the Fund.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could
28
| Columbia International Dividend Income Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
Columbia International Dividend Income Fund | Semiannual Report 2023
| 29
|
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BLANK]
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Columbia International Dividend Income Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Columbia Global
Technology Growth Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Columbia Global Technology Growth Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive
shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Global Technology Growth
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks capital appreciation by investing, under normal market conditions, at least 80% of its total net assets (plus any borrowings for investment purposes) in stocks of technology companies that may benefit from
technological improvements, advancements or developments.
Portfolio management
Rahul Narang
Portfolio Manager
Managed Fund since 2012
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
| 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.
|
The Fund’s performance prior
to July 2014 reflects returns achieved pursuant to different principal investment strategies. If the Fund’s current strategies had been in place for the prior periods, results shown may have been different.
The S&P Global 1200 Information
Technology Index (Net) is a float-adjusted, market-cap-weighted index consisting of all members of the S&P Global 1200 that are classified within the GICS Information Technology sector.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
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
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
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.
|
Country breakdown is based
primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject
to change.
The Fund may use place of
organization/incorporation or other factors in determining whether an issuer is domestic (U.S.) or foreign for purposes of its investment policies. At February 28, 2023, the Fund invested at least 40% of its net
assets in foreign companies in accordance with its principal investment strategy.
4
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
6
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
| $1,963,976,197
|
Notes to Portfolio of
Investments
(a)
| Non-income producing investment.
|
(b)
| The rate shown is the seven-day current annualized yield at February 28, 2023.
|
(c)
| As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a
company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows:
|
Affiliated issuers
| Beginning
of period($)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Abbreviation Legend
ADR
| American Depositary Receipt
|
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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.
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
|
|
|
|
|
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
8
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
See the Portfolio of Investments for all investment classifications not indicated in the table.
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.
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 9
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
10
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
Statement of Operations
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)
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 11
|
Statement of Changes in Net Assets
| 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
| $2,160,430,324
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
12
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets (continued)
| Six Months Ended
| Year Ended
|
| February 28, 2023 (Unaudited)
| August 31, 2022
|
| Shares
| Dollars ($)
| 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)
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 13
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
14
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 15
|
Financial Highlights (continued)
| 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.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
16
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 17
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Columbia Global Technology Growth
Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 8 years. Advisor Class, Institutional Class, Institutional 2 Class
and Institutional 3 Class shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the
Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
18
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 19
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting
20
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
services. The management services fee is an annual
fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.87% to 0.75% as the Fund’s net assets increase. The annualized effective management services fee rate for the six
months ended February 28, 2023 was 0.81% of the Fund’s average daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| 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
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the six months ended February 28, 2023, these minimum account balance fees reduced total
expenses of the Fund by $460.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10% and 0.75% of the average daily net assets attributable to Class A and Class C shares of the Fund, respectively.
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
Sales charges
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the six months ended February 28, 2023, if any, are listed below:
| Front End (%)
| CDSC (%)
| Amount ($)
|
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.
|
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| 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
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
appreciation ($)
|
834,482,000
| 1,198,542,000
| (69,179,000)
| 1,129,363,000
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at August 31, 2022 as arising on September 1, 2022.
Late year
ordinary losses ($)
| Post-October
capital losses ($)
|
5,666,075
| 11,852,672
|
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $52,177,594 and $242,558,847, respectively, for the six months ended February 28, 2023. The amount of purchase
and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition,
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 23
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
the Board of Trustees of the Affiliated
MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory
limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the six months ended February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus
in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Significant
risks
Information technology sector
risk
The Fund is more susceptible to the
particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector are subject
to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by
factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for
market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their
securities may fall or fail to rise. In addition, many information technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than
other securities, especially over the short term. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory
action, which could negatively impact the value of their securities.
24
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Shareholder concentration risk
At February 28, 2023, two
unaffiliated shareholders of record owned 24.1% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated
shareholders of record owned 17.9% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to
Columbia Global Technology Growth Fund | Semiannual Report 2023
| 25
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
perform under their contracts with the Fund, these
proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse
judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its
affiliates that provides services to the Fund.
26
| Columbia Global Technology Growth Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Columbia Global Technology Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Multi-Manager Total
Return Bond Strategies Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Multi-Manager Total Return Bond Strategies Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive
shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Multi-Manager Total Return Bond Strategies
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks total return, consisting of capital appreciation and current income.
Portfolio management
Loomis, Sayles & Company, L.P.
Christopher Harms
Clifton Rowe, CFA
Daniel Conklin, CFA
PGIM, Inc.
Michael Collins, CFA
Robert Tipp, CFA
Richard Piccirillo
Gregory Peters
Lindsay Rosner, CFA
TCW Investment Management Company LLC
Stephen Kane, CFA
Laird Landmann
Bryan Whalen, CFA
Voya Investment Management Co. LLC
Matthew Toms, CFA
Randall Parrish, CFA
David Goodson
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
|
All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the
effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance
results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
| 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.
|
The Bloomberg U.S. Aggregate Bond
Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed
securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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
|
Percentages indicated are based upon
total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
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
|
Percentages indicated are based upon
total fixed income investments.
Bond ratings apply to the underlying
holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the
highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. If a security is
not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. When a bond is not rated by any rating agency, it is designated as “Not
rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one
of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and
leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g.,
interest rate and time to maturity) and the amount and type of any collateral.
4
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Fund at a Glance (continued)
(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
|
(a) The Fund has market exposure
(long and/or short) to fixed income through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument
and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given
changes in individual markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments, and Note 2 of the Notes to Financial
Statements.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 5
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund
expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual
funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
The Fund is offered only through
certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap
program documents for information about the fees charged.
6
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
8
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 9
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
10
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 11
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
12
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 13
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
14
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 15
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
16
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 17
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
18
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
($)
|
CMO Series 2022-4 Class IO
|
03/16/2064
| 0.860%
|
| 15,644,838
| 1,052,032
|
CMO Series 2022-43 Class IO
|
09/16/2061
| 0.740%
|
| 13,019,588
| 767,388
|
Series 2014-101 Class IO
|
04/16/2056
| 0.605%
|
| 10,021,325
| 147,180
|
Series 2016-152 Class IO
|
08/15/2058
| 0.728%
|
| 11,867,201
| 410,773
|
Series 2017-168 Class IO
|
12/16/2059
| 0.577%
|
| 16,908,547
| 596,009
|
Series 2018-110 Class IA
|
11/16/2059
| 0.630%
|
| 21,725,829
| 820,454
|
Series 2018-2 Class IO
|
12/16/2059
| 0.707%
|
| 7,295,806
| 321,679
|
Series 2020-108 Class IO
|
06/16/2062
| 0.847%
|
| 8,990,940
| 535,342
|
Series 2021-106 Class IO
|
04/16/2063
| 0.858%
|
| 9,599,705
| 648,420
|
Series 2021-132 Class BI
|
04/16/2063
| 0.925%
|
| 12,342,751
| 851,494
|
Series 2021-133 Class IO
|
07/16/2063
| 0.880%
|
| 12,076,080
| 829,411
|
Series 2021-144 Class IO
|
04/16/2063
| 0.825%
|
| 12,154,180
| 784,528
|
Series 2021-145 Class IO
|
07/16/2061
| 0.772%
|
| 2,557,170
| 143,305
|
Series 2021-151 Class IO
|
04/16/2063
| 0.917%
|
| 10,836,395
| 789,527
|
Series 2021-163 Class IO
|
03/16/2064
| 0.800%
|
| 11,323,462
| 734,084
|
Series 2021-186 Class IO
|
05/16/2063
| 0.765%
|
| 12,663,053
| 762,727
|
Series 2021-52 Class IO
|
04/16/2063
| 0.719%
|
| 10,581,446
| 574,180
|
Series 2022-132 Class IO
|
10/16/2064
| 0.539%
|
| 11,026,320
| 572,372
|
Series 2022-166 Class IO
|
04/16/2065
| 0.792%
|
| 12,989,120
| 803,330
|
Series 2022-92 Class EI
|
02/16/2064
| 0.809%
|
| 11,312,537
| 715,452
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 19
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
BBCMS Mortgage Trust(a),(b)
|
Series 2020-BID Class A
|
1-month USD LIBOR + 2.140%
Floor 2.140%
10/15/2037
| 6.728%
|
| 3,850,000
| 3,753,465
|
BBCMS Mortgage Trust
|
Series 2021-C12 Class A5
|
11/15/2054
| 2.689%
|
| 5,580,000
| 4,638,339
|
BBCMS Mortgage Trust(a),(f)
|
Subordinated Series 2016-ETC Class D
|
08/14/2036
| 3.609%
|
| 2,790,000
| 2,192,145
|
BB-UBS Trust(a)
|
Series 2012-TFT Class A
|
06/05/2030
| 2.892%
|
| 2,405,257
| 2,364,146
|
Benchmark Mortgage Trust(f),(g)
|
03/15/2053
| 1.416%
|
| 25,310,035
| 1,452,472
|
Series 2019-B10 Class XA
|
03/15/2062
| 1.220%
|
| 29,701,706
| 1,500,952
|
Series 2020-B20 Class XA
|
10/15/2053
| 1.617%
|
| 14,486,737
| 1,093,343
|
Benchmark Mortgage Trust
|
Series 2021-B26 Class A4
|
06/15/2054
| 2.295%
|
| 10,600,000
| 8,720,331
|
Series 2021-B31 Class A5
|
12/15/2054
| 2.669%
|
| 4,440,000
| 3,670,146
|
BIG Commercial Mortgage Trust(a),(b)
|
Subordinated Series 2022-BIG Class C
|
1-month Term SOFR + 2.340%
Floor 2.340%
02/15/2039
| 6.903%
|
| 420,000
| 404,470
|
BMD2 Re-Remic Trust(a),(h)
|
Series 2019-FRR1 Class 3AB
|
05/25/2052
| 0.000%
|
| 2,821,000
| 1,772,396
|
Subordinated Series 2019-FRR1 Class 2C
|
05/25/2052
| 0.000%
|
| 14,258,000
| 11,594,630
|
BPR Trust(a),(b)
|
Series 2021-NRD Class A
|
1-month USD LIBOR + 1.525%
Floor 1.525%
12/15/2023
| 6.088%
|
| 3,045,000
| 2,921,228
|
Series 2022-OANA Class A
|
1-month Term SOFR + 1.898%
Floor 1.898%
04/15/2037
| 6.461%
|
| 2,300,000
| 2,258,284
|
BWAY Mortgage Trust(a)
|
Series 2015-1740 Class A
|
01/10/2035
| 2.917%
|
| 6,850,000
| 6,102,244
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
20
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 21
|
Portfolio of Investments (continued)
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
($)
|
CSAIL Commercial Mortgage Trust(a)
|
Subordinated Series 2020-C19 Class E
|
03/15/2053
| 2.500%
|
| 800,000
| 435,221
|
CSWF Trust(a),(b)
|
Subordinated Series 2021-SOP2 Class E
|
1-month USD LIBOR + 3.367%
Floor 3.367%
06/15/2034
| 7.955%
|
| 16,000,000
| 14,635,544
|
DBGS Mortgage Trust(a),(b)
|
Series 2018-BIOD Class E
|
1-month USD LIBOR + 1.700%
Floor 1.700%
05/15/2035
| 6.288%
|
| 2,741,288
| 2,681,334
|
Series 2018-BIOD Class F
|
1-month USD LIBOR + 2.000%
Floor 2.000%
05/15/2035
| 6.588%
|
| 10,782,400
| 10,519,642
|
DBJPM Mortgage Trust(a)
|
Series 2016-SFC Class A
|
08/10/2036
| 2.833%
|
| 1,500,000
| 1,259,607
|
DBJPM Mortgage Trust(f),(g)
|
Series 2020-C9 Class XA
|
09/15/2053
| 1.708%
|
| 46,274,915
| 3,089,262
|
DBUBS Mortgage Trust(a)
|
Series 2017-BRBK Class A
|
10/10/2034
| 3.452%
|
| 2,800,000
| 2,641,855
|
DBUBS Mortgage Trust(a),(b)
|
Subordinated Series 2011-LC2A Class F
|
1-month USD LIBOR + 3.650%
Floor 3.650%, Cap 4.000%
07/10/2044
| 4.000%
|
| 161,532
| 161,043
|
DBWF Mortgage Trust(a),(f)
|
Series 2016-85T Class D
|
12/10/2036
| 3.808%
|
| 2,000,000
| 1,704,910
|
Series 2016-85T Class E
|
12/10/2036
| 3.808%
|
| 2,000,000
| 1,518,878
|
Extended Stay America Trust(a),(b)
|
Series 2021-ESH Class E
|
1-month USD LIBOR + 2.850%
Floor 2.850%
07/15/2038
| 7.438%
|
| 2,928,577
| 2,857,196
|
FirstKey Homes Trust(a)
|
Series 2020-SFR1 Class A
|
08/17/2037
| 1.339%
|
| 6,161,071
| 5,561,732
|
Subordinated Series 2020-SFR2 Class E
|
10/19/2037
| 2.668%
|
| 3,432,000
| 3,083,423
|
GAM Investments(a),(i)
|
Subordinated Series 2021-F Class A
|
09/27/2051
| 0.000%
|
| 2,186,000
| 1,781,419
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
22
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 23
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
24
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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 $2,998,527)
| 2,976,637
|
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 25
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes 32.5%
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
26
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 27
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
28
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 29
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
30
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 31
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
32
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 33
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
34
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 35
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
36
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 37
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
38
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 39
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
40
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 41
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
42
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
($)
|
Meta Platforms, Inc.
|
08/15/2027
| 3.500%
|
| 773,000
| 726,781
|
08/15/2032
| 3.850%
|
| 729,000
| 654,397
|
08/15/2052
| 4.450%
|
| 3,621,000
| 2,999,675
|
08/15/2062
| 4.650%
|
| 871,000
| 724,355
|
Prosus NV(a)
|
01/19/2052
| 4.987%
|
| 2,505,000
| 1,810,121
|
Viacom, Inc.
|
03/15/2043
| 4.375%
|
| 1,296,000
| 899,303
|
09/01/2043
| 5.850%
|
| 983,000
| 825,681
|
04/01/2044
| 5.250%
|
| 161,000
| 123,840
|
ViacomCBS, Inc.
|
01/15/2031
| 4.950%
|
| 1,468,000
| 1,313,463
|
05/19/2050
| 4.950%
|
| 1,464,000
| 1,084,170
|
Walt Disney Co. (The)
|
03/15/2033
| 6.550%
|
| 1,000,000
| 1,111,004
|
Total
| 38,065,056
|
Metals and Mining 0.3%
|
Anglo American Capital PLC(a)
|
03/17/2028
| 2.250%
|
| 530,000
| 452,075
|
ArcelorMittal SA
|
11/29/2027
| 6.550%
|
| 3,070,000
| 3,147,620
|
BHP Billiton Finance USA Ltd.
|
02/28/2033
| 4.900%
|
| 1,869,000
| 1,861,238
|
First Quantum Minerals Ltd.(a)
|
04/01/2025
| 7.500%
|
| 2,800,000
| 2,718,998
|
Freeport-McMoRan, Inc.
|
11/14/2034
| 5.400%
|
| 5,000,000
| 4,724,690
|
Glencore Funding LLC(a)
|
03/12/2024
| 4.125%
|
| 1,375,000
| 1,353,905
|
Kinross Gold Corp.
|
07/15/2027
| 4.500%
|
| 1,239,000
| 1,181,179
|
Newmont Corp.
|
10/01/2030
| 2.250%
|
| 3,215,000
| 2,591,100
|
Novelis Corp.(a)
|
01/30/2030
| 4.750%
|
| 1,390,000
| 1,220,533
|
Nucor Corp.
|
05/23/2027
| 4.300%
|
| 690,000
| 669,088
|
05/01/2028
| 3.950%
|
| 1,500,000
| 1,418,390
|
POSCO(a)
|
08/04/2027
| 4.500%
|
| 650,000
| 628,373
|
Rain CII Carbon LLC/Corp.(a)
|
04/01/2025
| 7.250%
|
| 1,805,000
| 1,718,103
|
Southern Copper Corp.
|
04/23/2025
| 3.875%
|
| 600,000
| 580,631
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 43
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
44
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 45
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
46
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 47
|
Portfolio of Investments (continued)
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
($)
|
Farmers Exchange Capital(a)
|
Subordinated
|
07/15/2028
| 7.050%
|
| 800,000
| 822,926
|
07/15/2048
| 7.200%
|
| 1,290,000
| 1,392,797
|
Farmers Exchange Capital II(a),(k)
|
Subordinated
|
11/01/2053
| 6.151%
|
| 2,700,000
| 2,645,742
|
Farmers Insurance Exchange(a)
|
05/01/2024
| 8.625%
|
| 1,165,000
| 1,187,430
|
Hartford Financial Services Group Inc. (The)(a),(b)
|
3-month USD LIBOR + 2.125%
02/12/2047
| 6.989%
|
| 2,265,000
| 1,964,619
|
Hartford Financial Services Group, Inc. (The)
|
10/15/2036
| 5.950%
|
| 283,000
| 291,040
|
Intact Financial Corp.(a)
|
09/22/2032
| 5.459%
|
| 2,573,000
| 2,541,370
|
Liberty Mutual Group, Inc.(a)
|
06/15/2023
| 4.250%
|
| 275,000
| 273,743
|
10/15/2050
| 3.951%
|
| 2,080,000
| 1,512,407
|
06/15/2052
| 5.500%
|
| 588,000
| 548,517
|
Markel Corp.
|
05/20/2049
| 5.000%
|
| 5,095,000
| 4,566,305
|
Nationwide Mutual Insurance Co.(a),(b)
|
Subordinated
|
3-month USD LIBOR + 2.290%
12/15/2024
| 7.059%
|
| 5,725,000
| 5,728,338
|
Old Republic International Corp.
|
06/11/2051
| 3.850%
|
| 1,403,000
| 1,003,778
|
PartnerRe Finance B LLC(k)
|
10/01/2050
| 4.500%
|
| 2,078,000
| 1,865,768
|
Trustage Financial Group, Inc.(a)
|
04/15/2032
| 4.625%
|
| 2,135,000
| 1,898,018
|
Willis North America, Inc.
|
09/15/2029
| 2.950%
|
| 2,000,000
| 1,708,920
|
WR Berkley Corp.
|
05/12/2050
| 4.000%
|
| 1,480,000
| 1,158,196
|
XLIT Ltd.
|
03/31/2045
| 5.500%
|
| 629,000
| 615,153
|
Total
| 66,314,775
|
Railroads 0.1%
|
Burlington Northern Santa Fe LLC
|
03/15/2043
| 4.450%
|
| 304,000
| 270,938
|
09/01/2043
| 5.150%
|
| 953,000
| 934,439
|
08/01/2046
| 3.900%
|
| 711,000
| 575,281
|
01/15/2053
| 4.450%
|
| 2,519,000
| 2,241,670
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
48
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Corporate Bonds & Notes (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 49
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
50
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 51
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
52
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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 $3,683,313,474)
| 3,317,468,110
|
|
Foreign Government Obligations(m),(n) 1.6%
|
|
|
|
|
|
Australia 0.0%
|
NBN Co., Ltd.(a)
|
05/05/2026
| 1.450%
|
| 581,000
| 514,415
|
01/08/2027
| 1.625%
|
| 1,230,000
| 1,070,736
|
Total
| 1,585,151
|
Azerbaijan 0.0%
|
Southern Gas Corridor CJSC(a)
|
03/24/2026
| 6.875%
|
| 450,000
| 458,750
|
Bermuda 0.0%
|
Bermuda Government International Bond(a)
|
08/20/2030
| 2.375%
|
| 1,105,000
| 919,392
|
Brazil 0.0%
|
Brazil Minas SPE via State of Minas Gerais(a)
|
02/15/2028
| 5.333%
|
| 1,450,000
| 1,422,366
|
Brazilian Government International Bond
|
06/12/2030
| 3.875%
|
| 800,000
| 690,402
|
Total
| 2,112,768
|
Canada 0.0%
|
Province of British Columbia
|
09/01/2036
| 7.250%
|
| 2,000,000
| 2,543,338
|
Province of Manitoba
|
06/22/2026
| 2.125%
|
| 300,000
| 276,378
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 53
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Foreign Government Obligations(m),(n) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
54
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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 ($)
|
Morocco 0.0%
|
Morocco Government International Bond(a)
|
12/15/2027
| 2.375%
|
| 1,300,000
| 1,108,838
|
12/15/2050
| 4.000%
|
| 350,000
| 225,087
|
OCP SA(a)
|
06/23/2031
| 3.750%
|
| 350,000
| 280,859
|
Total
| 1,614,784
|
Netherlands 0.0%
|
Equate Petrochemical BV(a)
|
04/28/2028
| 2.625%
|
| 700,000
| 613,401
|
Norway 0.0%
|
Equinor ASA
|
04/06/2030
| 3.125%
|
| 826,000
| 743,299
|
Oman 0.0%
|
Oman Government International Bond(a)
|
01/17/2028
| 5.625%
|
| 600,000
| 589,377
|
10/28/2032
| 7.375%
|
| 1,325,000
| 1,449,268
|
Total
| 2,038,645
|
Panama 0.0%
|
Banco Nacional de Panama(a)
|
08/11/2030
| 2.500%
|
| 875,000
| 697,745
|
08/11/2030
| 2.500%
|
| 600,000
| 478,453
|
Panama Government International Bond
|
03/16/2025
| 3.750%
|
| 200,000
| 193,572
|
01/23/2030
| 3.160%
|
| 1,575,000
| 1,356,151
|
09/29/2032
| 2.252%
|
| 200,000
| 148,927
|
01/19/2033
| 3.298%
|
| 650,000
| 528,592
|
Total
| 3,403,440
|
Peru 0.1%
|
Corporación Financiera de Desarrollo SA(a)
|
09/28/2027
| 2.400%
|
| 600,000
| 513,772
|
Peruvian Government International Bond
|
08/25/2027
| 4.125%
|
| 412,000
| 398,705
|
06/20/2030
| 2.844%
|
| 990,000
| 837,477
|
01/23/2031
| 2.783%
|
| 620,000
| 511,811
|
12/01/2032
| 1.862%
|
| 925,000
| 672,959
|
03/14/2037
| 6.550%
|
| 1,785,000
| 1,904,433
|
12/01/2060
| 2.780%
|
| 600,000
| 348,008
|
Petroleos del Peru SA(a)
|
06/19/2032
| 4.750%
|
| 2,100,000
| 1,613,393
|
Total
| 6,800,558
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 55
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Foreign Government Obligations(m),(n) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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 $189,392,834)
| 160,098,364
|
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
56
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Inflation-Indexed Bonds 0.1%
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Unlimited General Obligation Refunding Bonds
|
Series 2021D
|
08/01/2030
| 1.823%
|
| 515,000
| 416,291
|
Los Angeles Unified School District
|
Unlimited General Obligation Bonds
|
Taxable Build America Bonds
|
Series 2009
|
07/01/2034
| 5.750%
|
| 1,560,000
| 1,641,445
|
Total
| 5,392,120
|
Sales Tax 0.0%
|
Puerto Rico Sales Tax Financing Corp.(p)
|
Revenue Bonds
|
Series 2019A1
|
07/01/2058
| 5.000%
|
| 2,740,000
| 2,535,322
|
Special Non Property Tax 0.1%
|
New York City Transitional Finance Authority
|
Refunding Revenue Bonds
|
Future Tax Secured
|
Subordinated Series 2020B-3
|
08/01/2035
| 2.000%
|
| 3,000,000
| 2,148,578
|
Revenue Bonds
|
Future Tax Secured
|
Subordinated Series 2020D-3
|
11/01/2032
| 2.400%
|
| 1,045,000
| 833,031
|
New York State Dormitory Authority
|
Refunding Revenue Bonds
|
Taxable
|
Series 2020F
|
02/15/2032
| 2.957%
|
| 1,250,000
| 1,072,222
|
State of Illinois
|
Revenue Bonds
|
Taxable Sales Tax
|
Series 2013
|
06/15/2028
| 3.350%
|
| 2,500,000
| 2,291,359
|
Total
| 6,345,190
|
Transportation 0.0%
|
Metropolitan Transportation Authority
|
Revenue Bonds
|
Taxable Green Bonds
|
Series 2020C-2
|
11/15/2049
| 5.175%
|
| 810,000
| 730,753
|
Turnpike / Bridge / Toll Road 0.0%
|
Bay Area Toll Authority
|
Revenue Bonds
|
Series 2009 (BAM)
|
04/01/2049
| 6.263%
|
| 1,920,000
| 2,288,935
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 57
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Municipal Bonds (continued)
|
Issue
Description
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
58
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
($)
|
CMO Series 3578 Class DI
|
-1.0 x 1-month USD LIBOR + 6.650%
Cap 6.650%
04/15/2036
| 2.062%
|
| 2,423,919
| 145,019
|
CMO Series 3892 Class SC
|
-1.0 x 1-month USD LIBOR + 5.950%
Cap 5.950%
07/15/2041
| 1.362%
|
| 3,766,922
| 231,382
|
CMO Series 3997 Class SK
|
-1.0 x 1-month USD LIBOR + 6.600%
Cap 6.600%
11/15/2041
| 2.012%
|
| 7,890,087
| 338,248
|
CMO Series 4087 Class SC
|
-1.0 x 1-month USD LIBOR + 5.550%
Cap 5.550%
07/15/2042
| 0.962%
|
| 4,616,654
| 214,200
|
CMO Series 4281 Class SA
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
12/15/2043
| 1.512%
|
| 7,321,948
| 421,857
|
CMO Series 4635 Class SE
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
12/15/2046
| 1.512%
|
| 11,733,211
| 628,814
|
CMO Series 4910 Class SG
|
1-month LIBID + 6.050%
Cap 6.050%
09/25/2049
| 1.433%
|
| 16,582,693
| 1,913,623
|
Federal Home Loan Mortgage Corp.(r)
|
04/01/2052-
10/01/2052
| 2.500%
|
| 25,671,122
| 21,767,088
|
Federal Home Loan Mortgage Corp.(b)
|
CMO Series 1486 Class FA
|
1-month USD LIBOR + 1.300%
Floor 1.300%, Cap 10.000%
04/15/2023
| 5.888%
|
| 816
| 816
|
CMO Series 2380 Class F
|
1-month USD LIBOR + 0.450%
Floor 0.450%, Cap 8.500%
11/15/2031
| 5.038%
|
| 87,279
| 87,362
|
CMO Series 2557 Class FG
|
1-month USD LIBOR + 0.400%
Floor 0.400%, Cap 8.000%
01/15/2033
| 4.988%
|
| 224,332
| 224,330
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 59
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
CMO Series 364 Class C15
|
12/15/2046
| 3.500%
|
| 4,426,479
| 743,528
|
CMO Series 4146 Class IA
|
12/15/2032
| 3.500%
|
| 5,146,455
| 563,812
|
CMO Series 4186 Class IB
|
03/15/2033
| 3.000%
|
| 5,199,432
| 495,114
|
CMO Series 4627 Class PI
|
05/15/2044
| 3.500%
|
| 1,645,581
| 74,749
|
CMO Series 4698 Class BI
|
07/15/2047
| 5.000%
|
| 12,325,388
| 2,157,507
|
CMO Series 5048 Class HI
|
01/15/2042
| 4.500%
|
| 3,202,274
| 525,977
|
CMO Series 5078 Class NI
|
06/15/2042
| 4.000%
|
| 2,740,000
| 557,850
|
Federal Home Loan Mortgage Corp.(f),(g)
|
CMO Series 351 Class 213
|
02/15/2046
| 4.084%
|
| 298,573
| 55,769
|
CMO Series 364 Class 141
|
12/15/2046
| 2.752%
|
| 342,257
| 49,125
|
CMO Series 364 Class 151
|
12/15/2046
| 3.381%
|
| 340,665
| 55,535
|
CMO Series 364 Class 158
|
12/15/2046
| 3.855%
|
| 187,272
| 33,575
|
CMO Series 364 Class 167
|
12/15/2046
| 2.550%
|
| 321,338
| 39,655
|
CMO Series 364 Class C23
|
12/15/2046
| 2.929%
|
| 4,270,229
| 611,937
|
CMO Series 364 Class C24
|
12/15/2046
| 3.453%
|
| 2,421,232
| 407,072
|
CMO Series 364 Class C25
|
12/15/2046
| 4.057%
|
| 748,406
| 143,313
|
CMO Series 368 Class C15
|
01/25/2048
| 3.249%
|
| 4,866,897
| 599,719
|
CMO Series 3833 Class LI
|
10/15/2040
| 0.000%
|
| 6,235,144
| 280,757
|
CMO Series 5094 Class IO
|
12/15/2048
| 1.544%
|
| 13,743,758
| 971,548
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(f),(g)
|
CMO Series K051 Class X1
|
09/25/2025
| 0.502%
|
| 16,812,617
| 183,217
|
CMO Series K058 Class X1
|
08/25/2026
| 0.914%
|
| 2,347,677
| 60,957
|
CMO Series KW02 Class X1
|
12/25/2026
| 0.295%
|
| 10,560,037
| 51,185
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
60
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 61
|
Portfolio of Investments (continued)
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
($)
|
CMO Series 2008-15 Class AS
|
-5.0 x 1-month USD LIBOR + 33.000%
Cap 33.000%
08/25/2036
| 9.915%
|
| 252,106
| 287,057
|
CMO Series 2010-142 Class HS
|
-2.0 x 1-month USD LIBOR + 10.000%
Cap 10.000%
12/25/2040
| 0.676%
|
| 452,249
| 274,554
|
CMO Series 2010-150 Class FL
|
1-month USD LIBOR + 0.550%
Floor 0.550%, Cap 7.000%
10/25/2040
| 5.167%
|
| 103,176
| 103,028
|
CMO Series 2012-1 Class FA
|
1-month USD LIBOR + 0.500%
Floor 0.500%, Cap 6.500%
02/25/2042
| 5.117%
|
| 798,467
| 786,509
|
CMO Series 2012-115 Class MT
|
-3.0 x 1-month USD LIBOR + 13.500%
Cap 4.500%
10/25/2042
| 0.394%
|
| 310,600
| 197,028
|
CMO Series 2016-32 Class GT
|
-4.5 x 1-month USD LIBOR + 18.000%
Cap 4.500%
01/25/2043
| 0.000%
|
| 32,299
| 20,016
|
Federal National Mortgage Association(b),(g)
|
CMO Series 2004-29 Class PS
|
-1.0 x 1-month USD LIBOR + 7.600%
Cap 7.600%
05/25/2034
| 2.983%
|
| 1,073,653
| 115,026
|
CMO Series 2006-43 Class SJ
|
-1.0 x 1-month USD LIBOR + 6.590%
Cap 6.590%
06/25/2036
| 1.973%
|
| 792,235
| 65,663
|
CMO Series 2009-100 Class SA
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
12/25/2039
| 1.583%
|
| 2,505,858
| 229,889
|
CMO Series 2009-87 Class NS
|
-1.0 x 1-month USD LIBOR + 6.250%
Cap 6.250%
11/25/2039
| 1.633%
|
| 4,073,570
| 247,273
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
62
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
CMO Series 2014-52 Class SL
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
09/25/2044
| 1.483%
|
| 5,327,050
| 511,740
|
CMO Series 2015-81 Class SD
|
-1.0 x 1-month USD LIBOR + 6.700%
Cap 6.700%
01/25/2037
| 2.083%
|
| 3,697,075
| 255,640
|
CMO Series 2016-19 Class SA
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
04/25/2046
| 1.483%
|
| 4,778,020
| 312,020
|
CMO Series 2016-32 Class SA
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
10/25/2034
| 1.483%
|
| 2,180,559
| 133,855
|
CMO Series 2016-60 Class QS
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
09/25/2046
| 1.483%
|
| 6,378,099
| 453,277
|
CMO Series 2016-60 Class SD
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
09/25/2046
| 1.483%
|
| 20,938,422
| 1,336,114
|
CMO Series 2016-60 Class SE
|
-1.0 x 1-month USD LIBOR + 6.250%
Cap 6.250%
09/25/2046
| 1.633%
|
| 6,083,727
| 362,891
|
CMO Series 2016-82 Class SG
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
11/25/2046
| 1.483%
|
| 8,641,115
| 499,045
|
CMO Series 2016-88 Class BS
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
12/25/2046
| 1.483%
|
| 14,310,832
| 1,021,762
|
CMO Series 2016-93 Class SL
|
-1.0 x 1-month USD LIBOR + 6.650%
Cap 6.650%
12/25/2046
| 2.033%
|
| 3,940,576
| 253,651
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 63
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
64
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
($)
|
CMO Series 2010-H03 Class FA
|
1-month USD LIBOR + 0.550%
Floor 0.550%, Cap 10.690%
03/20/2060
| 4.937%
|
| 373,934
| 372,801
|
CMO Series 2010-H26 Class LF
|
1-month USD LIBOR + 0.350%
Floor 0.350%, Cap 13.898%
08/20/2058
| 4.742%
|
| 163,960
| 162,610
|
CMO Series 2011-114 Class KF
|
1-month USD LIBOR + 0.450%
Floor 0.450%, Cap 6.500%
03/20/2041
| 5.048%
|
| 50,829
| 50,786
|
CMO Series 2012-H20 Class BA
|
1-month USD LIBOR + 0.700%
Floor 0.700%, Cap 10.500%
09/20/2062
| 4.952%
|
| 67,545
| 67,326
|
CMO Series 2012-H21 Class CF
|
1-month USD LIBOR + 0.700%
Floor 0.700%
05/20/2061
| 4.839%
|
| 2,205
| 2,184
|
CMO Series 2012-H21 Class DF
|
1-month USD LIBOR + 0.650%
Floor 0.650%
05/20/2061
| 4.839%
|
| 1,965
| 1,946
|
CMO Series 2012-H25 Class FA
|
1-month USD LIBOR + 0.700%
Floor 0.700%
12/20/2061
| 4.700%
|
| 26,403
| 26,043
|
CMO Series 2013-115 Class EF
|
1-month USD LIBOR + 0.250%
Floor 0.250%, Cap 6.500%
04/16/2028
| 4.840%
|
| 65,156
| 65,130
|
CMO Series 2013-H02 Class FD
|
1-month USD LIBOR + 0.340%
Floor 0.340%, Cap 10.500%
12/20/2062
| 4.732%
|
| 107,039
| 106,304
|
CMO Series 2013-H05 Class FB
|
1-month USD LIBOR + 0.400%
Floor 0.400%
02/20/2062
| 4.792%
|
| 1,892
| 1,854
|
CMO Series 2013-H08 Class BF
|
1-month USD LIBOR + 0.400%
Floor 0.400%, Cap 10.000%
03/20/2063
| 4.792%
|
| 820,109
| 813,097
|
CMO Series 2013-H14 Class FD
|
1-month USD LIBOR + 0.470%
Floor 0.470%, Cap 11.000%
06/20/2063
| 4.862%
|
| 574,994
| 572,337
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 65
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
CMO Series 2022-H22 Class FE
|
30-day Average SOFR + 1.040%
Floor 1.040%, Cap 7.500%
09/20/2072
| 5.466%
|
| 2,888,802
| 2,861,096
|
Government National Mortgage Association(b),(g)
|
CMO Series 2010-31 Class ES
|
-1.0 x 1-month USD LIBOR + 5.000%
Cap 5.000%
03/20/2040
| 0.402%
|
| 7,098,231
| 351,760
|
CMO Series 2011-13 Class S
|
1-month LIBID + 5.950%
Cap 5.950%
01/16/2041
| 1.360%
|
| 4,778,962
| 284,019
|
CMO Series 2011-30 Class SB
|
1-month LIBID + 6.600%
Cap 6.600%
02/20/2041
| 2.002%
|
| 2,343,708
| 198,522
|
CMO Series 2015-155 Class SA
|
-1.0 x 1-month USD LIBOR + 5.700%
Cap 5.700%
10/20/2045
| 1.102%
|
| 2,994,038
| 237,204
|
CMO Series 2017-93 Class CS
|
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
06/20/2047
| 1.602%
|
| 9,222,197
| 978,273
|
CMO Series 2019-123 Class SP
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
10/20/2049
| 1.502%
|
| 12,489,520
| 741,169
|
CMO Series 2019-13 Class SA
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
01/20/2049
| 1.502%
|
| 9,662,470
| 897,011
|
CMO Series 2019-6 Class SJ
|
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
01/20/2049
| 1.502%
|
| 7,850,320
| 497,458
|
CMO Series 2019-86 Class SG
|
-1.0 x 1-month USD LIBOR + 5.600%
Cap 5.600%
07/20/2049
| 1.002%
|
| 4,315,655
| 239,053
|
Government National Mortgage Association(f)
|
CMO Series 2010-H17 Class XQ
|
07/20/2060
| 5.140%
|
| 1,230
| 1,001
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
66
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Agency(q) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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 $2,791,076,013)
| 2,613,018,344
|
|
Residential Mortgage-Backed Securities - Non-Agency(m) 4.6%
|
|
|
|
|
|
ACE Securities Corp. Home Equity Loan Trust(b)
|
CMO Series 2006-OP1 Class A2D
|
1-month USD LIBOR + 0.480%
Floor 0.240%
04/25/2036
| 5.097%
|
| 7,547,281
| 6,820,611
|
Ajax Mortgage Loan Trust(a),(f)
|
CMO Series 2019-F Class A1
|
07/25/2059
| 2.860%
|
| 4,929,893
| 4,632,604
|
Angel Oak Mortgage Trust(a),(f)
|
CMO Series 2022-6 Class A1
|
07/25/2067
| 4.300%
|
| 17,775,977
| 16,781,867
|
Arroyo Mortgage Trust(a)
|
CMO Series 2022-1 Class A3
|
12/25/2056
| 3.650%
|
| 1,000,000
| 778,276
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 67
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(m) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
68
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 69
|
Portfolio of Investments (continued)
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
($)
|
CMO Series 2021-HQA4 Class M2
|
30-day Average SOFR + 2.350%
12/25/2041
| 6.834%
|
| 3,000,000
| 2,716,096
|
CMO Series 2022-DNA1 Class M2
|
30-day Average SOFR + 2.500%
01/25/2042
| 6.984%
|
| 2,000,000
| 1,870,788
|
CMO Series 2022-DNA3 Class M1B
|
30-day Average SOFR + 2.900%
04/25/2042
| 7.384%
|
| 3,940,000
| 3,928,304
|
CMO Series 2022-DNA5 Class M2
|
30-day Average SOFR + 6.750%
06/25/2042
| 11.234%
|
| 3,000,000
| 3,228,042
|
CMO Series 2022-HQA3 Class M2
|
30-day Average SOFR + 5.350%
08/25/2042
| 9.834%
|
| 2,000,000
| 2,008,750
|
Subordinated CMO Series 2021-DNA3 Class B1
|
30-day Average SOFR + 3.500%
10/25/2033
| 7.984%
|
| 2,025,000
| 1,945,370
|
Subordinated CMO Series 2021-DNA6 Class B1
|
30-day Average SOFR + 3.400%
10/25/2041
| 7.884%
|
| 2,000,000
| 1,915,838
|
Subordinated CMO Series 2021-DNA7 Class M2
|
30-day Average SOFR + 1.800%
11/25/2041
| 6.110%
|
| 960,000
| 918,388
|
Subordinated CMO Series 2021-HQA3 Class B1
|
30-day Average SOFR + 3.350%
09/25/2041
| 7.834%
|
| 1,120,000
| 1,016,905
|
Subordinated CMO Series 2021-HQA4 Class B1
|
30-day Average SOFR + 3.750%
12/25/2041
| 8.234%
|
| 6,000,000
| 5,455,454
|
Subordinated CMO Series 2022-DNA1 Class B1
|
30-day Average SOFR + 3.400%
01/25/2042
| 7.884%
|
| 3,000,000
| 2,811,278
|
Subordinated CMO Series 2022-DNA6 Class M2
|
30-day Average SOFR + 5.750%
09/25/2042
| 10.234%
|
| 6,000,000
| 6,252,452
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
70
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(m) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 71
|
Portfolio of Investments (continued)
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
($)
|
CMO Series 2021-GS1 Class A1
|
10/25/2066
| 1.892%
|
| 1,013,516
| 922,595
|
CMO Series 2021-SL1 Class A
|
09/25/2060
| 1.991%
|
| 842,357
| 829,110
|
CMO Series 2021-SL2 Class A
|
10/25/2068
| 1.875%
|
| 277,886
| 249,019
|
Lehman XS Trust(b)
|
CMO Series 2005-5N Class 3A1A
|
1-month USD LIBOR + 0.300%
Floor 0.300%
11/25/2035
| 4.917%
|
| 426,023
| 413,076
|
CMO Series 2006-2N Class 1A1
|
1-month USD LIBOR + 0.520%
Floor 0.260%
02/25/2046
| 5.137%
|
| 1,129,129
| 978,250
|
Loan Revolving Advance Investment Trust(a),(b),(d),(e)
|
CMO Series 2021-2 Class A1X
|
1-month USD LIBOR + 2.750%
Floor 2.750%
06/30/2023
| 7.328%
|
| 78,832
| 78,832
|
loanDepot GMSR Master Trust(a),(b)
|
Series 2018-GT1 Class A
|
1-month USD LIBOR + 2.800%
Floor 2.800%
10/16/2023
| 7.390%
|
| 1,300,000
| 1,106,682
|
Long Beach Mortgage Loan Trust(b)
|
CMO Series 2006-10 Class 1A
|
1-month USD LIBOR + 0.150%
Floor 0.150%
11/25/2036
| 4.917%
|
| 3,729,105
| 2,638,678
|
CMO Series 2006-11 Class 2A2
|
1-month USD LIBOR + 0.100%
Floor 0.100%
12/25/2036
| 4.717%
|
| 29,818,445
| 11,089,856
|
MASTR Alternative Loan Trust
|
CMO Series 2004-12 Class 4A1
|
12/25/2034
| 5.500%
|
| 357,162
| 345,201
|
Mello Mortgage Capital Acceptance Trust(a),(f)
|
Subordinated CMO Series 2021-INV1 Class B3
|
06/25/2051
| 2.971%
|
| 1,961,524
| 1,390,802
|
Merrill Lynch First Franklin Mortgage Loan Trust(b)
|
CMO Series 2007-1 Class A2D
|
1-month USD LIBOR + 0.340%
Floor 0.340%
04/25/2037
| 5.297%
|
| 16,292,823
| 6,452,761
|
MortgageIT Trust(b)
|
CMO Series 2005-5 Class A1
|
1-month USD LIBOR + 0.520%
Floor 0.260%, Cap 11.500%
12/25/2035
| 5.026%
|
| 480,030
| 451,606
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
72
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(m) (continued)
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 73
|
Portfolio of Investments (continued)
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 $502,873,328)
| 466,987,940
|
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
74
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans 0.6%
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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 ($)
|
Consumer Cyclical Services 0.0%
|
Amentum Government Services Holdings LLC(b),(u)
|
Tranche 1 1st Lien Term Loan
|
1-month USD LIBOR + 4.000%
01/29/2027
| 8.519%
|
| 310,489
| 306,478
|
Arches Buyer, Inc.(b),(u)
|
Term Loan
|
1-month Term SOFR + 3.250%
Floor 0.500%
12/06/2027
| 7.968%
|
| 72,622
| 68,265
|
Pre-Paid Legal Services, Inc.(b),(u)
|
1st Lien Term Loan
|
1-month USD LIBOR + 3.750%
Floor 0.500%
12/15/2028
| 8.385%
|
| 503,970
| 495,780
|
Prime Security Services Borrower LLC(b),(u)
|
Tranche B1 1st Lien Term Loan
|
1-month USD LIBOR + 2.750%
Floor 0.750%
09/23/2026
| 7.517%
|
| 450,848
| 449,721
|
Safe Fleet Holdings LLC(b),(u)
|
Term Loan
|
1-month Term SOFR + 3.750%
Floor 0.500%
02/23/2029
| 8.411%
|
| 169,371
| 165,313
|
Spin Holdco, Inc.(b),(u)
|
Term Loan
|
1-month USD LIBOR + 4.000%
Floor 0.750%
03/04/2028
| 8.765%
|
| 729,272
| 612,486
|
TruGreen LP(b),(u)
|
1st Lien Term Loan
|
1-month USD LIBOR + 4.000%
Floor 0.750%
11/02/2027
| 8.635%
|
| 287,518
| 263,079
|
Total
| 2,361,122
|
Consumer Products 0.0%
|
Acuity Specialty Products, Inc.(b),(u)
|
1st Lien Term Loan
|
3-month USD LIBOR + 4.000%
Floor 1.000%
08/12/2024
| 8.730%
|
| 279,128
| 219,116
|
Osmosis Buyer Ltd.(b),(u)
|
Tranche B Term Loan
|
1-month USD LIBOR + 3.750%
Floor 0.500%
07/31/2028
| 8.315%
|
| 342,833
| 329,243
|
Total
| 548,359
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 75
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Bausch & Lomb Corp.(b),(u)
|
Term Loan
|
1-month Term SOFR + 3.250%
Floor 0.500%
05/10/2027
| 7.842%
|
| 219,018
| 213,935
|
Gainwell Acquisition Corp.(b),(u)
|
Tranche B 1st Lien Term Loan
|
1-month USD LIBOR + 4.000%
Floor 0.750%
10/01/2027
| 8.730%
|
| 742,424
| 714,769
|
ICON PLC(b),(u)
|
Term Loan
|
3-month USD LIBOR + 2.250%
07/03/2028
| 7.000%
|
| 376,205
| 375,596
|
3-month USD LIBOR + 2.250%
07/03/2028
| 7.000%
|
| 93,732
| 93,580
|
Medline Borrower LP(b),(u)
|
Term Loan
|
1-month USD LIBOR + 3.250%
Floor 0.500%
10/23/2028
| 7.885%
|
| 496,250
| 478,052
|
Total
| 2,655,310
|
Independent Energy 0.0%
|
Ascent Resources Utica Holdings(b),(u)
|
2nd Lien Term Loan
|
1-month USD LIBOR + 10.000%
Floor 1.000%
11/01/2025
| 10.000%
|
| 287,000
| 304,220
|
Leisure 0.0%
|
Crown Finance US, Inc.(b),(r),(u),(v)
|
Debtor in Possession Term Loan
|
1-month Term SOFR + 10.000%
Floor 1.000%
09/07/2023
| 14.664%
|
| 829,533
| 844,258
|
Formula One Management Ltd.(b),(r),(u)
|
Tranche B 1st Lien Term Loan
|
1-month Term SOFR + 3.250%
Floor 0.500%
01/15/2030
| 7.868%
|
| 52,090
| 52,181
|
William Morris Endeavor Entertainment LLC(b),(u)
|
Tranche B1 1st Lien Term Loan
|
3-month USD LIBOR + 2.750%
05/18/2025
| 7.390%
|
| 90,054
| 89,523
|
Total
| 985,962
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
76
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Horizon Therapeutics USA, Inc.(b),(u)
|
Tranche B2 Term Loan
|
1-month USD LIBOR + 1.750%
Floor 0.500%
03/15/2028
| 6.375%
|
| 1,053,707
| 1,052,305
|
Jazz Pharmaceuticals PLC(b),(u)
|
Term Loan
|
1-month USD LIBOR + 3.500%
Floor 0.500%
05/05/2028
| 8.135%
|
| 1,207,379
| 1,205,013
|
Organon & Co.(b),(u)
|
Term Loan
|
1-month USD LIBOR + 3.000%
Floor 0.500%
06/02/2028
| 7.750%
|
| 3,304,759
| 3,263,449
|
Total
| 8,660,522
|
Property & Casualty 0.1%
|
Acrisure LLC(b),(u)
|
1st Lien Term Loan
|
1-month USD LIBOR + 3.500%
02/15/2027
| 8.135%
|
| 907,952
| 866,122
|
AmWINS Group, Inc.(b),(u)
|
Term Loan
|
1-month USD LIBOR + 2.250%
Floor 0.750%
02/19/2028
| 6.885%
|
| 2,445,037
| 2,403,178
|
Asurion LLC(b),(u)
|
Tranche B7 Term Loan
|
3-month USD LIBOR + 3.000%
11/03/2024
| 7.635%
|
| 338,033
| 336,644
|
Total
| 3,605,944
|
Restaurants 0.0%
|
1011778 BC ULC(b),(u)
|
Tranche B4 Term Loan
|
3-month USD LIBOR + 1.750%
11/19/2026
| 6.385%
|
| 545,013
| 539,661
|
KFC Holding Co./Yum! Brands(b),(u)
|
Tranche B Term Loan
|
1-month USD LIBOR + 1.750%
03/15/2028
| 6.348%
|
| 367,252
| 364,957
|
Total
| 904,618
|
Retailers 0.0%
|
Michaels Companies, Inc. (The)(b),(u)
|
Tranche B Term Loan
|
1-month USD LIBOR + 4.250%
Floor 0.750%
04/15/2028
| 8.980%
|
| 1,970,000
| 1,800,087
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 77
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
($)
|
Peraton Corp.(b),(u)
|
Tranche B 1st Lien Term Loan
|
3-month USD LIBOR + 3.750%
Floor 0.750%
02/01/2028
| 8.385%
|
| 2,604,220
| 2,576,147
|
Project Alpha Intermediate Holding, Inc.(b),(u)
|
Term Loan
|
1-month USD LIBOR + 4.000%
04/26/2024
| 8.640%
|
| 283,553
| 282,742
|
Proofpoint, Inc.(b),(u)
|
1st Lien Term Loan
|
1-month USD LIBOR + 3.250%
Floor 0.500%
08/31/2028
| 8.203%
|
| 159,847
| 155,141
|
RealPage, Inc.(b),(u)
|
1st Lien Term Loan
|
1-month USD LIBOR + 3.000%
Floor 0.500%
04/24/2028
| 7.635%
|
| 134,320
| 129,921
|
Total
| 10,404,726
|
Wireless 0.1%
|
Digicel International Finance Ltd.(b),(u)
|
Tranche B 1st Lien Term Loan
|
3-month USD LIBOR + 3.250%
05/27/2024
| 7.885%
|
| 2,725,574
| 2,337,862
|
SBA Senior Finance II LLC(b),(u)
|
Term Loan
|
3-month USD LIBOR + 1.750%
04/11/2025
| 6.410%
|
| 711,475
| 709,995
|
Total
| 3,047,857
|
Wirelines 0.0%
|
Frontier Communications Corp.(b),(u)
|
Tranche B Term Loan
|
1-month USD LIBOR + 3.750%
Floor 0.750%
05/01/2028
| 8.500%
|
| 209,867
| 204,784
|
Telenet Financing USD LLC(b),(u)
|
Tranche AR Term Loan
|
6-month USD LIBOR + 2.000%
04/30/2028
| 6.588%
|
| 750,000
| 732,188
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
78
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Senior Loans (continued)
|
Borrower
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 79
|
Portfolio of Investments (continued)
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
|
At February 28, 2023, securities
and/or cash totaling $57,953,214 were pledged as collateral.
Investments in derivatives
Forward foreign currency exchange contracts
|
Currency to
be sold
| Currency to
be purchased
| Counterparty
| Settlement
date
| Unrealized
appreciation ($)
| 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 ($)
|
U.S. Long Bond
| (1,011)
| 06/2023
| USD
| (126,596,156)
| 666,356
| —
|
U.S. Treasury 5-Year Note
| (464)
| 06/2023
| USD
| (49,673,375)
| 135,993
| —
|
U.S. Treasury Ultra 10-Year Note
| (285)
| 06/2023
| USD
| (33,398,438)
| 92,926
| —
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
80
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Short futures contracts (continued)
|
Description
| Number of
contracts
| Expiration
date
| Trading
currency
| Notional
amount
| Value/Unrealized
appreciation ($)
| 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%
|
Notes to Portfolio of
Investments
(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)
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 81
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Notes to Portfolio of Investments (continued)
(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
|
Abbreviation Legend
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
|
Currency Legend
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in
The accompanying Notes to Financial Statements are
an integral part of this statement.
82
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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.
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
|
|
|
|
|
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
|
|
|
|
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 83
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
| 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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
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.
Derivative instruments are valued at
unrealized appreciation (depreciation).
The Fund does not hold any
significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
84
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 85
|
Statement of Operations
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)
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
86
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 87
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
88
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
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|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Multi-Manager Total Return Bond
Strategies Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end
management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of
the share classes listed in the Statement of Assets and Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued based on prices obtained from pricing services, which are intended to reflect market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing
techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes.
Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities
maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management
believes does not approximate fair value.
Senior loan securities for which
reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
rates are determined at the scheduled closing time
of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such
exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the
Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited
to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good
faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if
available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange
contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 91
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
also use derivative instruments to mitigate
certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation
margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will
typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker or receive interest income on cash collateral pledged to the broker. The Fund attempts to mitigate
counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination
rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk,
whether termination would result in a net liability owed from the counterparty.
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Forward foreign currency exchange
contracts
Forward foreign currency exchange
contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure
associated with some or all of the Fund’s securities. These instruments may be used for other purposes in future periods.
The values of forward foreign
currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is
exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires. Non-deliverable forward foreign currency exchange contracts are settled with the
counterparty in U.S. dollars without delivery of foreign currency.
The use of forward foreign currency
exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign
currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in
the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to produce incremental earnings, to manage the
duration and yield curve exposure of the Fund versus the benchmark, to manage exposure to movements in interest rates, to manage exposure to the securities market and to hedge against market volatility. These
instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a
loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying
asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss
when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and are entered into bilaterally or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a
broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with
the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities
deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. For a bilateral swap contract, the Fund has
credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. For centrally cleared swap contracts, the Fund has
minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes in value are recorded
as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement of Assets and
Liabilities.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 93
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Entering into these contracts
involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there
may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in
significant losses, and that the bilateral counterparty, FCM or CCP, as applicable, may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit
default swap contracts to increase or decrease its credit exposure to an index, to increase or decrease its credit exposure to a specific debt security or a basket of debt securities, as a protection buyer to reduce
overall credit exposure and to manage credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are transactions in which one party pays fixed periodic
payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are contract specific,
credit events are typically bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit
default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange
for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the
value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
Any upfront payment or receipt by
the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default
swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can
involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging
risk, correlation risk and liquidity risk.
Interest rate and inflation rate swap
contracts
The Fund entered into interest rate
swap transactions and/or inflation rate swap contracts to produce incremental earnings, to manage interest rate and market risk exposure to produce incremental earnings, to gain exposure to or protect itself from
market rate changes and to hedge the portfolio risk associated with some or all of the Fund’s securities. These instruments may be used for other purposes in future periods. An interest rate swap or inflation
rate swap, as applicable, is an agreement between two parties where there are two flows and payments are made between the two counterparties and the payments are dependent upon changes in an interest rate, inflation
rate or inflation index calculated on a nominal amount. Interest rate swaps are agreements between two parties that involve the exchange of one type of interest rate for another type of interest rate cash flow on
specified dates in the future, based on a predetermined, specified notional amount. Certain interest rate swaps are considered forward-starting, whereby the accrual for the exchange of cash flows does not begin until
a specified date in the future. The net cash flow for a standard interest rate swap transaction is generally the difference between a floating market interest rate versus a fixed interest rate.
Interest rate swaps are valued
daily and unrealized appreciation (depreciation) is recorded. Certain interest rate swaps may accrue periodic interest on a daily basis as a component of unrealized appreciation (depreciation); the Fund will realize a
gain or loss upon the payment or receipt of accrued interest. The Fund will realize a gain or a loss when the interest rate swap is terminated.
94
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at February 28, 2023:
| 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 ($)
|
Interest rate risk
| Component of total distributable earnings (loss) — unrealized depreciation on futures contracts
| 7,546,542*
|
Interest rate risk
| Component of total distributable earnings (loss) — unrealized depreciation on swap contracts
| 13,616,421*
|
Total
|
| 21,162,963
|
*
| Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in
the Statement of Assets and Liabilities.
|
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended February 28, 2023:
Amount of realized gain (loss) on derivatives recognized in income
|
Risk exposure category
| Forward
foreign
currency
exchange
contracts
($)
| 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
($)
|
Credit risk
| —
| —
| (1,196,025)
| (1,196,025)
|
Foreign exchange risk
| (7,389)
| —
| —
| (7,389)
|
Interest rate risk
| —
| 2,650,826
| (3,532,621)
| (881,795)
|
Total
| (7,389)
| 2,650,826
| (4,728,646)
| (2,085,209)
|
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 95
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended February 28, 2023:
Derivative instrument
| Average notional
amounts ($)*
|
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.
|
Investments in senior loans
The Fund may invest in senior loan
assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from
which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience
delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters
into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In
addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when
purchased, may become illiquid.
The Fund may enter into senior loan
assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are generally traded and priced in the
same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund
designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered.
Instead, the Fund agrees to accept any security that meets specified terms.
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Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA
maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Forward sale commitments
The Fund may enter into forward
sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of forward sale commitments are not received until the contractual
settlement date. While a forward sale commitment is outstanding, equivalent deliverable securities or an offsetting forward purchase commitment deliverable on or before the sale commitment date are used to satisfy the
commitment.
Unsettled forward sale commitments
are valued at the current market value of the underlying securities, generally according to the procedures described under “Security Valuation” above. The forward sale commitment is
“marked-to-market” daily and the change in market value is recorded by the Fund as an unrealized gain or loss. If the forward sale commitment is closed through the acquisition of an offsetting purchase
commitment, the Fund realizes a gain or loss. If the Fund delivers securities under the commitment, the Fund realizes a gain or a loss from the sale of the securities based upon the market price established at the
date the commitment was entered into.
Mortgage dollar roll transactions
The Fund may enter into mortgage
“dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type,
coupon and maturity) on a specified future date. These transactions may increase the Fund’s portfolio turnover rate. During the roll period, the Fund loses the right to receive principal and interest paid on the
securities sold. However, the Fund may benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the
securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized
gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique may
diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. Mortgage dollar rolls involve the risk that the market value of the securities
the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations. All cash proceeds will be invested in instruments that are permissible investments
for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing
transactions.
Treasury inflation protected
securities
The Fund may invest in treasury
inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded
as interest income in the Statement of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
Interest only and principal only
securities
The Fund may invest in Interest
Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates
and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the
issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income in the Statement of Operations. Because no principal will be received at the maturity of
an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income in the Statement of Operations. POs are stripped securities entitled to
receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to
credit risk because the Fund may not receive
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Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
all or part of its principal if the issuer,
obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed securities. Payments received for POs are treated as reductions to the cost and par value of
the securities.
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of February 28, 2023:
| 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.
|
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans
purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income. For convertible securities, premiums attributable to the conversion feature are
not amortized.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. The Fund may also adjust
accrual rates when it becomes probable the full interest will not be collected and a partial payment will be received. A defaulted debt security is removed from non-accrual status when the issuer resumes interest
payments or when collectability of interest is reasonably assured.
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a
98
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
wholly-owned subsidiary of Ameriprise Financial,
Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in
return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
The value of additional securities
received as an income payment through a payment in kind, if any, is recorded as interest income and increases the cost basis of such securities.
The Fund may receive other income
from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of
Operations.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by the
Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee
that is equal to a percentage of the Fund’s daily net assets that declines from 0.50% to 0.34% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months
ended February 28, 2023 was 0.45% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered
into Subadvisory Agreements with Loomis, Sayles & Company, L.P., PGIM, Inc., the asset management arm of Prudential Financial (PGIM Fixed Income), TCW Investment Management Company LLC and Voya Investment
Management Co. LLC, each of which subadvises a portion of the assets of the Fund. New investments in the Fund, net of any redemptions, are allocated in accordance with the Investment Manager’s determination.
Each subadviser’s proportionate share of investments in the Fund may also vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s
assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
100
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 3 Class shares are subject to an annual limitation of not
more than 0.02% of the average daily net assets attributable to Institutional 3 Class shares.
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%)
|
Institutional Class
| 0.04
|
Institutional 3 Class
| 0.02
|
Distribution and service fees
The Fund has an agreement with
Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Fund
does not pay the Distributor a fee for the distribution services it provides to the Fund.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| Fee rate(s) contractual
through
December 31, 2023
|
Institutional Class
| 0.49%
|
Institutional 3 Class
| 0.47
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 101
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
specifically approved by the Board of Trustees.
This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements
described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
(depreciation) ($)
|
12,023,997,000
| 21,881,000
| (967,068,000)
| (945,187,000)
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at August 31, 2022, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
No expiration
short-term ($)
| No expiration
long-term ($)
| Total ($)
|
(350,681,507)
| (178,135,050)
| (528,816,557)
|
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $15,786,168,552 and $15,821,418,765, respectively, for the six months ended February 28, 2023, of which
$14,054,966,925 and $13,885,282,831, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
Borrower or lender
| Average loan
balance ($)
| Weighted average
interest rate (%)
| Number of days
with outstanding loans
|
Lender
| 7,240,000
| 4.50
| 5
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus
in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency,
index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund.
Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging
risk, leverage risk, liquidity risk and pricing risk.
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by
governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise interest rates. Increasing interest rates may
negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt
security, the greater its sensitivity to changes in interest rates. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Mortgage- and other asset-backed
securities risk
The value of any mortgage-backed
and other asset-backed securities including collateralized debt obligations, if any, held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the
interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements;
or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by
the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities
issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private
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|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
mortgage insurance companies, mortgage bankers and
other secondary market issuers) may entail greater risk than obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or
flattening of housing values may cause delinquencies in mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed
securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed
securities, making their prices more volatile and more sensitive to changes in interest rates.
Shareholder concentration risk
At February 28, 2023, affiliated
shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 105
|
Approval of
Subadvisory Agreement Amendment
(Unaudited)
Columbia Management Investment
Advisers, LLC (the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves
as the investment manager to Multi-Manager Total Return Bond Strategies Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager provides investment advice and other services to
the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, under the subadvisory agreements (the Subadvisory Agreements) between the Investment
Manager and each of Loomis, Sayles & Company, L.P., PGIM, Inc. (PGIM), TCW Investment Management Company LLC and Voya Investment Management Co. LLC (Voya) (collectively, the Subadvisers), the Subadvisers provide
portfolio management and related services for the Fund. At their meeting on November 4, 2022, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees),
approved amendments to (i) the Subadvisory Agreement between the Investment Manager and PGIM (the PGIM Subadvisory Agreement) and (ii) the Subadvisory Agreement between the Investment Manager and Voya (the Voya
Subadvisory Agreement), each for the purpose of reducing the fees payable thereunder by the Investment Manager to PGIM and Voya, respectively.
The Independent Trustees considered
how the amendment to the PGIM Subadvisory Agreement and the amendment to the Voya Subadvisory Agreement would reduce the subadvisory fee rate paid by the Investment Manager to PGIM and Voya, respectively, under the
current subadvisory agreements. The Independent Trustees also considered that the Investment Manager had confirmed that there would not be any change to the nature or quality of the subadvisory services provided as a
result of entering into the amendments, and that the PGIM Subadvisory Agreement, as amended, and the Voya Subadvisory Agreement, as amended, were each substantially similar to the current subadvisory agreements in
place except for the reduced fee. The Independent Trustees reviewed the performance of the Fund and each of the Subadvisers, as well as the level of management fees and total expenses paid by the Fund. The Independent
Trustees noted that no management fees were proposed to change and that the level of services provided by the Investment Manager was also not proposed to change. The Independent Trustees also noted that the Contracts
Committee, as part of the 2023 15(c) process, would further review the continued reasonableness of each Fund’s management fee, including taking into account the reduced subadvisory fee levels.
The Independent Trustees noted the
discussion, which is described below, relating to the renewal and approval of the advisory and subadvisory agreements for the Fund at the Contracts Committee and Board meetings in June 2022 (the June Meeting) and, in
that connection, the discussion by independent legal counsel of the Board’s responsibilities pursuant to Sections 15(c) and 36(b) of the 1940 Act and the factors that should be considered in determining whether
to approve or renew an investment management agreement. The Independent Trustees considered that they should apply these factors in considering the amendments to the PGIM Subadvisory Agreement and the Voya Subadvisory
Agreement. The Independent Trustees also considered that they should take into account the variety of written materials and oral presentations they received at their meetings in November 2022 as well as all of the
information previously considered at the June Meeting regarding the proposed 15(c) renewal of the existing Funds’ advisory and subadvisory agreements.
After considering the factors
described above relating to the amendments of the PGIM Subadvisory Agreement and the Voya Subadvisory Agreement, and taking into account all of the factors considered, as described below, as part of the approval of
the continuance of the Fund’s current PGIM Subadvisory Agreement and Voya Subadvisory Agreement in June 2022, the Board, including all of the Independent Trustees, approved the proposed amendments to each of the
PGIM Subadvisory Agreement and the Voya Subadvisory Agreement.
General conclusions in connection
with the Trustees’ previous approval of the continuance of the fund’s existing advisory agreements
On an annual basis, the Board,
including the Independent Trustees, considers renewal of the Management Agreement and the Subadvisory Agreements (together, the Advisory Agreements). The Investment Manager prepared detailed reports for the Board and
its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data
provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the
Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior
management personnel and reviews information prepared by the Investment
106
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Approval of Subadvisory Agreement
Amendment (continued)
(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.
The Board, at its June 23, 2022
Board meeting, considered the renewal of each of the Advisory Agreements for additional one-year terms. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to
the Board’s consideration of advisory and subadvisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their
legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included
the following:
•
| 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).
|
Following an analysis and
discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
Nature, extent and quality of
services provided by the Investment Manager and the Subadvisers
The Board analyzed various
reports and presentations it had received detailing the services performed by the Investment Manager and the Subadvisers, as well as their history, expertise, resources and relative capabilities, and the
qualifications of their personnel.
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 107
|
Approval of Subadvisory Agreement
Amendment (continued)
(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.
In connection with the
Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment
Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Advisory
Agreements, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment
Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed
the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring each Subadviser), noting that
no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board considered each
Subadviser’s organizational strength and resources, portfolio management team depth and capabilities and investment process. The Board also considered each Subadviser’s capability and wherewithal to carry
out its responsibilities under the applicable Subadvisory Agreement. In addition, the Board discussed the acceptability of the terms of the Subadvisory Agreements, including the scope of services required to be
performed. The Board noted that the terms of the Subadvisory Agreements are generally consistent with the terms of other subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager.
It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality
services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related
factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the
Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreements.
Investment performance
In this connection, the Board
carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various
periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s
performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by
Broadridge.
Additionally, the Board reviewed
the performance of each of the Subadvisers and the Investment Manager’s process for monitoring such Subadvisers’ performance. The Board considered, in particular, management’s rationale for
recommending the continued retention of each Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or
terminate the Subadvisers.
108
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
Approval of Subadvisory Agreement
Amendment (continued)
(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.
The Board also considered the
Investment Manager’s and Subadvisers’ performance and reputation generally and the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment
mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers, in light of other
considerations, supported the continuation of the Management Agreement and the Subadvisory Agreements.
Comparative fees, costs of
services provided and the profits realized by the Investment Manager and its affiliates from their relationships with the Fund
The Board reviewed comparative
fees and the costs of services provided under each of the Advisory Agreements. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other
things, data (based on analyses conducted by Broadridge and JDL) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the
Fund’s contribution to the Investment Manager’s profitability.
The Board considered the reports of
JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary
objective of the level of fees is to achieve a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain
exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison
universe. The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio.
Additionally, the Board reviewed
the level of subadvisory fees paid to each Subadviser, noting that the fees are paid by the Investment Manager and do not impact the fees paid by the Fund. The Board also reviewed advisory fee rates charged by other
comparable mutual funds employing each Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the
levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreements.
The Board also considered the
profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreements were negotiated at arms-length by the
Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Board did not consider the profitability to each Subadviser from its relationship with the Fund. With respect to the
profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and
distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased
from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates
in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational
advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate
profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its
affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Economies of scale
The Board considered the
potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale
were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation
Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
| 109
|
Approval of Subadvisory Agreement
Amendment (continued)
(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.
Conclusion
The Board reviewed all of the
above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreements. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board,
including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal
of each of the Advisory Agreements.
110
| Multi-Manager Total Return Bond Strategies Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Multi-Manager Total Return Bond Strategies Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Multi-Manager Small
Cap Equity Strategies Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Multi-Manager Small Cap Equity Strategies Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive
shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website
(columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Multi-Manager Small Cap Equity Strategies
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks long-term capital appreciation.
Portfolio management
Columbia Management Investment Advisers, LLC
Jarl Ginsberg, CFA, CAIA
Christian Stadlinger, Ph.D., CFA
Conestoga Capital Advisors, LLC
Robert Mitchell
Joseph Monahan, CFA
Hotchkis and Wiley Capital Management, LLC
Judd Peters, CFA
Ryan Thomes, CFA
J.P. Morgan Investment Management Inc.
Eytan Shapiro, CFA
Matthew Cohen
Jacobs Levy Equity Management, Inc.
Bruce Jacobs, Ph.D.
Kenneth Levy, CFA
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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
|
All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the
effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance
results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*
| 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.
|
The Russell 2000 Index measures the
performance of the small-cap segment of the U.S. equity universe. The Russell 2000 is a subset of the Russell 3000 Index representing approximately 10% of the total market capitalization of that index. It includes the
securities of approximately 2,000 of the smallest companies in the Russell 3000 Index based on a combination of their market capitalization and current index membership.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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
|
Percentages indicated are based
upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
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
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund
expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual
funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
The Fund is offered only through
certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap
program documents for information about the fees charged.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
6
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
8
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 9
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
10
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 11
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
12
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 13
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
14
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 15
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
16
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 17
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
18
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 19
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Notes to Portfolio of
Investments
(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
|
Abbreviation Legend
ADR
| American Depositary Receipt
|
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
The accompanying Notes to Financial Statements are
an integral part of this statement.
20
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
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
|
|
|
|
|
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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund does not hold any
significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 21
|
Statement of Assets and Liabilities
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.
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
22
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Statement of Operations
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
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 23
|
Statement of Changes in Net Assets
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
24
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 25
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
26
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 27
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Multi-Manager Small Cap Equity
Strategies Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end
management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of
the share classes listed in the Statement of Assets and Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
28
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 29
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by the
Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee
that is equal to a percentage of the Fund’s daily net assets that declines from 0.87% to 0.75% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months
ended February 28, 2023 was 0.83% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered
into Subadvisory Agreements with Conestoga Capital Advisors, LLC, Hotchkis and Wiley Capital Management, LLC, J.P. Morgan Investment Management Inc. and Jacobs Levy Equity Management, Inc., each of which subadvises a
portion of the assets of the Fund. New investments in the Fund, net of any redemptions, are allocated in accordance with the Investment Manager’s determination. Each subadviser’s proportionate share of
investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain
30
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
funds managed by the Investment Manager. The
Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a
general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred
compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 3 Class shares are subject to an annual limitation of not
more than 0.02% of the average daily net assets attributable to Institutional 3 Class shares.
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%)
|
Institutional Class
| 0.33
|
Institutional 3 Class
| 0.02
|
Distribution and service fees
The Fund has an agreement with
Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Fund
does not pay the Distributor a fee for the distribution services it provides to the Fund.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 31
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| Fee rate(s) contractual
through
December 31, 2023
|
Institutional Class
| 0.99%
|
Institutional 3 Class
| 0.81
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
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
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $741,016,994 and $280,061,762, respectively, for the six months ended February 28, 2023. The amount of
purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
32
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the six months ended February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus
in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Significant
risks
Industrials sector risk
The Fund is more susceptible to the
particular risks that may affect companies in the industrials sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the industrials sector are subject to certain risks,
including changes in supply and demand for their specific product or service and for industrial sector products in general, including decline in demand for such products due to rapid technological developments and
frequent new product introduction. Performance of such companies may be affected by factors including government regulation, world events and economic conditions and risks for environmental damage and product
liability claims.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 33
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Shareholder concentration risk
At February 28, 2023, affiliated
shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Small- and mid-cap company risk
Investments in small- and
mid-capitalization companies (small- and mid-cap companies) often involve greater risks than investments in larger, more established companies (larger companies) because small- and mid-cap companies tend to have less
predictable earnings and may lack the management experience, financial resources, product diversification and competitive strengths of larger companies. Securities of small- and mid-cap companies may be less liquid
and more volatile than the securities of larger companies.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly
34
| Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
(10-Q), annual (10-K) and, as necessary, 8-K
filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at
www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
Multi-Manager Small Cap Equity Strategies Fund | Semiannual Report 2023
| 35
|
Multi-Manager Small Cap Equity Strategies Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Multi-Manager
International Equity Strategies Fund
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
If you elect to receive the
shareholder report for Multi-Manager International Equity Strategies Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to
receive shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’
website (columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please
call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Multi-Manager International Equity Strategies
Fund | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks long-term capital appreciation.
Portfolio management
Arrowstreet Capital, Limited Partnership
Peter Rathjens, Ph.D.
Manolis Liodakis, Ph.D., M.B.A.
John Campbell, Ph.D.
Derek Vance, CFA
Christopher Malloy, Ph.D.
Baillie Gifford Overseas Limited
Donald Farquharson, CFA
Andrew Stobart
Jenny Davis
Tom Walsh, CFA
Chris Davies
Steve Vaughan, CFA
Causeway Capital Management LLC
Sarah Ketterer, M.B.A.
Harry Hartford
Conor Muldoon, CFA, M.B.A
Alessandro Valentini, CFA, M.B.A.
Jonathan Eng, M.B.A.
Ellen Lee, M.B.A.
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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
|
All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the
effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance
results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
*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
The MSCI EAFE Index (Net) is a free
float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of
Europe, Australasia and the Far East and is widely recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Index (Net), which reflects reinvested dividends net of withholding taxes) or other
expenses of investing. Securities in the Fund may not match those in an index.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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
|
Percentages indicated are based upon
total equity investments. The Fund’s portfolio composition is subject to change.
4
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Fund at a Glance (continued)
(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.
|
Country breakdown is based
primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject
to change.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 5
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund
expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual
funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
The Fund is offered only through
certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap
program documents for information about the fees charged.
6
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
8
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 9
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
10
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 11
|
Portfolio of Investments (continued)
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
12
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
Notes to Portfolio of
Investments
(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 ($)
|
Gazprom PJSC
| 11/11/2020-06/10/2021
| 1,247,200
| 3,820,620
| —
|
Lukoil PJSC
| 03/30/2020-12/29/2021
| 31,251
| 2,094,074
| —
|
Magnit PJSC
| 05/23/2018-11/22/2021
| 63,585
| 5,002,872
| —
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 13
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Notes
to Portfolio of Investments (continued)
Security
| Acquisition
Dates
| Shares
| Cost ($)
| 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
|
Abbreviation Legend
ADR
| American Depositary Receipt
|
GDR
| Global Depositary Receipt
|
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
The accompanying Notes to Financial Statements are
an integral part of this statement.
14
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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.
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
|
|
|
|
|
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 15
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
See the Portfolio of Investments for all investment classifications not indicated in the table.
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.
The Fund does not hold any significant
investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
16
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 17
|
Statement of Operations
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
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
18
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Statement of Changes in Net Assets
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 19
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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.
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
20
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Financial Highlights (continued)
| 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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 21
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Multi-Manager International
Equity Strategies Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an
open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of
the share classes listed in the Statement of Assets and Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
22
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 23
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by the
Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee
that is equal to a percentage of the Fund’s daily net assets that declines from 0.87% to 0.67% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months
ended February 28, 2023 was 0.79% of the Fund’s average daily net assets.
24
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Subadvisory agreements
The Investment Manager has entered
into Subadvisory Agreements with Arrowstreet Capital, Limited Partnership, Baillie Gifford Overseas Limited and Causeway Capital Management LLC, each of which subadvises a portion of the assets of the Fund. New
investments in the Fund, net of any redemptions, are allocated in accordance with the Investment Manager’s determination. Each subadviser’s proportionate share of the investments in the Fund may also vary
due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 3 Class shares are subject to an annual limitation of not
more than 0.02% of the average daily net assets attributable to Institutional 3 Class shares.
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%)
|
Institutional Class
| 0.16
|
Institutional 3 Class
| 0.02
|
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 25
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Distribution and service fees
The Fund has an agreement with
Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Fund
does not pay the Distributor a fee for the distribution services it provides to the Fund.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
| 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
|
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be
modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are
not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
appreciation ($)
|
1,972,905,000
| 314,364,000
| (137,270,000)
| 177,094,000
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at August 31, 2022 as arising on September 1, 2022.
Late year
ordinary losses ($)
| Post-October
capital losses ($)
|
—
| 43,210,363
|
26
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $368,925,160 and $722,473,063, respectively, for the six months ended February 28, 2023. The amount of
purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
Borrower or lender
| Average loan
balance ($)
| Weighted average
interest rate (%)
| Number of days
with outstanding loans
|
Borrower
| 2,800,000
| 5.10
| 4
|
Interest expense incurred by the
Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 27
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
of banks led by JPMorgan Chase Bank, N.A.,
Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the
federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Note 9. Significant
risks
Foreign securities and emerging
market countries risk
Investing in foreign securities may
involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business
operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In
addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased
inflation, deflation or currency devaluation. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated
with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and
disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board,
which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue
shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against
foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly
susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net
asset value may be more volatile than the net asset value of a more geographically diversified fund.
Asia Pacific Region. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries in the Asia Pacific region. Many of the countries in
the region are considered underdeveloped or developing, including from a political, economic and/or social perspective, and may have relatively unstable governments and economies based on limited business, industries
and/or natural resources or commodities. Events in any one country within the region may impact other countries in the region or the region as a whole. As a result, events in the region will generally have a greater
effect on the Fund than if the Fund were more geographically diversified. This could result in increased volatility in the value of the Fund’s investments and losses for the Fund. Also, securities of some
companies in the region can be less liquid than U.S. or other foreign securities, potentially making it difficult for the Fund to sell such securities at a desirable time and price.
Europe. The Fund is particularly susceptible to risks related to economic, political, regulatory or other events or conditions, including acts of war or other conflicts in the region, affecting
issuers and countries in Europe. Countries in Europe are often closely connected and interdependent, and events in one European country can have an adverse impact on, and potentially spread to, other European
countries. In addition, significant private or public debt problems in a single European Union (EU) country can pose economic risks to the EU as a whole. As a result, the Fund’s net asset value may be more
volatile than the net asset value of a more geographically diversified fund. If securities of issuers in Europe fall out of favor, it may cause the Fund to underperform other funds that do not focus their investments
in this region of the world. The departure of the United Kingdom (UK) from the EU single market became effective January 1, 2021 with the end of the Brexit transition period and the post-Brexit trade deal between the
UK and EU taking effect on December 31, 2020. The impact of Brexit on the UK and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets
generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in Europe, which may adversely affect the value of your investment in the Fund.
28
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Shareholder concentration risk
At February 28, 2023, affiliated
shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to
Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
| 29
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
estimate the possible loss or range of loss that
may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated
financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to the Fund.
30
| Multi-Manager International Equity Strategies Fund | Semiannual Report 2023
|
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Multi-Manager International Equity Strategies
Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
Semiannual
Report
February 28, 2023 (Unaudited)
Overseas SMA
Completion Portfolio
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
Overseas SMA Completion Portfolio
(the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investment-products/managed-accounts/; or searching the website of the Securities and Exchange Commission (SEC) at
sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available
without charge by visiting columbiathreadneedleus.com/investment-products/managed-accounts/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investment-products/managed-accounts/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7
p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Overseas SMA Completion
Portfolio | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks long-term capital appreciation.
The Fund
is intended to be used as part of a broader separately managed account (SMA) program. The objective of the Fund is intended to be evaluated in the context of the broader SMA program. The Fund is not designed to be
used as a stand-alone investment.
Portfolio management
Fred Copper, CFA
Co-Portfolio Manager
Managed Fund since 2019
Daisuke Nomoto, CMA (SAAJ)
Co-Portfolio Manager
Managed Fund since 2019
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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
|
All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the
effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance
results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investment-products/managed-accounts/ or calling 800.345.6611.
The Fund is only offered to SMA
clients as described in the Fund’s prospectus. The Fund’s performance does not reflect any payments to SMA program sponsors or the Investment Manager of any applicable fees by clients in SMA programs and
will differ from the performance of a participant’s overall SMA. For more information about your SMA’s performance, please contact your SMA program sponsor or financial intermediary.
The MSCI EAFE Value Index (Net) is a
subset of the MSCI EAFE Index (Net), and constituents of the index include securities from Europe, Australasia and the Far East. The index generally represents approximately 50% of the free-float adjusted market
capitalization of the MSCI EAFE Index (Net), and consists of those securities classified by MSCI Inc. as most representing the value style, such as, higher book value-to-price ratios, higher forward earnings-to-price
ratios, higher dividend yields and lower forecasted growth rates than securities representing the growth style.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Value Index (Net) which reflects reinvested dividends net of withholding taxes) or
other expenses of investing. Securities in the Fund may not match those in an index.
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
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.
|
Country breakdown is based
primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject
to change.
4
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund
expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual
funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the
beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual”
column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over
the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual”
column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense
ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during
the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| 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
|
Expenses paid during the period
are equal to the annualized expense ratio as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and
divided by 365.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
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
|
The accompanying Notes to Financial
Statements are an integral part of this statement.
6
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
Portfolio of Investments (continued)
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
|
At February 28, 2023,
securities and/or cash totaling $3,407 were pledged as collateral.
Investments in
derivatives
Long futures contracts
|
Description
| Number of
contracts
| Expiration
date
| Trading
currency
| Notional
amount
| Value/Unrealized
appreciation ($)
| Value/Unrealized
depreciation ($)
|
MSCI EAFE Index
| 1
| 03/2023
| USD
| 102,330
| 3,423
| —
|
Notes to Portfolio of
Investments
(a)
| Non-income producing investment.
|
(b)
| The rate shown is the seven-day current annualized yield at February 28, 2023.
|
(c)
| As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a
company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 28, 2023 are as follows:
|
Affiliated issuers
| Beginning
of period($)
| 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
|
Abbreviation Legend
ADR
| American Depositary Receipt
|
Currency Legend
Fair value
measurements
The Fund categorizes
its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when
available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that
reflect the Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are
summarized in the three broad levels listed below:
The accompanying Notes to Financial Statements are
an integral part of this statement.
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
■
| 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).
|
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.
Foreign equity securities actively
traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact
of market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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.
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
|
|
|
|
|
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
8
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
| 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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
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.
Derivative instruments are valued at
unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are
an integral part of this statement.
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 9
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
10
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
Statement of Operations
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
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 11
|
Statement of Changes in Net Assets
| 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)
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
12
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share held for the periods shown. Per share net investment income (loss) amounts are calculated
based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and
portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives,
if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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.
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 13
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Overseas SMA Completion Portfolio
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). Shares of the Fund may only be purchased and held by or on behalf of separately managed account (SMA) clients.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on
any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available,
the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the
policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S.
securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that
reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
14
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation
margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will
typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 15
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Master Agreement, the Fund may, under certain
circumstances, offset with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master
Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a
particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker or receive interest income on cash collateral pledged to the broker. The Fund attempts to mitigate
counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination
rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk,
whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to maintain appropriate equity market
exposure while keeping sufficient cash to accommodate daily redemptions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not
achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the
contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss
when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
16
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at February 28, 2023:
| 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.
|
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended February 28, 2023:
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
|
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended February 28, 2023:
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.
|
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported,
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 17
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
estimates for return of capital are made by
Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted
when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund.
Determination of net asset value
The net asset value per share of
the Fund is computed by dividing the value of the net assets of the Fund by the total number of outstanding shares of that Fund, rounded to the nearest cent, at the close of regular trading (ordinarily 4:00 p.m.
Eastern Time) every day the New York Stock Exchange is open.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
18
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund does not pay a management
fee to Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). However, Fund shares may only be purchased and held by or
on behalf of SMAs where the Investment Manager has an agreement with the SMA program sponsor (the Program Sponsor), or directly with the SMA client, to provide investment management services to the Program Sponsor or
the SMA. SMAs pay a fee directly, or indirectly through Program Sponsors, to the Investment Manager for providing investment management services to the Program Sponsor or the SMA, including on assets that may be
invested in the Fund.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees.
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 19
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rate as a percentage of average daily net assets was 0.01%.
Distribution and service fees
The Fund has an agreement with
Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Fund
does not pay the Distributor a fee for the distribution services it provides to the Fund.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below), through December 31, 2023, unless sooner terminated at the sole discretion of
the Board of Trustees, so that the Fund’s net operating expenses, including indirect expenses of the underlying funds, after giving effect to fees waived/expenses reimbursed and any balance credits and/or
overdraft charges from the Fund’s custodian, do not exceed the annual rate of 0.00% of the Fund’s average daily net assets.
Under the agreement governing this
fee waiver and/or expense reimbursement arrangement, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including
foreign transaction taxes), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and
expenses, transaction charges and interest on borrowed money, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by
the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense
reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
appreciation ($)
|
5,149,000
| 649,000
| (512,000)
| 137,000
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at August 31, 2022 as arising on September 1, 2022.
Late year
ordinary losses ($)
| Post-October
capital losses ($)
|
—
| 487,433
|
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
20
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $928,164 and $1,059,684, respectively, for the six months ended February 28, 2023. The amount of purchase and
sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes
referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the six months ended February 28, 2023 was as follows:
Borrower or lender
| Average loan
balance ($)
| Weighted average
interest rate (%)
| Number of days
with outstanding loans
|
Borrower
| 300,000
| 4.85
| 2
|
Interest expense incurred by the
Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus
in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 21
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 9. Significant
risks
Completion funds risk
Investors should be aware that the
investments made by the Fund and the results achieved by the Fund at any given time are not expected to be the same as those made by other funds for which the Investment Manager serves as investment adviser, including
funds with names, investment objectives and policies similar to the Fund. This may be attributable to a wide variety of factors, including, but not limited to, the use of a differentiated investment strategy. The Fund
is intended to be used as part of a broader SMA program. The performance and objectives of the Fund should be evaluated in the context of the broader SMA program. The Fund is not designed to be used as a stand-alone
investment. Please contact your SMA program sponsor or financial intermediary for more information.
Financial sector risk
The Fund is more susceptible to the
particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to
certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to one or more
industries or sectors, which makes them vulnerable to economic conditions that affect such industries or sectors. Performance of such companies may be affected by competitive pressures and exposure to investments,
agreements and counterparties, including credit products that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental
regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely
dependent upon the availability and the cost of capital.
Foreign securities and emerging
market countries risk
Investing in foreign securities may
involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business
operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In
addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased
inflation, deflation or currency devaluation. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the risks associated
with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and
disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board,
which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue
shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against
foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly
susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net
asset value may be more volatile than the net asset value of a more geographically diversified fund.
Asia Pacific Region. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries in the Asia Pacific region. Many of the countries in
the region are considered underdeveloped or developing, including from a political, economic and/or social perspective, and may have relatively unstable governments and economies based on limited business, industries
and/or natural resources or commodities. Events in any one country within the region may impact other countries in the region or the region as a whole. As a result, events in the region will generally have a greater
effect on the Fund than if the Fund were more geographically diversified. This could result in
22
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
increased volatility in the value of the
Fund’s investments and losses for the Fund. Also, securities of some companies in the region can be less liquid than U.S. or other foreign securities, potentially making it difficult for the Fund to sell such
securities at a desirable time and price.
Europe. The Fund is particularly susceptible to risks related to economic, political, regulatory or other events or conditions, including acts of war or other conflicts in the region, affecting
issuers and countries in Europe. Countries in Europe are often closely connected and interdependent, and events in one European country can have an adverse impact on, and potentially spread to, other European
countries. In addition, significant private or public debt problems in a single European Union (EU) country can pose economic risks to the EU as a whole. As a result, the Fund’s net asset value may be more
volatile than the net asset value of a more geographically diversified fund. If securities of issuers in Europe fall out of favor, it may cause the Fund to underperform other funds that do not focus their investments
in this region of the world. The departure of the United Kingdom (UK) from the EU single market became effective January 1, 2021 with the end of the Brexit transition period and the post-Brexit trade deal between the
UK and EU taking effect on December 31, 2020. The impact of Brexit on the UK and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets
generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in Europe, which may adversely affect the value of your investment in the Fund.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Non-diversification risk
A non-diversified fund is permitted
to invest a greater percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of
the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At February 28, 2023, two
unaffiliated shareholders of record owned 55.8% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated
shareholders of record owned 44.2% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a
Overseas SMA Completion Portfolio | Semiannual Report 2023
| 23
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
large redemption, the Fund may be forced to sell
investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased
economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Small- and mid-cap company risk
Investments in small- and
mid-capitalization companies (small- and mid-cap companies) often involve greater risks than investments in larger, more established companies (larger companies) because small- and mid-cap companies tend to have less
predictable earnings and may lack the management experience, financial resources, product diversification and competitive strengths of larger companies. Securities of small- and mid-cap companies may be less liquid
and more volatile than the securities of larger companies.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
24
| Overseas SMA Completion Portfolio | Semiannual Report 2023
|
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BLANK]
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Overseas SMA Completion Portfolio
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
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.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investment-products/managed-accounts/
Semiannual
Report
February 28, 2023 (Unaudited)
Multisector Bond
SMA Completion Portfolio
Not FDIC or NCUA Insured •
No Financial Institution Guarantee • May Lose Value
Multisector Bond SMA Completion
Portfolio (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report,
please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investment-products/managed-accounts/; or searching the website of the Securities and Exchange Commission (SEC) at
sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available
without charge by visiting columbiathreadneedleus.com/investment-products/managed-accounts/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investment-products/managed-accounts/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7
p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors,
Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Multisector Bond SMA Completion
Portfolio | Semiannual Report 2023
Fund at a Glance
(Unaudited)
Investment objective
The Fund
seeks total return, consisting of current income and capital appreciation.
The Fund
is intended to be used as part of a broader separately managed account (SMA) program. The objective of the Fund is intended to be evaluated in the context of the broader SMA program. The Fund is not designed to be
used as a stand-alone investment.
Portfolio management
Gene Tannuzzo, CFA
Lead Portfolio Manager
Managed Fund since 2019
Jason Callan
Portfolio Manager
Managed Fund since 2019
Alex Christensen, CFA
Portfolio Manager
Managed Fund since 2021
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
|
All results shown assume
reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the
effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance
results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investment-products/managed-accounts/ or calling 800.345.6611.
The Fund is only offered to SMA
clients as described in the Fund’s prospectus. The Fund’s performance does not reflect any payments to SMA program sponsors or the Investment Manager of any applicable fees by clients in SMA programs and
will differ from the performance of a participant’s overall SMA. For more information about your SMA’s performance, please contact your SMA program sponsor or financial intermediary.
The Bloomberg U.S. Aggregate Bond
Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed
securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 3
|
Fund at a Glance (continued)
(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.
|
Percentages indicated are based upon
total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Quality breakdown (%) (at February 28, 2023)
|
AAA rating
| 100.0
|
Total
| 100.0
|
Percentages indicated are based
upon total fixed income investments.
Bond ratings apply to the underlying
holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the
highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. If a security is
not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. When a bond is not rated by any rating agency, it is designated as “Not
rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one
of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and
leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g.,
interest rate and time to maturity) and the amount and type of any collateral.
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
|
(a) The Fund has market exposure
(long and/or short) to fixed income through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument
and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given
changes in individual markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments, and Note 2 of the Notes to Financial
Statements.
4
| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
|
Understanding Your Fund’s
Expenses
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund
expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual
funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the
beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual”
column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over
the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual”
column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense
ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during
the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
September 1, 2022 — February 28, 2023
|
| Account value at the
beginning of the
period ($)
| Account value at the
end of the
period ($)
| Expenses paid during
the period ($)
| Fund’s annualized
expense ratio (%)
| Effective expenses
paid during the
period ($)
| Fund’s effective
annualized
expense ratio (%)
|
| Actual
| Hypothetical
| Actual
| Hypothetical
| Actual
| Hypothetical
| Actual
| Actual
| Hypothetical
| Actual
|
Multisector Bond SMA Completion Portfolio
| 1,000.00
| 1,000.00
| 1,075.90
| 1,024.84
| (0.05)
| (0.05)
| (0.01)
| 0.00
| 0.00
| 0.00
|
Expenses paid during the period
are equal to the annualized expense ratio as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and
divided by 365.
Effective expenses paid during the
period and the Fund’s effective annualized expense ratio include expenses borne directly to the Fund plus the Fund’s pro rata portion of the ongoing expenses charged by the underlying funds using the
expense ratio of the underlying funds as of the underlying fund’s most recent shareholder report.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 5
|
Portfolio of Investments
February 28, 2023 (Unaudited)
(Percentages represent value of
investments compared to net assets)
Investments in securities
Residential Mortgage-Backed Securities - Agency 90.6%
|
Issuer
| Coupon
Rate
|
| Principal
Amount ($)
| 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
|
At February 28, 2023,
securities and/or cash totaling $288,014 were pledged as collateral.
Investments in
derivatives
Long futures contracts
|
Description
| Number of
contracts
| Expiration
date
| Trading
currency
| Notional
amount
| Value/Unrealized
appreciation ($)
| Value/Unrealized
depreciation ($)
|
U.S. Treasury 10-Year Note
| 7
| 06/2023
| USD
| 781,594
| 696
| —
|
Short futures contracts
|
Description
| Number of
contracts
| Expiration
date
| Trading
currency
| Notional
amount
| Value/Unrealized
appreciation ($)
| 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.
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
6
| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
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 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
|
Abbreviation Legend
Currency Legend
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in 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.
Fair value inputs are summarized in
the three broad levels listed below:
■
| 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).
|
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.
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.
The Fund’s Board of Trustees
(the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market
quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization,
including operations and accounting, trading and investments, compliance, risk management and legal.
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.
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 7
|
Portfolio of Investments (continued)
February 28, 2023 (Unaudited)
Fair value measurements (continued)
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
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
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.
Derivative instruments are valued at
unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are
an integral part of this statement.
8
| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
|
Statement of Assets and Liabilities
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
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 9
|
Statement of Operations
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
|
The accompanying Notes to
Financial Statements are an integral part of this statement.
10
| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
|
Statement of Changes in Net Assets
| 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)
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 11
|
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share held for the periods shown. Per share net investment income (loss) amounts are calculated
based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and
portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives,
if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| 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.
|
The accompanying Notes to Financial Statements are
an integral part of this statement.
12
| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements
February 28, 2023 (Unaudited)
Note 1. Organization
Multisector Bond SMA Completion
Portfolio (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end
management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). Shares of the Fund may only be purchased and held by or on behalf of separately managed account (SMA) clients.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Debt securities generally are
valued based on prices obtained from pricing services, which are intended to reflect market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing
techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes.
Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities
maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management
believes does not approximate fair value.
Investments in open-end investment
companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of a settlement price, at the mean of the latest quoted bid and ask prices.
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if
available.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 13
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more
securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to
certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain
investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its
obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements
which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial
statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation
margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will
typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts
and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset
with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as
well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and
comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a
14
| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
party has to exceed a minimum transfer amount
threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from
counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker or receive interest income on cash collateral pledged to the broker. The Fund attempts to mitigate
counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination
rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk,
whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve
exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears
risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in
the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss
when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and are entered into bilaterally or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a
broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with
the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities
deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. For a bilateral swap contract, the Fund has
credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. For centrally cleared swap contracts, the Fund has
minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes in value are recorded
as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement of Assets and
Liabilities.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 15
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Entering into these contracts
involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there
may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in
significant losses, and that the bilateral counterparty, FCM or CCP, as applicable, may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit
default swap contracts to increase or decrease its credit exposure to an index and to manage credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are
transactions in which one party pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although
specified credit events are contract specific, credit events are typically bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit
default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange
for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the
value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default
swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference
obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery
value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of
undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may
be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in
which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund
bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an
indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront payment or receipt by
the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default
swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can
involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging
risk, correlation risk and liquidity risk.
16
| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at February 28, 2023:
| 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.
|
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended February 28, 2023:
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
|
The following table is a summary
of the average outstanding volume by derivative instrument for the six months ended February 28, 2023:
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.
|
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 17
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered.
Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA
maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage
“dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type,
coupon and maturity) on a specified future date. These transactions may increase the Fund’s portfolio turnover rate. During the roll period, the Fund loses the right to receive principal and interest paid on the
securities sold. However, the Fund may benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the
securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized
gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique may
diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. Mortgage dollar rolls involve the risk that the market value of the securities
the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations. All cash proceeds will be invested in instruments that are permissible investments
for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing
transactions.
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of February 28, 2023:
| 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.
|
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| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
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Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. The Fund may also adjust
accrual rates when it becomes probable the full interest will not be collected and a partial payment will be received. A defaulted debt security is removed from non-accrual status when the issuer resumes interest
payments or when collectability of interest is reasonably assured.
Dividend income is recorded on the
ex-dividend date.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund.
Determination of net asset value
The net asset value per share of
the Fund is computed by dividing the value of the net assets of the Fund by the total number of outstanding shares of that Fund, rounded to the nearest cent, at the close of regular trading (ordinarily 4:00 p.m.
Eastern Time) every day the New York Stock Exchange is open.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Tailored Shareholder Reports
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 19
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
In October 2022, the Securities and
Exchange Commission (SEC) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments
will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data
format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month
transition period after the effective date of the amendment.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund does not pay a management
fee to Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). However, Fund shares may only be purchased and held by or
on behalf of SMAs where the Investment Manager has an agreement with the SMA program sponsor (the Program Sponsor), or directly with the SMA client, to provide investment management services to the Program Sponsor or
the SMA. SMAs pay a fee directly, or indirectly through Program Sponsors, to the Investment Manager for providing investment management services to the Program Sponsor or the SMA, including on assets that may be
invested in the Fund.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the
Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of
certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All
amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any
gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. Prior to January 1, 2023, SS&C GIDS was known as DST Asset
Manager Solutions, Inc. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of
out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees.
20
| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
For the six months ended February
28, 2023, the Fund’s annualized effective transfer agency fee rate as a percentage of average daily net assets was 0.01%.
Distribution and service fees
The Fund has an agreement with
Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Fund
does not pay the Distributor a fee for the distribution services it provides to the Fund.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below), through December 31, 2023, unless sooner terminated at the sole discretion of
the Board of Trustees, so that the Fund’s net operating expenses, including indirect expenses of the underlying funds, after giving effect to fees waived/expenses reimbursed and any balance credits and/or
overdraft charges from the Fund’s custodian, do not exceed the annual rate of 0.00% of the Fund’s average daily net assets.
Under the agreement governing this
fee waiver and/or expense reimbursement arrangement, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including
foreign transaction taxes), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and
expenses, transaction charges and interest on borrowed money, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by
the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense
reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At February 28, 2023, the
approximate cost of all investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
| Gross unrealized
appreciation ($)
| Gross unrealized
(depreciation) ($)
| Net unrealized
appreciation ($)
|
4,121,000
| 120,000
| (38,000)
| 82,000
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
The Fund will elect to treat the following late-year ordinary losses and post-October capital losses at August 31, 2022 as arising on September 1, 2022.
Late year
ordinary losses ($)
| Post-October
capital losses ($)
|
3,741
| 1,312,208
|
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 21
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Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $11,343,854 and $10,203,908, respectively, for the six months ended February 28, 2023, of which $11,343,854
and $10,203,908, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests significantly in
Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is
included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its
shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions
(sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the six months ended February 28, 2023.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. Pursuant to an October 27, 2022 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager
or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the
higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility
matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee
is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 27, 2022 amendment and restatement, the Fund had access to a
revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each
participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus
in each case, 1.00%.
The Fund had no borrowings during
the six months ended February 28, 2023.
22
| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Note 9. Significant
risks
Completion funds risk
Investors should be aware that the
investments made by the Fund and the results achieved by the Fund at any given time are not expected to be the same as those made by other funds for which the Investment Manager serves as investment adviser, including
funds with names, investment objectives and policies similar to the Fund. This may be attributable to a wide variety of factors, including, but not limited to, the use of a differentiated investment strategy. The Fund
is intended to be used as part of a broader SMA program. The performance and objectives of the Fund should be evaluated in the context of the broader SMA program. The Fund is not designed to be used as a stand-alone
investment. Please contact your SMA program sponsor or financial intermediary for more information.
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency,
index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund.
Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging
risk, leverage risk, liquidity risk and pricing risk.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by
governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise interest rates. Increasing interest rates may
negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt
security, the greater its sensitivity to changes in interest rates. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Leverage risk
Leverage occurs when the Fund
increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. The use of leverage may produce volatility and may exaggerate changes in the Fund’s
net asset value and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested. Because short sales involve borrowing securities and then selling them,
the Fund’s short sales effectively leverage the Fund’s assets. The Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in
value while the short positions are outstanding, which may force the Fund to use its other assets to increase the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns.
Leverage presents the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of loss. There can be no guarantee that a leveraging strategy will be
successful.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
| 23
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Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
Generally, the less liquid the market at the time
the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and
net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and
financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may
be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a
significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine
by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of
Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses
thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and
espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in
credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events
could negatively impact Fund performance.
Money market fund investment risk
An investment in a money market
fund is not a bank deposit and is not insured or guaranteed by any bank, the FDIC or any other government agency. Certain money market funds float their net asset value while others seek to preserve the value of
investments at a stable net asset value (typically, $1.00 per share). An investment in a money market fund, even an investment in a fund seeking to maintain a stable net asset value per share, is not guaranteed and it
is possible for the Fund to lose money by investing in these and other types of money market funds. If the liquidity of a money market fund’s portfolio deteriorates below certain levels, the money market fund
may suspend redemptions (i.e., impose a redemption gate) and thereby prevent the Fund from selling its investment in the money market fund or impose a fee of up to 2% on amounts the Fund redeems from the money market
fund (i.e., impose a liquidity fee). These measures may result in an investment loss or prohibit the Fund from redeeming shares when the Investment Manager would otherwise redeem shares. In addition to the fees and
expenses that the Fund directly bears, the Fund indirectly bears the fees and expenses of any money market funds in which it invests, including affiliated money market funds. By investing in a money market fund, the
Fund will be exposed to the investment risks of the money market fund in direct proportion to such investment. To the extent the Fund invests in instruments such as derivatives, the Fund may hold investments,
which may be significant, in money market fund shares to cover its obligations resulting from the Fund’s investments in such instruments. Money market funds and the securities they invest in are subject to
comprehensive regulations. The enactment of new legislation or regulations, as well as changes in interpretation and enforcement of current laws, may affect the manner of operation, performance and/or yield of money
market funds.
Mortgage- and other asset-backed
securities risk
The value of any mortgage-backed
and other asset-backed securities including collateralized debt obligations, if any, held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the
interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities
24
| Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
|
Notes to Financial Statements (continued)
February 28, 2023 (Unaudited)
that provide any supporting letters of credit,
surety bonds or other credit enhancements; or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the
securities themselves) may be guaranteed by the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S.
Government. Mortgage-backed securities issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market
issuers) may entail greater risk than obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing
values may cause delinquencies in mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make
principal and/or interest payments to mortgage-backed securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their
prices more volatile and more sensitive to changes in interest rates.
Non-diversification risk
A non-diversified fund is permitted
to invest a greater percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of
the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At February 28, 2023, affiliated
shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection
with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its
affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform
under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory
matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to
the Fund.
Multisector Bond SMA Completion Portfolio | Semiannual Report 2023
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[THIS PAGE INTENTIONALLY LEFT
BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Multisector Bond SMA Completion Portfolio
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
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.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2023 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investment-products/managed-accounts/
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.
|
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.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) |
Columbia Funds Series Trust I |
|
|
By (Signature and Title) |
/s/ Daniel J. Beckman |
|
Daniel J. Beckman, President and Principal Executive Officer |
|
|
Date |
April 21, 2023 |
|
|
|
|
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 |
|
|
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 |
|
|
Date |
April 21, 2023 |
By (Signature and Title) |
/s/ Joseph Beranek |
|
Joseph Beranek, Treasurer, Chief Accounting |
|
Officer and Principal Financial Officer |
|
|
Date |
April 21, 2023 |