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)
225 Franklin
Street
Boston, Massachusetts 02110
(Address of principal executive offices) (Zip code)
Christopher
O. Petersen, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, Massachusetts 02110
Ryan C.
Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
(Name
and address of agent for service)
Registrants telephone number, including area code: (800)
345-6611
Date of fiscal year end: May, 31
Date of reporting period: May
31, 2019
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.
Annual
Report
May 31, 2019
Columbia Dividend Income Fund
Beginning on January 1, 2021, as permitted by regulations
adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the
reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports
electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such
as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of
charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to
let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia
Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose
value
|
3
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5
|
|
7
|
|
8
|
|
12
|
|
14
|
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15
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18
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22
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32
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33
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34
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38
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Columbia Dividend Income Fund | Annual Report 2019
Investment objective
Columbia Dividend Income Fund (the
Fund) seeks total return, consisting of current income and capital appreciation.
Portfolio
management
Scott Davis
Lead Portfolio
Manager
Managed Fund
since 2001
Michael Barclay,
CFA
Portfolio
Manager
Managed Fund
since 2011
Peter Santoro,
CFA
Portfolio
Manager
Managed Fund
since 2014
Morningstar
style box
TM
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.
© 2019
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 May 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
11/25/02
|
6.10
|
9.03
|
12.64
|
|
Including
sales charges
|
|
0.00
|
7.75
|
11.97
|
Advisor
Class*
|
11/08/12
|
6.35
|
9.30
|
12.91
|
Class
C
|
Excluding
sales charges
|
11/25/02
|
5.29
|
8.22
|
11.79
|
|
Including
sales charges
|
|
4.30
|
8.22
|
11.79
|
Institutional
Class
|
03/04/98
|
6.36
|
9.31
|
12.92
|
Institutional
2 Class*
|
11/08/12
|
6.44
|
9.43
|
13.00
|
Institutional
3 Class*
|
11/08/12
|
6.48
|
9.49
|
13.04
|
Class
R
|
03/28/08
|
5.83
|
8.76
|
12.36
|
Class
V
|
Excluding
sales charges
|
03/04/98
|
6.10
|
9.03
|
12.61
|
|
Including
sales charges
|
|
0.00
|
7.74
|
11.94
|
Russell
1000 Index
|
|
3.47
|
9.45
|
14.02
|
Returns for Class A shares 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 returns shown for periods
prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its
inception, Institutional Class shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit
columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
|
The Russell 1000 Index measures the performance of the
large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 Index
represents approximately 92% of the U.S. market.
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
Dividend Income Fund | Annual Report 2019
|
3
|
Fund at a Glance
(continued)
Performance of a
hypothetical $10,000 investment (May 31, 2009 — May 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Dividend Income Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption
of Fund shares.
Top
10 holdings (%) (at May 31, 2019)
|
Microsoft
Corp.
|
3.9
|
Johnson
& Johnson
|
3.8
|
Cisco
Systems, Inc.
|
3.6
|
JPMorgan
Chase & Co.
|
3.5
|
Merck
& Co., Inc.
|
2.8
|
Pfizer,
Inc.
|
2.6
|
Union
Pacific Corp.
|
2.5
|
Apple,
Inc.
|
2.4
|
Chevron
Corp.
|
2.3
|
Honeywell
International, Inc.
|
2.3
|
Percentages indicated are based
upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these holdings, please refer to the
section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change
at any time, and are not recommendations to buy or sell any security.
Portfolio
breakdown (%) (at May 31, 2019)
|
Common
Stocks
|
95.5
|
Exchange-Traded
Funds
|
0.9
|
Money
Market Funds
|
3.6
|
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 May 31, 2019)
|
Communication
Services
|
4.3
|
Consumer
Discretionary
|
4.0
|
Consumer
Staples
|
8.7
|
Energy
|
6.9
|
Financials
|
17.8
|
Health
Care
|
13.5
|
Industrials
|
14.4
|
Information
Technology
|
20.0
|
Materials
|
2.0
|
Real
Estate
|
2.1
|
Utilities
|
6.3
|
Total
|
100.0
|
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
4
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Manager Discussion of Fund Performance
For the
12-month period that ended May 31, 2019, the Fund’s Class A shares returned 6.10% excluding sales charges. The Fund outperformed its benchmark, the Russell 1000 Index, which returned 3.47% over the same time period. Our ability to offer
downside protection in a declining market was tested during the period, and we were up to the challenge. Solid stock selection and an emphasis on diversification and quality aided performance in a volatile year for equities.
Trade concerns weighed on equity markets
Optimism prevailed early in the 12-month period that ended
May 31, 2019 as positive global economic conditions, broad U.S. corporate tax cuts and moves to reduce regulation in a number of industries buoyed confidence. The pace of U.S. economic growth averaged approximately 3.2% (annualized), as the labor
markets added 196,000 jobs per month, on average, and manufacturing activity remained solid. Unemployment fell to a 50-year low of 3.6% in April 2019.
However, the economic backdrop looked less rosy as the period
wore on. European economies transitioned to a slower pace of growth in the second half of 2018, struggling with rising interest rates, trade tensions and uncertainty surrounding the U.K.’s departure from the European Union. At the same time,
China’s economic conditions weakened and emerging markets came under pressure, driven by trade and tariff concerns and a rising U.S dollar. With global uncertainties on the rise, investors sold stocks and other risky assets late in 2018. Stock
markets rebounded early in 2019, as the Federal Reserve backed away from additional rate hikes and vowed patience going forward. However, stocks dipped again in May as trade concerns amplified.
Bonds generally outperformed equities for the 12-month period.
The Bloomberg Barclays U.S. Aggregate Bond Index, a broad measure of investment-grade bonds, returned 6.40%. The S&P 500 Index, a broad measure of U.S. stock returns, gained 3.78%.
Contributors and detractors
On a sector basis, health care, industrials, utilities and
communication services were the strongest performers for the Fund relative to the benchmark. In health care, positions in Merck, Pfizer and Johnson & Johnson were standout performers. For Merck, Keytruda, the leading drug for lung cancer,
extended the company’s lead in oncology. In addition, Merck has products in its pipeline that we see as valuable down the road. We believe Pfizer is a company with strong fundamentals, which has done well by focusing on its current business
prospects instead of new acquisitions. We believe Johnson & Johnson, a long-term Fund holding, is nicely diversified with 20+ drugs that generate approximately $1 billion in revenues apiece, per year, in the pharmaceutical segment. In addition,
Johnson & Johnson’s leading medical device business plus brand-name consumer products create significant diversification. Johnson & Johnson has historically been a solid choice when the market is stressed, and it performed that role
again in this volatile period. In the industrials sector, Union Pacific was the top contributor to Fund returns. We believe that the company has benefited from a strong U.S. economy, but also from its pursuit of precision scheduled railroad for
increased automation, which has the potential to boost profitability. Ingersoll Rand and Waste Management were additional standouts in the industrials sector. Cash flow accelerated for Ingersoll Rand. The company has invested wisely in its core
businesses, differentiating itself from its peers and gaining share in the commercial and residential HVAC business. Although many would find nothing particularly exciting about garbage collection, Waste Management is a late cycle business
experiencing volume and pricing acceleration. Its business is entirely domestic, so tariffs are no concern for Waste Management.
Utilities were the best performing sector in the benchmark for
the 12-month period, and an overweight in utilities combined with good stock selection added to the Fund’s performance. We focus on utilities that operate in jurisdictions where regulation is favorable, allowing companies to invest heavily and
recoup expenditures through rate increases. WEC Energy, American Electric Power and Eversource Energy fit this profile and were solid performers. Also in the utilities sector, we initiated positions in Ameren and Xcel during the period, both of
which contributed positively to relative returns. In communication services, Comcast performed well. Investors were disappointed when the company announced it would acquire British media and telecommunications conglomerate Sky rather than use its
tax savings to buy back shares. However, we believe the acquisition is off to a good start and investor confidence has improved with the demonstrated execution.
Columbia
Dividend Income Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
(continued)
Strong stock selection led to solid gains in the information
technology sector. The Fund’s top performer was technology giant Microsoft, which has transformed itself with subscription-based Office 365 and its Azure cloud computing business. The company has a AAA-rated balance sheet and an attractive
dividend. Like Microsoft, Cisco benefitted from technology upgrades among large global enterprises and is generally viewed more as a partner than a vendor. Cisco is the leading network vendor in the world and has leveraged this position to expand
into security, collaboration and management. Despite these wins, the Fund lagged its benchmark in the information technology sector overall. It had no exposure to market leading payment processors, which had strong performance over the 12-month
period. These companies pay minimal dividends and typically do not meet the Fund’s valuation criteria. In addition, the position in semiconductor giant Intel disappointed. Semiconductors, in general, were weak in the first half of this
12-month period, and increased competition was an additional weight on Intel shares. An underweight in real estate investment trusts (REITs) also detracted from relative results. Elsewhere in the portfolio, Valero in the energy sector, General
Dynamics in industrials and BlackRock and Bank of New York Mellon in financials were major detractors from relative results. After a period of solid performance, Valero lost ground as turbulence in Venezuela hurt the company’s St. Charles and
Port Arthur refineries, which import a significant portion of their crude oil from Venezuela. General Dynamics disappointed as the company’s business jet business failed to meet investor expectations. The company also acquired a software-based
company that was not favorably received by investors. Both BlackRock and Bank of New York Mellon were vulnerable to falling equity prices in the fourth quarter of 2018 and again in May 2019. Declining interest rates also weighed on performance,
especially for Bank of New York Mellon.
At
period’s end
We are pleased that our disciplined
management process enabled us to withstand the volatile swings that took place over the past 12 months. We continue to believe that our focus on identifying high-quality companies with free cash flow and our focus on maintaining a diversified
portfolio are strengths our shareholders can rely on and are especially important in difficult times.
Market
risk may affect a single
issuer, sector of the economy, industry or the market as a whole.
Value
securities may be unprofitable if the market fails to recognize their intrinsic worth or the portfolio manager misgauged that worth.
Foreign
investments subject the Fund to risks, including political, economic, market, social and others within a particular country, as well as to currency instabilities and less stringent financial and
accounting standards generally applicable to U.S. issuers.
Dividend
payments are not guaranteed and the amount, if any, can vary over time. A rise in
interest rates
may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing in lower yielding debt instruments, lowering the Fund’s income and yield.
These risks may be heightened for longer maturity and duration securities. The Fund may invest significantly in issuers within a particular sector, which may be negatively affected by market, economic or other conditions, making the Fund more
vulnerable to unfavorable developments in the sector. See the Fund’s prospectus for more information on these and other risks.
The views expressed in this report reflect the current views of
the respective parties. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict, so actual outcomes and results may differ significantly from the views expressed.
These views are subject to change at any time based upon economic, market or other conditions and the respective parties disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment
decisions for a Columbia fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or
investment advice.
6
|
Columbia Dividend Income Fund
| Annual Report 2019
|
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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
December
1, 2018 — May 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,004.60
|
1,020.14
|
4.80
|
4.84
|
0.96
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,005.70
|
1,021.39
|
3.55
|
3.58
|
0.71
|
Class
C
|
1,000.00
|
1,000.00
|
1,000.80
|
1,016.40
|
8.53
|
8.60
|
1.71
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,005.90
|
1,021.39
|
3.55
|
3.58
|
0.71
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,006.20
|
1,021.74
|
3.20
|
3.23
|
0.64
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,006.40
|
1,022.04
|
2.90
|
2.92
|
0.58
|
Class
R
|
1,000.00
|
1,000.00
|
1,003.30
|
1,018.90
|
6.04
|
6.09
|
1.21
|
Class
V
|
1,000.00
|
1,000.00
|
1,004.60
|
1,020.14
|
4.80
|
4.84
|
0.96
|
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
Dividend Income Fund | Annual Report 2019
|
7
|
Portfolio of Investments
May 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Common
Stocks 95.0%
|
Issuer
|
Shares
|
Value
($)
|
Communication
Services 4.1%
|
Diversified
Telecommunication Services 0.8%
|
AT&T,
Inc.
|
3,399,376
|
103,952,918
|
Entertainment
1.2%
|
Walt
Disney Co. (The)
|
1,263,369
|
166,815,243
|
Media
2.1%
|
Comcast
Corp., Class A
|
6,991,538
|
286,653,058
|
Total
Communication Services
|
557,421,219
|
Consumer
Discretionary 3.8%
|
Automobiles
0.4%
|
General
Motors Co.
|
1,664,736
|
55,502,298
|
Hotels,
Restaurants & Leisure 1.0%
|
McDonald’s
Corp.
|
697,732
|
138,339,324
|
Specialty
Retail 2.4%
|
Home
Depot, Inc. (The)
|
1,271,753
|
241,442,307
|
TJX
Companies, Inc. (The)
|
1,667,537
|
83,860,436
|
Total
|
|
325,302,743
|
Total
Consumer Discretionary
|
519,144,365
|
Consumer
Staples 8.3%
|
Beverages
1.7%
|
PepsiCo,
Inc.
|
1,834,744
|
234,847,232
|
Food
& Staples Retailing 1.3%
|
Walmart,
Inc.
|
1,775,857
|
180,142,934
|
Food
Products 1.4%
|
Hershey
Co. (The)
|
608,219
|
80,260,579
|
Mondelez
International, Inc., Class A
|
2,043,719
|
103,923,111
|
Total
|
|
184,183,690
|
Household
Products 2.6%
|
Kimberly-Clark
Corp.
|
833,721
|
106,624,579
|
Procter
& Gamble Co. (The)
|
2,397,341
|
246,710,362
|
Total
|
|
353,334,941
|
Tobacco
1.3%
|
Philip
Morris International, Inc.
|
2,313,477
|
178,438,481
|
Total
Consumer Staples
|
1,130,947,278
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Energy
6.5%
|
Oil,
Gas & Consumable Fuels 6.5%
|
Chevron
Corp.
|
2,646,575
|
301,312,564
|
ConocoPhillips
Co.
|
3,204,560
|
188,940,857
|
Exxon
Mobil Corp.
|
3,099,404
|
219,344,821
|
Suncor
Energy, Inc.
|
2,958,637
|
91,126,020
|
Valero
Energy Corp.
|
1,288,599
|
90,717,370
|
Total
|
|
891,441,632
|
Total
Energy
|
891,441,632
|
Financials
16.9%
|
Banks
9.6%
|
Bank
of America Corp.
|
6,373,365
|
169,531,509
|
BB&T
Corp.
|
2,923,340
|
136,666,145
|
JPMorgan
Chase & Co.
|
4,288,979
|
454,460,215
|
M&T
Bank Corp.
|
415,617
|
66,332,473
|
PNC
Financial Services Group, Inc. (The)
|
1,271,345
|
161,791,365
|
U.S.
Bancorp
|
2,981,969
|
149,694,844
|
Wells
Fargo & Co.
|
3,778,374
|
167,646,454
|
Total
|
|
1,306,123,005
|
Capital
Markets 3.3%
|
Bank
of New York Mellon Corp. (The)
|
2,851,852
|
121,745,562
|
BlackRock,
Inc.
|
248,137
|
103,115,812
|
CME
Group, Inc.
|
798,290
|
153,367,475
|
T.
Rowe Price Group, Inc.
|
784,303
|
79,324,405
|
Total
|
|
457,553,254
|
Insurance
4.0%
|
Chubb
Ltd.
|
1,621,622
|
236,870,326
|
Marsh
& McLennan Companies, Inc.
|
2,380,040
|
227,531,824
|
Principal
Financial Group, Inc.
|
1,565,913
|
80,754,133
|
Total
|
|
545,156,283
|
Total
Financials
|
2,308,832,542
|
Health
Care 12.8%
|
Biotechnology
0.4%
|
Gilead
Sciences, Inc.
|
982,221
|
61,143,257
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
8
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Health
Care Equipment & Supplies 1.4%
|
Baxter
International, Inc.
|
1,302,432
|
95,650,606
|
Medtronic
PLC
|
1,005,021
|
93,044,844
|
Total
|
|
188,695,450
|
Health
Care Providers & Services 0.6%
|
UnitedHealth
Group, Inc.
|
311,437
|
75,305,467
|
Pharmaceuticals
10.4%
|
Bristol-Myers
Squibb Co.
|
2,178,411
|
98,834,507
|
Eli
Lilly & Co.
|
1,090,108
|
126,387,122
|
Johnson
& Johnson
|
3,766,699
|
494,002,574
|
Merck
& Co., Inc.
|
4,566,830
|
361,738,604
|
Pfizer,
Inc.
|
8,241,539
|
342,188,699
|
Total
|
|
1,423,151,506
|
Total
Health Care
|
1,748,295,680
|
Industrials
13.7%
|
Aerospace
& Defense 3.4%
|
General
Dynamics Corp.
|
1,082,192
|
174,038,118
|
Lockheed
Martin Corp.
|
849,660
|
287,643,896
|
Total
|
|
461,682,014
|
Air
Freight & Logistics 0.7%
|
United
Parcel Service, Inc., Class B
|
1,043,087
|
96,923,644
|
Commercial
Services & Supplies 1.2%
|
Waste
Management, Inc.
|
1,431,774
|
156,564,487
|
Industrial
Conglomerates 3.0%
|
3M
Co.
|
732,562
|
117,026,780
|
Honeywell
International, Inc.
|
1,818,868
|
298,858,201
|
Total
|
|
415,884,981
|
Machinery
3.0%
|
Cummins,
Inc.
|
524,166
|
79,023,266
|
Deere
& Co.
|
454,387
|
63,691,426
|
Ingersoll-Rand
PLC
|
1,505,554
|
178,167,260
|
Parker-Hannifin
Corp.
|
568,724
|
86,628,040
|
Total
|
|
407,509,992
|
Road
& Rail 2.4%
|
Union
Pacific Corp.
|
1,957,444
|
326,462,510
|
Total
Industrials
|
1,865,027,628
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Information
Technology 19.0%
|
Communications
Equipment 3.4%
|
Cisco
Systems, Inc.
|
8,923,913
|
464,311,193
|
IT
Services 3.3%
|
Accenture
PLC, Class A
|
508,400
|
90,530,788
|
Automatic
Data Processing, Inc.
|
920,911
|
147,456,269
|
International
Business Machines Corp.
|
1,717,697
|
218,130,342
|
Total
|
|
456,117,399
|
Semiconductors
& Semiconductor Equipment 6.3%
|
Broadcom,
Inc.
|
535,852
|
134,841,797
|
Intel
Corp.
|
5,430,900
|
239,176,836
|
KLA-Tencor
Corp.
|
1,249,612
|
128,797,509
|
Lam
Research Corp.
|
769,012
|
134,277,186
|
Texas
Instruments, Inc.
|
2,077,988
|
216,754,928
|
Total
|
|
853,848,256
|
Software
3.7%
|
Microsoft
Corp.
|
4,134,879
|
511,401,835
|
Technology
Hardware, Storage & Peripherals 2.3%
|
Apple,
Inc.
|
1,788,500
|
313,112,695
|
Total
Information Technology
|
2,598,791,378
|
Materials
1.9%
|
Chemicals
1.1%
|
Dow,
Inc.
|
1,965,969
|
91,928,710
|
DuPont
de Nemours, Inc.
|
1,855,221
|
56,621,345
|
Total
|
|
148,550,055
|
Containers
& Packaging 0.8%
|
Packaging
Corp. of America
|
318,794
|
28,398,170
|
Sonoco
Products Co.
|
1,426,776
|
88,217,560
|
Total
|
|
116,615,730
|
Total
Materials
|
265,165,785
|
Real
Estate 2.0%
|
Equity
Real Estate Investment Trusts (REITS) 2.0%
|
Crown
Castle International Corp.
|
548,746
|
71,342,468
|
Digital
Realty Trust, Inc.
|
729,217
|
85,843,425
|
Public
Storage
|
462,447
|
110,006,892
|
Total
|
|
267,192,785
|
Total
Real Estate
|
267,192,785
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Dividend Income Fund | Annual Report 2019
|
9
|
Portfolio of Investments
(continued)
May 31, 2019
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
Utilities
6.0%
|
Electric
Utilities 3.2%
|
American
Electric Power Co., Inc.
|
1,402,481
|
120,781,664
|
Eversource
Energy
|
1,355,755
|
100,108,949
|
NextEra
Energy, Inc.
|
550,074
|
109,030,168
|
Xcel
Energy, Inc.
|
1,921,578
|
110,183,282
|
Total
|
|
440,104,063
|
Multi-Utilities
2.8%
|
Ameren
Corp.
|
1,543,354
|
113,189,582
|
CMS
Energy Corp.
|
1,676,318
|
94,058,203
|
Dominion
Energy, Inc.
|
728,625
|
54,778,027
|
WEC
Energy Group, Inc.
|
1,485,001
|
119,616,831
|
Total
|
|
381,642,643
|
Total
Utilities
|
821,746,706
|
Total
Common Stocks
(Cost $8,838,684,242)
|
12,974,006,998
|
|
Exchange-Traded
Funds 0.9%
|
|
Shares
|
Value
($)
|
iShares
Russell 1000 Value ETF
|
1,029,925
|
123,148,132
|
Total
Exchange-Traded Funds
(Cost $123,003,072)
|
123,148,132
|
|
Money
Market Funds 3.6%
|
|
|
|
Columbia
Short-Term Cash Fund, 2.497%
(a),(b)
|
490,295,640
|
490,246,610
|
Total
Money Market Funds
(Cost $490,289,179)
|
490,246,610
|
Total
Investments in Securities
(Cost: $9,451,976,493)
|
13,587,401,740
|
Other
Assets & Liabilities, Net
|
|
62,489,193
|
Net
Assets
|
13,649,890,933
|
Notes to Portfolio of Investments
(a)
|
The rate
shown is the seven-day current annualized yield at May 31, 2019.
|
(b)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended May 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.497%
|
|
404,537,136
|
2,040,525,362
|
(1,954,766,858)
|
490,295,640
|
(514)
|
(53,842)
|
11,973,983
|
490,246,610
|
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.
10
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
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.
Certain investments
that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to
the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares
with a floating NAV and no longer seeks to maintain a stable NAV.
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.
Under the direction of the Fund’s Board of Trustees (the
Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the 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 control policies and
procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing
methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third
party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or
approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those
described earlier.
For investments categorized as Level 3,
the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security
transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair
value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the
Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the
Fund’s investments at May 31, 2019:
|
Level
1
quoted prices
in active
markets for
identical
assets ($)
|
Level
2
other
significant
observable
inputs ($)
|
Level
3
significant
unobservable
inputs ($)
|
Investments
measured at
net asset
value ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
|
Common
Stocks
|
|
|
|
|
|
Communication
Services
|
557,421,219
|
—
|
—
|
—
|
557,421,219
|
Consumer
Discretionary
|
519,144,365
|
—
|
—
|
—
|
519,144,365
|
Consumer
Staples
|
1,130,947,278
|
—
|
—
|
—
|
1,130,947,278
|
Energy
|
891,441,632
|
—
|
—
|
—
|
891,441,632
|
Financials
|
2,308,832,542
|
—
|
—
|
—
|
2,308,832,542
|
Health
Care
|
1,748,295,680
|
—
|
—
|
—
|
1,748,295,680
|
Industrials
|
1,865,027,628
|
—
|
—
|
—
|
1,865,027,628
|
Information
Technology
|
2,598,791,378
|
—
|
—
|
—
|
2,598,791,378
|
Materials
|
265,165,785
|
—
|
—
|
—
|
265,165,785
|
Real
Estate
|
267,192,785
|
—
|
—
|
—
|
267,192,785
|
Utilities
|
821,746,706
|
—
|
—
|
—
|
821,746,706
|
Total
Common Stocks
|
12,974,006,998
|
—
|
—
|
—
|
12,974,006,998
|
Exchange-Traded
Funds
|
123,148,132
|
—
|
—
|
—
|
123,148,132
|
Money
Market Funds
|
—
|
—
|
—
|
490,246,610
|
490,246,610
|
Total
Investments in Securities
|
13,097,155,130
|
—
|
—
|
490,246,610
|
13,587,401,740
|
See the Portfolio of Investments for
all investment classifications not indicated in the table.
There were no transfers of financial assets between levels
during the period.
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Dividend Income Fund | Annual Report 2019
|
11
|
Statement of Assets and Liabilities
May 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $8,961,687,314)
|
$13,097,155,130
|
Affiliated
issuers (cost $490,289,179)
|
490,246,610
|
Receivable
for:
|
|
Capital
shares sold
|
36,880,162
|
Dividends
|
43,702,570
|
Prepaid
expenses
|
6,855
|
Trustees’
deferred compensation plan
|
481,978
|
Total
assets
|
13,668,473,305
|
Liabilities
|
|
Payable
for:
|
|
Capital
shares purchased
|
16,105,689
|
Management
services fees
|
208,466
|
Distribution
and/or service fees
|
40,321
|
Transfer
agent fees
|
1,449,665
|
Compensation
of board members
|
1,552
|
Compensation
of chief compliance officer
|
847
|
Other
expenses
|
293,854
|
Trustees’
deferred compensation plan
|
481,978
|
Total
liabilities
|
18,582,372
|
Net
assets applicable to outstanding capital stock
|
$13,649,890,933
|
Represented
by
|
|
Paid
in capital
|
9,294,469,368
|
Total
distributable earnings (loss) (Note 2)
|
4,355,421,565
|
Total
- representing net assets applicable to outstanding capital stock
|
$13,649,890,933
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
12
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Statement of Assets and Liabilities
(continued)
May 31, 2019
Class
A
|
|
Net
assets
|
$2,094,538,505
|
Shares
outstanding
|
97,644,556
|
Net
asset value per share
|
$21.45
|
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)
|
$22.76
|
Advisor
Class
|
|
Net
assets
|
$815,016,580
|
Shares
outstanding
|
37,309,436
|
Net
asset value per share
|
$21.84
|
Class
C
|
|
Net
assets
|
$856,620,930
|
Shares
outstanding
|
41,322,732
|
Net
asset value per share
|
$20.73
|
Institutional
Class
|
|
Net
assets
|
$5,966,123,693
|
Shares
outstanding
|
277,750,918
|
Net
asset value per share
|
$21.48
|
Institutional
2 Class
|
|
Net
assets
|
$772,924,246
|
Shares
outstanding
|
35,409,835
|
Net
asset value per share
|
$21.83
|
Institutional
3 Class
|
|
Net
assets
|
$2,955,433,974
|
Shares
outstanding
|
135,190,690
|
Net
asset value per share
|
$21.86
|
Class
R
|
|
Net
assets
|
$113,166,017
|
Shares
outstanding
|
5,274,110
|
Net
asset value per share
|
$21.46
|
Class
V
|
|
Net
assets
|
$76,066,988
|
Shares
outstanding
|
3,544,398
|
Net
asset value per share
|
$21.46
|
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)
|
$22.77
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Dividend Income Fund | Annual Report 2019
|
13
|
Statement of Operations
Year Ended May 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$326,080,953
|
Dividends
— affiliated issuers
|
11,973,983
|
Interfund
lending
|
6,935
|
Foreign
taxes withheld
|
(471,104)
|
Total
income
|
337,590,767
|
Expenses:
|
|
Management
services fees
|
68,730,008
|
Distribution
and/or service fees
|
|
Class
A
|
4,946,456
|
Class
C
|
8,247,787
|
Class
R
|
557,551
|
Class
T
|
63
|
Class
V
|
198,768
|
Transfer
agent fees
|
|
Class
A
|
2,733,142
|
Advisor
Class
|
900,146
|
Class
C
|
1,139,338
|
Institutional
Class
|
7,281,662
|
Institutional
2 Class
|
384,404
|
Institutional
3 Class
|
208,492
|
Class
R
|
154,047
|
Class
T
|
35
|
Class
V
|
109,840
|
Compensation
of board members
|
186,235
|
Custodian
fees
|
69,689
|
Printing
and postage fees
|
527,302
|
Registration
fees
|
458,207
|
Audit
fees
|
37,301
|
Legal
fees
|
280,714
|
Compensation
of chief compliance officer
|
4,826
|
Other
|
289,508
|
Total
expenses
|
97,445,521
|
Expense
reduction
|
(2,914)
|
Total
net expenses
|
97,442,607
|
Net
investment income
|
240,148,160
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
469,260,541
|
Investments
— affiliated issuers
|
(514)
|
Foreign
currency translations
|
(36,746)
|
Net
realized gain
|
469,223,281
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
23,132,576
|
Investments
— affiliated issuers
|
(53,842)
|
Net
change in unrealized appreciation (depreciation)
|
23,078,734
|
Net
realized and unrealized gain
|
492,302,015
|
Net
increase in net assets resulting from operations
|
$732,450,175
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
14
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
May 31, 2019
|
Year
Ended
May 31, 2018
|
Operations
|
|
|
Net
investment income
|
$240,148,160
|
$200,202,855
|
Net
realized gain
|
469,223,281
|
486,530,571
|
Net
change in unrealized appreciation (depreciation)
|
23,078,734
|
393,039,094
|
Net
increase in net assets resulting from operations
|
732,450,175
|
1,079,772,520
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(127,209,910)
|
|
Advisor
Class
|
(41,941,833)
|
|
Class
C
|
(48,616,175)
|
|
Institutional
Class
|
(348,208,096)
|
|
Institutional
2 Class
|
(43,267,266)
|
|
Institutional
3 Class
|
(187,609,387)
|
|
Class
R
|
(6,953,592)
|
|
Class
T
|
(2,788)
|
|
Class
V
|
(5,156,100)
|
|
Net
investment income
|
|
|
Class
A
|
|
(29,088,074)
|
Advisor
Class
|
|
(8,458,603)
|
Class
B
|
|
(1,895)
|
Class
C
|
|
(7,018,756)
|
Institutional
Class
|
|
(93,175,912)
|
Institutional
2 Class
|
|
(11,020,397)
|
Institutional
3 Class
|
|
(40,487,286)
|
Class
R
|
|
(1,393,541)
|
Class
T
|
|
(883)
|
Class
V
|
|
(1,310,173)
|
Net
realized gains
|
|
|
Class
A
|
|
(49,183,530)
|
Advisor
Class
|
|
(13,038,772)
|
Class
C
|
|
(21,936,334)
|
Institutional
Class
|
|
(125,178,988)
|
Institutional
2 Class
|
|
(16,023,229)
|
Institutional
3 Class
|
|
(67,916,233)
|
Class
R
|
|
(2,830,029)
|
Class
T
|
|
(1,553)
|
Class
V
|
|
(2,220,665)
|
Total
distributions to shareholders (Note 2)
|
(808,965,147)
|
(490,284,853)
|
Increase
in net assets from capital stock activity
|
2,357,868,370
|
419,653,448
|
Total
increase in net assets
|
2,281,353,398
|
1,009,141,115
|
Net
assets at beginning of year
|
11,368,537,535
|
10,359,396,420
|
Net
assets at end of year
|
$13,649,890,933
|
$11,368,537,535
|
Undistributed
net investment income
|
$44,698,581
|
$36,186,954
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Dividend Income Fund | Annual Report 2019
|
15
|
Statement of Changes in Net Assets
(continued)
|
Year
Ended
|
Year
Ended
|
|
May
31, 2019
|
May
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
30,379,676
|
659,121,814
|
17,511,638
|
379,470,969
|
Distributions
reinvested
|
5,480,478
|
114,905,861
|
3,231,282
|
70,143,797
|
Redemptions
|
(23,035,731)
|
(501,940,537)
|
(21,454,678)
|
(461,700,501)
|
Net
increase (decrease)
|
12,824,423
|
272,087,138
|
(711,758)
|
(12,085,735)
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
19,730,870
|
436,013,694
|
11,478,715
|
251,688,447
|
Distributions
reinvested
|
1,929,343
|
41,213,868
|
918,479
|
20,274,699
|
Redemptions
|
(10,023,362)
|
(223,621,168)
|
(5,478,534)
|
(120,722,603)
|
Net
increase
|
11,636,851
|
253,606,394
|
6,918,660
|
151,240,543
|
Class
B
|
|
|
|
|
Subscriptions
|
—
|
—
|
100
|
2,020
|
Distributions
reinvested
|
—
|
—
|
89
|
1,780
|
Redemptions
|
—
|
—
|
(56,090)
|
(1,126,171)
|
Net
decrease
|
—
|
—
|
(55,901)
|
(1,122,371)
|
Class
C
|
|
|
|
|
Subscriptions
|
11,296,928
|
235,381,433
|
6,373,408
|
133,839,759
|
Distributions
reinvested
|
2,089,286
|
42,200,955
|
1,200,665
|
25,359,885
|
Redemptions
|
(10,697,816)
|
(224,760,673)
|
(7,454,781)
|
(155,118,868)
|
Net
increase
|
2,688,398
|
52,821,715
|
119,292
|
4,080,776
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
100,598,322
|
2,171,802,007
|
52,343,228
|
1,129,615,263
|
Distributions
reinvested
|
14,245,109
|
299,352,320
|
8,420,382
|
182,791,552
|
Redemptions
|
(57,834,951)
|
(1,255,707,523)
|
(139,802,688)
|
(2,930,608,758)
|
Net
increase (decrease)
|
57,008,480
|
1,215,446,804
|
(79,039,078)
|
(1,618,201,943)
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
18,549,514
|
410,112,012
|
8,527,399
|
187,833,934
|
Distributions
reinvested
|
1,981,510
|
42,350,694
|
1,205,084
|
26,549,062
|
Redemptions
|
(12,650,700)
|
(280,152,629)
|
(7,443,275)
|
(164,214,675)
|
Net
increase
|
7,880,324
|
172,310,077
|
2,289,208
|
50,168,321
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
36,133,309
|
800,213,386
|
105,278,808
|
2,225,816,279
|
Distributions
reinvested
|
3,377,726
|
72,238,103
|
1,512,712
|
33,378,585
|
Redemptions
|
(21,840,168)
|
(485,376,733)
|
(18,635,214)
|
(411,779,299)
|
Net
increase
|
17,670,867
|
387,074,756
|
88,156,306
|
1,847,415,565
|
Class
R
|
|
|
|
|
Subscriptions
|
1,479,258
|
32,367,152
|
1,171,822
|
25,323,379
|
Distributions
reinvested
|
308,022
|
6,453,857
|
172,849
|
3,758,759
|
Redemptions
|
(1,321,397)
|
(28,818,942)
|
(1,388,451)
|
(30,060,753)
|
Net
increase (decrease)
|
465,883
|
10,002,067
|
(43,780)
|
(978,615)
|
Class
T
|
|
|
|
|
Subscriptions
|
—
|
—
|
88
|
1,950
|
Distributions
reinvested
|
124
|
2,603
|
103
|
2,240
|
Redemptions
|
(2,263)
|
(46,121)
|
(922)
|
(19,887)
|
Net
decrease
|
(2,139)
|
(43,518)
|
(731)
|
(15,697)
|
Class
V
|
|
|
|
|
Subscriptions
|
45,669
|
973,802
|
190,907
|
4,209,314
|
Distributions
reinvested
|
199,104
|
4,176,948
|
131,262
|
2,850,934
|
Redemptions
|
(483,685)
|
(10,587,813)
|
(365,995)
|
(7,907,644)
|
Net
decrease
|
(238,912)
|
(5,437,063)
|
(43,826)
|
(847,396)
|
Total
net increase
|
109,934,175
|
2,357,868,370
|
17,588,392
|
419,653,448
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
16
|
Columbia Dividend Income Fund
| Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
Dividend Income Fund | Annual Report 2019
|
17
|
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
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 5/31/2019
|
$21.63
|
0.39
|
0.88
|
1.27
|
(0.38)
|
(1.07)
|
(1.45)
|
Year
Ended 5/31/2018
|
$20.46
|
0.36
|
1.75
|
2.11
|
(0.34)
|
(0.60)
|
(0.94)
|
Year
Ended 5/31/2017
|
$18.43
|
0.34
|
2.46
|
2.80
|
(0.32)
|
(0.45)
|
(0.77)
|
Year
Ended 5/31/2016
|
$19.07
|
0.32
|
0.43
|
0.75
|
(0.45)
|
(0.94)
|
(1.39)
|
Year
Ended 5/31/2015
|
$19.02
|
0.48
|
1.17
|
1.65
|
(0.40)
|
(1.20)
|
(1.60)
|
Advisor
Class
|
Year
Ended 5/31/2019
|
$22.00
|
0.45
|
0.89
|
1.34
|
(0.43)
|
(1.07)
|
(1.50)
|
Year
Ended 5/31/2018
|
$20.80
|
0.42
|
1.78
|
2.20
|
(0.40)
|
(0.60)
|
(1.00)
|
Year
Ended 5/31/2017
|
$18.71
|
0.39
|
2.52
|
2.91
|
(0.37)
|
(0.45)
|
(0.82)
|
Year
Ended 5/31/2016
|
$19.34
|
0.37
|
0.44
|
0.81
|
(0.50)
|
(0.94)
|
(1.44)
|
Year
Ended 5/31/2015
|
$19.27
|
0.57
|
1.14
|
1.71
|
(0.44)
|
(1.20)
|
(1.64)
|
Class
C
|
Year
Ended 5/31/2019
|
$20.95
|
0.22
|
0.84
|
1.06
|
(0.21)
|
(1.07)
|
(1.28)
|
Year
Ended 5/31/2018
|
$19.84
|
0.19
|
1.70
|
1.89
|
(0.18)
|
(0.60)
|
(0.78)
|
Year
Ended 5/31/2017
|
$17.88
|
0.18
|
2.41
|
2.59
|
(0.18)
|
(0.45)
|
(0.63)
|
Year
Ended 5/31/2016
|
$18.54
|
0.18
|
0.41
|
0.59
|
(0.31)
|
(0.94)
|
(1.25)
|
Year
Ended 5/31/2015
|
$18.53
|
0.34
|
1.12
|
1.46
|
(0.25)
|
(1.20)
|
(1.45)
|
Institutional
Class
|
Year
Ended 5/31/2019
|
$21.66
|
0.44
|
0.88
|
1.32
|
(0.43)
|
(1.07)
|
(1.50)
|
Year
Ended 5/31/2018
|
$20.48
|
0.41
|
1.77
|
2.18
|
(0.40)
|
(0.60)
|
(1.00)
|
Year
Ended 5/31/2017
|
$18.45
|
0.38
|
2.47
|
2.85
|
(0.37)
|
(0.45)
|
(0.82)
|
Year
Ended 5/31/2016
|
$19.09
|
0.36
|
0.44
|
0.80
|
(0.50)
|
(0.94)
|
(1.44)
|
Year
Ended 5/31/2015
|
$19.03
|
0.53
|
1.18
|
1.71
|
(0.45)
|
(1.20)
|
(1.65)
|
Institutional
2 Class
|
Year
Ended 5/31/2019
|
$21.99
|
0.47
|
0.89
|
1.36
|
(0.45)
|
(1.07)
|
(1.52)
|
Year
Ended 5/31/2018
|
$20.78
|
0.44
|
1.79
|
2.23
|
(0.42)
|
(0.60)
|
(1.02)
|
Year
Ended 5/31/2017
|
$18.71
|
0.41
|
2.50
|
2.91
|
(0.39)
|
(0.45)
|
(0.84)
|
Year
Ended 5/31/2016
|
$19.33
|
0.39
|
0.45
|
0.84
|
(0.52)
|
(0.94)
|
(1.46)
|
Year
Ended 5/31/2015
|
$19.26
|
0.62
|
1.12
|
1.74
|
(0.47)
|
(1.20)
|
(1.67)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
18
|
Columbia Dividend Income Fund
| Annual Report 2019
|
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
|
Year
Ended 5/31/2019
|
$21.45
|
6.10%
|
0.96%
|
0.96%
(c)
|
1.77%
|
13%
|
$2,094,539
|
Year
Ended 5/31/2018
|
$21.63
|
10.35%
|
0.97%
|
0.97%
(c)
|
1.66%
|
15%
|
$1,834,772
|
Year
Ended 5/31/2017
|
$20.46
|
15.52%
|
1.00%
|
1.00%
(c)
|
1.74%
|
16%
|
$1,750,090
|
Year
Ended 5/31/2016
|
$18.43
|
4.42%
|
1.02%
|
1.02%
(c)
|
1.74%
|
25%
|
$2,380,538
|
Year
Ended 5/31/2015
|
$19.07
|
9.08%
|
1.02%
|
1.02%
(c)
|
2.52%
|
27%
|
$2,514,422
|
Advisor
Class
|
Year
Ended 5/31/2019
|
$21.84
|
6.35%
|
0.71%
|
0.71%
(c)
|
2.04%
|
13%
|
$815,017
|
Year
Ended 5/31/2018
|
$22.00
|
10.60%
|
0.72%
|
0.72%
(c)
|
1.93%
|
15%
|
$564,834
|
Year
Ended 5/31/2017
|
$20.80
|
15.89%
|
0.75%
|
0.75%
(c)
|
1.99%
|
16%
|
$390,004
|
Year
Ended 5/31/2016
|
$18.71
|
4.67%
|
0.77%
|
0.77%
(c)
|
2.01%
|
25%
|
$230,893
|
Year
Ended 5/31/2015
|
$19.34
|
9.33%
|
0.77%
|
0.77%
(c)
|
2.93%
|
27%
|
$179,306
|
Class
C
|
Year
Ended 5/31/2019
|
$20.73
|
5.29%
|
1.71%
|
1.71%
(c)
|
1.02%
|
13%
|
$856,621
|
Year
Ended 5/31/2018
|
$20.95
|
9.53%
|
1.72%
|
1.72%
(c)
|
0.91%
|
15%
|
$809,269
|
Year
Ended 5/31/2017
|
$19.84
|
14.73%
|
1.75%
|
1.75%
(c)
|
0.99%
|
16%
|
$764,036
|
Year
Ended 5/31/2016
|
$17.88
|
3.62%
|
1.78%
|
1.78%
(c)
|
1.00%
|
25%
|
$692,229
|
Year
Ended 5/31/2015
|
$18.54
|
8.26%
|
1.77%
|
1.77%
(c)
|
1.83%
|
27%
|
$667,300
|
Institutional
Class
|
Year
Ended 5/31/2019
|
$21.48
|
6.36%
|
0.71%
|
0.71%
(c)
|
2.02%
|
13%
|
$5,966,124
|
Year
Ended 5/31/2018
|
$21.66
|
10.67%
|
0.72%
|
0.72%
(c)
|
1.89%
|
15%
|
$4,781,049
|
Year
Ended 5/31/2017
|
$20.48
|
15.79%
|
0.75%
|
0.75%
(c)
|
1.98%
|
16%
|
$6,140,961
|
Year
Ended 5/31/2016
|
$18.45
|
4.69%
|
0.77%
|
0.77%
(c)
|
2.00%
|
25%
|
$4,766,037
|
Year
Ended 5/31/2015
|
$19.09
|
9.40%
|
0.77%
|
0.77%
(c)
|
2.76%
|
27%
|
$4,800,733
|
Institutional
2 Class
|
Year
Ended 5/31/2019
|
$21.83
|
6.44%
|
0.63%
|
0.63%
|
2.11%
|
13%
|
$772,924
|
Year
Ended 5/31/2018
|
$21.99
|
10.76%
|
0.63%
|
0.63%
|
2.00%
|
15%
|
$605,285
|
Year
Ended 5/31/2017
|
$20.78
|
15.92%
|
0.63%
|
0.63%
|
2.10%
|
16%
|
$524,608
|
Year
Ended 5/31/2016
|
$18.71
|
4.88%
|
0.64%
|
0.64%
|
2.14%
|
25%
|
$416,310
|
Year
Ended 5/31/2015
|
$19.33
|
9.48%
|
0.63%
|
0.63%
|
3.19%
|
27%
|
$313,051
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Dividend Income Fund | Annual Report 2019
|
19
|
Financial Highlights
(continued)
|
Net
asset value,
beginning of
period
|
Net
investment
income
|
Net
realized
and
unrealized
gain
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Institutional
3 Class
|
Year
Ended 5/31/2019
|
$22.02
|
0.48
|
0.89
|
1.37
|
(0.46)
|
(1.07)
|
(1.53)
|
Year
Ended 5/31/2018
|
$20.80
|
0.46
|
1.78
|
2.24
|
(0.42)
|
(0.60)
|
(1.02)
|
Year
Ended 5/31/2017
|
$18.72
|
0.43
|
2.50
|
2.93
|
(0.40)
|
(0.45)
|
(0.85)
|
Year
Ended 5/31/2016
|
$19.35
|
0.40
|
0.44
|
0.84
|
(0.53)
|
(0.94)
|
(1.47)
|
Year
Ended 5/31/2015
|
$19.27
|
0.66
|
1.10
|
1.76
|
(0.48)
|
(1.20)
|
(1.68)
|
Class
R
|
Year
Ended 5/31/2019
|
$21.64
|
0.33
|
0.88
|
1.21
|
(0.32)
|
(1.07)
|
(1.39)
|
Year
Ended 5/31/2018
|
$20.47
|
0.30
|
1.76
|
2.06
|
(0.29)
|
(0.60)
|
(0.89)
|
Year
Ended 5/31/2017
|
$18.43
|
0.29
|
2.47
|
2.76
|
(0.27)
|
(0.45)
|
(0.72)
|
Year
Ended 5/31/2016
|
$19.07
|
0.27
|
0.43
|
0.70
|
(0.40)
|
(0.94)
|
(1.34)
|
Year
Ended 5/31/2015
|
$19.02
|
0.44
|
1.16
|
1.60
|
(0.35)
|
(1.20)
|
(1.55)
|
Class
V
|
Year
Ended 5/31/2019
|
$21.64
|
0.39
|
0.88
|
1.27
|
(0.38)
|
(1.07)
|
(1.45)
|
Year
Ended 5/31/2018
|
$20.47
|
0.36
|
1.75
|
2.11
|
(0.34)
|
(0.60)
|
(0.94)
|
Year
Ended 5/31/2017
|
$18.43
|
0.33
|
2.48
|
2.81
|
(0.32)
|
(0.45)
|
(0.77)
|
Year
Ended 5/31/2016
|
$19.07
|
0.32
|
0.43
|
0.75
|
(0.45)
|
(0.94)
|
(1.39)
|
Year
Ended 5/31/2015
|
$19.02
|
0.48
|
1.16
|
1.64
|
(0.39)
|
(1.20)
|
(1.59)
|
Notes
to Financial Highlights
|
(a)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(b)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
(c)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
20
|
Columbia Dividend Income Fund
| Annual Report 2019
|
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
|
Year
Ended 5/31/2019
|
$21.86
|
6.48%
|
0.58%
|
0.58%
|
2.15%
|
13%
|
$2,955,434
|
Year
Ended 5/31/2018
|
$22.02
|
10.84%
|
0.59%
|
0.59%
|
2.08%
|
15%
|
$2,587,372
|
Year
Ended 5/31/2017
|
$20.80
|
16.03%
|
0.59%
|
0.59%
|
2.17%
|
16%
|
$610,882
|
Year
Ended 5/31/2016
|
$18.72
|
4.87%
|
0.59%
|
0.59%
|
2.19%
|
25%
|
$228,089
|
Year
Ended 5/31/2015
|
$19.35
|
9.59%
|
0.59%
|
0.59%
|
3.41%
|
27%
|
$171,392
|
Class
R
|
Year
Ended 5/31/2019
|
$21.46
|
5.83%
|
1.21%
|
1.21%
(c)
|
1.52%
|
13%
|
$113,166
|
Year
Ended 5/31/2018
|
$21.64
|
10.07%
|
1.22%
|
1.22%
(c)
|
1.41%
|
15%
|
$104,036
|
Year
Ended 5/31/2017
|
$20.47
|
15.29%
|
1.25%
|
1.25%
(c)
|
1.49%
|
16%
|
$99,305
|
Year
Ended 5/31/2016
|
$18.43
|
4.15%
|
1.27%
|
1.27%
(c)
|
1.49%
|
25%
|
$85,066
|
Year
Ended 5/31/2015
|
$19.07
|
8.80%
|
1.27%
|
1.27%
(c)
|
2.28%
|
27%
|
$87,646
|
Class
V
|
Year
Ended 5/31/2019
|
$21.46
|
6.10%
|
0.96%
|
0.96%
(c)
|
1.76%
|
13%
|
$76,067
|
Year
Ended 5/31/2018
|
$21.64
|
10.35%
|
0.97%
|
0.97%
(c)
|
1.66%
|
15%
|
$81,875
|
Year
Ended 5/31/2017
|
$20.47
|
15.58%
|
1.00%
|
1.00%
(c)
|
1.74%
|
16%
|
$78,342
|
Year
Ended 5/31/2016
|
$18.43
|
4.42%
|
1.02%
|
1.02%
(c)
|
1.74%
|
25%
|
$75,218
|
Year
Ended 5/31/2015
|
$19.07
|
9.03%
|
1.04%
|
1.04%
(c)
|
2.49%
|
27%
|
$81,206
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Dividend Income Fund | Annual Report 2019
|
21
|
Notes to Financial Statements
May 31, 2019
Note 1. Organization
Columbia 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). 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. Different share classes pay different
distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own expense and sales charge structure. The Fund
offers each of the share classes identified below.
Class
A shares are subject to a maximum front-end sales charge of 5.75% based on the initial investment amount. Class A shares purchased without an initial sales charge in accounts aggregating $1 million to $50 million at the time of purchase are subject
to a contingent deferred sales charge (CDSC) if the shares are sold within 18 months after purchase, charged as follows: 1.00% CDSC if redeemed within 12 months after purchase, and 0.50% CDSC if redeemed more than 12, but less than 18, months after
purchase.
Advisor Class shares are not subject to sales
charges and are generally available only to omnibus retirement plans and certain investors as described in the Fund’s prospectus.
Class C shares are subject to a 1.00% CDSC on shares redeemed
within 12 months after purchase. Effective July 1, 2018, Class C shares automatically convert to Class A shares of the same Fund in the month of or the month following the 10-year anniversary of the Class C shares purchase date.
Institutional Class shares are not subject to sales charges
and are generally available only to eligible investors, which are subject to different investment minimums as described in the Fund’s prospectus.
Institutional 2 Class shares are not subject to sales charges
and are generally available only to investors purchasing through authorized investment professionals and omnibus retirement plans as described in the Fund’s prospectus.
Institutional 3 Class shares are not subject to sales charges
and are available to institutional and certain other investors as described in the Fund’s prospectus.
Class R shares are not subject to sales charges and are
generally available only to certain retirement plans and other investors as described in the Fund’s prospectus.
Class T shares were subject to a maximum front-end sales
charge of 2.50% per transaction and were required to be purchased through financial intermediaries that, by written agreement with Columbia Management Investment Distributors, Inc., were specifically authorized to sell Class T shares. Effective at
the close of business on December 14, 2018, Class T shares merged, in a tax-free transaction, into Class A shares of the Fund and are no longer offered for sale.
Class V shares are subject to a maximum front-end sales charge
of 5.75% based on the investment amount. Class V shares purchased without an initial sales charge in accounts aggregating $1 million to $50 million at the time of purchase are subject to a CDSC if the shares are sold within 18 months after purchase,
charged as follows: 1.00% CDSC if redeemed within 12 months after purchase, and 0.50% CDSC if redeemed more than 12, but less than 18, months after purchase. Class V shares are available only to investors who received (and who have continuously
held) Class V shares in connection with previous fund reorganizations.
22
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
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
All equity securities and exchange-traded funds are valued at
the close of business of the New York Stock Exchange. Equity securities and exchange-traded funds are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock
Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing
price on the foreign exchange in which such securities are primarily traded. 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 generally determined at 4:00 p.m. Eastern (U.S.) time. 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 adopted by
the Board of Trustees, including, if available, utilizing 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, including money
market funds, are valued at their latest net asset value.
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 and under the general supervision of 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.
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
Columbia
Dividend Income Fund | Annual Report 2019
|
23
|
Notes to Financial Statements
(continued)
May 31, 2019
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 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 on 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 the Fund’s
management. Management’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, 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.
24
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
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 on 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 pronouncements
Accounting Standards Update 2017-08 Premium Amortization on
Purchased Callable Debt Securities
In March 2017, the
Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017-08 Premium Amortization on Purchased Callable Debt Securities. ASU No. 2017-08 updates the accounting standards to shorten the amortization period for certain
purchased callable debt securities, held at a premium, to be amortized to the earliest call date. The update applies to securities with explicit, noncontingent call features that are callable at fixed prices and on preset dates. The standard is
effective for annual periods beginning after December 15, 2018 and interim periods within those fiscal years. Management does not expect the implementation of this guidance to have a material impact on the financial statement amounts and footnote
disclosures.
Accounting Standards Update 2018-13
Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board
issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. ASU No. 2018-13, in addition to other modifications and additions, removes the requirement to disclose the
amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and the policy for the timing of transfers between levels. The standard is effective for annual periods beginning after December 15, 2019 and interim periods
within those fiscal years. At this time, management is evaluating the implication of this guidance and the impact it will have on the financial statement disclosures, if any.
Disclosure Update and Simplification
In September 2018, the Securities and Exchange Commission
(SEC) released Final Rule 33-10532, Disclosure Update and Simplification, which amends certain financial statement disclosure requirements that the SEC determined to be redundant, outdated, or superseded in light of other SEC disclosure
requirements, GAAP, or changes in the information environment. As a result of the amendments, management implemented disclosure changes which included removing the components of distributable earnings presented on the Statement of Assets and
Liabilities and combining income and gain distributions paid to shareholders as presented on the Statement of Changes in Net Assets. Any values presented to meet prior year requirements were left unchanged. The amendments had no effect on the
Fund’s net assets or results of operation.
Columbia
Dividend Income Fund | Annual Report 2019
|
25
|
Notes to Financial Statements
(continued)
May 31, 2019
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 0.52% as the Fund’s net assets increase. The
effective management services fee rate for the year ended May 31, 2019 was 0.56% 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. These members of the Board of Trustees may participate in a Deferred Compensation Plan (the
Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer
to 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 DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST 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.
26
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
For
the year ended May 31, 2019, the Fund’s effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
|
Effective
rate (%)
|
Class
A
|
0.14
|
Advisor
Class
|
0.14
|
Class
C
|
0.14
|
Institutional
Class
|
0.14
|
Institutional
2 Class
|
0.06
|
Institutional
3 Class
|
0.01
|
Class
R
|
0.14
|
Class
T
|
0.07
(a)
|
Class
V
|
0.14
|
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 year ended May 31, 2019, these minimum account balance fees reduced total expenses of the Fund by $2,914.
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, Class C and Class T 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%, 0.50% and 0.25% of the average daily net assets attributable to Class A, Class C, Class R and Class T shares of the Fund, respectively. As a result of all Class T shares of the Fund being redeemed or converted to Class A
shares, December 14, 2018 was the last day the Fund paid a distribution and shareholder services fee for Class T shares.
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 liaison 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.
Although the Fund may have paid a distribution fee up to 0.25%
of the Fund’s average daily net assets attributable to Class T shares and a service fee of up to 0.25% of the Fund’s average daily net assets attributable to Class T shares, the aggregate fee shall not exceed 0.25% of the Fund’s
average daily net assets attributable to Class T 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 liaison 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.
Columbia
Dividend Income Fund | Annual Report 2019
|
27
|
Notes to Financial Statements
(continued)
May 31, 2019
Sales
charges (unaudited)
Sales charges, including front-end
charges and CDSCs, received by the Distributor for distributing Fund shares for the year ended May 31, 2019, if any, are listed below:
|
Amount
($)
|
Class
A
|
4,170,137
|
Class
C
|
68,588
|
Class
V
|
2,247
|
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 class’ average daily net assets:
|
October
1, 2018
through
September 30, 2019
|
Prior
to
October 1, 2018
|
Class
A
|
1.16%
|
1.18%
|
Advisor
Class
|
0.91
|
0.93
|
Class
C
|
1.91
|
1.93
|
Institutional
Class
|
0.91
|
0.93
|
Institutional
2 Class
|
0.83
|
0.83
|
Institutional
3 Class
|
0.78
|
0.78
|
Class
R
|
1.41
|
1.43
|
Class
V
|
1.16
|
1.18
|
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, 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 May 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, re-characterization of distributions for investments, trustees’ deferred compensation and foreign currency transactions. To the extent these differences were permanent,
reclassifications were made among the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications were made:
28
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
Undistributed
net
investment
income ($)
|
Accumulated
net realized
gain ($)
|
Paid
in
capital ($)
|
(430,407)
|
430,407
|
—
|
Net investment income (loss) and
net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions paid during the years
indicated was as follows:
Year
Ended May 31, 2019
|
Year
Ended May 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
231,206,126
|
577,759,021
|
808,965,147
|
191,955,520
|
298,329,333
|
490,284,853
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2019, the components of distributable earnings on a
tax basis were as follows:
Undistributed
ordinary income ($)
|
Undistributed
long-term
capital gains ($)
|
Capital
loss
carryforwards ($)
|
Net
unrealized
appreciation ($)
|
45,180,559
|
177,209,676
|
—
|
4,133,513,308
|
At May 31, 2019, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
|
Gross
unrealized
appreciation ($)
|
Gross
unrealized
(depreciation) ($)
|
Net
unrealized
appreciation ($)
|
9,453,888,432
|
4,358,119,733
|
(224,606,425)
|
4,133,513,308
|
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 $3,182,407,622 and $1,500,353,105, respectively, for the year ended May 31, 2019. 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
Dividend Income Fund | Annual Report 2019
|
29
|
Notes to Financial Statements
(continued)
May 31, 2019
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
year ended May 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Lender
|
4,142,857
|
2.92
|
21
|
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at May 31, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a
syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is
a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is 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 one-month LIBOR rate 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 December unless extended or renewed.
The Fund had no borrowings during the year ended May 31,
2019.
Note 9. Significant risks
Shareholder concentration risk
At May 31, 2019, two unaffiliated shareholders of record owned
36.4% 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. Affiliated shareholders of record owned 13.7% 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.
30
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
Note 11. Information regarding pending and settled
legal proceedings
Ameriprise Financial and certain of
its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their
business activities. 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.
Columbia
Dividend Income Fund | Annual Report 2019
|
31
|
Report of Independent Registered Public Accounting Firm
To the
Board of Trustees of Columbia Funds Series Trust I and Shareholders of Columbia Dividend Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Dividend Income Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as of May 31, 2019, the related statement of operations for the
year ended May 31, 2019, the statement of changes in net assets for each of the two years in the period ended May 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2019
(collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the
year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2019 and the financial highlights for each of the five years in the period ended May 31, 2019 in conformity with accounting principles generally
accepted in the United States of America.
Basis for
Opinion
These financial statements are the
responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board
(United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in
accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks
of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the
financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation
of securities owned as of May 31, 2019 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 22, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
32
|
Columbia Dividend Income Fund
| Annual Report 2019
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended May 31, 2019. Shareholders will be notified in early 2020 of the amounts for use in preparing 2019 income tax returns.
Qualified
dividend
income
|
Dividends
received
deduction
|
Capital
gain
dividend
|
100.00%
|
100.00%
|
$492,282,672
|
Qualified dividend income. For
taxable, non-corporate shareholders, the percentage of ordinary income distributed during the fiscal year that represents qualified dividend income subject to reduced tax rates.
Dividends received deduction. The percentage of ordinary
income distributed during the fiscal year that qualifies for the corporate dividends received deduction.
Capital gain dividend. The Fund designates as a capital gain
dividend the amount reflected above, or if subsequently determined to be different, the net capital gain of such fiscal period.
Columbia
Dividend Income Fund | Annual Report 2019
|
33
|
The
Board oversees the Fund’s operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the Fund’s Trustees as
of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth beneath Length of Service in the table below is the year
in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board policy, members serve terms of indefinite duration.
Independent trustees
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Fund Complex overseen
|
Other
directorships held by Trustee during the past five years
|
Janet
Langford Carrig
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1957
|
Trustee
1996
|
Senior
Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018
|
69
|
None
|
Douglas
A. Hacker
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1955
|
Trustee
and Chairman of the Board
1996
|
Independent
business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice
President and Chief Financial Officer of United Airlines from July 1999 to September 2001
|
69
|
Spartan
Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel
information technology)
|
Nancy
T. Lukitsh
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1956
|
Trustee
2011
|
Senior
Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington
Trust Company, NA and other Wellington affiliates from 1997 to 2010
|
69
|
None
|
David
M. Moffett
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1952
|
Trustee
2011
|
Retired.
Consultant to Bridgewater and Associates
|
69
|
Director,
CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay
Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016
|
34
|
Columbia Dividend Income Fund
| Annual Report 2019
|
TRUSTEES AND OFFICERS
(continued)
Independent trustees
(continued)
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Fund Complex overseen
|
Other
directorships held by Trustee during the past five years
|
John
J. Neuhauser
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1943
|
Trustee
1984
|
President,
Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to
October 2005; University Professor, Boston College from November 2005 to August 2007
|
69
|
Liberty
All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds)
|
Patrick
J. Simpson
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1944
|
Trustee
2000
|
Of
Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014
|
69
|
M
Fund, Inc. (M Funds mutual fund family)
|
Anne-Lee
Verville
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1945
|
Trustee
1998
|
Retired.
General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987
to 1988, IBM Corporation (computer and technology)
|
69
|
Enesco
Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006
|
Consultants to the Independent Trustees*
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds complex overseen
|
Other
directorships held by Trustee during the past five years
|
J.
Kevin Connaughton
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street
Mail Drop BX32 05228,
Boston, MA 02110
1964
|
Independent
Trustee Consultant
2016
|
Independent
Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to
February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015
|
69
|
Director,
The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017
|
Columbia
Dividend Income Fund | Annual Report 2019
|
35
|
TRUSTEES AND OFFICERS
(continued)
Consultants to the Independent
Trustees*
(continued)
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds complex overseen
|
Other
directorships held by Trustee during the past five years
|
Olive
Darragh
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street,
Mail Drop BX32 05228,
Boston, MA 02110
1962
|
Independent
Trustee Consultant 2019
|
Independent
Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004;
Partner, Tudor Investments from 2004 to 2010; Senior Partner, McKinsey & Company from 2001 to 2004
|
69
|
Director,
University of Edinburgh Business School; former Director, Boston Public Library Foundation
|
Natalie
A. Trunow
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street
Mail Drop BX32 05228,
Boston, MA 02110
1967
|
Independent
Trustee Consultant
2016
|
Independent
Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to
September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008
|
69
|
Director,
Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions)
|
*
|
J. Kevin
Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent
Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting.
|
Interested trustee affiliated with Investment Manager*
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds Complex overseen
|
Other
directorships held by Trustee during the past five years
|
William
F. Truscott
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
1960
|
Trustee
2012
|
Chairman
of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive
Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and
Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012
|
188
|
Chairman
of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013
|
*
|
Interested
person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial.
|
The Statement of Additional Information has additional
information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your financial intermediary.
36
|
Columbia Dividend Income Fund
| Annual Report 2019
|
TRUSTEES AND OFFICERS
(continued)
The Board has appointed officers who are responsible for
day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five
years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Fund officers
Name,
address and
year of birth
|
Position
and year
first appointed to
position for any Fund
in the Columbia
Funds complex or a
predecessor thereof
|
Principal
occupation(s) during past five years
|
Christopher
O. Petersen
5228 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1970
|
President
and Principal Executive Officer (2015)
|
Vice
President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007.
|
Michael
G. Clarke
225 Franklin Street
Boston, MA 02110
Born 1969
|
Chief
Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019)
|
Vice
President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia
Funds and affiliated funds since 2002 (previously Treasurer and Chief Accounting Officer, January 2009 - January 2019 and December 2015 - January 2019, respectively).
|
Joseph
Beranek
5890 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1965
|
Treasurer
and Chief Accounting Officer (Principal Accounting Officer) (2019)
|
Vice
President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March
2017).
|
Paul
B. Goucher
485 Lexington Avenue
New York, NY 10017
Born 1968
|
Senior
Vice President (2011) and Assistant Secretary (2008)
|
Senior
Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal
Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015).
|
Thomas
P. McGuire
225 Franklin Street
Boston, MA 02110
Born 1972
|
Senior
Vice President and Chief Compliance Officer (2012)
|
Vice
President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010.
|
Colin
Moore
225 Franklin Street
Boston, MA 02110
Born 1958
|
Senior
Vice President (2010)
|
Executive
Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013.
|
Ryan
C. Larrenaga
225 Franklin Street
Boston, MA 02110
Born 1970
|
Senior
Vice President (2017), Chief Legal Officer (2017), and Secretary (2015)
|
Vice
President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005.
|
Michael
E. DeFao
225 Franklin Street
Boston, MA 02110
Born 1968
|
Vice
President (2011) and Assistant Secretary (2010)
|
Vice
President and Chief Counsel, Ameriprise Financial, Inc. since May 2010.
|
Lyn
Kephart-Strong
5228 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1960
|
Vice
President (2015)
|
President,
Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009.
|
Columbia
Dividend Income Fund | Annual Report 2019
|
37
|
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/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-Q or Form N-PORT (available for filings after March 31, 2019). The Fund’s Form N-Q or Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, 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
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
38
|
Columbia Dividend Income Fund
| Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia 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.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
May 31, 2019
Columbia High Yield Municipal Fund
Beginning on January 1, 2021, as permitted by regulations
adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the
reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports
electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such
as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of
charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to
let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia
Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose
value
|
3
|
|
5
|
|
7
|
|
8
|
|
23
|
|
24
|
|
25
|
|
28
|
|
32
|
|
41
|
|
42
|
|
43
|
|
47
|
Columbia High Yield Municipal Fund | Annual Report
2019
Investment objective
Columbia High Yield Municipal Fund
(the Fund) seeks total return, consisting of current income exempt from federal income tax and capital appreciation.
Portfolio
management
Douglas White,
CFA
Lead
Portfolio Manager
Managed Fund
since December 2018
Catherine
Stienstra
Portfolio
Manager
Managed Fund
since 2016
Average
annual total returns (%) (for the period ended May 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
10
Years
|
Class
A
|
Excluding
sales charges
|
07/31/00
|
6.42
|
4.81
|
6.77
|
|
Including
sales charges
|
|
3.20
|
4.17
|
6.45
|
Advisor
Class*
|
03/19/13
|
6.73
|
5.04
|
7.00
|
Class
C
|
Excluding
sales charges
|
07/15/02
|
5.73
|
4.14
|
6.11
|
|
Including
sales charges
|
|
4.73
|
4.14
|
6.11
|
Institutional
Class
|
03/05/84
|
6.73
|
5.04
|
6.99
|
Institutional
2 Class*
|
11/08/12
|
6.78
|
5.11
|
7.05
|
Institutional
3 Class*
|
03/01/17
|
6.83
|
5.09
|
7.01
|
Blended
Benchmark
|
|
7.22
|
4.96
|
6.65
|
Bloomberg
Barclays High Yield Municipal Bond Index
|
|
7.76
|
5.86
|
8.02
|
Returns for Class A shares are shown
with and without the maximum initial sales charge of 3.00%. 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 Blended Benchmark, established by the Investment Manager,
consists of a 60% weighting of the Bloomberg Barclays High Yield Municipal Bond Index and a 40% weighting of the Bloomberg Barclays Municipal Bond Index.
The Bloomberg Barclays Municipal Bond Index is considered
representative of the broad market for investment-grade, tax-exempt bonds with a maturity of at least one year.
The Bloomberg Barclays High Yield Municipal Bond Index is
comprised of bonds with maturities greater than one-year, having a par value of at least $3 million issued as part of a transaction size greater than $20 million, and rated no higher than “BB+” or equivalent by any of the three principal
rating agencies.
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
High Yield Municipal Fund | Annual Report 2019
|
3
|
Fund at a Glance
(continued)
Performance of a
hypothetical $10,000 investment (May 31, 2009 — May 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia High Yield Municipal Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares.
Quality
breakdown (%) (at May 31, 2019)
|
AAA
rating
|
6.2
|
AA
rating
|
7.1
|
A
rating
|
14.8
|
BBB
rating
|
28.4
|
BB
rating
|
7.1
|
B
rating
|
6.0
|
CCC
rating
|
0.2
|
Not
rated
|
30.2
|
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. 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.
Top
Ten States/Territories (%)
(at May 31, 2019)
|
Illinois
|
13.0
|
Florida
|
11.1
|
California
|
8.7
|
Texas
|
7.7
|
Pennsylvania
|
5.0
|
New
Jersey
|
4.4
|
Massachusetts
|
3.6
|
Washington
|
3.4
|
Colorado
|
3.4
|
Georgia
|
3.2
|
Percentages indicated are based
upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these holdings, please refer to the
section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change
at any time, and are not recommendations to buy or sell any security.
4
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Manager Discussion of Fund Performance
For
the 12-month period that ended May 31, 2019, Class A shares of the Fund returned 6.42% excluding sales charges. During the same time period, the Fund’s Blended Benchmark returned 7.22%, and the Bloomberg Barclays High Yield Municipal Bond
Index returned 7.76%. The Fund shifted its positioning in favor of longer duration, higher quality securities.
Municipal bonds advanced, led by high-yield issues
Municipal bonds generated healthy gains in the 12-month
reporting period, with the bulk of the rally occurring from November 2018 onward. Municipals performed reasonably well from June 2018 through August 2018 on the strength of falling U.S. Treasury yields and the combination of robust investor demand
and reduced new-issue supply. Conditions became less supportive in September, when U.S. Treasury yields climbed on indications of persistent strength in the U.S. economy. The negative trend persisted in October, as yields continued to rise on
concerns that the U.S. Federal Reserve (Fed) would take a more aggressive approach to raising interest rates in 2019 than investors had been expecting.
Sentiment again shifted abruptly in early November 2018,
causing yields to fall sharply through year-end. The fixed-income markets rallied significantly on signs of slowing global growth, volatility in higher risk assets, and expectations that the Fed would in fact adopt a more accommodative stance. In
addition, various geopolitical factors — including uncertainty surrounding the U.S./China trade dispute, Brexit negotiations (the U.K.’s departure from the European Union), and the U.S. government shutdown — fueled a “flight
to quality” into bonds. Municipals rallied as a result, helping the major national indexes finish 2018 in positive territory.
The advance continued into the New Year, leading to the
largest first-quarter gain for tax-exempt issues since 2014 and the sixth-best in the past 30 years. The market was well supported by the backdrop of slow global growth and the increasingly accommodative policies of the world’s central banks.
Growing trade tensions with China added to the fears of slowing growth, extending the gains through April and May helping municipals post a strong return for the full 12 months.
Longer term bonds outpaced shorter term issues, mirroring
trends in the Treasury market, while lower quality securities strongly outperformed their higher rated counterparts. High-yield issues benefited as the combination of positive economic growth, property value increases and rising tax receipts aided
municipal credit quality. The category was also boosted by a favorable balance of supply and demand. High-yield new issuance declined substantially year-over-year in the first five months of 2019. In addition, reductions in state and local tax
(SALT) deductions appeared to boost demand across the quality spectrum by increasing the value of municipal bonds’ tax exemption, especially in higher tax states.
Contributors and detractors
The Fund produced a positive absolute return, but certain
aspects of its positioning caused it to underperform its Blended Benchmark. Its general underweight in below-investment-grade bonds was a key factor in the shortfall. Security selection in the 12- to 20-year maturity range hurt relative results, as
did selection in the BBB and non-rated credit tiers. An underweight in bonds rated below single B detracted from performance, as well. At the sector level, underweight allocations to water & sewer and industrial development / pollution control
revenue issues — which outperformed the Blended Benchmark — detracted, as did selection in these areas. An overweight and selection in the special-tax sector was a further detractor.
On the positive side, selection in bonds with maturities of 20
years and above contributed to performance. The Fund’s security selection in the A, B, and below B credit tiers added value. An underweight in tobacco — which lagged the broader market — was a plus, as was selection in the sector.
Portfolio holdings in state general obligations, electric utilities and continuing care retirement communities (CCRCs) also outperformed the corresponding benchmark components.
Longer duration, higher quality securities became more
attractive
In late 2018, stock-market volatility and
signs of a potential economic slowdown led us to tilt the portfolio toward bonds with longer maturities and relatively higher credit quality. Typically, interest rates fall and yield spreads on lower rated issues widen when growth slows, while
portfolios with greater interest rate sensitivity and higher quality tend to outperform. We therefore extended the Fund’s effective duration (interest-rate sensitivity) by approximately one-half year over the full 12-month period, primarily by
reducing the portfolio’s weighting in intermediate-maturity debt and increasing its position in longer maturities. This shift helped Fund performance, mainly during the latter half of the period, but it was not enough to offset the drag from
underweights in lower quality sectors and issues that performed well in the first half.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
(continued)
Although the portfolio’s average quality rating at the
end of the period did not change from its average quality rating at the start of the period, we generally focused on what we believed to be higher quality securities in both ratings categories and specific sectors. For instance, many of the
positions we added in the CCRC sector were rated investment grade by a public rating agency and/or our internal credit analysts, as were all of the positions we added in the transportation sector. The Fund had weightings of 57% and 43% in
investment-grade and high-yield debt, respectively, at the close of the period, compared with 52% and 48% on May 31, 2018.
We also added to areas where we saw the potential for
narrowing yield spreads. For example, we purchased Illinois and Connecticut state general obligations, as these states were starting to show signs of improved fiscal discipline amid the ongoing U.S. economic expansion. In addition, we increased
portfolio’s weighting in tobacco issues in early 2019. We believed absolute yields were attractive, and yield spreads had not fully recovered from the widening that occurred in the fourth quarter of 2018.
Conversely, we reduced positions where we saw negative
fundamental trends or where issuers’ financial strength did not appear able to withstand an economic downturn. We sold issues with declining financial metrics in the charter school, assisted living and hospital sectors. We eliminated positions
in the Virgin Islands due to the territory’s weak economy, and in Puerto Rico due to ongoing political and economic uncertainty. We also sold issues with above-average risk in the biofuel and medical technology industries.
Fixed-income securities present
issuer
default risk. The Fund invests substantially in
municipal securities
and will be affected by tax, legislative, regulatory, demographic or political changes, as well
as changes impacting a state’s financial, economic or other conditions. A relatively small number of tax-exempt issuers may necessitate the Fund investing more heavily in a single issuer and, therefore, be more exposed to the risk of loss than
a fund that invests more broadly.
Prepayment and extension
risk exists because the timing of payments on a loan, bond or other investment may accelerate when interest rates fall or decelerate when interest
rates rise which may reduce investment opportunities and potential returns. A rise in
interest rates
may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its
performance and NAV. Falling rates may result in the Fund investing in lower yielding debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities.
Non-investment-grade
(high-yield or junk) securities present greater price volatility and more risk to principal and income than higher rated securities.
Market
risk may affect
a single issuer, sector of the economy, industry or the market as a whole. Federal and state
tax
rules apply to capital gain distributions and any gains or losses on sales. Income may be subject to state, local
or alternative minimum taxes. Market or other (e.g., interest rate) environments may adversely affect the
liquidity
of Fund investments, negatively impacting their price. Generally, the less liquid the market
at the time the Fund sells a holding, the greater the risk of loss or decline of value to the Fund. See the Fund’s prospectus for more information on these and other risks.
The views expressed in this report reflect the current views of
the respective parties. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict, so actual outcomes and results may differ significantly from the views expressed.
These views are subject to change at any time based upon economic, market or other conditions and the respective parties disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment
decisions for a Columbia fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or
investment advice.
6
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
December
1, 2018 — May 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,063.90
|
1,020.69
|
4.37
|
4.28
|
0.85
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,065.90
|
1,021.69
|
3.35
|
3.28
|
0.65
|
Class
C
|
1,000.00
|
1,000.00
|
1,060.50
|
1,017.45
|
7.71
|
7.54
|
1.50
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,066.00
|
1,021.69
|
3.35
|
3.28
|
0.65
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,065.20
|
1,021.89
|
3.14
|
3.07
|
0.61
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,065.40
|
1,022.14
|
2.88
|
2.82
|
0.56
|
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
High Yield Municipal Fund | Annual Report 2019
|
7
|
Portfolio of Investments
May 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Corporate
Bonds & Notes 0.0%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
United
States 0.0%
|
Anuvia
Florida LLC
(a)
|
01/01/2029
|
5.000%
|
|
209,033
|
188,129
|
Total
Corporate Bonds & Notes
(Cost $209,033)
|
188,129
|
|
Municipal
Bonds 98.2%
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Arizona
1.3%
|
Arizona
Industrial Development Authority
|
Revenue
Bonds
|
Great
Lakes Senior Living Communities LLC
|
Series
2019
|
01/01/2054
|
5.000%
|
|
1,500,000
|
1,648,770
|
La
Paz County Industrial Development Authority
|
Revenue
Bonds
|
Charter
School Solutions - Harmony Public
|
Series
2016
|
02/15/2036
|
5.000%
|
|
1,200,000
|
1,314,552
|
02/15/2046
|
5.000%
|
|
1,500,000
|
1,624,170
|
Charter
School Solutions - Harmony Public Schools Project
|
Series
2018
|
02/15/2048
|
5.000%
|
|
230,000
|
253,711
|
Maricopa
County Industrial Development Authority
(b)
|
Revenue
Bonds
|
Christian
Care Surprise, Inc. Project
|
Series
2016
|
01/01/2048
|
6.000%
|
|
3,595,000
|
3,738,800
|
Tempe
Industrial Development Authority
(b)
|
Revenue
Bonds
|
Mirabella
at ASU Project
|
Series
2017A
|
10/01/2047
|
6.125%
|
|
1,400,000
|
1,567,748
|
Total
|
10,147,751
|
California
8.5%
|
California
Health Facilities Financing Authority
|
Refunding
Revenue Bonds
|
Northern
California Presbyterian Homes
|
Series
2015
|
07/01/2039
|
5.000%
|
|
900,000
|
1,040,670
|
California
Municipal Finance Authority
|
Revenue
Bonds
|
National
University
|
Series
2019A
|
04/01/2040
|
5.000%
|
|
1,275,000
|
1,520,782
|
04/01/2041
|
5.000%
|
|
250,000
|
298,147
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
California
Municipal Finance Authority
(c)
|
Revenue
Bonds
|
Senior
Lien
|
Series
2018A AMT
|
12/31/2047
|
4.000%
|
|
1,000,000
|
1,057,250
|
12/31/2047
|
5.000%
|
|
3,405,000
|
3,937,746
|
California
Municipal Finance Authority
(b),(c),(d)
|
Revenue
Bonds
|
UTS
Renewable Energy-Waste Water Facilities
|
Series
2011 AMT
|
12/01/2032
|
0.000%
|
|
1,835,000
|
275,250
|
California
State Public Works Board
|
Refunding
Revenue Bonds
|
Various
Capital Projects
|
Series
2012G
|
11/01/2037
|
5.000%
|
|
1,250,000
|
1,384,350
|
California
Statewide Communities Development Authority
|
Refunding
Revenue Bonds
|
899
Charleston Project
|
Series
2014A
|
11/01/2044
|
5.250%
|
|
1,500,000
|
1,641,420
|
Revenue
Bonds
|
American
Baptist Homes West
|
Series
2010
|
10/01/2039
|
6.250%
|
|
2,750,000
|
2,791,800
|
Loma
Linda University Medical Center
|
Series
2014
|
12/01/2054
|
5.500%
|
|
3,000,000
|
3,326,730
|
California
Statewide Communities Development Authority
(b)
|
Revenue
Bonds
|
Loma
Linda University Medical Center
|
Series
2018
|
12/01/2058
|
5.500%
|
|
1,000,000
|
1,156,950
|
Chino
Public Financing Authority
|
Refunding
Special Tax Bonds
|
Series
2012
|
09/01/2034
|
5.000%
|
|
1,775,000
|
1,899,694
|
City
of Carson
|
Special
Assessment Bonds
|
Assessment
District No. 92-1
|
Series
1992
|
09/02/2022
|
7.375%
|
|
40,000
|
40,502
|
City
of Long Beach Marina System
|
Revenue
Bonds
|
Series
2015
|
05/15/2045
|
5.000%
|
|
500,000
|
550,370
|
City
of Santa Maria Water & Wastewater
(e)
|
Refunding
Revenue Bonds
|
Series
2012A
|
02/01/2025
|
0.000%
|
|
3,100,000
|
2,553,315
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
8
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
City
of Upland
|
Prerefunded
01/01/21 Certificate of Participation
|
San
Antonio Community Hospital
|
Series
2011
|
01/01/2041
|
6.500%
|
|
5,000,000
|
5,401,500
|
Compton
Unified School District
(e)
|
Unlimited
General Obligation Bonds
|
Election
of 2002 - Capital Appreciation
|
Series
2006C
|
06/01/2025
|
0.000%
|
|
2,310,000
|
2,040,608
|
Department
of Veterans Affairs Veteran’s Farm & Home Purchase Program
|
Revenue
Bonds
|
Series
2012A
|
12/01/2025
|
3.500%
|
|
3,760,000
|
3,881,523
|
Empire
Union School District
(e)
|
Special
Tax Bonds
|
Communities
Facilities District No. 1987-1
|
Series
2002A (AMBAC)
|
10/01/2021
|
0.000%
|
|
1,665,000
|
1,598,800
|
Foothill-Eastern
Transportation Corridor Agency
|
Refunding
Revenue Bonds
|
Junior
Lien
|
Series
2014C
|
01/15/2043
|
6.500%
|
|
5,000,000
|
5,917,100
|
Golden
State Tobacco Securitization Corp.
|
Refunding
Revenue Bonds
|
Series
2018A-2
|
06/01/2047
|
5.000%
|
|
12,500,000
|
12,400,500
|
M-S-R
Energy Authority
|
Revenue
Bonds
|
Series
2009B
|
11/01/2039
|
6.500%
|
|
5,000,000
|
7,503,050
|
Palomar
Health
|
Refunding
Revenue Bonds
|
Series
2016
|
11/01/2036
|
5.000%
|
|
1,845,000
|
2,086,400
|
State
of California
|
Unlimited
General Obligation Bonds
|
Various
Purpose
|
Series
2012
|
04/01/2042
|
5.000%
|
|
3,000,000
|
3,269,370
|
Total
|
67,573,827
|
Colorado
3.3%
|
Arista
Metropolitan District
|
Limited
General Obligation Refunding & Improvement Bonds
|
Series
2018
|
12/01/2048
|
5.125%
|
|
1,000,000
|
1,041,950
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Colliers
Hill Metropolitan District No. 2
|
Limited
General Obligation Bonds
|
Senior
Bonds
|
Series
2017A
|
12/01/2047
|
6.500%
|
|
4,380,000
|
4,501,019
|
Colorado
Bridge Enterprise
(c)
|
Revenue
Bonds
|
Central
70 Project
|
Series
2017 AMT
|
06/30/2051
|
4.000%
|
|
6,000,000
|
6,261,060
|
Colorado
Health Facilities Authority
|
Revenue
Bonds
|
Senior
Living - Ralston Creek at Arvada
|
Series
2017
|
11/01/2052
|
6.000%
|
|
5,000,000
|
5,006,200
|
Leyden
Rock Metropolitan District No. 10
|
Limited
General Obligation Bonds
|
Series
2016A
|
12/01/2045
|
5.000%
|
|
1,000,000
|
1,027,510
|
Palisade
Metropolitan District No. 2
|
Limited
General Obligation Bonds
|
Series
2016
|
12/01/2046
|
5.000%
|
|
1,500,000
|
1,533,195
|
Regional
Transportation District
|
Certificate
of Participation
|
Series
2014A
|
06/01/2039
|
5.000%
|
|
5,000,000
|
5,550,600
|
Sierra
Ridge Metropolitan District No. 2
|
Senior
Limited General Obligation Bonds
|
Series
2016A
|
12/01/2046
|
5.500%
|
|
1,500,000
|
1,555,275
|
Total
|
26,476,809
|
Connecticut
1.4%
|
Connecticut
State Health & Educational Facility Authority
(b)
|
Revenue
Bonds
|
Church
Home of Hartford, Inc. Project
|
Series
2016
|
09/01/2053
|
5.000%
|
|
1,750,000
|
1,841,000
|
Harbor
Point Infrastructure Improvement District
|
Prerefunded
04/01/20 Tax Allocation Bonds
|
Harbor
Point Project
|
Series
2010A
|
04/01/2039
|
7.875%
|
|
4,000,000
|
4,208,840
|
State
of Connecticut
|
Unlimited
General Obligation Bonds
|
Series
2018C
|
06/15/2038
|
5.000%
|
|
1,000,000
|
1,187,640
|
Series
2018E
|
09/15/2037
|
5.000%
|
|
500,000
|
597,285
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
9
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2019A
|
04/15/2037
|
4.000%
|
|
2,675,000
|
2,952,933
|
Total
|
10,787,698
|
Delaware
0.1%
|
City
of Wilmington
(c)
|
Revenue
Bonds
|
Housing-Electra
Arms Senior Associates Project
|
Series
1998 AMT
|
06/01/2028
|
6.250%
|
|
510,000
|
510,408
|
District
of Columbia 0.7%
|
District
of Columbia
|
Revenue
Bonds
|
Ingleside
Rock Creek Project
|
Series
2017
|
07/01/2052
|
5.000%
|
|
1,000,000
|
1,054,280
|
Metropolitan
Washington Airports Authority
(c)
|
Revenue
Bonds
|
Airport
System
|
Series
2012A AMT
|
10/01/2024
|
5.000%
|
|
4,000,000
|
4,443,160
|
Total
|
5,497,440
|
Florida
10.9%
|
Capital
Trust Agency, Inc.
(b)
|
Revenue
Bonds
|
1st
Mortgage Tallahassee Tapestry Senior Housing Project
|
Series
2015
|
12/01/2050
|
7.125%
|
|
3,550,000
|
3,664,061
|
University
Bridge LLC Student Housing Project
|
Series
2018
|
12/01/2058
|
5.250%
|
|
6,750,000
|
6,881,355
|
City
of Atlantic Beach
|
Revenue
Bonds
|
Fleet
Landing Project
|
Series
2018A
|
11/15/2053
|
5.000%
|
|
1,500,000
|
1,667,205
|
City
of Lakeland
|
Refunding
Revenue Bonds
|
1st
Mortgage-Carpenters Home Estates
|
Series
2008
|
01/01/2028
|
6.250%
|
|
675,000
|
675,716
|
01/01/2043
|
6.375%
|
|
2,250,000
|
2,252,430
|
Revenue
Bonds
|
Lakeland
Regional Health
|
Series
2015
|
11/15/2040
|
5.000%
|
|
5,000,000
|
5,556,950
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
City
of Tallahassee
|
Revenue
Bonds
|
Tallahassee
Memorial Healthcare, Inc. Project
|
Series
2016
|
12/01/2055
|
5.000%
|
|
3,000,000
|
3,326,430
|
County
of Miami-Dade
(e)
|
Revenue
Bonds
|
Capital
Appreciation
|
Subordinated
Series 2009B
|
10/01/2041
|
0.000%
|
|
10,000,000
|
4,589,500
|
County
of Miami-Dade
|
Subordinated
Refunding Revenue Bonds
|
Series
2012B
|
10/01/2037
|
5.000%
|
|
1,530,000
|
1,675,595
|
County
of Miami-Dade Aviation
(c)
|
Refunding
Revenue Bonds
|
Series
2019A AMT
|
10/01/2049
|
5.000%
|
|
5,000,000
|
5,944,300
|
Florida
Development Finance Corp.
(b),(c)
|
Refunding
Revenue Bonds
|
Virgin
Trains USA Pass
|
Series
2019 AMT
|
01/01/2049
|
6.500%
|
|
5,000,000
|
5,028,150
|
Florida
Development Finance Corp.
(b)
|
Revenue
Bonds
|
Miami
Arts Charter School Project
|
Series
2014A
|
06/15/2044
|
6.000%
|
|
6,100,000
|
6,029,789
|
Renaissance
Charter School
|
Series
2015
|
06/15/2046
|
6.125%
|
|
4,900,000
|
5,231,093
|
Florida
Development Finance Corp.
|
Revenue
Bonds
|
Renaissance
Charter School
|
Series
2010A
|
09/15/2040
|
6.000%
|
|
3,750,000
|
3,864,262
|
Series
2012A
|
06/15/2043
|
6.125%
|
|
4,500,000
|
4,605,075
|
Renaissance
Charter School Projects
|
Series
2013A
|
06/15/2044
|
8.500%
|
|
5,000,000
|
5,745,500
|
Mid-Bay
Bridge Authority
|
Prerefunded
10/01/21 Revenue Bonds
|
Series
2011A
|
10/01/2040
|
7.250%
|
|
4,000,000
|
4,513,640
|
Orange
County Health Facilities Authority
|
Refunding
Revenue Bonds
|
Mayflower
Retirement Center
|
Series
2012
|
06/01/2042
|
5.125%
|
|
750,000
|
779,228
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
10
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Orange
County Industrial Development Authority
(b),(c)
|
Revenue
Bonds
|
Anuvia
Florida LLC Project
|
Series
2018-A AMT
|
07/01/2048
|
4.000%
|
|
4,100,000
|
2,552,127
|
Palm
Beach County Health Facilities Authority
|
Revenue
Bonds
|
Sinai
Residences Boca Raton
|
Series
2014
|
06/01/2049
|
7.500%
|
|
1,250,000
|
1,413,762
|
Polk
County Industrial Development Authority
(f)
|
Refunding
Revenue Bonds
|
Carpenter’s
Home Estates, Inc.
|
Series
2019
|
01/01/2055
|
5.000%
|
|
2,615,000
|
2,885,888
|
South
Lake County Hospital District
|
Revenue
Bonds
|
South
Lake Hospital, Inc.
|
Series
2010A
|
04/01/2039
|
6.250%
|
|
2,000,000
|
2,005,560
|
St.
Johns County Industrial Development Authority
|
Refunding
Revenue Bonds
|
Bayview
Project
|
Series
2007A
|
10/01/2041
|
5.250%
|
|
3,725,000
|
3,114,882
|
Westridge
Community Development District
(d)
|
Special
Assessment Bonds
|
Series
2005
|
05/01/2037
|
0.000%
|
|
2,650,000
|
1,987,500
|
Total
|
85,989,998
|
Georgia
3.1%
|
DeKalb
County Hospital Authority
|
Prerefunded
09/01/20 Revenue Bonds
|
DeKalb
Medical Center, Inc. Project
|
Series
2010
|
09/01/2040
|
6.125%
|
|
4,500,000
|
4,744,080
|
Floyd
County Development Authority
|
Revenue
Bonds
|
Spires
Berry College Project
|
12/01/2048
|
6.250%
|
|
2,500,000
|
2,561,675
|
Georgia
Housing & Finance Authority
|
Revenue
Bonds
|
Single
Family Mortgage
|
Series
2017A
|
12/01/2042
|
4.050%
|
|
3,000,000
|
3,176,640
|
Georgia
State Road & Tollway Authority
(b),(e)
|
Revenue
Bonds
|
I-75
S Expressway
|
Series
2014S
|
06/01/2049
|
0.000%
|
|
9,100,000
|
6,733,636
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Glynn-Brunswick
Memorial Hospital Authority
|
Revenue
Bonds
|
SE
Georgia Health System Anticipation Certificates
|
Series
2017
|
08/01/2047
|
5.000%
|
|
355,000
|
401,413
|
Oconee
County Industrial Development Authority
|
Revenue
Bonds
|
Presbyterian
Village Athens Project
|
Series
2018
|
12/01/2053
|
6.375%
|
|
3,000,000
|
3,137,910
|
Savannah
Economic Development Authority
|
Refunding
Revenue Bonds
|
Marshes
Skidaway Island Project
|
Series
2013
|
01/01/2049
|
7.250%
|
|
3,500,000
|
3,929,135
|
Total
|
24,684,489
|
Hawaii
0.3%
|
State
of Hawaii Department of Budget & Finance
|
Prerefunded
11/15/19 Revenue Bonds
|
15
Craigside Project
|
Series
2009A
|
11/15/2044
|
9.000%
|
|
2,375,000
|
2,453,185
|
Idaho
0.6%
|
Idaho
Health Facilities Authority
|
Revenue
Bonds
|
Terraces
of Boise Project
|
Series
2014A
|
10/01/2049
|
8.125%
|
|
4,000,000
|
4,527,760
|
Illinois
12.8%
|
Chicago
Board of Education
(b)
|
Unlimited
General Obligation Bonds
|
Dedicated
|
Series
2017A
|
12/01/2046
|
7.000%
|
|
3,000,000
|
3,715,770
|
Chicago
Board of Education
|
Unlimited
General Obligation Bonds
|
Dedicated
|
Series
2017H
|
12/01/2036
|
5.000%
|
|
1,665,000
|
1,831,050
|
Project
|
Series
2015C
|
12/01/2039
|
5.250%
|
|
2,000,000
|
2,154,080
|
Series
2011A
|
12/01/2041
|
5.000%
|
|
1,110,000
|
1,145,753
|
Series
2012A
|
12/01/2042
|
5.000%
|
|
1,000,000
|
1,042,170
|
Series
2016B
|
12/01/2046
|
6.500%
|
|
1,500,000
|
1,765,320
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
11
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2018D
|
12/01/2046
|
5.000%
|
|
5,000,000
|
5,256,600
|
Unlimited
General Obligation Refunding Bonds
|
Series
2018A (AGM)
|
ASSURED
GUARANTY MUNICIPAL CORP
|
12/01/2035
|
5.000%
|
|
500,000
|
583,195
|
Chicago
O’Hare International Airport
(c)
|
Refunding
Revenue Bonds
|
Senior
Lien
|
Series
2018A AMT
|
01/01/2053
|
5.000%
|
|
5,000,000
|
5,810,850
|
Revenue
Bonds
|
TriPs
Obligated Group
|
Series
2018 AMT
|
07/01/2048
|
5.000%
|
|
800,000
|
917,088
|
Chicago
Park District
|
Limited
General Obligation Bonds
|
Series
2015A
|
01/01/2040
|
5.000%
|
|
3,000,000
|
3,248,370
|
City
of Chicago
|
Prerefunded
01/01/25 Revenue Bonds
|
Series
2002
|
01/01/2030
|
5.000%
|
|
1,000,000
|
1,182,980
|
Refunding
Unlimited General Obligation Bonds
|
Series
2005D
|
01/01/2033
|
5.500%
|
|
1,000,000
|
1,106,450
|
Unlimited
General Obligation Bonds
|
Project
|
Series
2011A
|
01/01/2040
|
5.000%
|
|
5,000,000
|
5,117,700
|
Series
2015A
|
01/01/2039
|
5.500%
|
|
500,000
|
546,610
|
Series
2017A
|
01/01/2038
|
6.000%
|
|
5,235,000
|
6,074,851
|
Unlimited
General Obligation Refunding Bonds
|
Project
|
Series
2014A
|
01/01/2033
|
5.250%
|
|
1,000,000
|
1,078,310
|
Series
2007F
|
01/01/2042
|
5.500%
|
|
1,000,000
|
1,089,200
|
City
of Chicago Wastewater Transmission
|
Refunding
Revenue Bonds
|
2nd
Lien
|
Series
2015C
|
01/01/2035
|
5.000%
|
|
1,000,000
|
1,106,020
|
County
of Cook
|
Unlimited
General Obligation Refunding Bonds
|
Series
2018
|
11/15/2035
|
5.000%
|
|
450,000
|
505,508
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Du
Page County Special Service Area No. 31
|
Special
Tax Bonds
|
Monarch
Landing Project
|
Series
2006
|
03/01/2036
|
5.625%
|
|
678,000
|
679,220
|
Illinois
Finance Authority
|
Prerefunded
04/01/21 Revenue Bonds
|
CHF-Normal
LLC-Illinois State University
|
Series
2011
|
04/01/2043
|
7.000%
|
|
3,450,000
|
3,786,962
|
Prerefunded
08/15/19 Revenue Bonds
|
Provena
Health
|
Series
2009A
|
08/15/2034
|
7.750%
|
|
40,000
|
40,488
|
Unrefunded
Revenue Bonds
|
Riverside
Health System
|
Series
2009
|
11/15/2035
|
6.250%
|
|
1,190,000
|
1,213,134
|
Illinois
Finance Authority
(d)
|
Revenue
Bonds
|
Leafs
Hockey Club Project
|
Series
2007A
|
03/01/2037
|
0.000%
|
|
1,000,000
|
10,000
|
Metropolitan
Pier & Exposition Authority
|
Refunding
Revenue Bonds
|
McCormick
Place Project
|
Series
2010B-2
|
06/15/2050
|
5.000%
|
|
5,000,000
|
5,077,300
|
Revenue
Bonds
|
McCormick
Place Expansion Project
|
Series
2017
|
06/15/2057
|
5.000%
|
|
3,750,000
|
4,072,350
|
Metropolitan
Water Reclamation District of Greater Chicago
|
Green
Unlimited General Obligation Bond
|
Series
2016E
|
12/01/2036
|
5.000%
|
|
2,225,000
|
2,573,324
|
Unlimited
General Obligation Bonds
|
Green
Bond
|
Series
2016E
|
12/01/2035
|
5.000%
|
|
1,620,000
|
1,878,941
|
Railsplitter
Tobacco Settlement Authority
|
Prerefunded
06/01/21 Revenue Bonds
|
Series
2010
|
06/01/2028
|
6.000%
|
|
5,000,000
|
5,439,850
|
State
of Illinois
|
General
Obligation
|
Series
2018A
|
05/01/2042
|
5.000%
|
|
4,800,000
|
5,288,688
|
Unlimited
General Obligation Bonds
|
Series
2016
|
01/01/2041
|
5.000%
|
|
3,830,000
|
4,135,672
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
12
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2017A
|
12/01/2035
|
5.000%
|
|
1,345,000
|
1,498,908
|
12/01/2038
|
5.000%
|
|
3,000,000
|
3,313,050
|
Series
2018A
|
05/01/2032
|
5.000%
|
|
2,500,000
|
2,839,775
|
05/01/2040
|
5.000%
|
|
4,000,000
|
4,420,200
|
05/01/2041
|
5.000%
|
|
3,910,000
|
4,314,177
|
05/01/2043
|
5.000%
|
|
3,000,000
|
3,303,090
|
Unlimited
General Obligation Refunding Bonds
|
Series
2018B
|
10/01/2033
|
5.000%
|
|
1,000,000
|
1,132,640
|
Village
of Lincolnshire
|
Special
Tax Bonds
|
Sedgebrook
Project
|
Series
2004
|
03/01/2034
|
6.250%
|
|
584,000
|
585,016
|
Total
|
100,880,660
|
Indiana
0.4%
|
Indiana
Finance Authority
(b),(c)
|
Revenue
Bonds
|
RES
Polyflow Indiana Project Green Bonds
|
Series
2019 AMT
|
03/01/2039
|
7.000%
|
|
3,000,000
|
3,088,410
|
Iowa
1.3%
|
Iowa
Finance Authority
(g)
|
Refunding
Revenue Bonds
|
Deerfield
Retirement Community
|
Series
2014
|
11/15/2046
|
5.400%
|
|
2,076,331
|
2,241,815
|
Iowa
Finance Authority
(d)
|
Refunding
Revenue Bonds
|
Deerfield
Retirement Community
|
Series
2014
|
05/15/2056
|
0.000%
|
|
401,062
|
5,013
|
Iowa
Finance Authority
|
Revenue
Bonds
|
Lifespace
Communities, Inc.
|
Series
2018A
|
05/15/2048
|
5.000%
|
|
2,475,000
|
2,712,229
|
Series
2018-A
|
05/15/2043
|
5.000%
|
|
1,740,000
|
1,913,269
|
PHS
Council Bluffs, Inc. Project
|
Series
2018
|
08/01/2055
|
5.250%
|
|
3,200,000
|
3,362,752
|
Iowa
Student Loan Liquidity Corp.
(c)
|
Revenue
Bonds
|
Senior
Series 2011A-2 AMT
|
12/01/2030
|
5.850%
|
|
175,000
|
182,511
|
Total
|
10,417,589
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Kansas
1.9%
|
City
of Overland Park
|
Revenue
Bonds
|
Prairiefire-Lionsgate
Project
|
Series
2012
|
12/15/2032
|
6.000%
|
|
6,000,000
|
5,111,340
|
University
of Kansas Hospital Authority
|
Revenue
Bonds
|
University
of Kansas Health System
|
Series
2019A
|
09/01/2048
|
5.000%
|
|
5,000,000
|
5,928,750
|
Wyandotte
County-Kansas City Unified Government
|
Revenue
Bonds
|
Legends
Village West Project
|
Series
2006
|
10/01/2028
|
4.875%
|
|
4,215,000
|
4,215,464
|
Total
|
15,255,554
|
Kentucky
0.4%
|
Kentucky
Economic Development Finance Authority
|
Refunding
Revenue Bonds
|
Owensboro
Health
|
Series
2017A
|
06/01/2045
|
5.000%
|
|
1,000,000
|
1,103,150
|
Kentucky
State Property & Building Commission
|
Revenue
Bonds
|
Project
#119
|
Series
2018
|
05/01/2037
|
5.000%
|
|
1,500,000
|
1,758,600
|
Total
|
2,861,750
|
Louisiana
1.5%
|
Louisiana
Local Government Environmental Facilities & Community Development Authority
|
Revenue
Bonds
|
Westlake
Chemical Corp.
|
Series
2010A-2
|
11/01/2035
|
6.500%
|
|
5,000,000
|
5,310,700
|
Louisiana
Public Facilities Authority
|
Prerefunded
05/15/26 Revenue Bonds
|
Ochsner
Clinic Foundation Project
|
Series
2016
|
05/15/2034
|
5.000%
|
|
25,000
|
30,457
|
Refunding
Revenue Bonds
|
Nineteenth
Judicial District
|
Series
2015C (AGM)
|
06/01/2042
|
5.000%
|
|
1,000,000
|
1,138,780
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
13
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Louisiana
Public Facilities Authority
(c)
|
Revenue
Bonds
|
Impala
Warehousing LLC Project
|
Series
2013 AMT
|
07/01/2036
|
6.500%
|
|
4,615,000
|
5,084,807
|
Total
|
11,564,744
|
Maryland
0.6%
|
Howard
County Housing Commission
|
Revenue
Bonds
|
Woodfield
Oxford Square Apartments
|
Series
2017
|
12/01/2037
|
5.000%
|
|
4,000,000
|
4,637,680
|
Massachusetts
3.6%
|
Massachusetts
Development Finance Agency
|
Prerefunded
07/01/20 Revenue Bonds
|
Foxborough
Regional Charter School
|
Series
2010A
|
07/01/2042
|
7.000%
|
|
4,200,000
|
4,448,136
|
Refunding
Revenue Bonds
|
1st
Mortgage-VOA Concord
|
Series
2007
|
11/01/2041
|
5.200%
|
|
1,000,000
|
1,000,520
|
Harvard
University
|
Series
2016A
|
07/15/2040
|
5.000%
|
|
5,000,000
|
6,945,100
|
South
Shore Hospital
|
Series
2016I
|
07/01/2036
|
4.000%
|
|
750,000
|
789,660
|
Massachusetts
Development Finance Agency
(b)
|
Refunding
Revenue Bonds
|
NewBridge
on the Charles, Inc.
|
Series
2017
|
10/01/2057
|
5.000%
|
|
2,000,000
|
2,170,400
|
Revenue
Bonds
|
Linden
Ponds, Inc. Facility
|
Series
2018
|
11/15/2046
|
5.125%
|
|
2,000,000
|
2,177,980
|
Massachusetts
Development Finance Agency
(e)
|
Revenue
Bonds
|
Linden
Ponds, Inc. Facility
|
Subordinated
Series 2011B
|
11/15/2056
|
0.000%
|
|
1,391,019
|
387,997
|
Massachusetts
Educational Financing Authority
(c)
|
Refunding
Revenue Bonds
|
Issue
K
|
Subordinated
Series 2017B AMT
|
07/01/2046
|
4.250%
|
|
1,500,000
|
1,588,065
|
Series
2016J AMT
|
07/01/2033
|
3.500%
|
|
2,235,000
|
2,296,798
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2018B AMT
|
07/01/2034
|
3.625%
|
|
3,135,000
|
3,301,938
|
Revenue
Bonds
|
Series
2012J AMT
|
07/01/2021
|
5.000%
|
|
3,000,000
|
3,195,270
|
Total
|
28,301,864
|
Michigan
2.7%
|
City
of Detroit Sewage Disposal System
|
Refunding
Revenue Bonds
|
Senior
Lien
|
Series
2012A
|
07/01/2039
|
5.250%
|
|
1,375,000
|
1,495,849
|
City
of Detroit Water Supply System
|
Revenue
Bonds
|
Senior
Lien
|
Series
2011A
|
07/01/2041
|
5.250%
|
|
1,445,000
|
1,539,835
|
Series
2011C
|
07/01/2041
|
5.000%
|
|
1,025,000
|
1,075,963
|
Michigan
Finance Authority
|
Refunding
Revenue Bonds
|
Henry
Ford Health System
|
Series
2016
|
11/15/2046
|
4.000%
|
|
3,580,000
|
3,808,082
|
Revenue
Bonds
|
Henry
Ford Health System
|
Series
2019A
|
11/15/2050
|
4.000%
|
|
600,000
|
644,736
|
Michigan
Strategic Fund
(c)
|
Revenue
Bonds
|
I-75
Improvement Project
|
Series
2018 AMT
|
12/31/2043
|
5.000%
|
|
5,000,000
|
5,837,650
|
Michigan
Tobacco Settlement Finance Authority
|
Revenue
Bonds
|
Senior
Series 2007A
|
06/01/2034
|
6.000%
|
|
1,000,000
|
1,000,010
|
06/01/2048
|
6.000%
|
|
6,000,000
|
6,000,060
|
Total
|
21,402,185
|
Minnesota
1.8%
|
City
of Blaine
|
Refunding
Revenue Bonds
|
Crest
View Senior Community Project
|
Series
2015
|
07/01/2045
|
6.125%
|
|
3,500,000
|
3,551,975
|
07/01/2050
|
6.125%
|
|
1,500,000
|
1,518,465
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
14
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
City
of Brooklyn Center
|
Revenue
Bonds
|
Sanctuary
Brooklyn Center Project
|
Series
2016
|
11/01/2035
|
5.500%
|
|
2,000,000
|
2,038,780
|
City
of Crookston
|
Revenue
Bonds
|
Riverview
Health Project
|
Series
2019
|
05/01/2044
|
5.000%
|
|
500,000
|
534,265
|
05/01/2051
|
5.000%
|
|
1,500,000
|
1,597,815
|
Housing
& Redevelopment Authority of The City of St. Paul
|
Revenue
Bonds
|
Legends
Berry Senior Apartments Project
|
Series
2018
|
09/01/2021
|
3.750%
|
|
3,100,000
|
3,109,982
|
Minneapolis/St.
Paul Housing Finance Board
(c)
|
Revenue
Bonds
|
Mortgage-Backed
Securities Program-Cityliving
|
Series
2006A-2 (GNMA / FNMA) AMT
|
12/01/2038
|
5.000%
|
|
1,391
|
1,392
|
St.
Cloud Housing & Redevelopment Authority
|
Revenue
Bonds
|
Sanctuary
St. Cloud Project
|
Series
2016A
|
08/01/2036
|
5.250%
|
|
2,250,000
|
2,019,397
|
Total
|
14,372,071
|
Mississippi
0.3%
|
County
of Lowndes
|
Refunding
Revenue Bonds
|
Weyerhaeuser
Co. Project
|
Series
1992A
|
04/01/2022
|
6.800%
|
|
1,995,000
|
2,216,026
|
Series
1992B
|
04/01/2022
|
6.700%
|
|
230,000
|
254,858
|
Total
|
2,470,884
|
Missouri
2.5%
|
City
of Manchester
|
Refunding
Tax Allocation Bonds
|
Highway
141/Manchester Road Project
|
Series
2010
|
11/01/2039
|
6.875%
|
|
5,000,000
|
5,019,500
|
Grundy
County Industrial Development Authority
|
Revenue
Bonds
|
Wright
Memorial Hospital
|
Series
2009
|
09/01/2034
|
6.750%
|
|
2,250,000
|
2,267,865
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Kirkwood
Industrial Development Authority
|
Prerefunded
05/15/20 Revenue Bonds
|
Aberdeen
Heights
|
Series
2010A
|
05/15/2045
|
8.250%
|
|
4,500,000
|
4,779,270
|
Refunding
Revenue Bonds
|
Aberdeen
Heights Project
|
Series
2017
|
05/15/2050
|
5.250%
|
|
4,500,000
|
4,892,400
|
St.
Louis County Industrial Development Authority
|
Refunding
Revenue Bonds
|
St.
Andrews Residence for Seniors
|
Series
2015
|
12/01/2045
|
5.125%
|
|
3,000,000
|
3,187,740
|
Total
|
20,146,775
|
Montana
0.3%
|
City
of Kalispell
|
Refunding
Revenue Bonds
|
Immanuel
Lutheran Corp. Project
|
Series
2017
|
05/15/2047
|
5.250%
|
|
2,200,000
|
2,339,370
|
Nebraska
0.7%
|
Central
Plains Energy Project
|
Revenue
Bonds
|
Project
#3
|
Series
2012
|
09/01/2042
|
5.000%
|
|
5,000,000
|
5,422,500
|
Nevada
1.6%
|
City
of Carson City
|
Revenue
Bonds
|
Carson
Tahoe Regional Medical Center
|
Series
2017
|
09/01/2047
|
5.000%
|
|
455,000
|
509,709
|
City
of Reno
(b),(e)
|
Refunding
Revenue Bonds
|
Retrac-Reno
Transportation Rail Access Corridor Project
|
Series
2018
|
07/01/2058
|
0.000%
|
|
20,000,000
|
2,601,200
|
City
of Sparks
(b)
|
Tax
Anticipation Revenue Bonds
|
Sales
|
Series
2008A
|
06/15/2028
|
6.750%
|
|
5,000,000
|
5,004,700
|
State
of Nevada Department of Business & Industry
(b)
|
Revenue
Bonds
|
Somerset
Academy
|
Series
2015A
|
12/15/2045
|
5.125%
|
|
2,515,000
|
2,665,800
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
15
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Series
2018A
|
12/15/2048
|
5.000%
|
|
1,500,000
|
1,576,635
|
Total
|
12,358,044
|
New
Hampshire 0.3%
|
New
Hampshire Health and Education Facilities Authority Act
|
Revenue
Bonds
|
Hillside
Village
|
Series
2017A
|
07/01/2052
|
6.125%
|
|
2,500,000
|
2,682,950
|
New
Jersey 4.3%
|
City
of Atlantic City
|
Unlimited
General Obligation Refunding Bonds
|
Tax
Appeal
|
Series
2013
|
12/01/2021
|
5.000%
|
|
2,500,000
|
2,591,950
|
12/01/2024
|
5.000%
|
|
2,095,000
|
2,227,383
|
12/01/2025
|
5.000%
|
|
450,000
|
478,089
|
12/01/2028
|
5.000%
|
|
270,000
|
285,112
|
Middlesex
County Improvement Authority
(d)
|
Revenue
Bonds
|
Heldrich
Center Hotel
|
Series
2005C
|
01/01/2037
|
0.000%
|
|
1,250,000
|
13
|
Subordinated
Revenue Bonds
|
Heldrich
Center Hotel
|
Series
2005B
|
01/01/2025
|
0.000%
|
|
2,750,000
|
28,875
|
01/01/2037
|
0.000%
|
|
6,450,000
|
67,725
|
New
Jersey Building Authority
|
Prerefunded
06/15/26 Revenue Bonds
|
Series
2016A
|
06/15/2030
|
4.000%
|
|
400,000
|
463,304
|
New
Jersey Economic Development Authority
|
Revenue
Bonds
|
Provident
Group-Kean Properties
|
Series
2017
|
07/01/2047
|
5.000%
|
|
500,000
|
544,650
|
Provident
Group-Rowan Properties LLC
|
Series
2015
|
01/01/2048
|
5.000%
|
|
960,000
|
1,025,318
|
School
Facilities Construction
|
Series
2014UU
|
06/15/2040
|
5.000%
|
|
1,500,000
|
1,623,555
|
Series
2015WW
|
06/15/2040
|
5.250%
|
|
375,000
|
416,126
|
New
Jersey Economic Development Authority
(c)
|
Revenue
Bonds
|
UMM
Energy Partners LLC
|
Series
2012A AMT
|
06/15/2043
|
5.125%
|
|
2,000,000
|
2,125,200
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
New
Jersey Higher Education Student Assistance Authority
(c)
|
Subordinated
Revenue Bonds
|
Series
2013-1B AMT
|
12/01/2043
|
4.750%
|
|
5,000,000
|
5,317,800
|
New
Jersey Transportation Trust Fund Authority
|
Refunding
Revenue Bonds
|
Federal
Highway Reimbursement
|
Series
2018
|
06/15/2029
|
5.000%
|
|
3,000,000
|
3,484,920
|
Transportation
System
|
Series
2018A
|
12/15/2036
|
5.000%
|
|
2,500,000
|
2,884,525
|
Revenue
Bonds
|
Transportation
Program
|
Series
2015AA
|
06/15/2045
|
5.000%
|
|
1,750,000
|
1,916,565
|
Series
2019
|
06/15/2046
|
5.000%
|
|
5,000,000
|
5,680,850
|
South
Jersey Port Corp.
(c)
|
Revenue
Bonds
|
Marine
Terminal
|
Subordinated
Series 2017B AMT
|
01/01/2048
|
5.000%
|
|
600,000
|
672,030
|
Tobacco
Settlement Financing Corp.
|
Refunding
Revenue Bonds
|
Series
2018A
|
06/01/2046
|
5.000%
|
|
835,000
|
933,639
|
Subordinated
Series 2018B
|
06/01/2046
|
5.000%
|
|
1,025,000
|
1,094,587
|
Total
|
33,862,216
|
New
Mexico 0.7%
|
New
Mexico Mortgage Finance Authority
|
Revenue
Bonds
|
Single
Family Mortgage Program Class I Bonds
|
Series
2019C (GNMA)
|
07/01/2049
|
3.700%
|
|
5,630,000
|
5,778,463
|
New
York 2.0%
|
Build
NYC Resource Corp.
|
Revenue
Bonds
|
International
Leadership Charter School
|
Series
2013
|
07/01/2043
|
6.000%
|
|
4,330,000
|
4,272,931
|
Build
NYC Resource Corp.
(b)
|
Revenue
Bonds
|
International
Leadership Charter School
|
Series
2016
|
07/01/2046
|
6.250%
|
|
765,000
|
765,818
|
Taxable
International Leadership
|
Series
2016
|
07/01/2021
|
5.000%
|
|
165,000
|
164,228
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
16
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Glen
Cove Local Economic Assistance Corp.
(g)
|
Revenue
Bonds
|
Garvies
Point
|
Series
2016 CABS
|
01/01/2055
|
0.000%
|
|
2,500,000
|
2,280,350
|
Jefferson
County Industrial Development Agency
(b),(c)
|
Revenue
Bonds
|
Green
Bonds
|
Series
2014 AMT
|
01/01/2024
|
5.250%
|
|
1,620,000
|
1,606,959
|
Nassau
County Tobacco Settlement Corp.
(e)
|
Asset-Backed
Revenue Bonds
|
Capital
Appreciation
|
Third
Series 2006D
|
06/01/2060
|
0.000%
|
|
25,000,000
|
735,500
|
New
York Transportation Development Corp.
(c)
|
Revenue
Bonds
|
Delta
Air Lines, Inc. - LaGuardia Airport
|
Series
2018 AMT
|
01/01/2036
|
4.000%
|
|
1,000,000
|
1,065,870
|
LaGuardia
Airport Terminal B Redevelopment Project
|
Series
2016 AMT
|
07/01/2046
|
4.000%
|
|
5,000,000
|
5,164,150
|
Port
Authority of New York & New Jersey
(c)
|
Revenue
Bonds
|
5th
Installment-Special Project
|
Series
1996-4 AMT
|
10/01/2019
|
6.750%
|
|
20,000
|
20,424
|
Total
|
16,076,230
|
North
Carolina 0.9%
|
Durham
Housing Authority
(c)
|
Prerefunded
01/31/23 Revenue Bonds
|
Magnolia
Pointe Apartments
|
Series
2005 AMT
|
02/01/2038
|
5.650%
|
|
2,965,487
|
3,373,924
|
North
Carolina Medical Care Commission
|
Refunding
Revenue Bonds
|
United
Methodist Retirement Community
|
Series
2017
|
10/01/2047
|
5.000%
|
|
2,250,000
|
2,455,605
|
United
Methodist Retirement Homes
|
Series
2016
|
10/01/2035
|
5.000%
|
|
1,000,000
|
1,125,850
|
Total
|
6,955,379
|
North
Dakota 0.3%
|
City
of Fargo
|
Revenue
Bonds
|
Sanford
Obligation Group
|
Series
2011
|
11/01/2031
|
6.250%
|
|
2,500,000
|
2,780,200
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Ohio
2.6%
|
Buckeye
Tobacco Settlement Financing Authority
|
Asset-Backed
Senior Turbo Revenue Bonds
|
Series
2007A-2
|
06/01/2047
|
5.875%
|
|
12,795,000
|
12,298,298
|
Lake
County Port & Economic Development Authority
(b)
|
Revenue
Bonds
|
1st
Mortgage - Tapestry Wickliffe LLC
|
Series
2017
|
12/01/2052
|
6.750%
|
|
3,000,000
|
3,081,780
|
Ohio
Air Quality Development Authority
(b),(c)
|
Revenue
Bonds
|
Pratt
Paper LLC Project
|
Series
2017 AMT
|
01/15/2048
|
4.500%
|
|
500,000
|
530,395
|
State
of Ohio
(c)
|
Revenue
Bonds
|
Portsmouth
Bypass Project
|
Series
2015 AMT
|
12/31/2039
|
5.000%
|
|
4,100,000
|
4,478,307
|
Total
|
20,388,780
|
Oregon
1.1%
|
Clackamas
County Hospital Facility Authority
|
Revenue
Bonds
|
Mary’s
Woods at Marylhurst, Inc.
|
Series
2018
|
05/15/2052
|
5.000%
|
|
1,000,000
|
1,072,100
|
Hospital
Facilities Authority of Multnomah County
|
Refunding
Revenue Bonds
|
Mirabella
at South Waterfront
|
Series
2014A
|
10/01/2049
|
5.500%
|
|
3,115,000
|
3,386,722
|
State
of Oregon Housing & Community Services Department
|
Revenue
Bonds
|
Single-Family
Mortgage Program
|
Series
2018C
|
07/01/2043
|
3.950%
|
|
1,500,000
|
1,586,955
|
Warm
Springs Reservation Confederated Tribe
(h)
|
Revenue
Bonds
|
Pelton
Round Butte Tribal
|
Series
2009B
|
11/01/2033
|
6.375%
|
|
2,410,000
|
2,443,041
|
Total
|
8,488,818
|
Pennsylvania
4.9%
|
Commonwealth
Financing Authority
|
Revenue
Bonds
|
Tobacco
Master Settlement Payment
|
Series
2018 (AGM)
|
06/01/2039
|
4.000%
|
|
1,365,000
|
1,486,321
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
17
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Commonwealth
of Pennsylvania
|
Refunding
Certificate of Participation
|
Series
2018A
|
07/01/2046
|
4.000%
|
|
2,500,000
|
2,712,700
|
Dauphin
County Industrial Development Authority
(c)
|
Revenue
Bonds
|
Dauphin
Consolidated Water Supply
|
Series
1992A AMT
|
06/01/2024
|
6.900%
|
|
3,200,000
|
3,836,928
|
Franklin
County Industrial Development Authority
|
Refunding
Revenue Bonds
|
Menno-Haven,
Inc. Project
|
Series
2018
|
12/01/2053
|
5.000%
|
|
1,900,000
|
2,064,350
|
Montgomery
County Industrial Development Authority
|
Refunding
Revenue Bonds
|
Meadowood
Senior Living Project
|
Series
2018
|
12/01/2048
|
5.000%
|
|
1,000,000
|
1,091,320
|
Pennsylvania
Economic Development Financing Authority
(b)
|
Refunding
Revenue Bonds
|
Tapestry
Moon Senior Housing Project
|
Series
2018
|
12/01/2053
|
6.750%
|
|
3,000,000
|
3,031,350
|
Pennsylvania
Economic Development Financing Authority
(c)
|
Revenue
Bonds
|
PA
Bridges Finco LP
|
Series
2015 AMT
|
12/31/2038
|
5.000%
|
|
1,650,000
|
1,866,959
|
06/30/2042
|
5.000%
|
|
3,700,000
|
4,132,641
|
Pennsylvania
Economic Development Financing Authority
|
Revenue
Bonds
|
Philadelphia
Biosolids Facility
|
Series
2009
|
01/01/2032
|
6.250%
|
|
3,375,000
|
3,443,681
|
Pennsylvania
Higher Educational Facilities Authority
|
Prerefunded
10/01/21 Revenue Bonds
|
Shippensburg
University
|
Series
2011
|
10/01/2043
|
6.250%
|
|
2,000,000
|
2,216,220
|
Pennsylvania
Housing Finance Agency
|
Revenue
Bonds
|
Series
2018-127B
|
04/01/2042
|
3.950%
|
|
1,485,000
|
1,557,423
|
Pennsylvania
Turnpike Commission
|
Subordinated
Refunding Revenue Bonds
|
Series
2015A-1
|
12/01/2028
|
5.000%
|
|
3,300,000
|
3,865,488
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Philadelphia
Authority for Industrial Development
|
Refunding
Revenue Bonds
|
Wesley
Enhanced Living
|
Series
2017
|
07/01/2049
|
5.000%
|
|
2,250,000
|
2,389,523
|
Revenue
Bonds
|
1st
Philadelphia Preparatory Charter School
|
Series
2014
|
06/15/2033
|
7.000%
|
|
1,870,000
|
2,143,469
|
Scranton
School District
|
Limited
General Obligation Refunding Bonds
|
Series
2017D (NPFGC)
|
06/01/2037
|
4.250%
|
|
1,750,000
|
1,897,770
|
Series
2017E (BAM)
|
12/01/2037
|
4.000%
|
|
1,000,000
|
1,094,800
|
Total
|
38,830,943
|
Rhode
Island 0.6%
|
Rhode
Island Student Loan Authority
(c)
|
Refunding
Revenue Bonds
|
Series
2018A AMT
|
12/01/2034
|
3.500%
|
|
2,135,000
|
2,219,162
|
Revenue
Bonds
|
Series
2016A AMT
|
12/01/2027
|
3.125%
|
|
2,675,000
|
2,746,449
|
Total
|
4,965,611
|
South
Carolina 0.8%
|
South
Carolina Jobs-Economic Development Authority
|
Revenue
Bonds
|
Lutheran
Homes of South Carolina, Inc. Obligation Group
|
Series
2013
|
05/01/2043
|
5.000%
|
|
750,000
|
774,938
|
05/01/2048
|
5.125%
|
|
1,500,000
|
1,553,850
|
York
Preparatory Academy Project
|
Series
2014A
|
11/01/2045
|
7.250%
|
|
4,000,000
|
4,409,720
|
Total
|
6,738,508
|
Tennessee
0.9%
|
Metropolitan
Government Nashville & Davidson County Health & Educational Facilities Board
|
Refunding
Revenue Bonds
|
Lipscomb
University Project
|
Series
2019
|
10/01/2058
|
5.250%
|
|
835,000
|
981,025
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
18
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Tennessee
Housing Development Agency
|
Revenue
Bonds
|
Issue
3
|
Series
2018
|
07/01/2043
|
3.850%
|
|
5,965,000
|
6,255,436
|
Total
|
7,236,461
|
Texas
7.6%
|
Capital
Area Cultural Education Facilities Finance Corp.
|
Revenue
Bonds
|
Roman
Catholic Diocese
|
Series
2005B
|
04/01/2045
|
6.125%
|
|
5,000,000
|
5,163,700
|
Central
Texas Regional Mobility Authority
|
Prerefunded
01/01/21 Subordinated Revenue Bonds
|
Lien
|
Series
2011
|
01/01/2041
|
6.750%
|
|
5,000,000
|
5,402,900
|
Central
Texas Turnpike System
|
Refunding
Revenue Bonds
|
Series
2015B
|
08/15/2037
|
5.000%
|
|
3,000,000
|
3,383,460
|
City
of Houston Airport System
(c)
|
Refunding
Revenue Bonds
|
Special
Facilities - United Airlines
|
Series
2011A AMT
|
07/15/2038
|
6.625%
|
|
4,000,000
|
4,306,400
|
Clifton
Higher Education Finance Corp.
|
Revenue
Bonds
|
International
Leadership of Texas
|
Series
2015
|
08/15/2045
|
5.750%
|
|
3,500,000
|
3,743,810
|
Deaf
Smith County Hospital District
|
Prerefunded
03/01/20 Limited General Obligation Bonds
|
Series
2010A
|
03/01/2040
|
6.500%
|
|
4,000,000
|
4,147,160
|
New
Hope Cultural Education Facilities Finance Corp.
|
Revenue
Bonds
|
Bridgemoor
Plano Project
|
12/01/2053
|
7.250%
|
|
4,000,000
|
4,175,480
|
Cardinal
Bay, Inc. - Village on the Park
|
Series
2016
|
07/01/2046
|
5.000%
|
|
3,130,000
|
3,429,729
|
Legacy
Midtown Park Project
|
Series
2018A
|
07/01/2054
|
5.500%
|
|
2,500,000
|
2,605,700
|
NCCD-College
Station Properties LLC
|
Series
2015
|
07/01/2035
|
5.000%
|
|
1,000,000
|
927,740
|
Series
2015A
|
07/01/2047
|
5.000%
|
|
1,000,000
|
936,290
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
New
Hope Cultural Education Facilities Finance Corp.
(b)
|
Revenue
Bonds
|
Jubilee
Academic Center Project
|
Series
2017
|
08/15/2047
|
5.125%
|
|
3,585,000
|
3,651,430
|
Pharr
Higher Education Finance Authority
|
Prerefunded
08/15/19 Revenue Bonds
|
IDEA
Public Schools
|
Series
2009
|
08/15/2039
|
6.500%
|
|
530,000
|
535,157
|
Pottsboro
Higher Education Finance Corp.
|
Revenue
Bonds
|
Series
2016A
|
08/15/2046
|
5.000%
|
|
1,000,000
|
1,021,130
|
Red
River Health Facilities Development Corp.
|
Revenue
Bonds
|
MRC
Crossings Project
|
Series
2014A
|
11/15/2049
|
8.000%
|
|
2,000,000
|
2,365,480
|
Sanger
Industrial Development Corp.
(b),(c),(d)
|
Revenue
Bonds
|
Texas
Pellets Project
|
Series
2012B AMT
|
07/01/2038
|
0.000%
|
|
4,950,000
|
1,584,000
|
Tarrant
County Cultural Education Facilities Finance Corp.
|
Revenue
Bonds
|
Buckner
Senior Living Ventana Project
|
Series
2017
|
11/15/2052
|
6.750%
|
|
3,500,000
|
3,996,055
|
CC
Young Memorial Home
|
Series
2009A
|
02/15/2038
|
8.000%
|
|
4,000,000
|
4,108,560
|
Texas
Private Activity Bond Surface Transportation Corp.
(c)
|
Revenue
Bonds
|
Senior
Lien - Blueridge Transportation
|
Series
2016 AMT
|
12/31/2055
|
5.000%
|
|
3,515,000
|
3,862,176
|
Texas
Transportation Commission
|
Revenue
Bonds
|
State
Highway 249 System Toll
|
Series
2019
|
08/01/2057
|
5.000%
|
|
500,000
|
575,995
|
Total
|
59,922,352
|
Utah
0.3%
|
Salt
Lake City Corp. Airport
(c)
|
Revenue
Bonds
|
Series
2017A AMT
|
07/01/2037
|
5.000%
|
|
2,000,000
|
2,351,300
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
19
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Virginia
3.0%
|
Alexandria
Industrial Development Authority
|
Refunding
Revenue Bonds
|
Goodwin
House, Inc.
|
Series
2015
|
10/01/2050
|
5.000%
|
|
2,275,000
|
2,497,768
|
City
of Chesapeake Expressway Toll Road
(e)
|
Refunding
Revenue Bonds
|
Transportation
System
|
Series
2012
|
07/15/2040
|
0.000%
|
|
7,530,000
|
7,173,379
|
Hanover
County Economic Development Authority
|
Refunding
Revenue Bonds
|
Covenant
Woods
|
Series
2018
|
07/01/2051
|
5.000%
|
|
1,200,000
|
1,290,384
|
Mosaic
District Community Development Authority
|
Special
Assessment Bonds
|
Series
2011A
|
03/01/2036
|
6.875%
|
|
2,500,000
|
2,655,150
|
Tobacco
Settlement Financing Corp.
|
Revenue
Bonds
|
Senior
Series 2007-B1
|
06/01/2047
|
5.000%
|
|
5,000,000
|
4,927,150
|
Virginia
Small Business Financing Authority
(c)
|
Revenue
Bonds
|
Transform
66 P3 Project
|
Series
2017 AMT
|
12/31/2052
|
5.000%
|
|
5,000,000
|
5,567,950
|
Total
|
24,111,781
|
Washington
3.4%
|
Greater
Wenatchee Regional Events Center Public Facilities District
|
Revenue
Bonds
|
Series
2012A
|
09/01/2042
|
5.500%
|
|
2,150,000
|
2,206,201
|
King
County Housing Authority
|
Refunding
Revenue Bonds
|
Series
2018
|
05/01/2038
|
3.750%
|
|
3,295,000
|
3,445,977
|
King
County Public Hospital District No. 4
|
Revenue
Bonds
|
Series
2015A
|
12/01/2035
|
6.000%
|
|
1,250,000
|
1,309,050
|
12/01/2045
|
6.250%
|
|
2,500,000
|
2,617,200
|
Port
of Seattle Industrial Development Corp.
(c)
|
Refunding
Revenue Bonds
|
Special
Facilities Delta Air Lines, Inc.
|
Series
2012 AMT
|
04/01/2030
|
5.000%
|
|
2,500,000
|
2,721,675
|
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Tacoma
Consolidated Local Improvement Districts
|
Special
Assessment Bonds
|
No.
65
|
Series
2013
|
04/01/2043
|
5.750%
|
|
1,385,000
|
1,392,673
|
Washington
State Housing Finance Commission
(b)
|
Refunding
Revenue Bonds
|
Bayview
Manor Homes
|
Series
2016A
|
07/01/2051
|
5.000%
|
|
2,150,000
|
2,263,670
|
Nonprofit
Housing-Mirabella
|
Series
2012
|
10/01/2047
|
6.750%
|
|
5,000,000
|
5,380,200
|
Washington
State Housing Finance Commission
|
Revenue
Bonds
|
Heron’s
Key
|
Series
2015A
|
07/01/2050
|
7.000%
|
|
4,850,000
|
5,352,557
|
Total
|
26,689,203
|
Wisconsin
1.9%
|
Public
Finance Authority
(c)
|
Refunding
Revenue Bonds
|
Celanese
Project
|
Series
2016C AMT
|
11/01/2030
|
4.300%
|
|
2,000,000
|
2,103,660
|
Waste
Management, Inc. Project
|
Series
2016 AMT
|
05/01/2027
|
2.875%
|
|
630,000
|
645,945
|
Public
Finance Authority
(b)
|
Refunding
Revenue Bonds
|
Mary’s
Woods At Marylhurst
|
Series
2017
|
05/15/2052
|
5.250%
|
|
2,300,000
|
2,468,107
|
Public
Finance Authority
|
Refunding
Revenue Bonds
|
WakeMed
Hospital
|
Series
2019A
|
10/01/2049
|
4.000%
|
|
4,310,000
|
4,612,562
|
Revenue
Bonds
|
FFAH
North Carolina and Missouri Portfolio
|
Series
2015A
|
12/01/2050
|
5.150%
|
|
3,220,000
|
3,264,114
|
Wisconsin
Health & Educational Facilities Authority
|
Revenue
Bonds
|
Covenant
Communities, Inc. Project
|
Series
2018B
|
07/01/2053
|
5.000%
|
|
900,000
|
953,820
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
20
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
Municipal
Bonds (continued)
|
Issue
Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
St.
John’s Communities, Inc. Project
|
Series
2018A
|
09/15/2050
|
5.000%
|
|
750,000
|
782,190
|
Total
|
14,830,398
|
Total
Municipal Bonds
(Cost $739,833,068)
|
776,859,038
|
Money
Market Funds 0.7%
|
|
Shares
|
Value
($)
|
Dreyfus
AMT-Free Tax Exempt Cash Management Fund, Institutional Shares, 1.274%
(i)
|
3,386,281
|
3,386,281
|
JPMorgan
Institutional Tax Free Money Market Fund, Institutional Class, 1.443%
(i)
|
1,634,017
|
1,634,017
|
Total
Money Market Funds
(Cost $5,020,298)
|
5,020,298
|
Total
Investments in Securities
(Cost $745,062,399)
|
782,067,465
|
Other
Assets & Liabilities, Net
|
|
8,771,667
|
Net
Assets
|
$790,839,132
|
Notes to Portfolio of Investments
(a)
|
Valuation
based on significant unobservable inputs.
|
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees.
At May 31, 2019, the total value of these securities amounted to $92,228,791, which represents 11.66% of total net assets.
|
(c)
|
Income
from this security may be subject to alternative minimum tax.
|
(d)
|
Represents securities
that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At May 31, 2019, the total value of these securities amounted to $3,958,376, which represents 0.50% of total net assets.
|
(e)
|
Zero
coupon bond.
|
(f)
|
Represents a
security purchased on a when-issued basis.
|
(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 May 31, 2019.
|
(h)
|
Municipal
obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At May 31, 2019, the total value of these securities amounted to $2,443,041, which
represents 0.31% of total net assets.
|
(i)
|
The rate
shown is the seven-day current annualized yield at May 31, 2019.
|
Abbreviation Legend
AGM
|
Assured
Guaranty Municipal Corporation
|
AMBAC
|
Ambac
Assurance Corporation
|
AMT
|
Alternative
Minimum Tax
|
BAM
|
Build
America Mutual Assurance Co.
|
FNMA
|
Federal
National Mortgage Association
|
GNMA
|
Government
National Mortgage Association
|
NPFGC
|
National
Public Finance Guarantee Corporation
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
21
|
Portfolio of Investments
(continued)
May 31, 2019
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.
Under the direction of the Fund’s Board of Trustees (the
Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the 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 control policies and
procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing
methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third
party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or
approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those
described earlier.
For investments categorized as Level
3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security
transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair
value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the
Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value
the Fund’s investments at May 31, 2019:
|
Level
1
quoted prices in active
markets for identical
assets ($)
|
Level
2
other significant
observable inputs ($)
|
Level
3
significant
unobservable inputs ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
Corporate
Bonds & Notes
|
—
|
—
|
188,129
|
188,129
|
Municipal
Bonds
|
—
|
776,859,038
|
—
|
776,859,038
|
Money
Market Funds
|
5,020,298
|
—
|
—
|
5,020,298
|
Total
Investments in Securities
|
5,020,298
|
776,859,038
|
188,129
|
782,067,465
|
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.
There were no transfers of financial assets between levels
during the period.
The Fund does not hold any significant
investments (greater than one percent of net assets) categorized as Level 3.
The Fund’s assets assigned to the Level 3 category are
valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain corporate bonds classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which
may have included, but were 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 result in a significantly higher (lower) fair value measurement.
The accompanying Notes
to Financial Statements are an integral part of this statement.
22
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Statement of Assets and Liabilities
May 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $745,062,399)
|
$782,067,465
|
Cash
|
2,624
|
Receivable
for:
|
|
Investments
sold
|
497,159
|
Capital
shares sold
|
2,314,571
|
Interest
|
12,579,054
|
Expense
reimbursement due from Investment Manager
|
448
|
Prepaid
expenses
|
450
|
Trustees’
deferred compensation plan
|
126,637
|
Total
assets
|
797,588,408
|
Liabilities
|
|
Payable
for:
|
|
Investments
purchased on a delayed delivery basis
|
2,873,231
|
Capital
shares purchased
|
823,037
|
Distributions
to shareholders
|
2,799,198
|
Management
services fees
|
11,627
|
Distribution
and/or service fees
|
2,132
|
Transfer
agent fees
|
61,246
|
Compensation
of board members
|
765
|
Compensation
of chief compliance officer
|
51
|
Other
expenses
|
51,352
|
Trustees’
deferred compensation plan
|
126,637
|
Total
liabilities
|
6,749,276
|
Net
assets applicable to outstanding capital stock
|
$790,839,132
|
Represented
by
|
|
Paid
in capital
|
765,010,832
|
Total
distributable earnings (loss) (Note 2)
|
25,828,300
|
Total
- representing net assets applicable to outstanding capital stock
|
$790,839,132
|
Class
A
|
|
Net
assets
|
$172,655,463
|
Shares
outstanding
|
16,068,540
|
Net
asset value per share
|
$10.74
|
Maximum
sales charge
|
3.00%
|
Maximum
offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares)
|
$11.07
|
Advisor
Class
|
|
Net
assets
|
$5,317,825
|
Shares
outstanding
|
494,373
|
Net
asset value per share
|
$10.76
|
Class
C
|
|
Net
assets
|
$51,214,391
|
Shares
outstanding
|
4,766,612
|
Net
asset value per share
|
$10.74
|
Institutional
Class
|
|
Net
assets
|
$548,849,908
|
Shares
outstanding
|
51,072,128
|
Net
asset value per share
|
$10.75
|
Institutional
2 Class
|
|
Net
assets
|
$10,868,093
|
Shares
outstanding
|
1,011,968
|
Net
asset value per share
|
$10.74
|
Institutional
3 Class
|
|
Net
assets
|
$1,933,452
|
Shares
outstanding
|
179,502
|
Net
asset value per share
|
$10.77
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
23
|
Statement of Operations
Year Ended May 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$18,730
|
Interest
|
37,970,631
|
Total
income
|
37,989,361
|
Expenses:
|
|
Management
services fees
|
4,087,884
|
Distribution
and/or service fees
|
|
Class
A
|
302,092
|
Class
C
|
451,096
|
Transfer
agent fees
|
|
Class
A
|
157,774
|
Advisor
Class
|
4,532
|
Class
C
|
49,655
|
Institutional
Class
|
571,044
|
Institutional
2 Class
|
5,327
|
Institutional
3 Class
|
209
|
Compensation
of board members
|
23,526
|
Custodian
fees
|
7,667
|
Printing
and postage fees
|
31,490
|
Registration
fees
|
115,961
|
Audit
fees
|
37,150
|
Legal
fees
|
17,497
|
Compensation
of chief compliance officer
|
301
|
Other
|
28,118
|
Total
expenses
|
5,891,323
|
Fees
waived or expenses reimbursed by Investment Manager and its affiliates
|
(198,043)
|
Fees
waived by distributor
|
|
Class
C
|
(47,484)
|
Expense
reduction
|
(420)
|
Total
net expenses
|
5,645,376
|
Net
investment income
|
32,343,985
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
(1,898,043)
|
Net
realized loss
|
(1,898,043)
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
18,304,119
|
Net
change in unrealized appreciation (depreciation)
|
18,304,119
|
Net
realized and unrealized gain
|
16,406,076
|
Net
increase in net assets resulting from operations
|
$48,750,061
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
24
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Statement of Changes in Net Assets
|
Year
Ended
May 31, 2019
|
Year
Ended
May 31, 2018
|
Operations
|
|
|
Net
investment income
|
$32,343,985
|
$32,152,170
|
Net
realized loss
|
(1,898,043)
|
(6,838,081)
|
Net
change in unrealized appreciation (depreciation)
|
18,304,119
|
3,446,480
|
Net
increase in net assets resulting from operations
|
48,750,061
|
28,760,569
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(6,843,361)
|
|
Advisor
Class
|
(205,699)
|
|
Class
C
|
(1,845,717)
|
|
Institutional
Class
|
(25,914,897)
|
|
Institutional
2 Class
|
(439,319)
|
|
Institutional
3 Class
|
(76,896)
|
|
Net
investment income
|
|
|
Class
A
|
|
(5,814,348)
|
Advisor
Class
|
|
(163,776)
|
Class
B
|
|
(188)
|
Class
C
|
|
(1,880,925)
|
Institutional
Class
|
|
(26,465,653)
|
Institutional
2 Class
|
|
(265,246)
|
Institutional
3 Class
|
|
(38,928)
|
Total
distributions to shareholders (Note 2)
|
(35,325,889)
|
(34,629,064)
|
Increase
(decrease) in net assets from capital stock activity
|
18,064,373
|
(30,779,418)
|
Total
increase (decrease) in net assets
|
31,488,545
|
(36,647,913)
|
Net
assets at beginning of year
|
759,350,587
|
795,998,500
|
Net
assets at end of year
|
$790,839,132
|
$759,350,587
|
Undistributed
net investment income
|
$2,635,473
|
$4,911,592
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
25
|
Statement of Changes in Net Assets
(continued)
|
Year
Ended
|
Year
Ended
|
|
May
31, 2019
|
May
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
7,249,670
|
75,986,450
|
3,437,330
|
36,404,520
|
Distributions
reinvested
|
593,520
|
6,218,270
|
498,090
|
5,267,391
|
Redemptions
|
(4,354,244)
|
(45,497,374)
|
(3,663,136)
|
(38,743,361)
|
Net
increase
|
3,488,946
|
36,707,346
|
272,284
|
2,928,550
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
247,707
|
2,602,285
|
318,386
|
3,365,423
|
Distributions
reinvested
|
19,485
|
204,463
|
15,357
|
162,550
|
Redemptions
|
(222,415)
|
(2,323,405)
|
(236,518)
|
(2,507,657)
|
Net
increase
|
44,777
|
483,343
|
97,225
|
1,020,316
|
Class
B
|
|
|
|
|
Distributions
reinvested
|
—
|
—
|
8
|
83
|
Redemptions
|
—
|
—
|
(4,109)
|
(43,876)
|
Net
decrease
|
—
|
—
|
(4,101)
|
(43,793)
|
Class
C
|
|
|
|
|
Subscriptions
|
1,227,929
|
12,842,907
|
800,087
|
8,473,818
|
Distributions
reinvested
|
162,803
|
1,705,538
|
165,309
|
1,748,215
|
Redemptions
|
(1,314,980)
|
(13,749,183)
|
(1,142,156)
|
(12,102,307)
|
Net
increase (decrease)
|
75,752
|
799,262
|
(176,760)
|
(1,880,274)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
12,103,114
|
126,466,716
|
8,935,977
|
94,656,299
|
Distributions
reinvested
|
1,057,898
|
11,086,422
|
931,235
|
9,848,777
|
Redemptions
|
(15,406,410)
|
(160,734,738)
|
(13,323,863)
|
(141,178,075)
|
Net
decrease
|
(2,245,398)
|
(23,181,600)
|
(3,456,651)
|
(36,672,999)
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
569,528
|
5,946,759
|
409,740
|
4,328,687
|
Distributions
reinvested
|
41,840
|
438,556
|
25,060
|
264,748
|
Redemptions
|
(335,438)
|
(3,499,108)
|
(213,167)
|
(2,255,220)
|
Net
increase
|
275,930
|
2,886,207
|
221,633
|
2,338,215
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
109,467
|
1,150,525
|
158,527
|
1,685,515
|
Distributions
reinvested
|
7,272
|
76,387
|
3,637
|
38,455
|
Redemptions
|
(82,100)
|
(857,097)
|
(18,255)
|
(193,403)
|
Net
increase
|
34,639
|
369,815
|
143,909
|
1,530,567
|
Total
net increase (decrease)
|
1,674,646
|
18,064,373
|
(2,902,461)
|
(30,779,418)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
26
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia
High Yield Municipal Fund | Annual Report 2019
|
27
|
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
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 5/31/2019
|
$10.56
|
0.43
|
0.23
|
0.66
|
(0.48)
|
(0.48)
|
Year
Ended 5/31/2018
|
$10.64
|
0.43
|
(0.05)
|
0.38
|
(0.46)
|
(0.46)
|
Year
Ended 5/31/2017
|
$10.90
|
0.45
|
(0.26)
|
0.19
|
(0.45)
|
(0.45)
|
Year
Ended 5/31/2016
|
$10.71
|
0.47
|
0.19
|
0.66
|
(0.47)
|
(0.47)
|
Year
Ended 5/31/2015
|
$10.56
|
0.47
|
0.15
|
0.62
|
(0.47)
|
(0.47)
|
Advisor
Class
|
Year
Ended 5/31/2019
|
$10.57
|
0.46
|
0.23
|
0.69
|
(0.50)
|
(0.50)
|
Year
Ended 5/31/2018
|
$10.65
|
0.45
|
(0.05)
|
0.40
|
(0.48)
|
(0.48)
|
Year
Ended 5/31/2017
|
$10.92
|
0.47
|
(0.27)
|
0.20
|
(0.47)
|
(0.47)
|
Year
Ended 5/31/2016
|
$10.72
|
0.49
|
0.20
|
0.69
|
(0.49)
|
(0.49)
|
Year
Ended 5/31/2015
|
$10.57
|
0.49
|
0.15
|
0.64
|
(0.49)
|
(0.49)
|
Class
C
|
Year
Ended 5/31/2019
|
$10.56
|
0.37
|
0.22
|
0.59
|
(0.41)
|
(0.41)
|
Year
Ended 5/31/2018
|
$10.64
|
0.36
|
(0.05)
|
0.31
|
(0.39)
|
(0.39)
|
Year
Ended 5/31/2017
|
$10.90
|
0.38
|
(0.26)
|
0.12
|
(0.38)
|
(0.38)
|
Year
Ended 5/31/2016
|
$10.71
|
0.40
|
0.19
|
0.59
|
(0.40)
|
(0.40)
|
Year
Ended 5/31/2015
|
$10.56
|
0.40
|
0.15
|
0.55
|
(0.40)
|
(0.40)
|
Institutional
Class
|
Year
Ended 5/31/2019
|
$10.56
|
0.46
|
0.23
|
0.69
|
(0.50)
|
(0.50)
|
Year
Ended 5/31/2018
|
$10.64
|
0.45
|
(0.05)
|
0.40
|
(0.48)
|
(0.48)
|
Year
Ended 5/31/2017
|
$10.90
|
0.47
|
(0.26)
|
0.21
|
(0.47)
|
(0.47)
|
Year
Ended 5/31/2016
|
$10.71
|
0.49
|
0.19
|
0.68
|
(0.49)
|
(0.49)
|
Year
Ended 5/31/2015
|
$10.56
|
0.49
|
0.15
|
0.64
|
(0.49)
|
(0.49)
|
Institutional
2 Class
|
Year
Ended 5/31/2019
|
$10.55
|
0.46
|
0.23
|
0.69
|
(0.50)
|
(0.50)
|
Year
Ended 5/31/2018
|
$10.63
|
0.45
|
(0.04)
|
0.41
|
(0.49)
|
(0.49)
|
Year
Ended 5/31/2017
|
$10.90
|
0.48
|
(0.27)
|
0.21
|
(0.48)
|
(0.48)
|
Year
Ended 5/31/2016
|
$10.70
|
0.50
|
0.20
|
0.70
|
(0.50)
|
(0.50)
|
Year
Ended 5/31/2015
|
$10.55
|
0.50
|
0.15
|
0.65
|
(0.50)
|
(0.50)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
28
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
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
|
Year
Ended 5/31/2019
|
$10.74
|
6.42%
|
0.88%
|
0.85%
(c)
|
4.16%
|
35%
|
$172,655
|
Year
Ended 5/31/2018
|
$10.56
|
3.68%
|
0.88%
|
0.85%
(c)
|
4.04%
|
16%
|
$132,807
|
Year
Ended 5/31/2017
|
$10.64
|
1.81%
|
0.90%
(d)
|
0.84%
(c),(d)
|
4.21%
|
21%
|
$130,917
|
Year
Ended 5/31/2016
|
$10.90
|
6.27%
|
0.95%
|
0.86%
(c)
|
4.33%
|
10%
|
$190,262
|
Year
Ended 5/31/2015
|
$10.71
|
5.97%
|
0.95%
|
0.86%
(c)
|
4.44%
|
7%
|
$150,483
|
Advisor
Class
|
Year
Ended 5/31/2019
|
$10.76
|
6.73%
|
0.68%
|
0.65%
(c)
|
4.35%
|
35%
|
$5,318
|
Year
Ended 5/31/2018
|
$10.57
|
3.89%
|
0.68%
|
0.65%
(c)
|
4.24%
|
16%
|
$4,752
|
Year
Ended 5/31/2017
|
$10.65
|
1.92%
|
0.71%
(d)
|
0.64%
(c),(d)
|
4.41%
|
21%
|
$3,753
|
Year
Ended 5/31/2016
|
$10.92
|
6.58%
|
0.75%
|
0.66%
(c)
|
4.52%
|
10%
|
$4,607
|
Year
Ended 5/31/2015
|
$10.72
|
6.18%
|
0.76%
|
0.66%
(c)
|
4.65%
|
7%
|
$4,218
|
Class
C
|
Year
Ended 5/31/2019
|
$10.74
|
5.73%
|
1.63%
|
1.50%
(c)
|
3.50%
|
35%
|
$51,214
|
Year
Ended 5/31/2018
|
$10.56
|
3.01%
|
1.63%
|
1.50%
(c)
|
3.39%
|
16%
|
$49,519
|
Year
Ended 5/31/2017
|
$10.64
|
1.15%
|
1.65%
(d)
|
1.48%
(c),(d)
|
3.58%
|
21%
|
$51,775
|
Year
Ended 5/31/2016
|
$10.90
|
5.58%
|
1.70%
|
1.51%
(c)
|
3.67%
|
10%
|
$60,144
|
Year
Ended 5/31/2015
|
$10.71
|
5.31%
|
1.70%
|
1.49%
(c)
|
3.79%
|
7%
|
$32,575
|
Institutional
Class
|
Year
Ended 5/31/2019
|
$10.75
|
6.73%
|
0.68%
|
0.65%
(c)
|
4.35%
|
35%
|
$548,850
|
Year
Ended 5/31/2018
|
$10.56
|
3.88%
|
0.68%
|
0.65%
(c)
|
4.24%
|
16%
|
$562,972
|
Year
Ended 5/31/2017
|
$10.64
|
2.01%
|
0.70%
(d)
|
0.64%
(c),(d)
|
4.43%
|
21%
|
$604,031
|
Year
Ended 5/31/2016
|
$10.90
|
6.48%
|
0.75%
|
0.66%
(c)
|
4.55%
|
10%
|
$672,655
|
Year
Ended 5/31/2015
|
$10.71
|
6.19%
|
0.75%
|
0.66%
(c)
|
4.64%
|
7%
|
$665,442
|
Institutional
2 Class
|
Year
Ended 5/31/2019
|
$10.74
|
6.78%
|
0.63%
|
0.60%
|
4.40%
|
35%
|
$10,868
|
Year
Ended 5/31/2018
|
$10.55
|
3.92%
|
0.63%
|
0.59%
|
4.30%
|
16%
|
$7,767
|
Year
Ended 5/31/2017
|
$10.63
|
2.00%
|
0.61%
(d)
|
0.56%
(d)
|
4.48%
|
21%
|
$5,469
|
Year
Ended 5/31/2016
|
$10.90
|
6.67%
|
0.62%
|
0.57%
|
4.62%
|
10%
|
$7,922
|
Year
Ended 5/31/2015
|
$10.70
|
6.27%
|
0.61%
|
0.58%
|
4.67%
|
7%
|
$3,893
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
29
|
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
|
Total
distributions to
shareholders
|
Institutional
3 Class
|
Year
Ended 5/31/2019
|
$10.58
|
0.47
|
0.23
|
0.70
|
(0.51)
|
(0.51)
|
Year
Ended 5/31/2018
|
$10.66
|
0.46
|
(0.04)
|
0.42
|
(0.50)
|
(0.50)
|
Year
Ended 5/31/2017
(e)
|
$10.48
|
0.12
|
0.18
(f)
|
0.30
|
(0.12)
|
(0.12)
|
Notes
to Financial Highlights
|
(a)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(b)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
(c)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
(d)
|
Expenses
have been reduced due to a reimbursement of expenses overbilled by a third party. If the reimbursement had been excluded, the expense ratios would have been higher by the percentages shown for each class in the table below. All fee waivers and
expense reimbursements by the Investment Manager and its affiliates were applied before giving effect to this third party reimbursement.
|
Year
Ended
|
Class
A
|
Advisor
Class
|
Class
C
|
Institutional
Class
|
Institutional
2
Class
|
05/31/2017
|
0.02%
|
0.02%
|
0.03%
|
0.02%
|
0.02%
|
(e)
|
Institutional
3 Class shares commenced operations on March 1, 2017. Per share data and total return reflect activity from that date.
|
(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)
|
Annualized.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
30
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
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
|
Year
Ended 5/31/2019
|
$10.77
|
6.83%
|
0.59%
|
0.56%
|
4.45%
|
35%
|
$1,933
|
Year
Ended 5/31/2018
|
$10.58
|
3.99%
|
0.59%
|
0.55%
|
4.41%
|
16%
|
$1,533
|
Year
Ended 5/31/2017
(e)
|
$10.66
|
2.86%
|
0.61%
(g)
|
0.53%
(g)
|
4.62%
(g)
|
21%
|
$10
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
31
|
Notes to Financial Statements
May 31, 2019
Note 1. Organization
Columbia High Yield Municipal 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). 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. Different share classes pay different
distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own expense and sales charge structure. The Fund
offers each of the share classes identified below.
Class
A shares are subject to a maximum front-end sales charge of 3.00% based on the initial investment amount. Class A shares purchased without an initial sales charge are subject to a contingent deferred sales charge (CDSC) of 0.75% on certain
investments of $500,000 or more if redeemed within 12 months after purchase.
Advisor Class shares are not subject to sales charges and are
generally available only to omnibus retirement plans and certain investors as described in the Fund’s prospectus.
Class C shares are subject to a 1.00% CDSC on shares redeemed
within 12 months after purchase. Effective July 1, 2018, Class C shares automatically convert to Class A shares of the same Fund in the month of or the month following the 10-year anniversary of the Class C shares purchase date.
Institutional Class shares are not subject to sales charges
and are generally available only to eligible investors, which are subject to different investment minimums as described in the Fund’s prospectus.
Institutional 2 Class shares are not subject to sales charges
and are generally available only to investors purchasing through authorized investment professionals and omnibus retirement plans as described in the Fund’s prospectus.
Institutional 3 Class shares are not subject to sales charges
and are available to institutional and certain other investors as 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
Debt securities generally are valued by pricing services
approved by the Board of Trustees based upon 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 cost value, unless this method results in a valuation that management believes
does not approximate market value.
32
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
Investments in open-end investment companies, including money
market funds, are valued at their latest net asset value.
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 and under the general supervision of 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.
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.
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.
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 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. A defaulted debt security is removed from non-accrual status when the issuer
resumes interest payments or when collectibility 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. 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 net tax-exempt and 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.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
33
|
Notes to Financial Statements
(continued)
May 31, 2019
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.
Recent accounting
pronouncements
Accounting Standards Update 2017-08
Premium Amortization on Purchased Callable Debt Securities
In March 2017, the Financial Accounting Standards Board issued
Accounting Standards Update (ASU) No. 2017-08 Premium Amortization on Purchased Callable Debt Securities. ASU No. 2017-08 updates the accounting standards to shorten the amortization period for certain purchased callable debt securities, held at a
premium, to be amortized to the earliest call date. The update applies to securities with explicit, noncontingent call features that are callable at fixed prices and on preset dates. The standard is effective for annual periods beginning after
December 15, 2018 and interim periods within those fiscal years. Management does not expect the implementation of this guidance to have a material impact on the financial statement amounts and footnote disclosures.
Accounting Standards Update 2018-13 Disclosure Framework -
Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board
issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. ASU No. 2018-13, in addition to other modifications and additions, removes the requirement to disclose the
amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and the policy for the timing of transfers between levels. The standard is effective for annual periods beginning after December 15, 2019 and interim periods
within those fiscal years. At this time, management is evaluating the implication of this guidance and the impact it will have on the financial statement disclosures, if any.
Disclosure Update and Simplification
In September 2018, the Securities and Exchange Commission
(SEC) released Final Rule 33-10532, Disclosure Update and Simplification, which amends certain financial statement disclosure requirements that the SEC determined to be redundant, outdated, or superseded in light of other SEC disclosure
requirements, GAAP, or changes in the information environment. As a result of the amendments, management implemented disclosure changes which included removing the components of distributable earnings presented on the Statement of Assets and
Liabilities and combining income and gain distributions paid to shareholders as presented on the Statement of Changes in Net Assets. Any values presented to meet prior year requirements were left unchanged. The amendments had no effect on the
Fund’s net assets or results of operation.
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 0.54% to 0.34% as the Fund’s net assets increase. The
effective management services fee rate for the year ended May 31, 2019 was 0.54% of the Fund’s average daily net assets.
34
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
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. These members of the Board of Trustees may participate in a Deferred Compensation Plan (the
Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer
to 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 DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST 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 year ended May 31, 2019, the Fund’s 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
|
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 year ended May 31, 2019, these minimum account balance fees reduced total expenses of the Fund by $420.
Distribution and service fees
The Fund has entered into an agreement with Columbia
Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Board of Trustees has approved, and the Fund has
adopted, distribution and shareholder service plans (the
Columbia
High Yield Municipal Fund | Annual Report 2019
|
35
|
Notes to Financial Statements
(continued)
May 31, 2019
Plans) applicable
to certain share classes, which set the distribution and service fees for the Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and
providing services to investors.
Under the Plans, the
Fund pays a monthly service fee to the Distributor at the maximum annual rate of 0.20% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly distribution fee to the
Distributor at the maximum annual rate of 0.75% of the average daily net assets attributable to Class C shares of the Fund.
The Distributor has voluntarily agreed to waive a portion of
the distribution fee for Class C shares so that the distribution fee does not exceed 0.65% annually of the average daily net assets attributable to Class C shares. This arrangement may be modified or terminated by the Distributor at any time.
Sales charges (unaudited)
Sales charges, including front-end charges and CDSCs, received
by the Distributor for distributing Fund shares for the year ended May 31, 2019, if any, are listed below:
|
Amount
($)
|
Class
A
|
268,066
|
Class
C
|
4,953
|
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 class’ average daily net assets:
|
October
1, 2018
through
September 30, 2019
|
Prior
to
October 1, 2018
|
Class
A
|
0.86%
|
0.86%
|
Advisor
Class
|
0.66
|
0.66
|
Class
C
|
1.61
|
1.61
|
Institutional
Class
|
0.66
|
0.66
|
Institutional
2 Class
|
0.61
|
0.60
|
Institutional
3 Class
|
0.56
|
0.56
|
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, 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, but the Fund’s net operating expenses shall not exceed the contractual annual rates listed in the table above. This arrangement may be revised or discontinued at any time. 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. Class C distribution fees waived by the Distributor, as discussed
above, are in addition to the waiver/reimbursement commitment under the agreement.
36
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
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 May 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, tax straddles, capital loss carryforwards, trustees’ deferred compensation, distributions, principal and/or interest from fixed income securities and investments in partnerships.
To the extent these differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications were made:
Undistributed
net
investment
income ($)
|
Accumulated
net realized
(loss) ($)
|
Paid
in
capital ($)
|
705,785
|
3,540,719
|
(4,246,504)
|
Net investment income (loss) and
net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions paid during the years
indicated was as follows:
Year
Ended May 31, 2019
|
Year
Ended May 31, 2018
|
Ordinary
income ($)
|
Tax-exempt
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Tax-exempt
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
378,912
|
34,946,977
|
—
|
35,325,889
|
246,457
|
34,382,607
|
—
|
34,629,064
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2019, the components of distributable earnings on a
tax basis were as follows:
Undistributed
ordinary income ($)
|
Undistributed
tax-
exempt income ($)
|
Undistributed
long-term
capital gains ($)
|
Capital
loss
carryforwards ($)
|
Net
unrealized
appreciation ($)
|
—
|
13,401,712
|
—
|
(13,811,380)
|
29,163,803
|
At May 31, 2019, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
|
Gross
unrealized
appreciation ($)
|
Gross
unrealized
(depreciation) ($)
|
Net
unrealized
appreciation ($)
|
752,903,662
|
44,622,256
|
(15,458,453)
|
29,163,803
|
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 May
31, 2019, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior
to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused. In addition, for the year ended May 31, 2019, capital loss
carryforwards utilized and expired unused, if any, were as follows:
No
expiration
short-term ($)
|
No
expiration
long-term ($)
|
Total
($)
|
Utilized
($)
|
Expired
($)
|
1,541,997
|
12,269,383
|
13,811,380
|
—
|
4,244,605
|
Columbia
High Yield Municipal Fund | Annual Report 2019
|
37
|
Notes to Financial Statements
(continued)
May 31, 2019
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 $280,201,880 and $262,792,775, respectively, for the year ended May 31, 2019. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the
Financial Highlights.
Note 6. 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 year ended May 31, 2019.
Note
7. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency
purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion.
Interest is 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 one-month LIBOR rate 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 December unless extended or renewed.
The Fund had no borrowings during the year ended May 31,
2019.
Note 8. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in
the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt
securities held by the Fund may present increased credit risk as compared to higher-rated debt securities.
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 securities. In addition, these investments have
38
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
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 prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can
result in increases in 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.
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.
Municipal securities risk
Securities issued by a particular state and its
instrumentalities are subject to the risk of unfavorable developments in such state. A municipal security can be significantly affected by adverse tax, legislative, regulatory, demographic or political changes as well as changes in a particular
state’s (state and its instrumentalities’) financial, economic or other condition and prospects.
Shareholder concentration risk
At May 31, 2019, two unaffiliated shareholders of record owned
47.4% 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. Affiliated shareholders of record owned 15.5% 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.
Note 9. 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 10. Information regarding pending and settled
legal proceedings
Ameriprise Financial and certain of
its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their
business activities. 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.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
39
|
Notes to Financial Statements
(continued)
May 31, 2019
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.
40
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
Report of Independent Registered Public Accounting Firm
To the
Board of Trustees of Columbia Funds Series Trust I and Shareholders of Columbia High Yield Municipal Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia High Yield Municipal Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as of May 31, 2019, the related statement of operations for
the year ended May 31, 2019, the statement of changes in net assets for each of the two years in the period ended May 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively
referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended,
the changes in its net assets for each of the two years in the period ended May 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of
America.
Basis for Opinion
These financial statements are the responsibility of the
Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB)
and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in
accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks
of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the
financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation
of securities owned as of May 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our
opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 22, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
41
|
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for
the fiscal year ended May 31, 2019. Shareholders will be notified in early 2020 of the amounts for use in preparing 2019 income tax returns.
Exempt-
interest
dividends
|
|
98.93%
|
|
Exempt-interest dividends. The percentage of net investment
income distributed during the fiscal year that qualifies as exempt-interest dividends for federal income tax purposes. A portion of the income may be subject to federal alternative minimum tax.
42
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
The
Board oversees the Fund’s operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the Fund’s Trustees as
of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth beneath Length of Service in the table below is the year
in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board policy, members serve terms of indefinite duration.
Independent trustees
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Fund Complex overseen
|
Other
directorships held by Trustee during the past five years
|
Janet
Langford Carrig
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1957
|
Trustee
1996
|
Senior
Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018
|
69
|
None
|
Douglas
A. Hacker
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1955
|
Trustee
and Chairman of the Board
1996
|
Independent
business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice
President and Chief Financial Officer of United Airlines from July 1999 to September 2001
|
69
|
Spartan
Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel
information technology)
|
Nancy
T. Lukitsh
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1956
|
Trustee
2011
|
Senior
Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington
Trust Company, NA and other Wellington affiliates from 1997 to 2010
|
69
|
None
|
David
M. Moffett
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1952
|
Trustee
2011
|
Retired.
Consultant to Bridgewater and Associates
|
69
|
Director,
CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay
Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016
|
Columbia
High Yield Municipal Fund | Annual Report 2019
|
43
|
TRUSTEES AND OFFICERS
(continued)
Independent trustees
(continued)
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Fund Complex overseen
|
Other
directorships held by Trustee during the past five years
|
John
J. Neuhauser
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1943
|
Trustee
1984
|
President,
Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to
October 2005; University Professor, Boston College from November 2005 to August 2007
|
69
|
Liberty
All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds)
|
Patrick
J. Simpson
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1944
|
Trustee
2000
|
Of
Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014
|
69
|
M
Fund, Inc. (M Funds mutual fund family)
|
Anne-Lee
Verville
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1945
|
Trustee
1998
|
Retired.
General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987
to 1988, IBM Corporation (computer and technology)
|
69
|
Enesco
Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006
|
Consultants to the Independent Trustees*
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds complex overseen
|
Other
directorships held by Trustee during the past five years
|
J.
Kevin Connaughton
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street
Mail Drop BX32 05228,
Boston, MA 02110
1964
|
Independent
Trustee Consultant
2016
|
Independent
Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to
February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015
|
69
|
Director,
The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017
|
44
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS
(continued)
Consultants to the Independent
Trustees*
(continued)
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds complex overseen
|
Other
directorships held by Trustee during the past five years
|
Olive
Darragh
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street,
Mail Drop BX32 05228,
Boston, MA 02110
1962
|
Independent
Trustee Consultant 2019
|
Independent
Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004;
Partner, Tudor Investments from 2004 to 2010; Senior Partner, McKinsey & Company from 2001 to 2004
|
69
|
Director,
University of Edinburgh Business School; former Director, Boston Public Library Foundation
|
Natalie
A. Trunow
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street
Mail Drop BX32 05228,
Boston, MA 02110
1967
|
Independent
Trustee Consultant
2016
|
Independent
Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to
September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008
|
69
|
Director,
Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions)
|
*
|
J. Kevin
Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent
Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting.
|
Interested trustee affiliated with Investment Manager*
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds Complex overseen
|
Other
directorships held by Trustee during the past five years
|
William
F. Truscott
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
1960
|
Trustee
2012
|
Chairman
of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive
Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and
Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012
|
188
|
Chairman
of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013
|
*
|
Interested
person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial.
|
The Statement of Additional Information has additional
information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your financial intermediary.
Columbia
High Yield Municipal Fund | Annual Report 2019
|
45
|
TRUSTEES AND OFFICERS
(continued)
The Board has appointed officers who are responsible for
day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five
years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Fund officers
Name,
address and
year of birth
|
Position
and year
first appointed to
position for any Fund
in the Columbia
Funds complex or a
predecessor thereof
|
Principal
occupation(s) during past five years
|
Christopher
O. Petersen
5228 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1970
|
President
and Principal Executive Officer (2015)
|
Vice
President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007.
|
Michael
G. Clarke
225 Franklin Street
Boston, MA 02110
Born 1969
|
Chief
Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019)
|
Vice
President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia
Funds and affiliated funds since 2002 (previously Treasurer and Chief Accounting Officer, January 2009 - January 2019 and December 2015 - January 2019, respectively).
|
Joseph
Beranek
5890 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1965
|
Treasurer
and Chief Accounting Officer (Principal Accounting Officer) (2019)
|
Vice
President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March
2017).
|
Paul
B. Goucher
485 Lexington Avenue
New York, NY 10017
Born 1968
|
Senior
Vice President (2011) and Assistant Secretary (2008)
|
Senior
Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal
Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015).
|
Thomas
P. McGuire
225 Franklin Street
Boston, MA 02110
Born 1972
|
Senior
Vice President and Chief Compliance Officer (2012)
|
Vice
President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010.
|
Colin
Moore
225 Franklin Street
Boston, MA 02110
Born 1958
|
Senior
Vice President (2010)
|
Executive
Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013.
|
Ryan
C. Larrenaga
225 Franklin Street
Boston, MA 02110
Born 1970
|
Senior
Vice President (2017), Chief Legal Officer (2017), and Secretary (2015)
|
Vice
President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005.
|
Michael
E. DeFao
225 Franklin Street
Boston, MA 02110
Born 1968
|
Vice
President (2011) and Assistant Secretary (2010)
|
Vice
President and Chief Counsel, Ameriprise Financial, Inc. since May 2010.
|
Lyn
Kephart-Strong
5228 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1960
|
Vice
President (2015)
|
President,
Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009.
|
46
|
Columbia High Yield Municipal
Fund | Annual Report 2019
|
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/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-Q or Form N-PORT (available for filings after March 31, 2019). The Fund’s Form N-Q or Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, 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
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia
High Yield Municipal Fund | Annual Report 2019
|
47
|
Columbia High Yield Municipal 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.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
May 31, 2019
Columbia Adaptive Risk Allocation Fund
Beginning on January 1, 2021, as permitted by regulations
adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the
reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports
electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such
as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of
charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to
let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia
Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose
value
|
3
|
|
5
|
|
8
|
|
9
|
|
17
|
|
19
|
|
20
|
|
22
|
|
26
|
|
43
|
|
44
|
|
48
|
Columbia Adaptive Risk Allocation Fund | Annual Report
2019
Investment objective
Columbia Adaptive Risk Allocation
Fund (the Fund) pursues consistent total returns by seeking to allocate risks across multiple asset classes.
Portfolio
management
Joshua Kutin,
CFA
Lead
Portfolio Manager
Managed Fund
since 2015
Alexander
Wilkinson, CFA, CAIA
Portfolio
Manager
Managed Fund
since 2018
Average
annual total returns (%) (for the period ended May 31, 2019)
|
|
|
Inception
|
1
Year
|
5
Years
|
Life
|
Class
A
|
Excluding
sales charges
|
06/19/12
|
2.33
|
3.99
|
4.48
|
|
Including
sales charges
|
|
-3.56
|
2.77
|
3.59
|
Advisor
Class*
|
10/01/14
|
2.58
|
4.24
|
4.66
|
Class
C
|
Excluding
sales charges
|
06/19/12
|
1.56
|
3.24
|
3.69
|
|
Including
sales charges
|
|
0.59
|
3.24
|
3.69
|
Institutional
Class
|
06/19/12
|
2.67
|
4.26
|
4.75
|
Institutional
2 Class
|
06/19/12
|
2.65
|
4.30
|
4.80
|
Institutional
3 Class*
|
10/01/14
|
2.67
|
4.33
|
4.72
|
Class
R
|
06/19/12
|
2.07
|
3.74
|
4.22
|
Modified
Blended Benchmark
|
|
0.75
|
3.63
|
6.01
|
New
Blended Benchmark
|
|
3.32
|
5.82
|
7.82
|
FTSE
Three-Month U.S. Treasury Bill Index
|
|
2.24
|
0.80
|
0.59
|
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 Modified Blended Benchmark consists of 60% MSCI ACWI (Net)
and 40% Bloomberg Barclays Global Aggregate Bond Index.
The New Blended Benchmark consists of 60% MSCI ACWI (Net)
Hedged to DM Currencies and 40% Bloomberg Barclays Global Aggregate Bond Hedged Index.
The Bloomberg Barclays Global Aggregate Bond Index is a
broad-based benchmark that measures the global investment-grade fixed-rate debt markets.
The Bloomberg Barclays Global Aggregate Bond Index Hedged is an
unmanaged index that is comprised of several other Bloomberg Barclays indexes that measure fixed income performance of regions around the world while hedging the currency back to the US dollar.
The MSCI ACWI (Net) is a free float-adjusted market
capitalization index that is designed to measure equity market performance in the global developed and emerging markets. The MSCI ACWI All Cap Index (Net) captures large, mid, small and micro cap representation across 23 developed markets countries
and large, mid and small cap representation across 23 emerging markets countries.
The MSCI ACWI (Net) Hedged DM Currencies Index represents a
close estimation of the performance that can be achieved by hedging the currency exposures of all developed market exposures of its parent index, the MSCI ACWI, to the USD, the “home” currency for the hedged index. The index is 100%
hedged to the USD of developed market currencies by selling each foreign currency forward at the one-month Forward weight. The parent index is composed of large and mid cap stocks across 23 Developed Markets (DM) countries and 24 Emerging Markets
(EM) countries.
The FTSE Three-Month U.S. Treasury Bill
Index is an unmanaged index that represents the performance of three-month Treasury bills and reflects reinvestment of all distributions and changes in market prices.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
3
|
Fund at a Glance
(continued)
Indices are not available for investment, are not
professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI ACWI Index (Net) and MSCI ACWI Index (Net) Hedged to DM Currencies, which reflect reinvested dividends net of withholding taxes) or other
expenses of investing. Securities in the Fund may not match those in an index.
Performance of a hypothetical $10,000
investment (June 19, 2012 — May 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Adaptive Risk Allocation Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares.
Portfolio
breakdown (%) (at May 31, 2019)
|
Alternative
Strategies Funds
|
8.6
|
Common
Stocks
|
11.1
|
Foreign
Government Obligations
|
10.8
|
Inflation-Indexed
Bonds
|
19.1
|
Money
Market Funds
(a)
|
32.8
|
Residential
Mortgage-Backed Securities - Agency
|
5.5
|
U.S.
Treasury Obligations
|
12.1
|
Total
|
100.0
|
(a)
|
Includes
investments in Money Market Funds (amounting to $984.9 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives which provide exposure to multiple markets. For a description of the Fund’s
investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements.
|
Percentages indicated are based upon total investments
excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Market
exposure by asset class categories (%)
(a)
(at May 31, 2019)
|
Equity
Assets
|
46.4
|
Inflation-Hedging
Assets
|
28.7
|
Spread
Assets
|
36.2
|
Interest
Rate Assets
|
40.4
|
(a) Percentages are based upon net
assets. The percentages do not equal 100% due to the effects of leverage within the Fund’s portfolio. Leverage exists when the Fund purchases or sells an instrument or enters into a transaction without investing cash in an amount equal to the
full economic exposure of the instrument or transaction. The Fund’s portfolio composition and its market exposure are subject to change. Inflation-Hedging Assets may include, but are not limited to, direct or indirect investments in
commodity-related investments, including certain types of commodities-linked derivatives and notes, and U.S. and non-U.S. inflation-linked bonds. Interest Rate Assets generally include fixed-income securities issued by U.S. and non-U.S. governments.
Spread Assets generally include any other fixed-income securities.
4
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Manager Discussion of Fund Performance
For
the 12-month period that ended May 31, 2019, the Fund’s Class A shares returned 2.33% excluding sales charges. While posting solid absolute gains, the Fund underperformed its New Blended Benchmark, which returned 3.32% for the same time
period. The Fund outperformed its Modified Blended Benchmark, which returned 0.75% for the same period. To compare, the FTSE Three-Month U.S. Treasury Bill Index returned 2.24% during the reporting period. The Fund takes a risk-based approach to
allocating assets across four primary segments of global capital markets.
During the 12-month period ended May 31, 2019, the MSCI ACWI
(Net) Hedged to DM Currencies returned 0.74%, and the Bloomberg Barclays Global Aggregate Bond Hedged Index returned 6.50%. The MSCI ACWI (Net) and the Bloomberg Barclays Global Aggregate Bond Index returned -1.29% and 3.09%, respectively, during
the same time period.
Market state policy
implementation and tactical positioning drove results
The Fund uses a global risk allocation strategy and takes a
flexible approach to allocating portfolio risk across multiple asset classes — equity securities, inflation-hedging assets, and fixed-income securities (generally consisting of fixed-income securities issued by governments, which are referred
to as interest rate assets, and other fixed-income securities, which are referred to as spread assets). The Fund employs a market state classification process — based on multiple market-based indicators — to identify four distinct market
environments and creates a policy or benchmark portfolio with a strategic risk allocation for each environment that is intended to generate attractive risk-adjusted returns in that environment. Allocations of risk to asset classes may differ
significantly across market environments. While a global risk-balanced portfolio is what we expect the Fund to be in most often, other market states represent conditions when risk balancing may be less than ideal, and the portfolio can deviate from
balance to improve risk-adjusted return potential for that environment. This could be to protect capital in a weakening market or to more fully participate when market conditions are considered favorable. Once a policy portfolio is established, the
Fund then employs a tactical overlay process driven by the Columbia Global Asset Allocation Team’s Investment Strategy Outlook. During the 12-month period ended May 31, 2019, changes to the Fund’s risk allocation using this market state
classification process detracted from performance relative to maintaining a static neutral state and compared to its New Blended Benchmark. However, the Fund outperformed the modified Blended Benchmark due to diversifying the portfolio with
out-of-benchmark positions that outpaced the Modified Blended Benchmark during the period.
The Fund’s absolute returns were positive during the
period, though our tactical positioning overall was a modest detractor from the Fund’s relative performance during the period. Of the broad global asset classes to which the Fund allocates, its exposure to global equities detracted most, as
the asset class overall posted negative absolute returns. Conversely, exposure to global government fixed-income securities contributed most positively, as fixed-income markets responded favorably to a risk-off environment during the latter part of
2018. Additionally, the Fund’s allocations to spread assets, primarily investment-grade corporate bonds, high-yield bonds, mortgage-backed securities and emerging market debt, boosted relative results, mostly due to strong performance to start
2019. Exposure to inflation-hedging assets contributed positively to relative performance.
Global positioning reflected changing market
conditions
The Fund uses an adaptive approach to
re-allocate portfolio risk exposures as market conditions change in an effort to improve risk-adjusted returns. We believe no single portfolio is appropriate for all market environments and have identified four distinct market states: highly
bullish, bullish, neutral and capital preservation. We expect the Fund to be in the neutral market state the majority of the time. The Fund made several deviations from the neutral market state during the period, moving into the bullish market state
in June 2018, then shifting into the capital preservation market state in August and September 2018. The Fund subsequently maintained a neutral market state for several months before moving into the bullish market state when market-based indicators
became more positive. From a risk allocation perspective, the Fund in the neutral state was approximately 50% of the portfolio’s risk allocation in equities, with the remaining 50% of the portfolio’s risk allocation divided amongst the
other asset classes. In the months when the Fund was in a bullish market state, the Fund increased risk exposure to equities and decreased exposure to interest rates. In the months when the Fund was in a capital preservation state, the Fund
decreased risk exposure to equities and increased exposure to interest rates. With these changes, the Fund’s portfolio turnover rate for the 12-month period was 203%.
Global equity markets posted modestly negative returns during
the period, but these returns masked significantly heightened volatility. Strong economic data and robust corporate profit growth fueled healthy equity market returns through the first four months of the period, despite tighter U.S. Federal Reserve
(Fed) policy, a strong U.S. dollar and expensive valuations. Starting
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
(continued)
in October 2018, global equity markets were weighed down by concerns around
slowing global and U.S. economic growth as well as by persistent trade tariff skirmishes and political uncertainty. The Fed’s decision to raise interest rates at its December 2018 meeting, criticism of the Fed by the U.S. Administration and a
partial U.S. federal government shutdown added to unease in the global equity markets — and heightened market volatility — toward the end of calendar year 2018. Global equity markets suffered their largest quarterly loss during the
fourth quarter of 2018 since September 2008. The Fund’s market state classification system was positioned in the neutral market state during this sell-off, which helped mitigate the effects of the substantial equity market drawdown. Consistent
with a neutral market state, positions were adjusted to seek a more even balance of risk across global equities and three other broad sources of risk-inflation hedging assets, fixed-income spread assets and interest rate-related fixed-income
securities.
In a sharp reversal, global equities surged
to their best quarterly return in the first quarter of 2019 since September 2009, supported by relatively strong fourth quarter 2018 corporate earnings, seemingly productive trade negotiations between the U.S. and China, and a dramatic shift in Fed
policy, wherein the Fed left its interest rates unchanged and indicated rates would likely remain stable in 2019. Such factors more than offset signs the U.S. economy had decelerated. In April 2019, global equities rose for the fourth consecutive
month, reacting positively to better economic data, accommodative central bank policies and rising expectations for a U.S./China trade deal. However, in May 2019, global equities declined significantly again, as risk assets across the various asset
classes sold off, primarily on the lack of a trade deal with China and on the unexpected announcement by the U.S. Administration of potential tariffs on Mexico. The Fund’s market state classification system put the Fund in the bullish market
state in April 2019, which increased the Fund’s exposure to risk assets. Such positioning benefited the Fund’s relative performance in April but detracted from relative results in May.
Derivative positions in the Fund
During the period, the Fund used futures (including bond,
currency, equity, index and interest rate futures), currency forwards, options and swaps (including credit default, credit default swap index, interest rate and total return swaps). The Fund used derivatives for both hedging and non-hedging
purposes, including, for example, seeking to enhance returns or as a substitute for a position in an underlying asset. The Fund also used derivatives to manage its overall risk exposure and to obtain leverage (market exposure in excess of the
Fund’s assets) within certain asset classes and during certain market environments in seeking to maintain attractive expected risk-adjusted returns while adhering to the Fund’s risk allocation framework. The use of derivatives allows the
Fund to pursue its risk allocation objectives. On a stand-alone basis, the use of derivatives had a positive impact on the Fund’s performance for the period.
Market risk
may affect a single
issuer, sector of the economy, industry or the market as a whole. The Fund’s
investment in other funds
subjects it to the investment performance (positive or negative), risks and expenses of these
underlying funds.
Asset allocation
does not assure a profit or protect against loss. Investing in
derivatives
is a specialized activity that involves special risks
that subject the Fund to significant loss potential, including when used as leverage, and may result in greater fluctuation in Fund value.
Commodity
investments may be affected by the overall market and
industry- and commodity-specific factors, and may be more volatile and less liquid than other investments.
Short positions
(where the underlying asset is not owned) can create unlimited risk.
International
investing involves certain risks and volatility due to potential political, economic or currency instabilities and different financial and accounting standards. Risks are enhanced for
emerging market
issuers. Investment in or exposure to
foreign currencies
subjects the Fund to currency fluctuation and risk of loss. Investments in
small- and
mid-cap
companies involve risks and volatility greater than investments in larger, more established companies. Fixed-income securities present
issuer default risk
. A rise in
interest rates
may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing in lower yielding debt
instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. Interest payments on
inflation-protected securities
may be more volatile
than interest paid on ordinary bonds. In periods of deflation, these securities provide no income. As a
non-diversified fund
, fewer investments could have a greater effect on performance. Investments selected
using
quantitative methods
may perform differently from the market as a whole and may not enable the Fund to achieve its objective. Market or other (e.g., interest rate) environments may adversely affect the
liquidity
of fund investments, negatively impacting their price. Generally, the less liquid the market at the time the Fund sells a holding, the greater the risk of loss or decline of value to the Fund. See
the Fund’s prospectus for more information on these and other risks.
The views expressed in this report reflect the current views of
the respective parties. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict, so actual outcomes and results may differ significantly from the views expressed.
These views are subject to change at any time based upon economic, market or other conditions and the respective parties disclaim any responsibility to
6
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Manager Discussion of Fund Performance
(continued)
update such views. These views may not be relied on as investment advice and,
because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a
recommendation or investment advice.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
7
|
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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
December
1, 2018 — May 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
1,039.60
|
1,019.95
|
5.09
|
5.04
|
1.00
|
Advisor
Class
|
1,000.00
|
1,000.00
|
1,041.00
|
1,021.19
|
3.82
|
3.78
|
0.75
|
Class
C
|
1,000.00
|
1,000.00
|
1,036.50
|
1,016.21
|
8.89
|
8.80
|
1.75
|
Institutional
Class
|
1,000.00
|
1,000.00
|
1,042.00
|
1,021.19
|
3.82
|
3.78
|
0.75
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
1,041.70
|
1,021.14
|
3.87
|
3.83
|
0.76
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
1,041.90
|
1,021.39
|
3.61
|
3.58
|
0.71
|
Class
R
|
1,000.00
|
1,000.00
|
1,038.20
|
1,018.70
|
6.35
|
6.29
|
1.25
|
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.
8
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Portfolio of Investments
May 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Alternative
Strategies Funds 8.9%
|
|
Shares
|
Value
($)
|
Columbia
Commodity Strategy Fund, Institutional 3 Class
(a)
|
59,902,339
|
257,580,055
|
Total
Alternative Strategies Funds
(Cost $288,185,363)
|
257,580,055
|
|
Common
Stocks 11.5%
|
Issuer
|
Shares
|
Value
($)
|
Real
Estate 11.5%
|
Equity
Real Estate Investment Trusts (REITS) 11.5%
|
Alexandria
Real Estate Equities, Inc.
|
112,342
|
16,447,992
|
American
Homes 4 Rent, Class A
|
491,138
|
11,988,679
|
American
Tower Corp.
|
22,827
|
4,765,593
|
AvalonBay
Communities, Inc.
|
66,124
|
13,423,833
|
Camden
Property Trust
|
32,862
|
3,396,616
|
Coresite
Realty Corp.
|
62,190
|
7,258,817
|
Corporate
Office Properties Trust
|
120,517
|
3,355,193
|
Crown
Castle International Corp.
|
46,172
|
6,002,822
|
CubeSmart
|
254,700
|
8,588,484
|
Digital
Realty Trust, Inc.
|
184,915
|
21,768,194
|
Duke
Realty Corp.
|
364,160
|
10,957,574
|
Equinix,
Inc.
|
24,933
|
12,112,202
|
Equity
LifeStyle Properties, Inc.
|
156,672
|
19,060,716
|
Equity
Residential
|
118,053
|
9,039,318
|
Essex
Property Trust, Inc.
|
64,926
|
18,941,511
|
Extra
Space Storage, Inc.
|
80,205
|
8,594,768
|
Farmland
Partners, Inc.
|
103,311
|
639,495
|
First
Industrial Realty Trust, Inc.
|
298,295
|
10,353,819
|
Four
Corners Property Trust, Inc.
|
261,155
|
7,510,818
|
HCP,
Inc.
|
260,963
|
8,275,137
|
Highwoods
Properties, Inc.
|
226,511
|
9,934,772
|
Host
Hotels & Resorts, Inc.
|
913,872
|
16,550,222
|
Invitation
Homes, Inc.
|
479,098
|
12,279,282
|
Life
Storage, Inc.
|
82,322
|
7,925,962
|
Mack-Cali
Realty Corp.
|
311,434
|
7,075,780
|
Medical
Properties Trust, Inc.
|
407,357
|
7,242,807
|
Outfront
Media, Inc.
|
102,209
|
2,519,452
|
ProLogis,
Inc.
|
176,835
|
13,027,434
|
Simon
Property Group, Inc.
|
147,675
|
23,936,641
|
Common
Stocks (continued)
|
Issuer
|
Shares
|
Value
($)
|
SITE
Centers Corp.
|
316,037
|
4,035,793
|
STORE
Capital Corp.
|
224,944
|
7,697,584
|
Sun
Communities, Inc.
|
67,152
|
8,479,283
|
Ventas,
Inc.
|
160,073
|
10,292,694
|
Total
|
|
333,479,287
|
Total
Real Estate
|
333,479,287
|
Total
Common Stocks
(Cost $314,745,461)
|
333,479,287
|
Foreign
Government Obligations
(b),(c)
11.2%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Austria
0.4%
|
Republic
of Austria Government Bond
(d)
|
10/20/2026
|
0.750%
|
EUR
|
6,682,000
|
7,960,480
|
03/15/2037
|
4.150%
|
EUR
|
2,121,000
|
3,800,875
|
Total
|
11,761,355
|
Belgium
0.9%
|
Kingdom
of Belgium Government Bond
(d)
|
06/22/2024
|
2.600%
|
EUR
|
9,041,000
|
11,613,862
|
06/22/2027
|
0.800%
|
EUR
|
6,209,000
|
7,356,445
|
03/28/2041
|
4.250%
|
EUR
|
3,185,000
|
5,775,811
|
Total
|
24,746,118
|
France
1.7%
|
French
Republic Government Bond OAT
(d)
|
10/25/2027
|
2.750%
|
EUR
|
12,425,000
|
17,119,873
|
11/25/2028
|
0.750%
|
EUR
|
14,582,000
|
17,214,428
|
05/25/2045
|
3.250%
|
EUR
|
4,559,464
|
7,598,502
|
05/25/2048
|
2.000%
|
EUR
|
4,396,000
|
5,886,309
|
Total
|
47,819,112
|
Italy
1.4%
|
Italy
Buoni Poliennali Del Tesoro
(d)
|
09/01/2028
|
4.750%
|
EUR
|
16,544,000
|
22,052,894
|
09/01/2046
|
3.250%
|
EUR
|
8,799,000
|
9,770,411
|
03/01/2047
|
2.700%
|
EUR
|
9,199,000
|
9,262,551
|
Total
|
41,085,856
|
Japan
2.9%
|
Japan
Government 10-Year Bond
|
03/20/2028
|
0.100%
|
JPY
|
1,739,150,000
|
16,395,226
|
Japan
Government 20-Year Bond
|
06/20/2032
|
1.500%
|
JPY
|
23,300,000
|
255,957
|
09/20/2037
|
0.600%
|
JPY
|
932,350,000
|
9,153,300
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
9
|
Portfolio of Investments
(continued)
May 31, 2019
Foreign
Government Obligations
(b),(c)
(continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Japan
Government 30-Year Bond
|
03/20/2037
|
2.400%
|
JPY
|
288,250,000
|
3,666,993
|
03/20/2047
|
0.800%
|
JPY
|
1,409,900,000
|
14,269,739
|
06/20/2047
|
0.800%
|
JPY
|
337,300,000
|
3,414,846
|
09/20/2047
|
0.800%
|
JPY
|
1,118,800,000
|
11,331,209
|
03/20/2048
|
0.800%
|
JPY
|
1,847,250,000
|
18,694,804
|
03/20/2049
|
0.500%
|
JPY
|
779,000,000
|
7,269,397
|
Total
|
84,451,471
|
Netherlands
0.6%
|
Netherlands
Government Bond
(d)
|
07/15/2026
|
0.500%
|
EUR
|
13,796,000
|
16,293,932
|
Poland
0.6%
|
Republic
of Poland Government Bond
|
07/25/2026
|
2.500%
|
PLN
|
23,833,000
|
6,253,447
|
07/25/2027
|
2.500%
|
PLN
|
26,837,000
|
6,992,633
|
04/25/2028
|
2.750%
|
PLN
|
19,827,000
|
5,245,218
|
Total
|
18,491,298
|
South
Africa 1.2%
|
Republic
of South Africa Government Bond
|
12/21/2026
|
10.500%
|
ZAR
|
467,000,000
|
35,655,027
|
Spain
0.6%
|
Spain
Government Bond
(d)
|
04/30/2028
|
1.400%
|
EUR
|
8,167,000
|
9,806,349
|
04/30/2029
|
1.450%
|
EUR
|
7,483,000
|
8,948,109
|
Total
|
18,754,458
|
United
Kingdom 0.9%
|
United
Kingdom Gilt
(d)
|
06/07/2032
|
4.250%
|
GBP
|
8,206,000
|
14,333,804
|
01/22/2045
|
3.500%
|
GBP
|
5,988,133
|
10,840,692
|
Total
|
25,174,496
|
Total
Foreign Government Obligations
(Cost $319,169,391)
|
324,233,123
|
|
Inflation-Indexed
Bonds
(c)
19.8%
|
|
|
|
|
|
Australia
0.7%
|
Australia
Government Bond
(d)
|
11/21/2027
|
0.750%
|
AUD
|
4,803,000
|
3,677,960
|
08/21/2035
|
2.000%
|
AUD
|
3,556,000
|
3,569,511
|
08/21/2040
|
1.250%
|
AUD
|
2,333,000
|
2,079,403
|
Australia
Government Index-Linked Bond
(d)
|
09/20/2025
|
3.000%
|
AUD
|
9,033,000
|
9,233,838
|
Total
|
18,560,712
|
Inflation-Indexed
Bonds
(c)
(continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
Canada
0.4%
|
Canadian
Government Real Return Bond
|
12/01/2026
|
4.250%
|
CAD
|
5,568,584
|
5,404,415
|
12/01/2031
|
4.000%
|
CAD
|
3,198,947
|
3,465,393
|
12/01/2036
|
3.000%
|
CAD
|
2,365,092
|
2,538,238
|
Total
|
11,408,046
|
France
1.4%
|
France
Government Bond OAT
(d)
|
07/25/2030
|
0.700%
|
EUR
|
7,001,871
|
9,143,502
|
07/25/2032
|
3.150%
|
EUR
|
5,076,146
|
8,662,745
|
French
Republic Government Bond OAT
(d)
|
07/25/2024
|
0.250%
|
EUR
|
15,693,054
|
18,980,701
|
07/25/2040
|
1.800%
|
EUR
|
2,995,942
|
4,918,922
|
Total
|
41,705,870
|
Germany
1.1%
|
Bundesrepublik
Deutschland Bundesobligation Inflation-Linked Bond
(d)
|
04/15/2030
|
0.500%
|
EUR
|
5,558,479
|
7,406,193
|
Deutsche
Bundesrepublik Inflation-Linked Bond
(d)
|
04/15/2023
|
0.100%
|
EUR
|
11,053,996
|
13,054,171
|
04/15/2026
|
0.100%
|
EUR
|
9,211,330
|
11,342,706
|
Total
|
31,803,070
|
Italy
1.4%
|
Italy
Buoni Poliennali Del Tesoro
(d)
|
09/15/2026
|
3.100%
|
EUR
|
13,133,962
|
16,172,365
|
05/15/2028
|
1.300%
|
EUR
|
9,761,932
|
10,435,665
|
09/15/2035
|
2.350%
|
EUR
|
6,826,944
|
7,938,988
|
09/15/2041
|
2.550%
|
EUR
|
5,570,381
|
6,365,494
|
Total
|
40,912,512
|
Japan
1.3%
|
Japanese
Government CPI-Linked Bond
|
03/10/2025
|
0.100%
|
JPY
|
909,200,000
|
8,779,869
|
03/10/2026
|
0.100%
|
JPY
|
788,000,000
|
7,645,680
|
03/10/2027
|
0.100%
|
JPY
|
2,195,400,000
|
21,435,373
|
Total
|
37,860,922
|
United
Kingdom 5.8%
|
United
Kingdom Gilt Inflation-Linked Bond
(d)
|
03/22/2024
|
0.125%
|
GBP
|
8,300,632
|
11,988,280
|
03/22/2029
|
0.125%
|
GBP
|
13,458,903
|
21,787,897
|
03/22/2034
|
0.750%
|
GBP
|
8,815,898
|
17,044,384
|
11/22/2037
|
1.125%
|
GBP
|
8,852,853
|
19,608,797
|
03/22/2044
|
0.125%
|
GBP
|
9,818,842
|
20,760,121
|
03/22/2052
|
0.250%
|
GBP
|
18,094,285
|
45,417,998
|
11/22/2056
|
0.125%
|
GBP
|
8,722,497
|
23,084,822
|
11/22/2065
|
0.125%
|
GBP
|
2,827,732
|
8,857,549
|
Total
|
168,549,848
|
The accompanying Notes to Financial Statements are an integral part
of this statement.
10
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
Inflation-Indexed
Bonds
(c)
(continued)
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
United
States 7.7%
|
U.S.
Treasury Inflation-Indexed Bond
|
01/15/2022
|
0.125%
|
|
22,716,225
|
22,556,296
|
01/15/2024
|
0.625%
|
|
44,932,186
|
45,531,082
|
01/15/2025
|
0.250%
|
|
42,073,155
|
41,854,981
|
07/15/2027
|
0.375%
|
|
34,571,440
|
34,666,308
|
01/15/2028
|
0.500%
|
|
32,542,708
|
32,853,838
|
07/15/2028
|
0.750%
|
|
12,037,846
|
12,460,145
|
02/15/2042
|
0.750%
|
|
9,714,202
|
9,783,589
|
02/15/2043
|
0.625%
|
|
9,006,625
|
8,773,106
|
02/15/2045
|
0.750%
|
|
8,199,882
|
8,170,809
|
02/15/2048
|
1.000%
|
|
5,932,484
|
6,297,110
|
Total
|
222,947,264
|
Total
Inflation-Indexed Bonds
(Cost $560,120,300)
|
573,748,244
|
|
Residential
Mortgage-Backed Securities - Agency 5.6%
|
|
|
|
|
|
Federal
National Mortgage Association
(e)
|
06/18/2034
|
2.500%
|
|
16,448,328
|
16,453,789
|
06/13/2049
|
3.000%
|
|
22,150,000
|
22,239,847
|
06/13/2049
|
3.500%
|
|
30,000,000
|
30,594,141
|
06/13/2049
|
4.000%
|
|
28,050,000
|
28,948,477
|
06/13/2049
|
4.500%
|
|
16,600,000
|
17,341,812
|
06/13/2049
|
5.000%
|
|
4,550,000
|
4,803,094
|
Government
National Mortgage Association
(e)
|
06/20/2049
|
3.500%
|
|
41,446,000
|
42,620,230
|
Total
Residential Mortgage-Backed Securities - Agency
(Cost $161,607,394)
|
163,001,390
|
|
U.S.
Treasury Obligations 12.5%
|
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value
($)
|
U.S.
Treasury
|
11/30/2024
|
2.125%
|
|
22,311,000
|
22,490,534
|
08/15/2027
|
2.250%
|
|
55,269,000
|
55,925,319
|
11/15/2027
|
2.250%
|
|
53,881,000
|
54,487,161
|
02/15/2028
|
2.750%
|
|
51,385,000
|
53,978,337
|
05/15/2028
|
2.875%
|
|
41,096,000
|
43,613,130
|
11/15/2028
|
3.125%
|
|
51,913,000
|
56,276,937
|
02/15/2029
|
2.625%
|
|
51,894,000
|
54,075,170
|
05/15/2029
|
2.375%
|
|
22,010,000
|
22,463,956
|
Total
U.S. Treasury Obligations
(Cost $352,211,878)
|
363,310,544
|
Money
Market Funds 34.0%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.497%
(a),(f)
|
985,038,263
|
984,939,760
|
Total
Money Market Funds
(Cost $984,940,158)
|
984,939,760
|
Total
Investments in Securities
(Cost: $2,980,979,945)
|
3,000,292,403
|
Other
Assets & Liabilities, Net
|
|
(100,270,641)
|
Net
Assets
|
2,900,021,762
|
At May 31, 2019, securities and/or cash totaling
$157,466,305 were pledged as collateral.
Investments in derivatives
Forward
foreign currency exchange contracts
|
Currency
to
be sold
|
Currency
to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
190,619,097 GBP
|
242,489,794 USD
|
HSBC
|
06/25/2019
|
1,227,518
|
—
|
30,196,815,000 JPY
|
274,477,620 USD
|
HSBC
|
06/25/2019
|
—
|
(4,673,604)
|
28,603,000 NOK
|
3,276,229 USD
|
HSBC
|
06/25/2019
|
5,267
|
—
|
435,000 NZD
|
283,242 USD
|
HSBC
|
06/25/2019
|
—
|
(1,472)
|
70,221,000 PLN
|
18,225,966 USD
|
HSBC
|
06/25/2019
|
—
|
(106,501)
|
200,141,000 SEK
|
20,810,757 USD
|
HSBC
|
06/25/2019
|
—
|
(322,141)
|
8,176,000 SGD
|
5,937,761 USD
|
HSBC
|
06/25/2019
|
—
|
(15,808)
|
35,048,078 USD
|
3,792,563,000 JPY
|
HSBC
|
06/25/2019
|
11,865
|
—
|
47,371 USD
|
906,000 MXN
|
HSBC
|
06/25/2019
|
—
|
(1,319)
|
43,803,469 USD
|
67,273,000 NZD
|
HSBC
|
06/25/2019
|
227,711
|
—
|
9,763,478 USD
|
92,520,000 SEK
|
HSBC
|
06/25/2019
|
5,713
|
—
|
3,912,920 USD
|
37,057,000 SEK
|
HSBC
|
06/25/2019
|
—
|
(70)
|
2,008,298 USD
|
2,759,000 SGD
|
HSBC
|
06/25/2019
|
740
|
—
|
549,371,000 ZAR
|
38,107,099 USD
|
HSBC
|
06/25/2019
|
492,514
|
—
|
134,093,000 AUD
|
92,497,317 USD
|
Morgan
Stanley
|
06/25/2019
|
—
|
(584,960)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
11
|
Portfolio of Investments
(continued)
May 31, 2019
Forward
foreign currency exchange contracts (continued)
|
Currency
to
be sold
|
Currency
to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
15,843,000 CAD
|
11,813,895 USD
|
Morgan
Stanley
|
06/25/2019
|
85,731
|
—
|
85,621,000 CHF
|
84,964,227 USD
|
Morgan
Stanley
|
06/25/2019
|
—
|
(729,775)
|
54,007,000 DKK
|
8,093,179 USD
|
Morgan
Stanley
|
06/25/2019
|
—
|
(2,001)
|
384,932,300 EUR
|
430,717,460 USD
|
Morgan
Stanley
|
06/25/2019
|
—
|
(104,681)
|
13,508,000 GBP
|
17,184,202 USD
|
Morgan
Stanley
|
06/25/2019
|
87,432
|
—
|
3,023,000 GBP
|
3,823,414 USD
|
Morgan
Stanley
|
06/25/2019
|
—
|
(2,728)
|
43,795,678 USD
|
63,632,000 AUD
|
Morgan
Stanley
|
06/25/2019
|
375,244
|
—
|
8,958,950 USD
|
12,904,000 AUD
|
Morgan
Stanley
|
06/25/2019
|
—
|
(1,483)
|
43,689,487 USD
|
58,972,000 CAD
|
Morgan
Stanley
|
06/25/2019
|
—
|
(34,038)
|
12,262,688 USD
|
12,253,000 CHF
|
Morgan
Stanley
|
06/25/2019
|
760
|
—
|
2,887,957 USD
|
19,269,000 DKK
|
Morgan
Stanley
|
06/25/2019
|
298
|
—
|
56,610,516 USD
|
50,555,000 EUR
|
Morgan
Stanley
|
06/25/2019
|
—
|
(28,584)
|
23,685,650 USD
|
18,712,000 GBP
|
Morgan
Stanley
|
06/25/2019
|
—
|
(2,295)
|
10,182,000 ZAR
|
705,838 USD
|
Morgan
Stanley
|
06/25/2019
|
8,692
|
—
|
Total
|
|
|
|
2,529,485
|
(6,611,460)
|
Long
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Australian
10-Year Bond
|
216
|
06/2019
|
AUD
|
30,668,697
|
503,581
|
—
|
EURO
STOXX 50
|
790
|
06/2019
|
EUR
|
25,872,500
|
—
|
(1,389,247)
|
Euro-BTP
|
187
|
06/2019
|
EUR
|
24,324,960
|
356,883
|
—
|
Euro-Bund
|
48
|
06/2019
|
EUR
|
8,080,320
|
291,703
|
—
|
Euro-OAT
|
263
|
06/2019
|
EUR
|
43,242,460
|
1,194,520
|
—
|
Japanese
10-Year Government Bond
|
47
|
06/2019
|
JPY
|
7,200,400,000
|
226,388
|
—
|
Long
Gilt
|
257
|
09/2019
|
GBP
|
33,320,050
|
409,667
|
—
|
MSCI
EAFE Index
|
3,362
|
06/2019
|
USD
|
305,588,990
|
—
|
(5,856,832)
|
MSCI
Emerging Markets Index
|
2,402
|
06/2019
|
USD
|
120,124,020
|
—
|
(6,100,316)
|
S&P
500 E-mini
|
4,249
|
06/2019
|
USD
|
584,789,870
|
—
|
(11,035,244)
|
S&P/TSX
60 Index
|
219
|
06/2019
|
CAD
|
42,091,800
|
271,619
|
—
|
U.S.
Long Bond
|
63
|
09/2019
|
USD
|
9,684,281
|
291,685
|
—
|
U.S.
Treasury 10-Year Note
|
1,229
|
09/2019
|
USD
|
155,775,750
|
2,455,542
|
—
|
U.S.
Treasury 5-Year Note
|
116
|
09/2019
|
USD
|
13,614,594
|
139,342
|
—
|
U.S.
Treasury Ultra 10-Year Note
|
662
|
09/2019
|
USD
|
90,394,031
|
1,886,344
|
—
|
Total
|
|
|
|
|
8,027,274
|
(24,381,639)
|
Short
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
TOPIX
Index
|
(419)
|
06/2019
|
JPY
|
(6,310,140,000)
|
4,048,675
|
—
|
Cleared
credit default swap contracts - sell protection
|
Reference
entity
|
Counterparty
|
Maturity
date
|
Receive
fixed
rate
(%)
|
Payment
frequency
|
Implied
credit
spread
(%)*
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Markit
CDX Emerging Markets Index, Series 31
|
Morgan
Stanley
|
06/20/2024
|
1.000
|
Quarterly
|
2.108
|
USD
|
245,105,000
|
(3,562,897)
|
—
|
—
|
—
|
(3,562,897)
|
Markit
CDX North America High Yield Index, Series 32
|
Morgan
Stanley
|
06/20/2024
|
5.000
|
Quarterly
|
3.941
|
USD
|
412,040,000
|
(1,409,889)
|
—
|
—
|
—
|
(1,409,889)
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
12
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
Cleared
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
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Markit
CDX North America Investment Grade Index, Series 32
|
Morgan
Stanley
|
06/20/2024
|
1.000
|
Quarterly
|
0.706
|
USD
|
121,637,000
|
84,973
|
—
|
—
|
84,973
|
—
|
Markit
CDX North America Investment Grade Index, Series 32
|
Morgan
Stanley
|
06/20/2024
|
1.000
|
Quarterly
|
0.706
|
USD
|
107,785,000
|
(25,947)
|
—
|
—
|
—
|
(25,947)
|
Total
|
|
|
|
|
|
|
|
(4,913,760)
|
—
|
—
|
84,973
|
(4,998,733)
|
*
|
Implied
credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk
and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into
the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
13
|
Portfolio of Investments
(continued)
May 31, 2019
Notes to Portfolio of Investments
(a)
|
As defined
in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended May 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Capital
gain
distributions —
affiliated
issuers ($)
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Commodity Strategy Fund, Institutional 3 Class
|
|
72,539,944
|
62,477,354
|
(75,114,959)
|
59,902,339
|
—
|
(20,318,108)
|
(55,538,989)
|
29,757,821
|
257,580,055
|
Columbia
Short-Term Cash Fund, 2.497%
|
|
1,364,858,194
|
3,114,556,383
|
(3,494,376,314)
|
985,038,263
|
—
|
(60,524)
|
(63,184)
|
27,084,800
|
984,939,760
|
Total
|
|
|
|
|
—
|
(20,378,632)
|
(55,602,173)
|
56,842,621
|
1,242,519,815
|
(b)
|
Principal
amounts are denominated in United States Dollars unless otherwise noted.
|
(c)
|
Principal
and interest may not be guaranteed by the government.
|
(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. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees.
At May 31, 2019, the total value of these securities amounted to $487,167,339, which represents 16.80% of total net assets.
|
(e)
|
Represents a
security purchased on a when-issued basis.
|
(f)
|
The rate
shown is the seven-day current annualized yield at May 31, 2019.
|
Currency Legend
AUD
|
Australian
Dollar
|
CAD
|
Canada
Dollar
|
CHF
|
Swiss Franc
|
DKK
|
Danish
Krone
|
EUR
|
Euro
|
GBP
|
British
Pound
|
JPY
|
Japanese
Yen
|
MXN
|
Mexican
Peso
|
NOK
|
Norwegian
Krone
|
NZD
|
New Zealand
Dollar
|
PLN
|
Polish
Zloty
|
SEK
|
Swedish
Krona
|
SGD
|
Singapore
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.
|
The accompanying Notes
to Financial Statements are an integral part of this statement.
14
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Portfolio of Investments
(continued)
May 31, 2019
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.
Certain investments that have been measured at fair value using
the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of
Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to
maintain a stable NAV.
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.
Under the direction of the Fund’s Board of Trustees (the
Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the 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 control policies and
procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing
methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third
party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or
approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those
described earlier.
For investments categorized as Level 3,
the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security
transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair
value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the
Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the
Fund’s investments at May 31, 2019:
|
Level
1
quoted prices
in active
markets for
identical
assets ($)
|
Level
2
other
significant
observable
inputs ($)
|
Level
3
significant
unobservable
inputs ($)
|
Investments
measured at
net asset
value ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
|
Alternative
Strategies Funds
|
257,580,055
|
—
|
—
|
—
|
257,580,055
|
Common
Stocks
|
|
|
|
|
|
Real
Estate
|
333,479,287
|
—
|
—
|
—
|
333,479,287
|
Foreign
Government Obligations
|
—
|
324,233,123
|
—
|
—
|
324,233,123
|
Inflation-Indexed
Bonds
|
—
|
573,748,244
|
—
|
—
|
573,748,244
|
Residential
Mortgage-Backed Securities - Agency
|
—
|
163,001,390
|
—
|
—
|
163,001,390
|
U.S.
Treasury Obligations
|
363,310,544
|
—
|
—
|
—
|
363,310,544
|
Money
Market Funds
|
—
|
—
|
—
|
984,939,760
|
984,939,760
|
Total
Investments in Securities
|
954,369,886
|
1,060,982,757
|
—
|
984,939,760
|
3,000,292,403
|
Investments
in Derivatives
|
|
|
|
|
|
Asset
|
|
|
|
|
|
Forward
Foreign Currency Exchange Contracts
|
—
|
2,529,485
|
—
|
—
|
2,529,485
|
Futures
Contracts
|
12,075,949
|
—
|
—
|
—
|
12,075,949
|
Swap
Contracts
|
—
|
84,973
|
—
|
—
|
84,973
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
15
|
Portfolio of Investments
(continued)
May 31, 2019
Fair value
measurements
(continued)
|
Level
1
quoted prices
in active
markets for
identical
assets ($)
|
Level
2
other
significant
observable
inputs ($)
|
Level
3
significant
unobservable
inputs ($)
|
Investments
measured at
net asset
value ($)
|
Total
($)
|
Liability
|
|
|
|
|
|
Forward
Foreign Currency Exchange Contracts
|
—
|
(6,611,460)
|
—
|
—
|
(6,611,460)
|
Futures
Contracts
|
(24,381,639)
|
—
|
—
|
—
|
(24,381,639)
|
Swap
Contracts
|
—
|
(4,998,733)
|
—
|
—
|
(4,998,733)
|
Total
|
942,064,196
|
1,051,987,022
|
—
|
984,939,760
|
2,978,990,978
|
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).
There were no transfers of financial
assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this
statement.
16
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Statement of Assets and Liabilities
May 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Unaffiliated
issuers (cost $1,707,854,424)
|
$1,757,772,588
|
Affiliated
issuers (cost $1,273,125,521)
|
1,242,519,815
|
Foreign
currency (cost $2,504,464)
|
2,489,310
|
Margin
deposits on:
|
|
Futures
contracts
|
76,611,589
|
Swap
contracts
|
80,854,716
|
Unrealized
appreciation on forward foreign currency exchange contracts
|
2,529,485
|
Receivable
for:
|
|
Investments
sold
|
71,448,054
|
Capital
shares sold
|
4,486,021
|
Dividends
|
2,300,518
|
Interest
|
5,911,226
|
Foreign
tax reclaims
|
217,188
|
Variation
margin for futures contracts
|
3,779,970
|
Prepaid
expenses
|
1,837
|
Trustees’
deferred compensation plan
|
61,756
|
Total
assets
|
3,250,984,073
|
Liabilities
|
|
Unrealized
depreciation on forward foreign currency exchange contracts
|
6,611,460
|
Payable
for:
|
|
Investments
purchased
|
156,746,888
|
Investments
purchased on a delayed delivery basis
|
161,830,406
|
Capital
shares purchased
|
5,616,553
|
Variation
margin for futures contracts
|
15,344,264
|
Variation
margin for swap contracts
|
4,429,884
|
Management
services fees
|
52,721
|
Distribution
and/or service fees
|
3,445
|
Transfer
agent fees
|
107,720
|
Compensation
of board members
|
841
|
Compensation
of chief compliance officer
|
197
|
Other
expenses
|
156,176
|
Trustees’
deferred compensation plan
|
61,756
|
Total
liabilities
|
350,962,311
|
Net
assets applicable to outstanding capital stock
|
$2,900,021,762
|
Represented
by
|
|
Paid
in capital
|
2,896,868,658
|
Total
distributable earnings (loss) (Note 2)
|
3,153,104
|
Total
- representing net assets applicable to outstanding capital stock
|
$2,900,021,762
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
17
|
Statement of Assets and Liabilities
(continued)
May 31, 2019
Class
A
|
|
Net
assets
|
$120,146,571
|
Shares
outstanding
|
11,505,675
|
Net
asset value per share
|
$10.44
|
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)
|
$11.08
|
Advisor
Class
|
|
Net
assets
|
$30,419,893
|
Shares
outstanding
|
2,882,936
|
Net
asset value per share
|
$10.55
|
Class
C
|
|
Net
assets
|
$94,647,816
|
Shares
outstanding
|
9,415,382
|
Net
asset value per share
|
$10.05
|
Institutional
Class
|
|
Net
assets
|
$2,618,923,592
|
Shares
outstanding
|
248,336,218
|
Net
asset value per share
|
$10.55
|
Institutional
2 Class
|
|
Net
assets
|
$22,396,589
|
Shares
outstanding
|
2,119,147
|
Net
asset value per share
|
$10.57
|
Institutional
3 Class
|
|
Net
assets
|
$13,063,299
|
Shares
outstanding
|
1,233,219
|
Net
asset value per share
|
$10.59
|
Class
R
|
|
Net
assets
|
$424,002
|
Shares
outstanding
|
41,069
|
Net
asset value per share
|
$10.32
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
18
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Statement of Operations
Year Ended May 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— unaffiliated issuers
|
$6,876,524
|
Dividends
— affiliated issuers
|
56,842,621
|
Interest
|
22,016,554
|
Total
income
|
85,735,699
|
Expenses:
|
|
Management
services fees
|
20,194,664
|
Distribution
and/or service fees
|
|
Class
A
|
311,831
|
Class
C
|
997,129
|
Class
R
|
1,672
|
Class
T
|
1,264
|
Transfer
agent fees
|
|
Class
A
|
59,830
|
Advisor
Class
|
11,494
|
Class
C
|
47,808
|
Institutional
Class
|
1,308,075
|
Institutional
2 Class
|
11,151
|
Institutional
3 Class
|
757
|
Class
R
|
160
|
Class
T
|
236
|
Compensation
of board members
|
56,133
|
Custodian
fees
|
158,009
|
Printing
and postage fees
|
117,906
|
Registration
fees
|
309,950
|
Audit
fees
|
53,294
|
Legal
fees
|
69,384
|
Compensation
of chief compliance officer
|
1,201
|
Other
|
76,410
|
Total
expenses
|
23,788,358
|
Expense
reduction
|
(40)
|
Total
net expenses
|
23,788,318
|
Net
investment income
|
61,947,381
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
(5,982,637)
|
Investments
— affiliated issuers
|
(20,378,632)
|
Foreign
currency translations
|
(1,513,766)
|
Forward
foreign currency exchange contracts
|
74,353,099
|
Futures
contracts
|
(49,282,723)
|
Swap
contracts
|
17,700,744
|
Net
realized gain
|
14,896,085
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— unaffiliated issuers
|
58,879,576
|
Investments
— affiliated issuers
|
(55,602,173)
|
Foreign
currency translations
|
524,542
|
Forward
foreign currency exchange contracts
|
(14,784,740)
|
Futures
contracts
|
13,279,351
|
Swap
contracts
|
(6,736,543)
|
Net
change in unrealized appreciation (depreciation)
|
(4,439,987)
|
Net
realized and unrealized gain
|
10,456,098
|
Net
increase in net assets resulting from operations
|
$72,403,479
|
The accompanying Notes to Financial Statements are an integral
part of this statement.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
19
|
Statement of Changes in Net Assets
|
Year
Ended
May 31, 2019
|
Year
Ended
May 31, 2018
|
Operations
|
|
|
Net
investment income
|
$61,947,381
|
$13,899,174
|
Net
realized gain
|
14,896,085
|
176,148,531
|
Net
change in unrealized appreciation (depreciation)
|
(4,439,987)
|
(12,972,452)
|
Net
increase in net assets resulting from operations
|
72,403,479
|
177,075,253
|
Distributions
to shareholders
|
|
|
Net
investment income and net realized gains
|
|
|
Class
A
|
(6,691,828)
|
|
Advisor
Class
|
(1,340,117)
|
|
Class
C
|
(4,694,734)
|
|
Institutional
Class
|
(149,867,086)
|
|
Institutional
2 Class
|
(1,017,275)
|
|
Institutional
3 Class
|
(713,106)
|
|
Class
R
|
(15,557)
|
|
Net
investment income
|
|
|
Advisor
Class
|
|
(8,151)
|
Institutional
Class
|
|
(1,109,555)
|
Institutional
2 Class
|
|
(6,066)
|
Institutional
3 Class
|
|
(3)
|
Net
realized gains
|
|
|
Class
A
|
|
(8,895,348)
|
Advisor
Class
|
|
(1,203,519)
|
Class
C
|
|
(7,552,721)
|
Institutional
Class
|
|
(163,838,026)
|
Institutional
2 Class
|
|
(1,130,495)
|
Institutional
3 Class
|
|
(191)
|
Class
K
|
|
(210)
|
Class
R
|
|
(39,437)
|
Class
T
|
|
(92,603)
|
Total
distributions to shareholders (Note 2)
|
(164,339,703)
|
(183,876,325)
|
Increase
(decrease) in net assets from capital stock activity
|
(70,059,217)
|
1,034,957,346
|
Total
increase (decrease) in net assets
|
(161,995,441)
|
1,028,156,274
|
Net
assets at beginning of year
|
3,062,017,203
|
2,033,860,929
|
Net
assets at end of year
|
$2,900,021,762
|
$3,062,017,203
|
Undistributed
net investment income
|
$30,251,781
|
$9,629,336
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
20
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Statement of Changes in Net Assets
(continued)
|
Year
Ended
|
Year
Ended
|
|
May
31, 2019
|
May
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
2,572,676
|
27,177,513
|
4,912,496
|
53,563,688
|
Distributions
reinvested
|
666,278
|
6,489,542
|
773,391
|
8,244,346
|
Redemptions
|
(4,033,977)
|
(42,402,978)
|
(2,687,685)
|
(29,194,559)
|
Net
increase (decrease)
|
(795,023)
|
(8,735,923)
|
2,998,202
|
32,613,475
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
1,851,485
|
19,838,442
|
964,721
|
10,638,403
|
Distributions
reinvested
|
136,244
|
1,339,278
|
112,696
|
1,211,477
|
Redemptions
|
(915,455)
|
(9,725,036)
|
(327,614)
|
(3,599,053)
|
Net
increase
|
1,072,274
|
11,452,684
|
749,803
|
8,250,827
|
Class
C
|
|
|
|
|
Subscriptions
|
1,490,522
|
15,126,445
|
3,198,244
|
33,801,436
|
Distributions
reinvested
|
490,456
|
4,615,193
|
721,596
|
7,439,655
|
Redemptions
|
(3,062,626)
|
(31,133,253)
|
(2,449,521)
|
(25,859,757)
|
Net
increase (decrease)
|
(1,081,648)
|
(11,391,615)
|
1,470,319
|
15,381,334
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
63,151,187
|
675,630,489
|
110,535,679
|
1,216,036,759
|
Distributions
reinvested
|
14,952,537
|
146,983,443
|
15,023,303
|
161,500,512
|
Redemptions
|
(84,860,461)
|
(903,078,843)
|
(36,469,971)
|
(400,677,174)
|
Net
increase (decrease)
|
(6,756,737)
|
(80,464,911)
|
89,089,011
|
976,860,097
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
1,430,396
|
15,063,666
|
1,178,095
|
12,995,199
|
Distributions
reinvested
|
103,260
|
1,017,111
|
105,511
|
1,136,351
|
Redemptions
|
(881,340)
|
(9,326,179)
|
(473,540)
|
(5,164,584)
|
Net
increase
|
652,316
|
6,754,598
|
810,066
|
8,966,966
|
Institutional
3 Class
|
|
|
|
|
Subscriptions
|
1,172,838
|
12,575,719
|
—
|
—
|
Distributions
reinvested
|
72,235
|
712,957
|
—
|
—
|
Redemptions
|
(12,100)
|
(126,086)
|
—
|
—
|
Net
increase
|
1,232,973
|
13,162,590
|
—
|
—
|
Class
K
|
|
|
|
|
Redemptions
|
—
|
—
|
(270)
|
(2,915)
|
Net
decrease
|
—
|
—
|
(270)
|
(2,915)
|
Class
R
|
|
|
|
|
Subscriptions
|
16,851
|
178,342
|
21,129
|
226,116
|
Distributions
reinvested
|
1,598
|
15,408
|
3,718
|
39,227
|
Redemptions
|
(7,808)
|
(83,017)
|
(543,330)
|
(6,029,844)
|
Net
increase (decrease)
|
10,641
|
110,733
|
(518,483)
|
(5,764,501)
|
Class
T
|
|
|
|
|
Subscriptions
|
—
|
—
|
32,740
|
355,304
|
Distributions
reinvested
|
—
|
—
|
8,659
|
92,394
|
Redemptions
|
(90,101)
|
(947,373)
|
(164,447)
|
(1,795,635)
|
Net
decrease
|
(90,101)
|
(947,373)
|
(123,048)
|
(1,347,937)
|
Total
net increase (decrease)
|
(5,755,305)
|
(70,059,217)
|
94,475,600
|
1,034,957,346
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
21
|
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)
|
Increase
from
payment
by affiliate
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 5/31/2019
|
$10.81
|
0.20
|
0.01
|
—
|
0.21
|
(0.35)
|
(0.23)
|
(0.58)
|
Year
Ended 5/31/2018
|
$10.83
|
0.04
|
0.72
|
—
|
0.76
|
—
|
(0.78)
|
(0.78)
|
Year
Ended 5/31/2017
|
$10.01
|
(0.01)
|
1.03
|
0.00
(d)
|
1.02
|
(0.10)
|
(0.10)
|
(0.20)
|
Year
Ended 5/31/2016
|
$10.17
|
(0.03)
|
(0.03)
(f)
|
—
|
(0.06)
|
—
|
(0.10)
|
(0.10)
|
Year
Ended 5/31/2015
|
$10.24
|
(0.04)
|
0.14
|
0.01
|
0.11
|
(0.00)
(d)
|
(0.18)
|
(0.18)
|
Advisor
Class
|
Year
Ended 5/31/2019
|
$10.92
|
0.23
|
0.01
|
—
|
0.24
|
(0.38)
|
(0.23)
|
(0.61)
|
Year
Ended 5/31/2018
|
$10.92
|
0.07
|
0.71
|
—
|
0.78
|
(0.00)
(d)
|
(0.78)
|
(0.78)
|
Year
Ended 5/31/2017
|
$10.08
|
0.02
|
1.05
|
0.00
(d)
|
1.07
|
(0.13)
|
(0.10)
|
(0.23)
|
Year
Ended 5/31/2016
|
$10.21
|
(0.01)
|
(0.02)
(f)
|
—
|
(0.03)
|
—
|
(0.10)
|
(0.10)
|
Year
Ended 5/31/2015
(h)
|
$10.13
|
(0.02)
|
0.31
|
—
|
0.29
|
(0.03)
|
(0.18)
|
(0.21)
|
Class
C
|
Year
Ended 5/31/2019
|
$10.42
|
0.11
|
0.02
|
—
|
0.13
|
(0.27)
|
(0.23)
|
(0.50)
|
Year
Ended 5/31/2018
|
$10.55
|
(0.04)
|
0.69
|
—
|
0.65
|
—
|
(0.78)
|
(0.78)
|
Year
Ended 5/31/2017
|
$9.75
|
(0.08)
|
1.01
|
0.00
(d)
|
0.93
|
(0.03)
|
(0.10)
|
(0.13)
|
Year
Ended 5/31/2016
|
$9.98
|
(0.10)
|
(0.03)
(f)
|
—
|
(0.13)
|
—
|
(0.10)
|
(0.10)
|
Year
Ended 5/31/2015
|
$10.11
|
(0.11)
|
0.15
|
0.01
|
0.05
|
—
|
(0.18)
|
(0.18)
|
Institutional
Class
|
Year
Ended 5/31/2019
|
$10.91
|
0.22
|
0.03
|
—
|
0.25
|
(0.38)
|
(0.23)
|
(0.61)
|
Year
Ended 5/31/2018
|
$10.91
|
0.06
|
0.72
|
—
|
0.78
|
(0.00)
(d)
|
(0.78)
|
(0.78)
|
Year
Ended 5/31/2017
|
$10.08
|
0.05
|
1.01
|
0.00
(d)
|
1.06
|
(0.13)
|
(0.10)
|
(0.23)
|
Year
Ended 5/31/2016
|
$10.21
|
(0.01)
|
(0.02)
(f)
|
—
|
(0.03)
|
—
|
(0.10)
|
(0.10)
|
Year
Ended 5/31/2015
|
$10.28
|
(0.02)
|
0.15
|
0.01
|
0.14
|
(0.03)
|
(0.18)
|
(0.21)
|
Institutional
2 Class
|
Year
Ended 5/31/2019
|
$10.93
|
0.22
|
0.03
|
—
|
0.25
|
(0.38)
|
(0.23)
|
(0.61)
|
Year
Ended 5/31/2018
|
$10.93
|
0.06
|
0.72
|
—
|
0.78
|
(0.00)
(d)
|
(0.78)
|
(0.78)
|
Year
Ended 5/31/2017
|
$10.10
|
0.03
|
1.03
|
0.00
(d)
|
1.06
|
(0.13)
|
(0.10)
|
(0.23)
|
Year
Ended 5/31/2016
|
$10.22
|
0.00
(d)
|
(0.02)
(f)
|
—
|
(0.02)
|
—
|
(0.10)
|
(0.10)
|
Year
Ended 5/31/2015
|
$10.29
|
(0.01)
|
0.15
|
0.01
|
0.15
|
(0.04)
|
(0.18)
|
(0.22)
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
22
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
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
|
Year
Ended 5/31/2019
|
$10.44
|
2.33%
|
1.00%
|
1.00%
(c)
|
1.87%
|
203%
|
$120,147
|
Year
Ended 5/31/2018
|
$10.81
|
7.07%
|
0.99%
|
0.99%
(c)
|
0.33%
|
210%
|
$132,920
|
Year
Ended 5/31/2017
|
$10.83
|
10.35%
(e)
|
0.99%
|
0.99%
(c)
|
(0.07%)
|
396%
|
$100,790
|
Year
Ended 5/31/2016
|
$10.01
|
(0.55%)
|
1.15%
|
1.07%
(c)
|
(0.32%)
|
254%
|
$140,291
|
Year
Ended 5/31/2015
|
$10.17
|
1.13%
(g)
|
1.23%
|
1.06%
|
(0.35%)
|
256%
|
$169,978
|
Advisor
Class
|
Year
Ended 5/31/2019
|
$10.55
|
2.58%
|
0.75%
|
0.75%
(c)
|
2.14%
|
203%
|
$30,420
|
Year
Ended 5/31/2018
|
$10.92
|
7.26%
|
0.74%
|
0.74%
(c)
|
0.59%
|
210%
|
$19,764
|
Year
Ended 5/31/2017
|
$10.92
|
10.75%
(e)
|
0.74%
|
0.74%
(c)
|
0.20%
|
396%
|
$11,580
|
Year
Ended 5/31/2016
|
$10.08
|
(0.25%)
|
0.90%
|
0.82%
(c)
|
(0.08%)
|
254%
|
$10,908
|
Year
Ended 5/31/2015
(h)
|
$10.21
|
2.87%
|
0.99%
(i)
|
0.82%
(i)
|
(0.30%)
(i)
|
256%
|
$11,110
|
Class
C
|
Year
Ended 5/31/2019
|
$10.05
|
1.56%
|
1.75%
|
1.75%
(c)
|
1.10%
|
203%
|
$94,648
|
Year
Ended 5/31/2018
|
$10.42
|
6.19%
|
1.74%
|
1.74%
(c)
|
(0.43%)
|
210%
|
$109,335
|
Year
Ended 5/31/2017
|
$10.55
|
9.59%
(e)
|
1.74%
|
1.74%
(c)
|
(0.77%)
|
396%
|
$95,199
|
Year
Ended 5/31/2016
|
$9.75
|
(1.26%)
|
1.90%
|
1.82%
(c)
|
(1.09%)
|
254%
|
$61,386
|
Year
Ended 5/31/2015
|
$9.98
|
0.48%
(g)
|
1.98%
|
1.81%
|
(1.11%)
|
256%
|
$52,406
|
Institutional
Class
|
Year
Ended 5/31/2019
|
$10.55
|
2.67%
|
0.75%
|
0.75%
(c)
|
2.11%
|
203%
|
$2,618,924
|
Year
Ended 5/31/2018
|
$10.91
|
7.26%
|
0.74%
|
0.74%
(c)
|
0.59%
|
210%
|
$2,782,662
|
Year
Ended 5/31/2017
|
$10.91
|
10.64%
(e)
|
0.73%
|
0.73%
(c)
|
0.46%
|
396%
|
$1,810,897
|
Year
Ended 5/31/2016
|
$10.08
|
(0.25%)
|
0.90%
|
0.82%
(c)
|
(0.06%)
|
254%
|
$25,871
|
Year
Ended 5/31/2015
|
$10.21
|
1.37%
(g)
|
0.99%
|
0.78%
|
(0.17%)
|
256%
|
$21,494
|
Institutional
2 Class
|
Year
Ended 5/31/2019
|
$10.57
|
2.65%
|
0.76%
|
0.76%
|
2.10%
|
203%
|
$22,397
|
Year
Ended 5/31/2018
|
$10.93
|
7.24%
|
0.75%
|
0.75%
|
0.57%
|
210%
|
$16,033
|
Year
Ended 5/31/2017
|
$10.93
|
10.69%
(e)
|
0.73%
|
0.73%
|
0.24%
|
396%
|
$7,177
|
Year
Ended 5/31/2016
|
$10.10
|
(0.15%)
|
0.79%
|
0.73%
|
0.03%
|
254%
|
$1,628
|
Year
Ended 5/31/2015
|
$10.22
|
1.48%
(g)
|
0.86%
|
0.69%
|
(0.14%)
|
256%
|
$1,647
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
23
|
Financial Highlights
(continued)
|
Net
asset value,
beginning of
period
|
Net
investment
income
(loss)
|
Net
realized
and
unrealized
gain (loss)
|
Increase
from
payment
by affiliate
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Distributions
from net
realized
gains
|
Total
distributions to
shareholders
|
Institutional
3 Class
|
Year
Ended 5/31/2019
|
$10.95
|
0.32
|
(0.07)
(f)
|
—
|
0.25
|
(0.38)
|
(0.23)
|
(0.61)
|
Year
Ended 5/31/2018
|
$10.95
|
0.07
|
0.72
|
—
|
0.79
|
(0.01)
|
(0.78)
|
(0.79)
|
Year
Ended 5/31/2017
|
$10.11
|
0.03
|
1.05
|
0.00
(d)
|
1.08
|
(0.14)
|
(0.10)
|
(0.24)
|
Year
Ended 5/31/2016
|
$10.23
|
0.00
(d)
|
(0.02)
(f)
|
—
|
(0.02)
|
—
|
(0.10)
|
(0.10)
|
Year
Ended 5/31/2015
(j)
|
$10.15
|
(0.02)
|
0.32
|
—
|
0.30
|
(0.04)
|
(0.18)
|
(0.22)
|
Class
R
|
Year
Ended 5/31/2019
|
$10.69
|
0.16
|
0.02
|
—
|
0.18
|
(0.32)
|
(0.23)
|
(0.55)
|
Year
Ended 5/31/2018
|
$10.75
|
(0.01)
|
0.73
|
—
|
0.72
|
—
|
(0.78)
|
(0.78)
|
Year
Ended 5/31/2017
|
$9.93
|
(0.03)
|
1.03
|
0.00
(d)
|
1.00
|
(0.08)
|
(0.10)
|
(0.18)
|
Year
Ended 5/31/2016
|
$10.11
|
(0.06)
|
(0.02)
(f)
|
—
|
(0.08)
|
—
|
(0.10)
|
(0.10)
|
Year
Ended 5/31/2015
|
$10.20
|
(0.08)
|
0.16
|
0.01
|
0.09
|
—
|
(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)
|
The
benefits derived from expense reductions had an impact of less than 0.01%.
|
(d)
|
Rounds to
zero.
|
(e)
|
The Fund
received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.02%.
|
(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)
|
The Fund
received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.07%.
|
(h)
|
Advisor
Class shares commenced operations on October 1, 2014. Per share data and total return reflect activity from that date.
|
(i)
|
Annualized.
|
(j)
|
Institutional
3 Class shares commenced operations on October 1, 2014. Per share data and total return reflect activity from that date.
|
The accompanying Notes to Financial Statements are an
integral part of this statement.
24
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
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
|
Year
Ended 5/31/2019
|
$10.59
|
2.67%
|
0.71%
|
0.71%
|
3.02%
|
203%
|
$13,063
|
Year
Ended 5/31/2018
|
$10.95
|
7.29%
|
0.69%
|
0.69%
|
0.65%
|
210%
|
$3
|
Year
Ended 5/31/2017
|
$10.95
|
10.85%
(e)
|
0.67%
|
0.67%
|
0.29%
|
396%
|
$3
|
Year
Ended 5/31/2016
|
$10.11
|
(0.15%)
|
0.76%
|
0.69%
|
0.02%
|
254%
|
$2
|
Year
Ended 5/31/2015
(j)
|
$10.23
|
2.98%
|
0.85%
(i)
|
0.65%
(i)
|
(0.28%)
(i)
|
256%
|
$3
|
Class
R
|
Year
Ended 5/31/2019
|
$10.32
|
2.07%
|
1.25%
|
1.25%
(c)
|
1.54%
|
203%
|
$424
|
Year
Ended 5/31/2018
|
$10.69
|
6.75%
|
1.25%
|
1.25%
(c)
|
(0.08%)
|
210%
|
$325
|
Year
Ended 5/31/2017
|
$10.75
|
10.15%
(e)
|
1.22%
|
1.22%
(c)
|
(0.25%)
|
396%
|
$5,900
|
Year
Ended 5/31/2016
|
$9.93
|
(0.75%)
|
1.38%
|
1.34%
(c)
|
(0.57%)
|
254%
|
$861
|
Year
Ended 5/31/2015
|
$10.11
|
0.87%
(g)
|
1.48%
|
1.32%
|
(0.83%)
|
256%
|
$146
|
The accompanying Notes to Financial Statements are an integral part of this
statement.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
25
|
Notes to Financial Statements
May 31, 2019
Note 1. Organization
Columbia Adaptive Risk Allocation 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.
The Fund invests significantly in shares of
affiliated funds managed by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), or its affiliates as well as third-party advised (unaffiliated) funds,
including exchange-traded funds (collectively, Underlying Funds).
For information on the Underlying Funds, please refer to the
Fund’s current prospectus and the prospectuses of the Underlying Funds, which are available, free of charge, from the Securities and Exchange Commission website at www.sec.gov.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). 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. Different share classes pay different
distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own expense and sales charge structure. The Fund
offers each of the share classes identified below.
Class
A shares are subject to a maximum front-end sales charge of 5.75% based on the initial investment amount. Class A shares purchased without an initial sales charge in accounts aggregating $1 million to $50 million at the time of purchase are subject
to a contingent deferred sales charge (CDSC) if the shares are sold within 18 months after purchase, charged as follows: 1.00% CDSC if redeemed within 12 months after purchase, and 0.50% CDSC if redeemed more than 12, but less than 18, months after
purchase.
Advisor Class shares are not subject to sales
charges and are generally available only to omnibus retirement plans and certain investors as described in the Fund’s prospectus.
Class C shares are subject to a 1.00% CDSC on shares redeemed
within 12 months after purchase. Effective July 1, 2018, Class C shares automatically convert to Class A shares of the same Fund in the month of or the month following the 10-year anniversary of the Class C shares purchase date.
Institutional Class shares are not subject to sales charges
and are generally available only to eligible investors, which are subject to different investment minimums as described in the Fund’s prospectus.
Institutional 2 Class shares are not subject to sales charges
and are generally available only to investors purchasing through authorized investment professionals and omnibus retirement plans as described in the Fund’s prospectus.
Institutional 3 Class shares are not subject to sales charges
and are available to institutional and certain other investors as described in the Fund’s prospectus.
Class R shares are not subject to sales charges and are
generally available only to certain retirement plans and other investors as described in the Fund’s prospectus.
Class T shares were subject to a maximum front-end sales
charge of 2.50% per transaction and were required to be purchased through financial intermediaries that, by written agreement with Columbia Management Investment Distributors, Inc., were specifically authorized to sell Class T shares. Effective at
the close of business on December 14, 2018, Class T shares merged, in a tax-free transaction, into Class A shares of the Fund and are no longer offered for sale.
26
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
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
All equity securities and exchange-traded funds are valued at
the close of business of the New York Stock Exchange. Equity securities and exchange-traded funds are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock
Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Debt securities generally are valued by pricing services
approved by the Board of Trustees based upon 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 cost value, unless this method results in a valuation that management believes
does not approximate market 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.
Investments in the Underlying Funds, with the exception of
exchange-traded funds, are valued at the net asset value of the applicable class of the Underlying Fund determined as of the close of the New York Stock Exchange on the valuation date.
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 transactions, 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 and under the general supervision of 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.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
27
|
Notes to Financial Statements
(continued)
May 31, 2019
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, 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, additional counterparty credit risk is failure of the clearinghouse or CCP. 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 brokers are required to segregate customer margin from their own assets, in the event that a
broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across
all the 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 contract
counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically 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 instrument’s payables and/or receivables
28
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
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 are contract specific for
over-the-counter derivatives. 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. Any interest expense paid by the Fund is shown on the Statement of Operations. 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, to shift foreign currency exposure back to U.S. dollars, to shift U.S. dollar exposure to achieve a representative weighted mix of major currencies in its benchmark and to recover an underweight country exposure in its portfolio or to
generate total return through long and short positions versus the U.S. dollar. 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, to manage exposure to
movements in interest rates, to manage exposure to the securities market and 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
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
29
|
Notes to Financial Statements
(continued)
May 31, 2019
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 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 may be entered into as a bilateral contract 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. Unlike a bilateral swap contract, 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.
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 FCM or CCP 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 agreements 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 generally defined as
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
30
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
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
payments or receipts 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 swap contracts
The Fund entered into interest rate swap transactions which
may include 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 synthetically add or
subtract principal exposure to a market. These instruments may be used for other purposes in future periods. An interest rate swap 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.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
31
|
Notes to Financial Statements
(continued)
May 31, 2019
The
following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at May 31, 2019:
|
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
|
84,973*
|
Equity
risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on futures contracts
|
4,320,294*
|
Foreign
exchange risk
|
Unrealized
appreciation on forward foreign currency exchange contracts
|
2,529,485
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on futures contracts
|
7,755,655*
|
Total
|
|
14,690,407
|
|
Liability
derivatives
|
|
Risk
exposure
category
|
Statement
of assets and liabilities
location
|
Fair
value ($)
|
Credit
risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
4,998,733*
|
Equity
risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on futures contracts
|
24,381,639*
|
Foreign
exchange risk
|
Unrealized
depreciation on forward foreign currency exchange contracts
|
6,611,460
|
Total
|
|
35,991,832
|
*
|
Includes
cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities.
|
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended May 31, 2019:
Amount
of realized gain (loss) on derivatives recognized in income
|
Risk
exposure category
|
|
|
Forward
foreign
currency
exchange
contracts
($)
|
Futures
contracts
($)
|
Swap
contracts
($)
|
Total
($)
|
Credit
risk
|
|
|
—
|
—
|
18,431,402
|
18,431,402
|
Equity
risk
|
|
|
—
|
(65,685,561)
|
—
|
(65,685,561)
|
Foreign
exchange risk
|
|
|
74,353,099
|
—
|
—
|
74,353,099
|
Interest
rate risk
|
|
|
—
|
16,402,838
|
(730,658)
|
15,672,180
|
Total
|
|
|
74,353,099
|
(49,282,723)
|
17,700,744
|
42,771,120
|
|
Change
in unrealized appreciation (depreciation) on derivatives recognized in income
|
Risk
exposure category
|
|
|
Forward
foreign
currency
exchange
contracts
($)
|
Futures
contracts
($)
|
Swap
contracts
($)
|
Total
($)
|
Credit
risk
|
|
|
—
|
—
|
(6,736,543)
|
(6,736,543)
|
Equity
risk
|
|
|
—
|
11,844,787
|
—
|
11,844,787
|
Foreign
exchange risk
|
|
|
(14,784,740)
|
—
|
—
|
(14,784,740)
|
Interest
rate risk
|
|
|
—
|
1,434,564
|
—
|
1,434,564
|
Total
|
|
|
(14,784,740)
|
13,279,351
|
(6,736,543)
|
(8,241,932)
|
32
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
The
following table is a summary of the average outstanding volume by derivative instrument for the year ended May 31, 2019:
Derivative
instrument
|
Average
notional
amounts ($)*
|
Futures
contracts — long
|
1,493,712,925
|
Futures
contracts — short
|
98,009,536
|
Credit
default swap contracts — sell protection
|
613,119,495
|
Derivative
instrument
|
Average
unrealized
appreciation ($)
|
Average
unrealized
depreciation ($)
|
Forward
foreign currency exchange contracts
|
7,523,452*
|
(7,868,314)*
|
Interest
rate swap contracts
|
4,092**
|
(287,011)**
|
*
|
Based on
the ending quarterly outstanding amounts for the year ended May 31, 2019.
|
**
|
Based on
the ending daily outstanding amounts for the year ended May 31, 2019.
|
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.
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.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
33
|
Notes to Financial Statements
(continued)
May 31, 2019
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 May 31, 2019:
|
HSBC
($)
|
Morgan
Stanley ($)
(a)
|
Morgan
Stanley ($)
(a)
|
Total
($)
|
Assets
|
|
|
|
|
Forward
foreign currency exchange contracts
|
1,971,328
|
558,157
|
-
|
2,529,485
|
Liabilities
|
|
|
|
|
Centrally
cleared credit default swap contracts
(b)
|
-
|
-
|
4,429,884
|
4,429,884
|
Forward
foreign currency exchange contracts
|
5,120,915
|
1,490,545
|
-
|
6,611,460
|
Total
liabilities
|
5,120,915
|
1,490,545
|
4,429,884
|
11,041,344
|
Total
financial and derivative net assets
|
(3,149,587)
|
(932,388)
|
(4,429,884)
|
(8,511,859)
|
Total
collateral received (pledged)
(c)
|
-
|
-
|
(4,429,884)
|
(4,429,884)
|
Net
amount
(d)
|
(3,149,587)
|
(932,388)
|
-
|
(4,081,975)
|
(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 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.
|
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. A defaulted debt security is removed from non-accrual status when the issuer
resumes interest payments or when collectibility of interest is reasonably assured.
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 on 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 the Fund’s
management. Management’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.
Income and capital gain distributions from the Underlying
Funds, if any, are 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. Expenses directly attributable to a
specific class of shares are charged to that share class.
34
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
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.
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
pronouncements
Accounting Standards Update 2017-08
Premium Amortization on Purchased Callable Debt Securities
In March 2017, the Financial Accounting Standards Board issued
Accounting Standards Update (ASU) No. 2017-08 Premium Amortization on Purchased Callable Debt Securities. ASU No. 2017-08 updates the accounting standards to shorten the amortization period for certain purchased callable debt securities, held at a
premium, to be amortized to the earliest call date. The update applies to securities with explicit, noncontingent call features that are callable at fixed prices and on preset dates. The standard is effective for annual periods beginning after
December 15, 2018 and interim periods within those fiscal years. Management does not expect the implementation of this guidance to have a material impact on the financial statement amounts and footnote disclosures.
Accounting Standards Update 2018-13 Disclosure Framework -
Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board
issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. ASU No. 2018-13, in addition to other modifications and additions, removes the requirement to disclose the
amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and the policy for the timing of transfers between levels. The standard is effective for annual periods beginning after December 15, 2019 and interim periods
within those fiscal years. At this time, management is evaluating the implication of this guidance and the impact it will have on the financial statement disclosures, if any.
Disclosure Update and Simplification
In September 2018, the Securities and Exchange Commission
(SEC) released Final Rule 33-10532, Disclosure Update and Simplification, which amends certain financial statement disclosure requirements that the SEC determined to be redundant, outdated, or superseded in light of other SEC disclosure
requirements, GAAP, or changes in the information environment. As a result of the amendments, management implemented disclosure changes which included removing the components of
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
35
|
Notes to Financial Statements
(continued)
May 31, 2019
distributable
earnings presented on the Statement of Assets and Liabilities and combining income and gain distributions paid to shareholders as presented on the Statement of Changes in Net Assets. Any values presented to meet prior year requirements were left
unchanged. The amendments had no effect on the Fund’s net assets or results of operation.
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). 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 a blend of (i) a fee that declines from 0.06% to 0.03%, depending on asset levels, on assets invested in affiliated mutual funds, exchange-traded funds and closed-end funds that pay an investment advisory fee to the
Investment Manager, (ii) a fee that declines from 0.16% to 0.13%, depending on asset levels, on assets invested in exchange-traded funds and mutual funds that are not managed by the Investment Manager or its affiliates and (iii) a fee that declines
from 0.76% to 0.63%, depending on asset levels, on assets invested in securities, instruments and other assets not described above, including affiliated mutual funds, exchange-traded funds and closed-end funds advised by the Investment Manager that
do not pay an investment advisory fee, third party closed-end funds, derivatives and individual securities. The effective management services fee rate for the year ended May 31, 2019 was 0.67% of the Fund’s average daily net assets.
In addition to the fees and expenses which the Fund bears
directly, the Fund indirectly bears a pro rata share of the fees and expenses of the Underlying Funds (also referred to as "acquired funds") in which the Fund invests. Because the Underlying Funds have varied expense and fee levels and the Fund may
own different proportions of Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Fund will vary.
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. These members of the Board of Trustees may participate in a Deferred Compensation Plan (the
Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer
to 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
For the year ended May 31, 2019, the Fund engaged 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. Those purchase and sale transactions complied with provisions of
Rule 17a-7 under the 1940 Act and were $0 and $8,174,269, respectively. The sale transactions resulted in a net realized gain of $121,625.
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 DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the
exception of out-of-pocket fees).
36
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Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
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Notes to Financial Statements
(continued)
May 31, 2019
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 year ended May 31, 2019, the Fund’s effective
transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
|
Effective
rate (%)
|
Class
A
|
0.05
|
Advisor
Class
|
0.05
|
Class
C
|
0.05
|
Institutional
Class
|
0.05
|
Institutional
2 Class
|
0.06
|
Institutional
3 Class
|
0.01
|
Class
R
|
0.05
|
Class
T
|
0.03
(a)
|
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 year ended May 31, 2019, these minimum account balance fees reduced total expenses of the Fund by $40.
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, Class C and Class T 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%, 0.50% and 0.25% of the average daily net assets attributable to Class A, Class C, Class R and Class T shares of the Fund, respectively. As a result of all Class T shares of the Fund being redeemed or converted to Class A
shares, December 14, 2018 was the last day the Fund paid a distribution and shareholder services fee for Class T shares.
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 liaison 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.
Although the Fund may have paid a distribution fee up to 0.25%
of the Fund’s average daily net assets attributable to Class T shares and a service fee of up to 0.25% of the Fund’s average daily net assets attributable to Class T shares, the aggregate fee shall not exceed 0.25% of the Fund’s
average daily net assets attributable to Class T shares.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
37
|
Notes to Financial Statements
(continued)
May 31, 2019
Sales
charges (unaudited)
Sales charges, including front-end
charges and CDSCs, received by the Distributor for distributing Fund shares for the year ended May 31, 2019, if any, are listed below:
|
Amount
($)
|
Class
A
|
401,327
|
Class
C
|
15,296
|
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, 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 following annual rate(s) as a percentage of the class’ average daily net assets:
|
October
1, 2018
through
September 30, 2019
|
Prior
to
October 1, 2018
|
Class
A
|
1.25%
|
1.25%
|
Advisor
Class
|
1.00
|
1.00
|
Class
C
|
2.00
|
2.00
|
Institutional
Class
|
1.00
|
1.00
|
Institutional
2 Class
|
1.01
|
1.00
|
Institutional
3 Class
|
0.97
|
0.95
|
Class
R
|
1.50
|
1.50
|
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),
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, 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 May 31, 2019, these differences were primarily due to
differing treatment for deferral/reversal of wash sale losses, re-characterization of distributions for investments, derivative investments, tax straddles, capital loss carryforwards, trustees’ deferred compensation, foreign currency
transactions, principal and/or interest of fixed income securities and distribution reclassifications. To the extent these differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary
differences do not require reclassifications.
The
following reclassifications were made:
Undistributed
net
investment
income ($)
|
Accumulated
net realized
(loss) ($)
|
Paid
in
capital ($)
|
59,219,021
|
(59,219,021)
|
—
|
38
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
Net
investment income (loss) and net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions paid during the years
indicated was as follows:
Year
Ended May 31, 2019
|
Year
Ended May 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
138,133,761
|
26,205,942
|
164,339,703
|
84,659,245
|
99,217,080
|
183,876,325
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2019, the components of distributable earnings on a
tax basis were as follows:
Undistributed
ordinary income ($)
|
Undistributed
long-term
capital gains ($)
|
Capital
loss
carryforwards ($)
|
Net
unrealized
(depreciation) ($)
|
43,615,055
|
—
|
(36,701,751)
|
(3,548,715)
|
At May 31, 2019, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
|
Gross
unrealized
appreciation ($)
|
Gross
unrealized
(depreciation) ($)
|
Net
unrealized
(depreciation) ($)
|
2,982,539,693
|
45,625,001
|
(49,173,716)
|
(3,548,715)
|
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at May
31, 2019, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior
to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused. In addition, for the year ended May 31, 2019, capital loss
carryforwards utilized and expired unused, if any, were as follows:
No
expiration
short-term ($)
|
No
expiration
long-term ($)
|
Total
($)
|
Utilized
($)
|
Expired
($)
|
8,633,560
|
28,068,191
|
36,701,751
|
—
|
—
|
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 $3,917,503,545 and $3,684,096,966, respectively, for the year ended May 31, 2019, of which $2,477,157,529 and $1,914,999,292, 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
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
39
|
Notes to Financial Statements
(continued)
May 31, 2019
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 year ended May 31, 2019.
Note
8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency
purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion.
Interest is 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 one-month LIBOR rate 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 December unless extended or renewed.
The Fund had no borrowings during the year ended May 31,
2019.
Note 9. Significant risks
Commodity-related investment risk
The value of commodities investments will generally be
affected by overall market movements and factors specific to a particular industry or commodity, which may include demand for the commodity, weather, embargoes, tariffs, and economic health, political, international, regulatory and other
developments. Exposure to commodities and commodities markets may subject the value of the Fund’s investments to greater volatility than other types of investments. Commodities investments may also subject the Fund to counterparty risk and
liquidity risk. The Fund may make commodity-related investments through one or more wholly-owned subsidiaries organized outside the U.S. that are generally not subject to U.S. laws (including securities laws) and their protections.
Credit risk
Credit risk is the risk that the value of debt securities in
the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt
securities held by the Fund may present increased credit risk as compared to higher-rated debt securities.
40
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Notes to Financial Statements
(continued)
May 31, 2019
Derivatives risk
Losses involving derivative instruments may be substantial,
because a relatively small price movement in the underlying security(ies), commodity, currency or 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 and liquidity risk.
Foreign securities and emerging market countries risk
Investing in foreign securities may include certain risks and
considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition,
certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may accentuate these risks. These countries are also more likely to experience high levels of inflation, deflation or currency devaluation which could
hurt their economies and securities markets. 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 various conditions, events or other factors
impacting those countries and may, therefore, have a greater risk than that of a fund which is more geographically diversified.
Interest rate risk
Interest rate risk is the risk of losses attributable to
changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can
result in increases in 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.
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 make any change in the Fund’s net asset value even greater and thus result in increased volatility of returns. 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 also exaggerates the Fund’s 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.
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. The Fund may, therefore, have a greater risk of loss from a few issuers than a similar fund that invests more broadly.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
41
|
Notes to Financial Statements
(continued)
May 31, 2019
Shareholder concentration risk
At May 31, 2019, affiliated shareholders of record owned 90.6%
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 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 have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their
business activities. 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.
42
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
Report of Independent Registered Public Accounting Firm
To the
Board of Trustees of Columbia Funds Series Trust I and Shareholders of Columbia Adaptive Risk Allocation Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of Columbia Adaptive Risk Allocation Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as of May 31, 2019, the related statement of operations
for the year ended May 31, 2019, the statement of changes in net assets for each of the two years in the period ended May 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively
referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2019, the results of its operations for the year then ended,
the changes in its net assets for each of the two years in the period ended May 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of
America.
Basis for Opinion
These financial statements are the responsibility of the
Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB)
and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in
accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks
of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the
financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation
of securities owned as of May 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 22, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
43
|
The
Board oversees the Fund’s operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the Fund’s Trustees as
of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth beneath Length of Service in the table below is the year
in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board policy, members serve terms of indefinite duration.
Independent trustees
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Fund Complex overseen
|
Other
directorships held by Trustee during the past five years
|
Janet
Langford Carrig
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1957
|
Trustee
1996
|
Senior
Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018
|
69
|
None
|
Douglas
A. Hacker
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1955
|
Trustee
and Chairman of the Board
1996
|
Independent
business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice
President and Chief Financial Officer of United Airlines from July 1999 to September 2001
|
69
|
Spartan
Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel
information technology)
|
Nancy
T. Lukitsh
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1956
|
Trustee
2011
|
Senior
Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington
Trust Company, NA and other Wellington affiliates from 1997 to 2010
|
69
|
None
|
David
M. Moffett
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1952
|
Trustee
2011
|
Retired.
Consultant to Bridgewater and Associates
|
69
|
Director,
CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay
Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016
|
44
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS
(continued)
Independent trustees
(continued)
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Fund Complex overseen
|
Other
directorships held by Trustee during the past five years
|
John
J. Neuhauser
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1943
|
Trustee
1984
|
President,
Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to
October 2005; University Professor, Boston College from November 2005 to August 2007
|
69
|
Liberty
All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds)
|
Patrick
J. Simpson
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1944
|
Trustee
2000
|
Of
Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014
|
69
|
M
Fund, Inc. (M Funds mutual fund family)
|
Anne-Lee
Verville
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1945
|
Trustee
1998
|
Retired.
General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987
to 1988, IBM Corporation (computer and technology)
|
69
|
Enesco
Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006
|
Consultants to the Independent Trustees*
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds complex overseen
|
Other
directorships held by Trustee during the past five years
|
J.
Kevin Connaughton
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street
Mail Drop BX32 05228,
Boston, MA 02110
1964
|
Independent
Trustee Consultant
2016
|
Independent
Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to
February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015
|
69
|
Director,
The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017
|
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
45
|
TRUSTEES AND OFFICERS
(continued)
Consultants to the Independent
Trustees*
(continued)
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds complex overseen
|
Other
directorships held by Trustee during the past five years
|
Olive
Darragh
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street,
Mail Drop BX32 05228,
Boston, MA 02110
1962
|
Independent
Trustee Consultant 2019
|
Independent
Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004;
Partner, Tudor Investments from 2004 to 2010; Senior Partner, McKinsey & Company from 2001 to 2004
|
69
|
Director,
University of Edinburgh Business School; former Director, Boston Public Library Foundation
|
Natalie
A. Trunow
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street
Mail Drop BX32 05228,
Boston, MA 02110
1967
|
Independent
Trustee Consultant
2016
|
Independent
Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to
September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008
|
69
|
Director,
Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions)
|
*
|
J. Kevin
Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent
Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting.
|
Interested trustee affiliated with Investment Manager*
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds Complex overseen
|
Other
directorships held by Trustee during the past five years
|
William
F. Truscott
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
1960
|
Trustee
2012
|
Chairman
of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive
Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and
Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012
|
188
|
Chairman
of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013
|
*
|
Interested
person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial.
|
The Statement of Additional Information has additional
information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your financial intermediary.
46
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS
(continued)
The Board has appointed officers who are responsible for
day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five
years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Fund officers
Name,
address and
year of birth
|
Position
and year
first appointed to
position for any Fund
in the Columbia
Funds complex or a
predecessor thereof
|
Principal
occupation(s) during past five years
|
Christopher
O. Petersen
5228 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1970
|
President
and Principal Executive Officer (2015)
|
Vice
President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007.
|
Michael
G. Clarke
225 Franklin Street
Boston, MA 02110
Born 1969
|
Chief
Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019)
|
Vice
President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia
Funds and affiliated funds since 2002 (previously Treasurer and Chief Accounting Officer, January 2009 - January 2019 and December 2015 - January 2019, respectively).
|
Joseph
Beranek
5890 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1965
|
Treasurer
and Chief Accounting Officer (Principal Accounting Officer) (2019)
|
Vice
President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March
2017).
|
Paul
B. Goucher
485 Lexington Avenue
New York, NY 10017
Born 1968
|
Senior
Vice President (2011) and Assistant Secretary (2008)
|
Senior
Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal
Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015).
|
Thomas
P. McGuire
225 Franklin Street
Boston, MA 02110
Born 1972
|
Senior
Vice President and Chief Compliance Officer (2012)
|
Vice
President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010.
|
Colin
Moore
225 Franklin Street
Boston, MA 02110
Born 1958
|
Senior
Vice President (2010)
|
Executive
Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013.
|
Ryan
C. Larrenaga
225 Franklin Street
Boston, MA 02110
Born 1970
|
Senior
Vice President (2017), Chief Legal Officer (2017), and Secretary (2015)
|
Vice
President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005.
|
Michael
E. DeFao
225 Franklin Street
Boston, MA 02110
Born 1968
|
Vice
President (2011) and Assistant Secretary (2010)
|
Vice
President and Chief Counsel, Ameriprise Financial, Inc. since May 2010.
|
Lyn
Kephart-Strong
5228 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1960
|
Vice
President (2015)
|
President,
Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009.
|
Columbia
Adaptive Risk Allocation Fund | Annual Report 2019
|
47
|
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/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-Q or Form N-PORT (available for filings after March 31, 2019). The Fund’s Form N-Q or Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, 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
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
48
|
Columbia Adaptive Risk
Allocation Fund | Annual Report 2019
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Adaptive Risk Allocation 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.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Annual
Report
May 31, 2019
Columbia Alternative Beta Fund
(to be renamed Columbia Multi Strategy Alternatives
Fund, effective August 1, 2019)
Beginning on January 1, 2021, as permitted by regulations
adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the
reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports
electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such
as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future reports in paper free of
charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to
let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia
Funds held with the fund complex if you invest directly with the Fund.
Not FDIC Insured • No bank guarantee • May lose
value
|
3
|
|
5
|
|
7
|
|
8
|
|
19
|
|
21
|
|
22
|
|
24
|
|
28
|
|
44
|
|
45
|
|
49
|
Columbia Alternative Beta Fund | Annual Report 2019
Investment objective
Columbia Alternative Beta Fund (the
Fund) seeks to provide shareholders with absolute (positive) returns over a complete market cycle.
Portfolio
management
Marc Khalamayzer,
CFA
Co-Portfolio
Manager
Managed Fund
since 2015
Joshua Kutin,
CFA
Co-Portfolio
Manager
Managed Fund
since 2015
Matthew Ferrelli,
CFA
Co-Portfolio
Manager
Managed Fund
since June 2019
Average
annual total returns (%) (for the period ended May 31, 2019)
|
|
|
Inception
|
1
Year
|
Life
|
Class
A
|
Excluding
sales charges
|
01/28/15
|
-13.97
|
-5.87
|
|
Including
sales charges
|
|
-18.93
|
-7.15
|
Advisor
Class
|
01/28/15
|
-13.79
|
-5.65
|
Class
C
|
Excluding
sales charges
|
01/28/15
|
-14.64
|
-6.56
|
|
Including
sales charges
|
|
-15.49
|
-6.56
|
Institutional
Class
|
01/28/15
|
-13.71
|
-5.67
|
Institutional
2 Class
|
01/28/15
|
-13.66
|
-5.55
|
Institutional
3 Class
|
01/28/15
|
-13.65
|
-5.51
|
Class
R
|
01/28/15
|
-14.17
|
-6.12
|
FTSE
One-Month U.S. Treasury Bill Index
|
|
2.22
|
0.89
|
HFRX
Global Hedge Fund Index
|
|
-3.68
|
0.09
|
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 October 1, 2016 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 FTSE One-Month U.S. Treasury Bill Index is an unmanaged
index that represents the performance of one-month Treasury bills and reflects reinvestment of all distributions and changes in market prices.
HFRX Global Hedge Fund Index is designed to be representative
of the overall composition of the hedge fund universe.
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
Alternative Beta Fund | Annual Report 2019
|
3
|
Fund at a Glance
(continued)
Performance of a
hypothetical $10,000 investment (January 28, 2015 — May 31, 2019)
The chart above shows the
change in value of a hypothetical $10,000 investment in Class A shares of Columbia Alternative Beta Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption
of Fund shares.
Portfolio
breakdown (%) (at May 31, 2019)
|
Money
Market Funds
|
100.0
|
Options
Purchased Puts
|
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.
Market
exposure through derivatives investments (% of notional exposure) (at May 31, 2019)
(a)
|
|
Long
|
Short
|
Net
|
Fixed
Income Derivative Contracts
|
19.4
|
(0.8)
|
18.6
|
Commodities
Derivative Contracts
|
19.9
|
—
|
19.9
|
Equity
Derivative Contracts
|
35.2
|
—
|
35.2
|
Foreign
Currency Derivative Contracts
|
27.7
|
(1.4)
|
26.3
|
Total
Notional Market Value of Derivative Contracts
|
102.2
|
(2.2)
|
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 to the Notes to Consolidated Financial Statements.
4
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Manager Discussion of Fund Performance
For
the 12-month period that ended May 31, 2019, the Fund’s Class A shares returned -13.97% excluding sales charges. To compare, the FTSE One-Month U.S. Treasury Bill Index returned 2.22% and the HFRX Global Hedge Fund Index returned -3.68% over
the same time period. As an absolute return fund, it employs a benchmark agnostic strategy and thus comparisons to the FTSE One-Month U.S. Treasury Bill Index and the HFRX Global Hedge Fund Index are for information purposes only. This
multi-strategy, multi-asset class risk premia fund accesses various alternative beta investment strategies that offer return opportunities typically not available from traditional investments.
Capital markets experienced divergent backdrops during
period
Global equity markets posted modestly negative
returns during the period, but these returns masked significantly heightened volatility. Strong economic data and robust corporate profit growth fueled healthy equity market returns through the first four months of the period, despite tighter U.S.
Federal Reserve (Fed) policy, a strong U.S. dollar and expensive valuations. Global fixed-income sectors generated mixed returns. Despite lingering trade war concerns, sovereign yields across most markets moved higher, driven by supportive global
economic growth data and rising inflation expectations. Corporate bonds performed well amid favorable earnings trends, positive economic data and light supply. Fed officials raised short-term interest rates for a third time in 2018 in September and
reaffirmed at that time its outlook for further gradual hikes well into 2019.
Starting in October 2018, global equity markets were weighed
down by concerns around slowing global and U.S. economic growth as well as by persistent trade tariff skirmishes and political uncertainty. The Fed’s decision to raise interest rates at its December 2018 meeting, criticism of the Fed by the
U.S. Administration and a partial U.S. federal government shutdown added to unease in the global equity markets — and heightened market volatility — toward the end of calendar year 2019. Global equity markets suffered their largest
quarterly loss during the fourth quarter of 2018 since September 2008. On the fixed-income side, sovereign yields declined across most markets amid the spike in equity market volatility and increased concerns about global economic growth. Corporate
bonds were weak, owing largely to unresolved political issues in Europe and a sharp sell-off in energy prices.
In a sharp reversal, global equities surged to their best
quarterly return in the first quarter of 2019 since September 2009, supported by relatively strong fourth quarter 2018 corporate earnings, seemingly productive trade negotiations between the U.S. and China, and a dramatic shift in Fed policy,
wherein the Fed left its interest rates unchanged and indicated rates would likely remain stable in 2019. Such factors more than offset signs the U.S. economy had decelerated. Global fixed-income sectors generated positive returns, with sovereign
yields declining sharply across most markets amid more dovish central bank policy and corporate bonds rebounding strongly. In April 2019, global equities rose for the fourth consecutive month, reacting positively to better economic data,
accommodative central bank policies and rising expectations for a U.S.-China trade deal. These same market conditions supported most risk assets within the fixed-income asset class as well.
However, in May 2019, global equities declined significantly
again, as risk assets across the various asset classes sold off, primarily on the lack of a trade deal with China and on the unexpected announcement by the U.S. Administration of potential tariffs on Mexico.
Value-oriented equities and currency positions hampered Fund
results most
The Fund was 100% allocated to
alternative beta strategies. Alternative beta strategies represent those strategies associated with the systematic risks embedded in capital markets and are driven primarily by: 1) academically-supported forms of risk premia (e.g. value, momentum,
quality, etc.) and 2) investor-based behavioral biases, industry needs, structures and constraints (e.g. short volatility, commodity curve, etc.). In implementing these alternative beta strategies, the Fund maintains a multi-asset class, multi-style
portfolio invested across specific risk premia styles in equity, fixed income, credit, currency, commodity and volatility-based strategies. This diversified, absolute return fund is managed to a 5% volatility target relying on risk parity and risk
targeting concepts.
During the period, the primary
detractor from the Fund’s performance was its equity-related alternative risk premia positions, with value-oriented equity positions the largest detractor within the asset class. Currency and commodity-related risk premia positions were also
significant detractors. Conversely, the Fund’s returns were buoyed by holdings in fixed income-related alternative risk premia. As alternative beta positions typically perform with little correlation to one another, this disparate performance
among asset classes and styles is to be expected and indeed is the primary rationale for holding such a broadly
Columbia
Alternative Beta Fund | Annual Report 2019
|
5
|
Manager Discussion of Fund Performance
(continued)
diversified portfolio. All of the Fund’s individual alternative risk
premia positions are long/short alternative baskets designed to be market neutral to broad market betas. In aggregate, the Fund attempts to exhibit very little to zero correlation to traditional market exposures.
That said, alternative investment strategies were frustrating
for investors during the annual period ended May 31, 2019. However, despite the challenges, we maintain our belief that alternative investments hold a much-needed place in a diversified portfolio. The use of alternatives within the Fund is based on
their diversifying properties, especially when seeking to provide downside protection for an overall portfolio during a market downturn. Importantly, the diversified risk premia approach used by the Fund has historically exhibited low levels of
correlation relative to traditional asset classes, thus enhancing overall portfolio diversification. But, as equity markets have enjoyed a generally upward track over the past several years, traditional equity strategies and alternative strategies
that employ higher correlations to traditional equities have performed better, while alternative strategies with lower correlations to traditional equities have lagged.
Re-balances are based on highly systematic methodology
The Fund adheres to a highly systematic allocation
methodology based on modified risk parity concepts. Our team constructs a strategic allocation at the asset class level and then re-balances each of the underlying positions intra-asset class to achieve as close to parity as possible. The
Fund’s allocation is re-visited formally once per week.
Further, in closely monitoring and evaluating the Fund,
especially as performance declined during the period, we took action to reduce the expected volatility of the investment strategy. We conducted a comprehensive review of the strategy, our capabilities, drivers of Fund underperformance, competing
strategies and asset class performance expectations. As mentioned earlier, the conclusion of this review is that we maintained our belief that the alternative risk premia strategy used in the Fund continues to play an important role in a
well-diversified portfolio, despite short-term disappointments. Further, we determined that further diversification of the strategies used in the Fund may be prudent. Thus, at the end of the period, we were evaluating third-party managers who run
other alternative strategies we believe may complement the current Fund strategy.
Derivative positions in the Fund
The Fund utilizes derivatives for both hedging and
non-hedging purposes, including, for example, seeking to enhance returns or as a substitute for a position in an underlying asset or index. During the period, the Fund used tri-party swap agreements with a small group of approved counterparty bank
providers to more efficiently and cost effectively manage its exposures. These flexible structures, which allow for direct and highly versatile portfolio management applications, detracted from the Fund’s results during the period.
Market
risk may affect a single
issuer, sector of the economy, industry or the market as a whole.
Alternative
investments cover a broad range of strategies and structures designed to be low or non-correlated to traditional equity and
fixed-income markets and involve substantial risks and are more volatile than traditional investments, making them more suitable for investors with an above average-tolerance for risk. The Fund’s use of
leverage
allows for investment exposure in excess of net assets, thereby magnifying volatility of returns and risk of loss.
Commodity
investments may be affected by the overall market and
industry- and commodity-specific factors, and may be more volatile and less liquid than other investments. Investing in
derivatives
is a specialized activity that involves special risks that subject the Fund
to significant loss potential, including when used as leverage, and may result in greater fluctuation in fund value.
Foreign
investments subject the Fund to risks, including political, economic, market,
social and others within a particular country, as well as to currency instabilities and less stringent financial and accounting standards generally applicable to U.S. issuers. The sales price the Fund (or its underlying investments) could receive
for any particular investment may differ from the Fund’s (or underlying investments’)
valuation
of the investment. As a
non-diversified
fund, fewer
investments could have a greater effect on performance. See the Fund’s prospectus for more information on these and other risks.
The views expressed in this report reflect the current views of
the respective parties. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict, so actual outcomes and results may differ significantly from the views expressed.
These views are subject to change at any time based upon economic, market or other conditions and the respective parties disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment
decisions for a Columbia fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or
investment advice.
6
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
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 $1,000
= 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the
Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end
of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same
hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any
transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If
transaction costs were included in these calculations, your costs would be higher.
December
1, 2018 — May 31, 2019
|
|
Account
value at the
beginning of the
period ($)
|
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
|
966.30
|
1,018.90
|
5.93
|
6.09
|
1.21
|
Advisor
Class
|
1,000.00
|
1,000.00
|
967.70
|
1,020.19
|
4.66
|
4.78
|
0.95
|
Class
C
|
1,000.00
|
1,000.00
|
963.00
|
1,015.16
|
9.59
|
9.85
|
1.96
|
Institutional
Class
|
1,000.00
|
1,000.00
|
967.70
|
1,020.14
|
4.71
|
4.84
|
0.96
|
Institutional
2 Class
|
1,000.00
|
1,000.00
|
967.80
|
1,020.39
|
4.46
|
4.58
|
0.91
|
Institutional
3 Class
|
1,000.00
|
1,000.00
|
967.90
|
1,020.69
|
4.17
|
4.28
|
0.85
|
Class
R
|
1,000.00
|
1,000.00
|
964.80
|
1,017.60
|
7.20
|
7.39
|
1.47
|
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
Alternative Beta Fund | Annual Report 2019
|
7
|
Consolidated Portfolio of Investments
May 31, 2019
(Percentages represent value of investments compared to net
assets)
Investments in securities
Options
Purchased Puts 0.1%
|
|
|
|
|
Value
($)
|
(Cost
$393,894)
|
216,563
|
Money
Market Funds 98.8%
|
|
Shares
|
Value
($)
|
Columbia
Short-Term Cash Fund, 2.497%
(a),(b)
|
602,252,069
|
602,191,844
|
Total
Money Market Funds
(Cost $602,203,965)
|
602,191,844
|
Total
Investments in Securities
(Cost: $602,597,859)
|
602,408,407
|
Other
Assets & Liabilities, Net
|
|
6,950,276
|
Net
Assets
|
609,358,683
|
At May 31, 2019, securities and/or cash totaling $22,435,978
were pledged as collateral.
Investments in
derivatives
Forward
foreign currency exchange contracts
|
Currency
to
be sold
|
Currency
to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
14,393,000 GBP
|
18,309,580 USD
|
HSBC
|
06/25/2019
|
92,685
|
—
|
335,736,000 MXN
|
17,554,089 USD
|
HSBC
|
06/25/2019
|
488,721
|
—
|
5,860,000 GBP
|
7,454,799 USD
|
Morgan
Stanley
|
06/25/2019
|
37,930
|
—
|
20,018,876 USD
|
29,086,000 AUD
|
Morgan
Stanley
|
06/25/2019
|
171,523
|
—
|
37,911,940 USD
|
38,205,000 CHF
|
Morgan
Stanley
|
06/25/2019
|
325,633
|
—
|
Total
|
|
|
|
1,116,492
|
—
|
Long
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Euro-OAT
|
34
|
06/2019
|
EUR
|
5,590,280
|
217,959
|
—
|
Long
Gilt
|
107
|
09/2019
|
GBP
|
13,872,550
|
217,726
|
—
|
Total
|
|
|
|
|
435,685
|
—
|
Short
futures contracts
|
Description
|
Number
of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Euro-BTP
|
(171)
|
06/2019
|
EUR
|
(22,243,680)
|
—
|
(725,353)
|
Put
option contracts purchased
|
Description
|
Counterparty
|
Trading
currency
|
Notional
amount
|
Number
of
contracts
|
Exercise
price/Rate
|
Expiration
date
|
Cost
($)
|
Value
($)
|
CME
British Pound Currency Future
|
JPMorgan
|
USD
|
35,558,438
|
450
|
1.27
|
06/07/2019
|
393,894
|
216,563
|
The
accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
8
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Consolidated Portfolio of Investments
(continued)
May 31, 2019
Total
return swap contracts
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
|
Upfront
receipts
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Total
return on Barclays TrendStar+ Alt Roll 2 Index (BXIITSP2)
†
|
Fixed
rate of 0.600%
|
Monthly
|
Barclays
|
11/30/2019
|
USD
|
3,295,237
|
(6,859)
††
|
(1,648)
|
1,132
|
—
|
—
|
(9,639)
|
Total
return on Barclays Dualis Volatility Weighted Index (BCCFDUVP)
†
|
Fixed
rate of 0.540%
|
Monthly
|
Barclays
|
11/30/2019
|
USD
|
3,903,866
|
(9,657)
††
|
(1,757)
|
—
|
—
|
—
|
(11,414)
|
Total
return on Barclays TrendStar+ Alt Roll 2 Index (BXIITSP2)
†
|
Fixed
rate of 0.600%
|
Monthly
|
Barclays
|
11/30/2019
|
USD
|
2,796,356
|
(9,796)
††
|
(1,398)
|
673
|
—
|
—
|
(11,867)
|
Total
return on Barclays TrendStar+ Alt Roll 2 Index (BXIITSP2)
†
|
Fixed
rate of 0.600%
|
Monthly
|
Barclays
|
11/30/2019
|
USD
|
5,890,868
|
(20,636)
††
|
(2,945)
|
1,424
|
—
|
—
|
(25,005)
|
Total
return on Barclays Backwardation Alpha Bloomberg CI Index ER (BCCFBA3P)
†
|
Fixed
rate of 0.350%
|
Monthly
|
Barclays
|
11/30/2019
|
USD
|
2,491,447
|
(181,924)
††
|
(727)
|
—
|
—
|
—
|
(182,651)
|
Total
return on Barclays Dualis Volatility Weighted Index (BCCFDUVP)
†
|
Fixed
rate of 0.540%
|
Monthly
|
Barclays
|
11/30/2019
|
USD
|
61,976,629
|
(229,412)
††
|
(27,889)
|
—
|
—
|
—
|
(257,301)
|
Total
return on Barclays Backwardation Alpha Bloomberg CI Index ER (BCCFBA3P)
†
|
Fixed
rate of 0.350%
|
Monthly
|
Barclays
|
11/30/2019
|
USD
|
21,291,985
|
(274,157)
††
|
(401)
|
—
|
—
|
—
|
(274,558)
|
Total
return on Barclays TrendStar+ Alt Roll 2 Index (BXIITSP2)
†
|
Fixed
rate of 0.600%
|
Monthly
|
Barclays
|
11/30/2019
|
USD
|
81,877,681
|
(286,814)
††
|
(40,939)
|
—
|
—
|
—
|
(327,753)
|
Total
return on Barclays Backwardation Alpha Bloomberg CI Index ER (BCCFBA3P)
†
|
Fixed
rate of 0.350%
|
Monthly
|
Barclays
|
11/30/2019
|
USD
|
78,888,961
|
(5,987,468)
††
|
(23,009)
|
—
|
—
|
—
|
(6,010,477)
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Columbia
Alternative Beta Fund | Annual Report 2019
|
9
|
Consolidated Portfolio of Investments
(continued)
May 31, 2019
Total
return swap contracts (continued)
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
|
Upfront
receipts
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Total
return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)
†
|
Fixed
rate of 0.300%
|
Monthly
|
Citi
|
11/30/2019
|
USD
|
13,502,781
|
(6,765)
††
|
(225)
|
—
|
—
|
—
|
(6,990)
|
Total
return on Citi Commodities Congestion Pre-Post Roll Alpha (B) Index (CVICRTB1)
†
|
Fixed
rate of 0.270%
|
Monthly
|
Citi
|
11/30/2019
|
USD
|
4,106,902
|
(10,288)
††
|
(955)
|
—
|
—
|
—
|
(11,243)
|
Total
return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)
†
|
Fixed
rate of 0.300%
|
Monthly
|
Citi
|
11/30/2019
|
USD
|
3,168,908
|
(12,955)
††
|
(819)
|
—
|
—
|
—
|
(13,774)
|
Total
return on Citi Commodities Congestion Pre-Post Roll Alpha (B) Index (CVICRTB1)
†
|
Fixed
rate of 0.270%
|
Monthly
|
Citi
|
11/30/2019
|
USD
|
6,895,423
|
(12,835)
††
|
(1,551)
|
—
|
—
|
—
|
(14,386)
|
Total
return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)
†
|
Fixed
rate of 0.300%
|
Monthly
|
Citi
|
11/30/2019
|
USD
|
4,282,077
|
(17,507)
††
|
(1,106)
|
—
|
—
|
—
|
(18,613)
|
Total
return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)
†
|
Fixed
rate of 0.300%
|
Monthly
|
Citi
|
11/30/2019
|
USD
|
8,785,190
|
(24,680)
††
|
(2,196)
|
—
|
—
|
—
|
(26,876)
|
Total
return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)
†
|
Fixed
rate of 0.300%
|
Monthly
|
Citi
|
11/30/2019
|
USD
|
23,520,565
|
(96,160)
††
|
(6,076)
|
—
|
—
|
—
|
(102,236)
|
Total
return on Citi Commodities Congestion Pre-Post Roll Alpha (B) Index (CVICRTB1)
†
|
Fixed
rate of 0.270%
|
Monthly
|
Citi
|
11/30/2019
|
USD
|
114,226,992
|
(286,140)
††
|
(26,558)
|
—
|
—
|
—
|
(312,698)
|
Total
return on Citi Curve Composite (DJ-UBSCI wtd) Balanced Alpha (CVICCADB)
†
|
Fixed
rate of 0.300%
|
Monthly
|
Citi
|
11/30/2019
|
USD
|
110,379,097
|
(451,265)
††
|
(28,515)
|
—
|
—
|
—
|
(479,780)
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
10
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Consolidated Portfolio of Investments
(continued)
May 31, 2019
Total
return swap contracts (continued)
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
|
Upfront
receipts
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Total
return on Deutsche Bank Currency Valuation - USD Excess Return (DBPPPUSF)
†
|
Fixed
rate of 0.000%
|
Monthly
|
Deutsche
Bank
|
11/30/2019
|
USD
|
24,322,097
|
(49,855)
††
|
—
|
—
|
—
|
—
|
(49,855)
|
Total
return on Deutsche Bank Currency Valuation - USD Excess Return (DBPPPUSF)
†
|
Fixed
rate of 0.000%
|
Monthly
|
Deutsche
Bank
|
11/30/2019
|
USD
|
166,836,372
|
(115,312)
††
|
—
|
—
|
—
|
—
|
(115,312)
|
Total
return on Goldman Sachs FX Time Series Momentum Index C0038 (GSCC0038)
†
|
Fixed
rate of 0.220%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
131,946,324
|
1,174,568
††
|
(24,190)
|
—
|
—
|
1,150,378
|
—
|
Total
return on Goldman Sachs Risk Premia Equity World Long Short Series 61 Excess Return (GSISM61E)
†
|
Fixed
rate of 0.000%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
125,387,648
|
702,104
††
|
—
|
—
|
—
|
702,104
|
—
|
Total
return on Goldman Sachs Risk Premia Equity World Long Short Series 61 Excess Return (GSISM61E)
†
|
Fixed
rate of 0.000%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
125,039,729
|
651,772
††
|
—
|
—
|
—
|
651,772
|
—
|
Total
return on Goldman Sachs Risk Premia Equity World Long Short Series 61 Excess Return (GSISM61E)
†
|
Fixed
rate of 0.000%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
117,222,634
|
425,300
††
|
—
|
—
|
—
|
425,300
|
—
|
Total
return on Goldman Sachs FX Time Series Momentum Index C0038 (GSCC0038)
†
|
Fixed
rate of 0.220%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
23,438,374
|
199,535
††
|
(4,297)
|
—
|
—
|
195,238
|
—
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Columbia
Alternative Beta Fund | Annual Report 2019
|
11
|
Consolidated Portfolio of Investments
(continued)
May 31, 2019
Total
return swap contracts (continued)
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
|
Upfront
receipts
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Total
return on Goldman Sachs Macro Index C0210 (GSCC0210)
†
|
Fixed
rate of -0.020%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
149,894,827
|
84,829
††
|
2,498
|
—
|
—
|
87,327
|
—
|
Total
return on Goldman Sachs Macro Index C0210 (GSCC0210)
†
|
Fixed
rate of -0.020%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
4,200,020
|
4,013
††
|
70
|
—
|
—
|
4,083
|
—
|
Total
return on Goldman Sachs Macro Index MF03 (GSIRMF03)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
4,044,746
|
(1,354)
††
|
(22)
|
—
|
—
|
—
|
(1,376)
|
Total
return on Goldman Sachs Commodity Curve Index (ABGSRP09)
†
|
Fixed
rate of 0.110%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
4,763,678
|
(10,449)
††
|
(28)
|
—
|
—
|
—
|
(10,477)
|
Total
return on Goldman Sachs Macro Index MF03 (GSIRMF03)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
15,005,051
|
(15,088)
††
|
(1,250)
|
—
|
—
|
—
|
(16,338)
|
Total
return on Goldman Sachs Equity Volatility Carry Series 28 Excess Return Strategy (GSVIW28E)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
1,001,537
|
(18,326)
††
|
(83)
|
—
|
—
|
—
|
(18,409)
|
Total
return on Goldman Sachs Series 19 10-year Volatility Carry Index (GSVLTY19)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
902,896
|
(18,944)
††
|
(75)
|
—
|
—
|
—
|
(19,019)
|
Total
return on Goldman Sachs Volatility Carry U.S. Series 71 Excess Return Strategy (GSVIUS71)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
2,298,831
|
(20,814)
††
|
(192)
|
—
|
—
|
—
|
(21,006)
|
Total
return on Goldman Sachs Commodity Volatility Carry Series 18 Excess Return Strategy (GSVIC18E)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
802,182
|
(36,465)
††
|
(67)
|
—
|
—
|
—
|
(36,532)
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
12
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Consolidated Portfolio of Investments
(continued)
May 31, 2019
Total
return swap contracts (continued)
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
|
Upfront
receipts
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Total
return on Goldman Sachs Macro Index CA09 (GSFXCA09)
†
|
Fixed
rate of 0.260%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
16,790,981
|
(38,673)
††
|
(3,638)
|
—
|
—
|
—
|
(42,311)
|
Total
return on Goldman Sachs Macro Index CA09 (GSFXCA09)
†
|
Fixed
rate of 0.260%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
30,359,358
|
(59,245)
††
|
(1,697)
|
—
|
—
|
—
|
(60,942)
|
Total
return on GS FX Value - Custom (GSFXVA08)
†
|
Fixed
rate of 0.180%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
7,912,846
|
(61,000)
††
|
(1,187)
|
—
|
—
|
—
|
(62,187)
|
Total
return on Goldman Sachs Commodity Curve Index (ABGSRP09)
†
|
Fixed
rate of 0.110%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
8,878,364
|
(64,310)
††
|
(814)
|
—
|
—
|
—
|
(65,124)
|
Total
return on Goldman Sachs Macro Index CA09 (GSFXCA09)
†
|
Fixed
rate of 0.260%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
17,616,250
|
(102,186)
††
|
(1,231)
|
—
|
—
|
—
|
(103,417)
|
Total
return on Goldman Sachs Macro Index CA09 (GSFXCA09)
†
|
Fixed
rate of 0.260%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
18,838,394
|
(113,466)
††
|
(1,185)
|
—
|
—
|
—
|
(114,651)
|
Total
return on Goldman Sachs Series 19 10-year Volatility Carry Index (GSVLTY19)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
8,462,629
|
(152,294)
††
|
(705)
|
—
|
—
|
—
|
(152,999)
|
Total
return on Goldman Sachs Macro Index CA09 (GSFXCA09)
†
|
Fixed
rate of 0.260%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
120,820,757
|
(253,372)
††
|
(26,178)
|
—
|
—
|
—
|
(279,550)
|
Total
return on Goldman Sachs Macro Index MF03 (GSIRMF03)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
298,093,001
|
(310,156)
††
|
(24,841)
|
—
|
—
|
—
|
(334,997)
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Columbia
Alternative Beta Fund | Annual Report 2019
|
13
|
Consolidated Portfolio of Investments
(continued)
May 31, 2019
Total
return swap contracts (continued)
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
|
Upfront
receipts
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Total
return on Goldman Sachs Commodity Volatility Carry Series 18 Excess Return Strategy (GSVIC18E)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
8,612,440
|
(370,950)
††
|
(718)
|
—
|
—
|
—
|
(371,668)
|
Total
return on Goldman Sachs Equity Volatility Carry Series 28 Excess Return Strategy (GSVIW28E)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
30,453,953
|
(518,382)
††
|
(2,538)
|
—
|
—
|
—
|
(520,920)
|
Total
return on Goldman Sachs Volatility Carry U.S. Series 71 Excess Return Strategy (GSVIUS71)
†
|
Fixed
rate of 0.100%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
66,577,572
|
(610,328)
††
|
(5,548)
|
—
|
—
|
—
|
(615,876)
|
Total
return on GS FX Value - Custom (GSFXVA08)
†
|
Fixed
rate of 0.180%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
134,176,634
|
(850,960)
††
|
(20,126)
|
—
|
—
|
—
|
(871,086)
|
Total
return on Goldman Sachs Commodity Curve Index (ABGSRP09)
†
|
Fixed
rate of 0.110%
|
Monthly
|
Goldman
Sachs International
|
11/30/2019
|
USD
|
134,799,953
|
(1,031,742)
††
|
(12,357)
|
—
|
—
|
—
|
(1,044,099)
|
Total
return on JPMorgan Equity Risk Premium - Global Balanced Multi-Factor (Long/Short) US Index (JPQFMFWA)
†
|
Fixed
rate of -0.150%
|
Monthly
|
JPMorgan
|
11/30/2019
|
USD
|
3,335,700
|
(10,203)
††
|
431
|
—
|
—
|
—
|
(9,772)
|
Total
return on JPMorgan Equity Risk Premium - Global Balanced Multi-Factor (Long/Short) US Index (JPQFMFWA)
†
|
Fixed
rate of -0.150%
|
Monthly
|
JPMorgan
|
11/30/2019
|
USD
|
7,606,227
|
(23,265)
††
|
982
|
—
|
—
|
—
|
(22,283)
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
14
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Consolidated Portfolio of Investments
(continued)
May 31, 2019
Total
return swap contracts (continued)
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
|
Upfront
receipts
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Total
return on JPMorgan Equity Risk Premium - Global Pure Value L/S USD Index 1 (JPQFVLW1)
†
|
Fixed
rate of 0.000%
|
Monthly
|
JPMorgan
|
11/30/2019
|
USD
|
600,304
|
(25,966)
††
|
—
|
—
|
—
|
—
|
(25,966)
|
Total
return on JPMorgan Equity Risk Premium - Global Balanced Multi-Factor (Long/Short) US Index (JPQFMFWA)
†
|
Fixed
rate of -0.150%
|
Monthly
|
JPMorgan
|
11/30/2019
|
USD
|
13,513,560
|
(67,996)
††
|
1,689
|
—
|
—
|
—
|
(66,307)
|
Total
return on JPMorgan Equity Risk Premium - Global Pure Value L/S USD Index 1 (JPQFVLW1)
†
|
Fixed
rate of 0.000%
|
Monthly
|
JPMorgan
|
11/30/2019
|
USD
|
2,368,137
|
(104,923)
††
|
—
|
—
|
—
|
—
|
(104,923)
|
Total
return on JPMorgan Equity Risk Premium - Global Balanced Multi-Factor (Long/Short) US Index (JPQFMFWA)
†
|
Fixed
rate of -0.150%
|
Monthly
|
JPMorgan
|
11/30/2019
|
USD
|
191,703,355
|
(586,372)
††
|
24,762
|
—
|
—
|
—
|
(561,610)
|
Total
return on JPMorgan Equity Risk Premium - Global Pure Value L/S USD Index 1 (JPQFVLW1)
†
|
Fixed
rate of 0.000%
|
Monthly
|
JPMorgan
|
11/30/2019
|
USD
|
34,609,739
|
(1,497,052)
††
|
—
|
—
|
—
|
—
|
(1,497,052)
|
Total
return on JPMorgan L/S Russell 1000 (JPQICTLS)
†
|
Fixed
rate of 0.400%
|
Monthly
|
JPMorgan
|
11/30/2019
|
USD
|
65,087,932
|
(4,793,304)
††
|
(12,248)
|
—
|
—
|
—
|
(4,805,552)
|
Total
return on MSEF Global CRP (MSCBSMRG)
†
|
Fixed
rate of -0.150%
|
Monthly
|
Morgan
Stanley
|
11/30/2019
|
USD
|
299,909,750
|
735,266
††
|
38,738
|
—
|
—
|
774,004
|
—
|
Total
return on MSEF Global CRP (MSCBSMRG)
†
|
Fixed
rate of -0.150%
|
Monthly
|
Morgan
Stanley
|
11/30/2019
|
USD
|
10,811,575
|
26,505
††
|
1,397
|
—
|
—
|
27,902
|
—
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Columbia
Alternative Beta Fund | Annual Report 2019
|
15
|
Consolidated Portfolio of Investments
(continued)
May 31, 2019
Total
return swap contracts (continued)
|
Fund
receives
|
Fund
pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Periodic
payments
receivable
(payable)
($)
|
Upfront
payments
|
Upfront
receipts
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
Total
return on MSEF Global CRP (MSCBSMRG)
†
|
Fixed
rate of -0.150%
|
Monthly
|
Morgan
Stanley
|
11/30/2019
|
USD
|
6,307,818
|
15,464
††
|
815
|
—
|
—
|
16,279
|
—
|
Total
return on MSEF Global CRP (MSCBSMRG)
†
|
Fixed
rate of -0.150%
|
Monthly
|
Morgan
Stanley
|
11/30/2019
|
USD
|
10,809,339
|
(682)
††
|
1,396
|
—
|
—
|
714
|
—
|
Total
return on MSEF Global Value (MSCBSVAG)
†
|
Fixed
rate of -0.200%
|
Monthly
|
Morgan
Stanley
|
11/30/2019
|
USD
|
2,048,167
|
(90,788)
††
|
341
|
—
|
—
|
—
|
(90,447)
|
Total
return on MSEF Global Value (MSCBSVAG)
†
|
Fixed
rate of -0.200%
|
Monthly
|
Morgan
Stanley
|
11/30/2019
|
USD
|
3,734,170
|
(168,652)
††
|
643
|
—
|
—
|
—
|
(168,009)
|
Total
return on MSEF Global Value (MSCBSVAG)
†
|
Fixed
rate of -0.200%
|
Monthly
|
Morgan
Stanley
|
11/30/2019
|
USD
|
31,776,971
|
(1,435,192)
††
|
5,473
|
—
|
—
|
—
|
(1,429,719)
|
Total
|
|
|
|
|
|
|
(17,534,028)
|
(234,694)
|
3,229
|
—
|
4,035,101
|
(21,807,052)
|
†
|
By
investing in the total return swap contract, the Fund gains exposure to the underlying investments that make up the custom basket/index without having to own the underlying investments directly. The components of the custom basket/index are
available on Columbia Alternative Beta Fund’s page of columbiathreadneedleus.com website.
|
††
|
Valuation
based on significant unobservable inputs.
|
Notes to Consolidated Portfolio of Investments
(a)
|
The rate
shown is the seven-day current annualized yield at May 31, 2019.
|
(b)
|
As
defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and
transactions in these affiliated companies during the year ended May 31, 2019 are as follows:
|
Issuer
|
Beginning
shares
|
Shares
purchased
|
Shares
sold
|
Ending
shares
|
Realized
gain
(loss) —
affiliated
issuers ($)
|
Net
change in
unrealized
appreciation
(depreciation) —
affiliated
issuers ($)
|
Dividends
—
affiliated
issuers ($)
|
Value
—
affiliated
issuers
at end of
period ($)
|
Columbia
Short-Term Cash Fund, 2.497%
|
|
743,722,362
|
543,711,340
|
(685,181,633)
|
602,252,069
|
(47,571)
|
(29,797)
|
14,877,669
|
602,191,844
|
Currency Legend
AUD
|
Australian
Dollar
|
CHF
|
Swiss Franc
|
EUR
|
Euro
|
GBP
|
British
Pound
|
MXN
|
Mexican
Peso
|
USD
|
US Dollar
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
16
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Consolidated Portfolio of Investments
(continued)
May 31, 2019
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.
Certain investments that have been measured at fair value using
the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Consolidated
Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no
longer seeks to maintain a stable NAV.
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.
Under the direction of the Fund’s Board of Trustees (the
Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the 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 control policies and
procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing
methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third
party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or
approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those
described earlier.
For investments categorized as Level
3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security
transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair
value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the
Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value
the Fund’s investments at May 31, 2019:
|
Level
1
quoted prices
in active
markets for
identical
assets ($)
|
Level
2
other
significant
observable
inputs ($)
|
Level
3
significant
unobservable
inputs ($)
|
Investments
measured at
net asset
value ($)
|
Total
($)
|
Investments
in Securities
|
|
|
|
|
|
Options
Purchased Puts
|
216,563
|
—
|
—
|
—
|
216,563
|
Money
Market Funds
|
—
|
—
|
—
|
602,191,844
|
602,191,844
|
Total
Investments in Securities
|
216,563
|
—
|
—
|
602,191,844
|
602,408,407
|
Investments
in Derivatives
|
|
|
|
|
|
Asset
|
|
|
|
|
|
Forward
Foreign Currency Exchange Contracts
|
—
|
1,116,492
|
—
|
—
|
1,116,492
|
Futures
Contracts
|
435,685
|
—
|
—
|
—
|
435,685
|
Swap
Contracts
|
—
|
—
|
4,035,101
|
—
|
4,035,101
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Columbia
Alternative Beta Fund | Annual Report 2019
|
17
|
Consolidated Portfolio of Investments
(continued)
May 31, 2019
Fair value
measurements
(continued)
|
Level
1
quoted prices
in active
markets for
identical
assets ($)
|
Level
2
other
significant
observable
inputs ($)
|
Level
3
significant
unobservable
inputs ($)
|
Investments
measured at
net asset
value ($)
|
Total
($)
|
Liability
|
|
|
|
|
|
Futures
Contracts
|
(725,353)
|
—
|
—
|
—
|
(725,353)
|
Swap
Contracts
|
—
|
—
|
(21,807,052)
|
—
|
(21,807,052)
|
Total
|
(73,105)
|
1,116,492
|
(17,771,951)
|
602,191,844
|
585,463,280
|
See the Consolidated Portfolio of
Investments for all investment classifications not indicated in the table.
Forward foreign currency exchange contracts, futures contracts
and swap contracts are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels
during the period.
The following table is a
reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
|
Balance
as of
05/31/2018
($)
|
Increase
(decrease)
in accrued
discounts/
premiums
($)
|
Realized
gain (loss)
(a)
($)
|
Change
in unrealized
appreciation
(depreciation)
(
b
)
($)
|
Purchases
($)
|
Sales
($)
|
Transfers
into
Level 3
($)
|
Transfers
out of
Level 3
($)
|
Balance
as of
05/31/2019
($)
|
Total
Return Swap Contracts
|
(35,372,950)
|
—
|
—
|
17,600,999
|
—
|
—
|
—
|
—
|
(17,771,951)
|
Derivative instruments are valued at
unrealized appreciation (depreciation).
(a) The realized
gain (loss) earned during the period was $(129,889,652).
(b) Change in unrealized appreciation (depreciation) relating
to securities held at May 31, 2019 was $(17,771,951).
The
Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain swap contracts classified as Level 3 securities are valued using the market approach and
utilize single market quotations from broker dealers. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing and other control procedures. Significant increases (decreases)
to any of these inputs would result in a significantly higher (lower) valuation measurement.
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
18
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Consolidated Statement of Assets and Liabilities
May 31, 2019
Assets
|
|
Investments
in securities, at value
|
|
Affiliated
issuers (cost $602,203,965)
|
$602,191,844
|
Options
purchased (cost $393,894)
|
216,563
|
Cash
|
380,000
|
Cash
collateral held at broker for:
|
|
Swap
contracts
|
21,729,000
|
Margin
deposits on:
|
|
Futures
contracts
|
706,978
|
Unrealized
appreciation on forward foreign currency exchange contracts
|
1,116,492
|
Unrealized
appreciation on swap contracts
|
4,035,101
|
Upfront
payments on swap contracts
|
3,229
|
Receivable
for:
|
|
Investments
sold
|
15
|
Capital
shares sold
|
965,128
|
Dividends
|
1,272,218
|
Interest
|
77,226
|
Variation
margin for futures contracts
|
37,406
|
Prepaid
expenses
|
440
|
Trustees’
deferred compensation plan
|
32,059
|
Total
assets
|
632,763,699
|
Liabilities
|
|
Unrealized
depreciation on swap contracts
|
21,807,052
|
Payable
for:
|
|
Investments
purchased
|
1,101
|
Capital
shares purchased
|
1,338,684
|
Management
services fees
|
12,602
|
Distribution
and/or service fees
|
35
|
Transfer
agent fees
|
63,056
|
Compensation
of board members
|
756
|
Compensation
of chief compliance officer
|
40
|
Other
expenses
|
107,888
|
Trustees’
deferred compensation plan
|
32,059
|
Other
liabilities
|
41,743
|
Total
liabilities
|
23,405,016
|
Net
assets applicable to outstanding capital stock
|
$609,358,683
|
Represented
by
|
|
Paid
in capital
|
710,591,436
|
Total
distributable earnings (loss) (Note 2)
|
(101,232,753)
|
Total
- representing net assets applicable to outstanding capital stock
|
$609,358,683
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Columbia
Alternative Beta Fund | Annual Report 2019
|
19
|
Consolidated Statement of Assets and Liabilities
(continued)
May 31, 2019
Class
A
|
|
Net
assets
|
$3,102,970
|
Shares
outstanding
|
416,683
|
Net
asset value per share
|
$7.45
|
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)
|
$7.90
|
Advisor
Class
|
|
Net
assets
|
$215,642
|
Shares
outstanding
|
28,742
|
Net
asset value per share
|
$7.50
|
Class
C
|
|
Net
assets
|
$492,690
|
Shares
outstanding
|
67,585
|
Net
asset value per share
|
$7.29
|
Institutional
Class
|
|
Net
assets
|
$587,202,855
|
Shares
outstanding
|
78,407,535
|
Net
asset value per share
|
$7.49
|
Institutional
2 Class
|
|
Net
assets
|
$667,370
|
Shares
outstanding
|
88,779
|
Net
asset value per share
|
$7.52
|
Institutional
3 Class
|
|
Net
assets
|
$17,669,766
|
Shares
outstanding
|
2,345,287
|
Net
asset value per share
|
$7.53
|
Class
R
|
|
Net
assets
|
$7,390
|
Shares
outstanding
|
1,000
|
Net
asset value per share
|
$7.39
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
20
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Consolidated Statement of Operations
Year Ended May 31, 2019
Net
investment income
|
|
Income:
|
|
Dividends
— affiliated issuers
|
$14,877,669
|
Interest
|
118
|
Interfund
lending
|
98
|
Total
income
|
14,877,885
|
Expenses:
|
|
Management
services fees
|
6,435,935
|
Distribution
and/or service fees
|
|
Class
A
|
9,383
|
Class
C
|
6,662
|
Class
R
|
40
|
Class
T
|
462
|
Transfer
agent fees
|
|
Class
A
|
5,852
|
Advisor
Class
|
4,478
|
Class
C
|
1,056
|
Institutional
Class
|
1,009,702
|
Institutional
2 Class
|
495
|
Institutional
3 Class
|
1,850
|
Class
R
|
11
|
Class
T
|
346
|
Compensation
of board members
|
22,632
|
Custodian
fees
|
52,525
|
Printing
and postage fees
|
97,296
|
Registration
fees
|
166,356
|
Audit
fees
|
56,749
|
Legal
fees
|
15,538
|
Interest
on collateral
|
123,807
|
Compensation
of chief compliance officer
|
269
|
Other
|
30,392
|
Total
expenses
|
8,041,836
|
Fees
waived or expenses reimbursed by Investment Manager and its affiliates
|
(1,409,734)
|
Total
net expenses
|
6,632,102
|
Net
investment income
|
8,245,783
|
Realized
and unrealized gain (loss) — net
|
|
Net
realized gain (loss) on:
|
|
Investments
— unaffiliated issuers
|
294
|
Investments
— affiliated issuers
|
(47,571)
|
Foreign
currency translations
|
(16,236)
|
Forward
foreign currency exchange contracts
|
2,973,184
|
Futures
contracts
|
(588,477)
|
Swap
contracts
|
(129,889,652)
|
Net
realized loss
|
(127,568,458)
|
Net
change in unrealized appreciation (depreciation) on:
|
|
Investments
— affiliated issuers
|
(29,797)
|
Foreign
currency translations
|
(14,194)
|
Forward
foreign currency exchange contracts
|
569,385
|
Futures
contracts
|
(289,668)
|
Options
purchased
|
(177,331)
|
Swap
contracts
|
17,600,999
|
Net
change in unrealized appreciation (depreciation)
|
17,659,394
|
Net
realized and unrealized loss
|
(109,909,064)
|
Net
decrease in net assets resulting from operations
|
$(101,663,281)
|
The accompanying Notes to Consolidated Financial Statements
are an integral part of this statement.
Columbia
Alternative Beta Fund | Annual Report 2019
|
21
|
Consolidated Statement of Changes in Net Assets
|
Year
Ended
May 31, 2019
|
Year
Ended
May 31, 2018
|
Operations
|
|
|
Net
investment income
|
$8,245,783
|
$2,287,723
|
Net
realized loss
|
(127,568,458)
|
(10,755,655)
|
Net
change in unrealized appreciation (depreciation)
|
17,659,394
|
(34,997,586)
|
Net
decrease in net assets resulting from operations
|
(101,663,281)
|
(43,465,518)
|
Distributions
to shareholders
|
|
|
Net
investment income
|
|
|
Class
A
|
—
|
(109,968)
|
Advisor
Class
|
—
|
(18,086)
|
Class
C
|
—
|
(14,403)
|
Institutional
Class
|
—
|
(14,910,288)
|
Institutional
2 Class
|
—
|
(20,567)
|
Institutional
3 Class
|
—
|
(516,752)
|
Class
R
|
—
|
(197)
|
Class
T
|
—
|
(10,906)
|
Total
distributions to shareholders (Note 2)
|
—
|
(15,601,167)
|
Increase
(decrease) in net assets from capital stock activity
|
(27,078,806)
|
246,864,641
|
Total
increase (decrease) in net assets
|
(128,742,087)
|
187,797,956
|
Net
assets at beginning of year
|
738,100,770
|
550,302,814
|
Net
assets at end of year
|
$609,358,683
|
$738,100,770
|
Undistributed
(excess of distributions over) net investment income
|
$(10,319,898)
|
$1,448,746
|
The accompanying Notes to Consolidated Financial Statements
are an integral part of this statement.
22
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Consolidated Statement of Changes in Net Assets
(continued)
|
Year
Ended
|
Year
Ended
|
|
May
31, 2019
|
May
31, 2018
|
|
Shares
|
Dollars
($)
|
Shares
|
Dollars
($)
|
Capital
stock activity
|
Class
A
|
|
|
|
|
Subscriptions
|
71,561
|
568,913
|
143,994
|
1,349,191
|
Distributions
reinvested
|
—
|
—
|
11,506
|
109,763
|
Redemptions
|
(156,552)
|
(1,250,231)
|
(250,205)
|
(2,326,486)
|
Net
decrease
|
(84,991)
|
(681,318)
|
(94,705)
|
(867,532)
|
Advisor
Class
|
|
|
|
|
Subscriptions
|
150,132
|
1,288,248
|
478,376
|
4,310,172
|
Distributions
reinvested
|
—
|
—
|
1,865
|
17,871
|
Redemptions
|
(631,135)
|
(5,038,061)
|
(29,249)
|
(274,500)
|
Net
increase (decrease)
|
(481,003)
|
(3,749,813)
|
450,992
|
4,053,543
|
Class
C
|
|
|
|
|
Subscriptions
|
486
|
4,000
|
50,386
|
468,649
|
Distributions
reinvested
|
—
|
—
|
1,507
|
14,227
|
Redemptions
|
(31,089)
|
(245,156)
|
(72,307)
|
(669,088)
|
Net
decrease
|
(30,603)
|
(241,156)
|
(20,414)
|
(186,212)
|
Institutional
Class
|
|
|
|
|
Subscriptions
|
32,104,971
|
260,930,655
|
34,258,744
|
320,948,772
|
Distributions
reinvested
|
—
|
—
|
1,559,642
|
14,910,176
|
Redemptions
|
(35,099,478)
|
(282,950,771)
|
(9,935,993)
|
(92,865,010)
|
Net
increase (decrease)
|
(2,994,507)
|
(22,020,116)
|
25,882,393
|
242,993,938
|
Institutional
2 Class
|
|
|
|
|
Subscriptions
|
55,140
|
444,759
|
167,958
|
1,575,132
|
Distributions
reinvested
|
—
|
—
|
2,121
|
20,343
|
Redemptions
|
(61,105)
|
(502,754)
|
(77,830)
|
(726,054)
|
Net
increase (decrease)
|
(5,965)
|
(57,995)
|
92,249
|
869,421
|
Institutional
3 Class
|
|
|
|
|
Distributions
reinvested
|
—
|
—
|
53,805
|
516,526
|
Net
increase
|
—
|
—
|
53,805
|
516,526
|
Class
T
|
|
|
|
|
Subscriptions
|
—
|
—
|
9,434
|
88,122
|
Distributions
reinvested
|
—
|
—
|
1,123
|
10,700
|
Redemptions
|
(42,603)
|
(328,408)
|
(65,647)
|
(613,865)
|
Net
decrease
|
(42,603)
|
(328,408)
|
(55,090)
|
(515,043)
|
Total
net increase (decrease)
|
(3,639,672)
|
(27,078,806)
|
26,309,230
|
246,864,641
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Columbia
Alternative Beta Fund | Annual Report 2019
|
23
|
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.
|
Net
asset value,
beginning of
period
|
Net
investment
income
(loss)
|
Net
realized
and
unrealized
gain (loss)
|
Total
from
investment
operations
|
Distributions
from net
investment
income
|
Total
distributions to
shareholders
|
Class
A
|
Year
Ended 5/31/2019
|
$8.66
|
0.08
|
(1.29)
|
(1.21)
|
—
|
—
|
Year
Ended 5/31/2018
|
$9.36
|
0.01
|
(0.50)
|
(0.49)
|
(0.21)
|
(0.21)
|
Year
Ended 5/31/2017
|
$9.43
|
(0.09)
|
0.06
|
(0.03)
|
(0.04)
|
(0.04)
|
Year
Ended 5/31/2016
|
$9.85
|
0.05
|
(0.41)
|
(0.36)
|
(0.06)
|
(0.06)
|
Year
Ended 5/31/2015
(d)
|
$10.00
|
(0.05)
|
(0.10)
|
(0.15)
|
—
|
—
|
Advisor
Class
|
Year
Ended 5/31/2019
|
$8.70
|
0.09
|
(1.29)
|
(1.20)
|
—
|
—
|
Year
Ended 5/31/2018
|
$9.39
|
0.04
|
(0.51)
|
(0.47)
|
(0.22)
|
(0.22)
|
Year
Ended 5/31/2017
|
$9.45
|
(0.06)
|
0.05
|
(0.01)
|
(0.05)
|
(0.05)
|
Year
Ended 5/31/2016
|
$9.86
|
0.19
|
(0.53)
|
(0.34)
|
(0.07)
|
(0.07)
|
Year
Ended 5/31/2015
(d)
|
$10.00
|
(0.04)
|
(0.10)
|
(0.14)
|
—
|
—
|
Class
C
|
Year
Ended 5/31/2019
|
$8.54
|
0.02
|
(1.27)
|
(1.25)
|
—
|
—
|
Year
Ended 5/31/2018
|
$9.27
|
(0.06)
|
(0.49)
|
(0.55)
|
(0.18)
|
(0.18)
|
Year
Ended 5/31/2017
|
$9.38
|
(0.16)
|
0.06
|
(0.10)
|
(0.01)
|
(0.01)
|
Year
Ended 5/31/2016
|
$9.83
|
(0.03)
|
(0.40)
|
(0.43)
|
(0.02)
|
(0.02)
|
Year
Ended 5/31/2015
(d)
|
$10.00
|
(0.07)
|
(0.10)
|
(0.17)
|
—
|
—
|
Institutional
Class
|
Year
Ended 5/31/2019
|
$8.68
|
0.10
|
(1.29)
|
(1.19)
|
—
|
—
|
Year
Ended 5/31/2018
|
$9.38
|
0.03
|
(0.51)
|
(0.48)
|
(0.22)
|
(0.22)
|
Year
Ended 5/31/2017
|
$9.43
|
(0.03)
|
0.03
|
0.00
|
(0.05)
|
(0.05)
|
Year
Ended 5/31/2016
|
$9.86
|
(0.06)
|
(0.30)
|
(0.36)
|
(0.07)
|
(0.07)
|
Year
Ended 5/31/2015
(d)
|
$10.00
|
(0.04)
|
(0.10)
|
(0.14)
|
—
|
—
|
Institutional
2 Class
|
Year
Ended 5/31/2019
|
$8.71
|
0.11
|
(1.30)
|
(1.19)
|
—
|
—
|
Year
Ended 5/31/2018
|
$9.39
|
0.05
|
(0.51)
|
(0.46)
|
(0.22)
|
(0.22)
|
Year
Ended 5/31/2017
|
$9.45
|
(0.03)
|
0.03
|
0.00
|
(0.06)
|
(0.06)
|
Year
Ended 5/31/2016
|
$9.86
|
0.07
|
(0.40)
|
(0.33)
|
(0.08)
|
(0.08)
|
Year
Ended 5/31/2015
(d)
|
$10.00
|
(0.03)
|
(0.11)
|
(0.14)
|
—
|
—
|
The accompanying Notes to Consolidated Financial Statements
are an integral part of this statement.
24
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Consolidated 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
|
Year
Ended 5/31/2019
|
$7.45
|
(13.97%)
|
1.45%
(c)
|
1.24%
(c)
|
0.98%
|
0%
|
$3,103
|
Year
Ended 5/31/2018
|
$8.66
|
(5.49%)
|
1.49%
(c)
|
1.28%
(c)
|
0.06%
|
0%
|
$4,343
|
Year
Ended 5/31/2017
|
$9.36
|
(0.28%)
|
1.61%
|
1.41%
|
(0.95%)
|
71%
|
$5,582
|
Year
Ended 5/31/2016
|
$9.43
|
(3.67%)
|
2.09%
|
1.39%
|
0.49%
|
32%
|
$18,579
|
Year
Ended 5/31/2015
(d)
|
$9.85
|
(1.50%)
|
2.08%
(e)
|
1.50%
(e)
|
(1.42%)
(e)
|
28%
|
$4,470
|
Advisor
Class
|
Year
Ended 5/31/2019
|
$7.50
|
(13.79%)
|
1.20%
(c)
|
1.01%
(c)
|
1.07%
|
0%
|
$216
|
Year
Ended 5/31/2018
|
$8.70
|
(5.27%)
|
1.24%
(c)
|
1.03%
(c)
|
0.41%
|
0%
|
$4,433
|
Year
Ended 5/31/2017
|
$9.39
|
(0.06%)
|
1.36%
|
1.15%
|
(0.66%)
|
71%
|
$552
|
Year
Ended 5/31/2016
|
$9.45
|
(3.42%)
|
1.83%
|
1.12%
|
2.03%
|
32%
|
$1,010
|
Year
Ended 5/31/2015
(d)
|
$9.86
|
(1.40%)
|
1.80%
(e)
|
1.23%
(e)
|
(1.09%)
(e)
|
28%
|
$10
|
Class
C
|
Year
Ended 5/31/2019
|
$7.29
|
(14.64%)
|
2.20%
(c)
|
1.99%
(c)
|
0.22%
|
0%
|
$493
|
Year
Ended 5/31/2018
|
$8.54
|
(6.15%)
|
2.24%
(c)
|
2.03%
(c)
|
(0.68%)
|
0%
|
$838
|
Year
Ended 5/31/2017
|
$9.27
|
(1.03%)
|
2.36%
|
2.16%
|
(1.68%)
|
71%
|
$1,100
|
Year
Ended 5/31/2016
|
$9.38
|
(4.42%)
|
2.84%
|
2.14%
|
(0.34%)
|
32%
|
$2,272
|
Year
Ended 5/31/2015
(d)
|
$9.83
|
(1.70%)
|
2.83%
(e)
|
2.25%
(e)
|
(2.18%)
(e)
|
28%
|
$932
|
Institutional
Class
|
Year
Ended 5/31/2019
|
$7.49
|
(13.71%)
|
1.20%
(c)
|
0.99%
(c)
|
1.23%
|
0%
|
$587,203
|
Year
Ended 5/31/2018
|
$8.68
|
(5.35%)
|
1.24%
(c)
|
1.03%
(c)
|
0.34%
|
0%
|
$706,826
|
Year
Ended 5/31/2017
|
$9.38
|
0.05%
|
1.36%
|
1.08%
|
(0.28%)
|
71%
|
$520,564
|
Year
Ended 5/31/2016
|
$9.43
|
(3.63%)
|
1.84%
|
1.12%
|
(0.56%)
|
32%
|
$3,450
|
Year
Ended 5/31/2015
(d)
|
$9.86
|
(1.40%)
|
1.83%
(e)
|
1.23%
(e)
|
(1.09%)
(e)
|
28%
|
$34,686
|
Institutional
2 Class
|
Year
Ended 5/31/2019
|
$7.52
|
(13.66%)
|
1.11%
(c)
|
0.90%
(c)
|
1.32%
|
0%
|
$667
|
Year
Ended 5/31/2018
|
$8.71
|
(5.08%)
|
1.11%
(c)
|
0.90%
(c)
|
0.48%
|
0%
|
$825
|
Year
Ended 5/31/2017
|
$9.39
|
(0.02%)
|
1.21%
|
0.93%
|
(0.33%)
|
71%
|
$23
|
Year
Ended 5/31/2016
|
$9.45
|
(3.37%)
|
1.62%
|
1.04%
|
0.69%
|
32%
|
$9
|
Year
Ended 5/31/2015
(d)
|
$9.86
|
(1.40%)
|
1.63%
(e)
|
1.17%
(e)
|
(1.03%)
(e)
|
28%
|
$10
|
The accompanying Notes to Consolidated Financial Statements
are an integral part of this statement.
Columbia
Alternative Beta Fund | Annual Report 2019
|
25
|
Consolidated 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
|
Total
distributions to
shareholders
|
Institutional
3 Class
|
Year
Ended 5/31/2019
|
$8.72
|
0.11
|
(1.30)
|
(1.19)
|
—
|
—
|
Year
Ended 5/31/2018
|
$9.41
|
0.05
|
(0.51)
|
(0.46)
|
(0.23)
|
(0.23)
|
Year
Ended 5/31/2017
|
$9.45
|
(0.01)
|
0.03
|
0.02
|
(0.06)
|
(0.06)
|
Year
Ended 5/31/2016
|
$9.86
|
0.07
|
(0.40)
|
(0.33)
|
(0.08)
|
(0.08)
|
Year
Ended 5/31/2015
(d)
|
$10.00
|
(0.03)
|
(0.11)
|
(0.14)
|
—
|
—
|
Class
R
|
Year
Ended 5/31/2019
|
$8.61
|
0.06
|
(1.28)
|
(1.22)
|
—
|
—
|
Year
Ended 5/31/2018
|
$9.33
|
(0.02)
|
(0.50)
|
(0.52)
|
(0.20)
|
(0.20)
|
Year
Ended 5/31/2017
|
$9.41
|
(0.10)
|
0.05
|
(0.05)
|
(0.03)
|
(0.03)
|
Year
Ended 5/31/2016
|
$9.84
|
0.01
|
(0.40)
|
(0.39)
|
(0.04)
|
(0.04)
|
Year
Ended 5/31/2015
(d)
|
$10.00
|
(0.05)
|
(0.11)
|
(0.16)
|
—
|
—
|
Notes
to Consolidated Financial Highlights
|
(a)
|
In
addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense
ratios.
|
(b)
|
Total net
expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
(c)
|
Ratios
include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by:
|
Class
|
5/31/2019
|
5/31/2018
|
Class
A
|
0.02%
|
0.01%
|
Advisor
Class
|
0.02%
|
0.01%
|
Class
C
|
0.02%
|
0.01%
|
Institutional
Class
|
0.02%
|
0.01%
|
Institutional
2 Class
|
0.02%
|
0.01%
|
Institutional
3 Class
|
0.02%
|
0.01%
|
Class
R
|
0.02%
|
0.01%
|
(d)
|
The Fund
commenced operations on January 28, 2015. Per share data and total return reflect activity from that date.
|
(e)
|
Annualized.
|
The accompanying Notes to Consolidated Financial Statements
are an integral part of this statement.
26
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Consolidated 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
|
Year
Ended 5/31/2019
|
$7.53
|
(13.65%)
|
1.06%
(c)
|
0.84%
(c)
|
1.38%
|
0%
|
$17,670
|
Year
Ended 5/31/2018
|
$8.72
|
(5.16%)
|
1.05%
(c)
|
0.84%
(c)
|
0.50%
|
0%
|
$20,459
|
Year
Ended 5/31/2017
|
$9.41
|
0.21%
|
1.18%
|
0.88%
|
(0.07%)
|
71%
|
$21,559
|
Year
Ended 5/31/2016
|
$9.45
|
(3.34%)
|
1.57%
|
0.99%
|
0.72%
|
32%
|
$9
|
Year
Ended 5/31/2015
(d)
|
$9.86
|
(1.40%)
|
1.58%
(e)
|
1.12%
(e)
|
(0.98%)
(e)
|
28%
|
$10
|
Class
R
|
Year
Ended 5/31/2019
|
$7.39
|
(14.17%)
|
1.69%
(c)
|
1.48%
(c)
|
0.75%
|
0%
|
$7
|
Year
Ended 5/31/2018
|
$8.61
|
(5.80%)
|
1.74%
(c)
|
1.53%
(c)
|
(0.19%)
|
0%
|
$9
|
Year
Ended 5/31/2017
|
$9.33
|
(0.50%)
|
1.89%
|
1.63%
|
(1.10%)
|
71%
|
$9
|
Year
Ended 5/31/2016
|
$9.41
|
(3.92%)
|
2.33%
|
1.64%
|
0.09%
|
32%
|
$9
|
Year
Ended 5/31/2015
(d)
|
$9.84
|
(1.60%)
|
2.33%
(e)
|
1.73%
(e)
|
(1.59%)
(e)
|
28%
|
$10
|
The accompanying Notes to Consolidated Financial Statements are an integral
part of this statement.
Columbia
Alternative Beta Fund | Annual Report 2019
|
27
|
Notes to Consolidated Financial Statements
May 31, 2019
Note 1. Organization
Columbia Alternative Beta 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.
Basis for consolidation
CAAF Offshore Fund, Ltd. (the Subsidiary) is a Cayman Islands
exempted company and wholly-owned subsidiary of the Fund. The 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 the Subsidiary and retains all rights associated with such
share, including the right to receive notice of, attend and vote at general meetings of the Subsidiary, rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. The consolidated
financial statements (financial statements) include the accounts of the consolidated Fund and the respective Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the
Subsidiary. All intercompany transactions and balances have been eliminated in the consolidation process.
At May 31, 2019, the Subsidiary financial statement
information is as follows:
|
CAAF
Offshore Fund, Ltd.
|
%
of consolidated fund net assets
|
22.31%
|
Net
assets
|
$135,935,450
|
Net
investment income (loss)
|
2,359,253
|
Net
realized gain (loss)
|
(24,380,321)
|
Net
change in unrealized appreciation (depreciation)
|
(14,398,812)
|
The financial statements present
the portfolio holdings, financial position and results of operations of the Fund and the Subsidiary on a consolidated basis.
Fund shares
The Trust may issue an unlimited number of shares (without par
value). 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. Different share classes pay different
distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own expense and sales charge structure. The Fund
offers each of the share classes identified below.
Class
A shares are subject to a maximum front-end sales charge of 5.75% based on the initial investment amount. Class A shares purchased without an initial sales charge in accounts aggregating $1 million to $50 million at the time of purchase are subject
to a contingent deferred sales charge (CDSC) if the shares are sold within 18 months after purchase, charged as follows: 1.00% CDSC if redeemed within 12 months after purchase, and 0.50% CDSC if redeemed more than 12, but less than 18, months after
purchase.
Advisor Class shares are not subject to sales
charges and are generally available only to omnibus retirement plans and certain investors as described in the Fund’s prospectus.
Class C shares are subject to a 1.00% CDSC on shares redeemed
within 12 months after purchase. Effective July 1, 2018, Class C shares automatically convert to Class A shares of the same Fund in the month of or the month following the 10-year anniversary of the Class C shares purchase date.
Institutional Class shares are not subject to sales charges
and are generally available only to eligible investors, which are subject to different investment minimums as described in the Fund’s prospectus.
Institutional 2 Class shares are not subject to sales charges
and are generally available only to investors purchasing through authorized investment professionals and omnibus retirement plans as described in the Fund’s prospectus.
28
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
Institutional 3 Class shares are not subject to sales charges
and are available to institutional and certain other investors as described in the Fund’s prospectus.
Class R shares are not subject to sales charges and are
generally available only to certain retirement plans and other investors as described in the Fund’s prospectus.
Class T shares were subject to a maximum front-end sales
charge of 2.50% per transaction and were required to be purchased through financial intermediaries that, by written agreement with Columbia Management Investment Distributors, Inc., were specifically authorized to sell Class T shares. Effective at
the close of business on December 14, 2018, Class T shares merged, in a tax-free transaction, into Class A shares of the Fund and are no longer offered for sale.
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
Investments in open-end investment companies, including money
market funds, are valued at their latest net asset value.
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 transactions, 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 quotes obtained from independent brokers as of the close of the New York Stock
Exchange.
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 and under the general supervision of 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.
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.
Columbia
Alternative Beta Fund | Annual Report 2019
|
29
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
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, 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, additional counterparty credit risk is failure of the clearinghouse or CCP. 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 brokers are required to segregate customer margin from their own assets, in the event that a
broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across
all the 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 contract
counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically 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 instrument’s 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 are contract specific for
over-the-counter derivatives. For over-the-counter derivatives traded
30
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
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. Any interest expense paid by the Fund is
shown on the Consolidated Statement of Operations. 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. 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.
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 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 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
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.
Columbia
Alternative Beta Fund | Annual Report 2019
|
31
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
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 option contracts to protect gains. 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. Cash collateral may be collected or posted by the Fund to secure certain over-the-counter option contract trades. Cash 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 will realize 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.
Swap contracts
Swap contracts are negotiated in the over-the-counter market
and may be entered into as a bilateral contract 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. Unlike a bilateral swap contract, 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 FCM or CCP may not fulfill its obligation
under the contract.
Total return basket swap
contracts
The Fund entered into total return basket swap
transactions. These instruments allow the Fund to manage exposure to a custom basket of securities and foreign markets (both long and short exposures) without owning or taking physical custody of such securities. Under the terms of the contract,
payments made by the Fund or the counterparty are based on the total
32
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
return of the
reference assets within the basket in return for a specified interest rate. The contract allows the Investment Manager of the Fund to alter the composition of the custom basket by trading in and out of the notional reference security positions at
its discretion.
The total return basket swap is valued
daily, and the change in value is recorded as unrealized appreciation (depreciation). The swap resets monthly at which time the Fund settles in cash with the counterparty. Payments received (or made) by the Fund are recorded as realized gains
(losses). Total return basket swaps are subject to the risk associated with the investment in the reference securities within the basket. The risk in the case of short swaps transactions is unlimited based on the potential for unlimited increases in
the market value of the reference securities in the basket. The risk may be offset if the Fund holds any of the reference securities. The risk in the case of long swap transactions is limited to the current notional amount of the swap.
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 May 31, 2019:
|
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 swap contracts
|
2,598,075*
|
Foreign
exchange risk
|
Unrealized
appreciation on forward foreign currency exchange contracts
|
1,116,492
|
Foreign
exchange risk
|
Investments,
at value — Options purchased
|
216,563
|
Foreign
exchange risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on swap contracts
|
1,345,616*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on futures contracts
|
435,685*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized appreciation on swap contracts
|
91,410*
|
Interest
rate risk
|
Upfront
payments on swap contracts
|
3,229
|
Total
|
|
5,807,070
|
|
Liability
derivatives
|
|
Risk
exposure
category
|
Consolidated
statement
of assets and liabilities
location
|
Fair
value ($)
|
Equity
risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
9,320,969*
|
Foreign
exchange risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
2,336,193*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on futures contracts
|
725,353*
|
Interest
rate risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
898,993*
|
Commodity-related
investment risk
|
Component
of total distributable earnings (loss) — unrealized depreciation on swap contracts
|
9,250,897*
|
Total
|
|
22,532,405
|
*
|
Includes
cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and
Liabilities.
|
Columbia
Alternative Beta Fund | Annual Report 2019
|
33
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
The
following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Consolidated Statement of Operations for the year ended May 31, 2019:
Amount
of realized gain (loss) on derivatives recognized in income
|
Risk
exposure category
|
Forward
foreign
currency
exchange
contracts
($)
|
Futures
contracts
($)
|
Swap
contracts
($)
|
Total
($)
|
Commodity-related
investment risk
|
—
|
—
|
(24,368,318)
|
(24,368,318)
|
Equity
risk
|
—
|
—
|
(68,098,339)
|
(68,098,339)
|
Foreign
exchange risk
|
2,973,184
|
—
|
(27,419,759)
|
(24,446,575)
|
Interest
rate risk
|
—
|
(588,477)
|
(10,003,236)
|
(10,591,713)
|
Total
|
2,973,184
|
(588,477)
|
(129,889,652)
|
(127,504,945)
|
Change
in unrealized appreciation (depreciation) on derivatives recognized in income
|
Risk
exposure category
|
Forward
foreign
currency
exchange
contracts
($)
|
Futures
contracts
($)
|
Options
contracts
purchased
($)
|
Swap
contracts
($)
|
Total
($)
|
Commodity-related
investment risk
|
—
|
—
|
—
|
(14,392,078)
|
(14,392,078)
|
Equity
risk
|
—
|
—
|
—
|
(4,693,495)
|
(4,693,495)
|
Foreign
exchange risk
|
569,385
|
—
|
(177,331)
|
19,202,107
|
19,594,161
|
Interest
rate risk
|
—
|
(289,668)
|
—
|
17,484,465
|
17,194,797
|
Total
|
569,385
|
(289,668)
|
(177,331)
|
17,600,999
|
17,703,385
|
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended May 31, 2019:
Derivative
instrument
|
Average
notional
amounts ($)*
|
Futures
contracts — long
|
25,178,338
|
Futures
contracts — short
|
26,444,291
|
Derivative
instrument
|
Average
value ($)**
|
Options
contracts — purchased
|
23,802
|
Derivative
instrument
|
Average
unrealized
appreciation ($)*
|
Average
unrealized
depreciation ($)*
|
Forward
foreign currency exchange contracts
|
1,037,666
|
(1,418,606)
|
Total
return swap contracts
|
9,390,192
|
(23,670,297)
|
*
|
Based on
the ending quarterly outstanding amounts for the year ended May 31, 2019.
|
**
|
Based on
the ending daily outstanding amounts for the year ended May 31, 2019.
|
34
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
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 May 31, 2019:
|
Barclays
($)
(a)
|
Barclays
($)
(a)
|
Citi
($)
|
Deutsche
Bank
($)
|
Goldman
Sachs
International
($)
(a)
|
Goldman
Sachs
International
($)
(a)
|
HSBC
($)
|
JPMorgan
($)
|
Morgan
Stanley
($)
|
Total
($)
|
Assets
|
|
|
|
|
|
|
|
|
|
|
Forward
foreign currency exchange contracts
|
-
|
-
|
-
|
-
|
-
|
-
|
581,406
|
-
|
535,086
|
1,116,492
|
Options
purchased puts
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
216,563
|
-
|
216,563
|
OTC
total return swap contracts
(b)
|
-
|
-
|
-
|
-
|
3,216,202
|
-
|
-
|
-
|
818,899
|
4,035,101
|
Total
assets
|
-
|
-
|
-
|
-
|
3,216,202
|
-
|
581,406
|
216,563
|
1,353,985
|
5,368,156
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
OTC
total return swap contracts
(b)
|
371,035
|
6,736,401
|
986,596
|
165,167
|
3,235,084
|
1,527,900
|
-
|
7,093,465
|
1,688,175
|
21,803,823
|
Total
liabilities
|
371,035
|
6,736,401
|
986,596
|
165,167
|
3,235,084
|
1,527,900
|
-
|
7,093,465
|
1,688,175
|
21,803,823
|
Total
financial and derivative net assets
|
(371,035)
|
(6,736,401)
|
(986,596)
|
(165,167)
|
(18,882)
|
(1,527,900)
|
581,406
|
(6,876,902)
|
(334,190)
|
(16,435,667)
|
Total
collateral received (pledged)
(c)
|
(371,035)
|
(5,660,000)
|
(609,000)
|
(165,167)
|
-
|
(1,527,900)
|
-
|
(5,700,000)
|
-
|
(14,033,102)
|
Net
amount
(d)
|
-
|
(1,076,401)
|
(377,596)
|
-
|
(18,882)
|
-
|
581,406
|
(1,176,902)
|
(334,190)
|
(2,402,565)
|
(a)
|
Exposure
can only be netted across transactions governed under the same master agreement with the same legal entity.
|
(b)
|
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.
|
(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.
|
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.
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. 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.
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.
Columbia
Alternative Beta Fund | Annual Report 2019
|
35
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
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
pronouncements
Accounting Standards Update 2017-08
Premium Amortization on Purchased Callable Debt Securities
In March 2017, the Financial Accounting Standards Board issued
Accounting Standards Update (ASU) No. 2017-08 Premium Amortization on Purchased Callable Debt Securities. ASU No. 2017-08 updates the accounting standards to shorten the amortization period for certain purchased callable debt securities, held at a
premium, to be amortized to the earliest call date. The update applies to securities with explicit, noncontingent call features that are callable at fixed prices and on preset dates. The standard is effective for annual periods beginning after
December 15, 2018 and interim periods within those fiscal years. Management does not expect the implementation of this guidance to have a material impact on the financial statement amounts and footnote disclosures.
Accounting Standards Update 2018-13 Disclosure Framework -
Changes to the Disclosure Requirements for Fair Value Measurement
In August 2018, the Financial Accounting Standards Board
issued Accounting Standards Update (ASU) No. 2018-13 Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. ASU No. 2018-13, in addition to other modifications and additions, removes the requirement to disclose the
amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and the policy for the timing of transfers between levels. The standard is effective for annual periods beginning after December 15, 2019 and interim periods
within those fiscal years. At this time, management is evaluating the implication of this guidance and the impact it will have on the financial statement disclosures, if any.
Disclosure Update and Simplification
In September 2018, the Securities and Exchange Commission
(SEC) released Final Rule 33-10532, Disclosure Update and Simplification, which amends certain financial statement disclosure requirements that the SEC determined to be redundant, outdated, or superseded in light of other SEC disclosure
requirements, GAAP, or changes in the information environment. As a result of the amendments, management implemented disclosure changes which included removing the components of distributable earnings presented on the Consolidated Statement of
Assets and Liabilities and combining income and gain distributions paid to shareholders as presented on the Consolidated Statement of Changes in Net Assets. Any values presented to meet prior year requirements were left unchanged. The amendments had
no effect on the Fund’s net assets or results of operation.
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
36
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
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 0.96% to 0.93% as the Fund’s net assets increase. The effective management fee rate, net of fee waivers, for the
year ended May 31, 2019 was 0.75% of the Fund’s average daily net assets.
Effective October 1, 2016, the Investment Manager has
contractually agreed to waive 0.21% of the management fee through September 30, 2019.
Subadvisory agreement
The Fund’s Board of Trustees has approved a subadvisory
agreement between the Investment Manager and Threadneedle International Limited (Threadneedle), an affiliate of the Investment Manager and an indirect wholly-owned subsidiary of Ameriprise Financial. As of May 31, 2019, Threadneedle is not providing
services to the Fund pursuant to the subadvisory agreement.
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. These members of the Board of Trustees may participate in a Deferred Compensation
Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable under the Deferred Plan constitute a general unsecured obligation of the
Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer
to 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 DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST 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
Alternative Beta Fund | Annual Report 2019
|
37
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
For
the year ended May 31, 2019, the Fund’s 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
|
0.18
|
Class
C
|
0.16
|
Institutional
Class
|
0.16
|
Institutional
2 Class
|
0.07
|
Institutional
3 Class
|
0.01
|
Class
R
|
0.15
|
Class
T
|
0.10
(a)
|
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 Consolidated Statement of Operations. For the year ended May 31, 2019, no minimum account balance fees were charged by the Fund.
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, Class C and Class T 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%, 0.50% and 0.25% of the average daily net assets attributable to Class C, Class R and Class T shares of the Fund, respectively. As a result of all Class T shares of the Fund being redeemed or converted to Class A shares, December 14,
2018 was the last day the Fund paid a distribution and shareholder services fee for Class T shares.
Although the Fund may have paid a distribution fee up to 0.25%
of the Fund’s average daily net assets attributable to Class T shares and a service fee of up to 0.25% of the Fund’s average daily net assets attributable to Class T shares, the aggregate fee shall not exceed 0.25% of the Fund’s
average daily net assets attributable to Class T shares.
Sales charges (unaudited)
Sales charges, including front-end charges and CDSCs, received
by the Distributor for distributing Fund shares for the year ended May 31, 2019, if any, are listed below:
38
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
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
class’ average daily net assets:
|
October
1, 2018
through
September 30, 2019
|
Prior
to
October 1, 2018
|
Class
A
|
1.38%
|
1.38%
|
Advisor
Class
|
1.13
|
1.13
|
Class
C
|
2.13
|
2.13
|
Institutional
Class
|
1.13
|
1.13
|
Institutional
2 Class
|
1.01
|
1.00
|
Institutional
3 Class
|
0.95
|
0.94
|
Class
R
|
1.63
|
1.63
|
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, 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. Reflected in the cap commitments is the Investment Manager’s contractual agreement to waive 0.21% of its management
fee, with this waiver agreement in effect through September 30, 2019, unless sooner terminated at the sole discretion of the Board of Trustees.
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 May 31, 2019, these differences were primarily due to
differing treatment for derivative investments, swap investments, late-year ordinary losses, capital loss carryforwards, trustees’ deferred compensation, foreign currency transactions, non-deductible expenses, net operating loss
reclassification and investments in commodity subsidiaries. To the extent these differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary differences do not require
reclassifications.
The following reclassifications were
made:
Excess
of distributions
over net investment
income ($)
|
Accumulated
net realized
(loss) ($)
|
Paid
in
capital ($)
|
(20,014,427)
|
89,730,219
|
(69,715,792)
|
Net investment income (loss) and
net realized gains (losses), as disclosed in the Consolidated Statement of Operations, and net assets were not affected by this reclassification.
Columbia
Alternative Beta Fund | Annual Report 2019
|
39
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
The
tax character of distributions paid during the years indicated was as follows:
Year
Ended May 31, 2019
|
Year
Ended May 31, 2018
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total
($)
|
—
|
—
|
—
|
15,601,167
|
—
|
15,601,167
|
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2019, the components of distributable earnings on a
tax basis were as follows:
Undistributed
ordinary income ($)
|
Undistributed
long-term
capital gains ($)
|
Capital
loss
carryforwards ($)
|
Net
unrealized
(depreciation) ($)
|
—
|
—
|
(34,896,936)
|
(46,895,745)
|
At May 31, 2019, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
|
Gross
unrealized
appreciation ($)
|
Gross
unrealized
(depreciation) ($)
|
Net
unrealized
(depreciation) ($)
|
647,542,618
|
9,638,442
|
(56,534,187)
|
(46,895,745)
|
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 May
31, 2019, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior
to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused. In addition, for the year ended May 31, 2019, capital loss
carryforwards utilized and expired unused, if any, were as follows:
No
expiration
short-term ($)
|
No
expiration
long-term ($)
|
Total
($)
|
Utilized
($)
|
Expired
($)
|
32,796,668
|
2,100,268
|
34,896,936
|
—
|
—
|
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of May 31, 2019, the Fund
will elect to treat the following late-year ordinary losses and post-October capital losses as arising on June 1, 2019.
Late
year
ordinary losses ($)
|
Post-October
capital losses ($)
|
28,816,529
|
—
|
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
For the year ended May 31, 2019, there
were no purchases or proceeds from the sale of securities other than short-term investment transactions and derivative activity, if any. Only the amount of long-term security purchases and sales activity, excluding derivatives, impacts the portfolio
turnover reported in the Consolidated Financial Highlights.
40
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
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
year ended May 31, 2019 was as follows:
Borrower
or lender
|
Average
loan
balance ($)
|
Weighted
average
interest rate (%)
|
Days
outstanding
|
Lender
|
1,500,000
|
2.36
|
1
|
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 May 31, 2019.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a
syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is
a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is 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 one-month LIBOR rate 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 December unless extended or renewed.
The Fund had no borrowings during the year ended May 31,
2019.
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.
Columbia
Alternative Beta Fund | Annual Report 2019
|
41
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
Derivatives risk
Losses involving derivative instruments may be substantial,
because a relatively small price movement in the underlying security(ies), commodity, currency or 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 and liquidity risk.
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 make any change in the Fund’s net asset value even greater and thus result in increased volatility of returns. 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 also exaggerates the Fund’s risk of loss. There can be no guarantee that a leveraging strategy will be successful.
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. The Fund may, therefore, have a greater risk of loss from a few issuers than a similar fund that invests more broadly.
Shareholder concentration risk
At May 31, 2019, affiliated shareholders of record owned 99.5%
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.
Note 10. Subsequent events
Management has evaluated the events and transactions that
have occurred through the date the financial statements were issued. Other than as noted below, there were no items requiring adjustment of the financial statements or additional disclosure.
On June 21, 2019, the Fund’s Board of Trustees approved
changes to the Fund’s name and principal investment strategies, and the addition of AQR Capital Management, LLC and QMA LLC as subadvisers to each manage a portion of the Fund’s assets beginning in the third quarter of 2019. As a result,
effective on or about August 1, 2019, the Fund’s name is changed to Columbia Multi Strategy Alternatives Fund.
Note 11. Information regarding pending and settled
legal proceedings
Ameriprise Financial and certain of
its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their
business activities. 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.
42
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
Notes to Consolidated Financial Statements
(continued)
May 31, 2019
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.
Columbia
Alternative Beta Fund | Annual Report 2019
|
43
|
Report of Independent Registered Public Accounting Firm
To the
Board of Trustees of Columbia Funds Series Trust I and Shareholders of Columbia Alternative Beta Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of
assets and liabilities, including the consolidated portfolio of investments, of Columbia Alternative Beta Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as of May 31, 2019, the related
consolidated statement of operations for the year ended May 31, 2019, the consolidated statement of changes in net assets for each of the two years in the period ended May 31, 2019, including the related notes, and the consolidated financial
highlights for each of the periods indicated therein (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial
position of the Fund as of May 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2019 and the financial highlights for each of the periods indicated
therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These consolidated financial statements are the responsibility
of the Fund’s management. Our responsibility is to express an opinion on the Fund’s consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board
(United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these consolidated financial
statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to
error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence
regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the
consolidated financial statements. Our procedures included confirmation of securities owned as of May 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing
procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 22, 2019
We have served as the auditor of one or more investment
companies within the Columbia Funds Complex since 1977.
44
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
The
Board oversees the Fund’s operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the Fund’s Trustees as
of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth beneath Length of Service in the table below is the year
in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board policy, members serve terms of indefinite duration.
Independent trustees
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Fund Complex overseen
|
Other
directorships held by Trustee during the past five years
|
Janet
Langford Carrig
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1957
|
Trustee
1996
|
Senior
Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company) from September 2007 to October 2018
|
69
|
None
|
Douglas
A. Hacker
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1955
|
Trustee
and Chairman of the Board
1996
|
Independent
business executive since May 2006; Executive Vice President — Strategy of United Airlines from December 2002 to May 2006; President of UAL Loyalty Services (airline marketing company) from September 2001 to December 2002; Executive Vice
President and Chief Financial Officer of United Airlines from July 1999 to September 2001
|
69
|
Spartan
Nash Company, (food distributor); Nash Finch Company (food distributor) from 2005 to 2013; Aircastle Limited (aircraft leasing); SeaCube Container Leasing Ltd. (container leasing) from 2010 to 2013; and Travelport Worldwide Limited (travel
information technology)
|
Nancy
T. Lukitsh
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1956
|
Trustee
2011
|
Senior
Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser) from 1997 to 2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools) from 2007 to 2010; Director, Wellington
Trust Company, NA and other Wellington affiliates from 1997 to 2010
|
69
|
None
|
David
M. Moffett
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1952
|
Trustee
2011
|
Retired.
Consultant to Bridgewater and Associates
|
69
|
Director,
CSX Corporation (transportation suppliers); Genworth Financial, Inc. (financial and insurance products and services); PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay
Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016
|
Columbia
Alternative Beta Fund | Annual Report 2019
|
45
|
TRUSTEES AND OFFICERS
(continued)
Independent trustees
(continued)
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Fund Complex overseen
|
Other
directorships held by Trustee during the past five years
|
John
J. Neuhauser
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1943
|
Trustee
1984
|
President,
Saint Michael’s College from August 2007 to June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College from August 1999 to
October 2005; University Professor, Boston College from November 2005 to August 2007
|
69
|
Liberty
All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds)
|
Patrick
J. Simpson
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1944
|
Trustee
2000
|
Of
Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP from 1988 to 2014
|
69
|
M
Fund, Inc. (M Funds mutual fund family)
|
Anne-Lee
Verville
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Mail Drop BX32 05228
Boston, MA 02110
1945
|
Trustee
1998
|
Retired.
General Manager, Global Education Industry from 1994 to 1997, President – Application Systems Division from 1991 to 1994, Chief Financial Officer – US Marketing & Services from 1988 to 1991, and Chief Information Officer from 1987
to 1988, IBM Corporation (computer and technology)
|
69
|
Enesco
Group, Inc. (producer of giftware and home and garden decor products) from 2001 to 2006
|
Consultants to the Independent Trustees*
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds complex overseen
|
Other
directorships held by Trustee during the past five years
|
J.
Kevin Connaughton
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street
Mail Drop BX32 05228,
Boston, MA 02110
1964
|
Independent
Trustee Consultant
2016
|
Independent
Trustee Consultant, Columbia Funds since March 2016; Adjunct Professor of Finance, Bentley University since November 2017; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC from May 2010 to
February 2015; President, Columbia Funds from 2009 to 2015; and senior officer of Columbia Funds and affiliated funds from 2003 to 2015
|
69
|
Director,
The Autism Project since March 2015; former Trustee, New Century Portfolios, March 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017
|
46
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
TRUSTEES AND OFFICERS
(continued)
Consultants to the Independent
Trustees*
(continued)
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds complex overseen
|
Other
directorships held by Trustee during the past five years
|
Olive
Darragh
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street,
Mail Drop BX32 05228,
Boston, MA 02110
1962
|
Independent
Trustee Consultant 2019
|
Independent
Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio (an investment management talent identification platform) since 2004;
Partner, Tudor Investments from 2004 to 2010; Senior Partner, McKinsey & Company from 2001 to 2004
|
69
|
Director,
University of Edinburgh Business School; former Director, Boston Public Library Foundation
|
Natalie
A. Trunow
c/o Columbia
Management Investment
Advisers, LLC,
225 Franklin Street
Mail Drop BX32 05228,
Boston, MA 02110
1967
|
Independent
Trustee Consultant
2016
|
Independent
Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Director of Investments, Casey Family Programs from April 2016 to
September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments from August 2008 to January 2016; Section Head and Portfolio Manager, General Motors Asset Management from June 1997 to August 2008
|
69
|
Director,
Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions)
|
*
|
J. Kevin
Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. Natalie A. Trunow was appointed consultant to the Independent
Trustees effective September 1, 2016. Shareholders of the Funds are expected to be asked to elect each of Mr. Connaughton, Ms. Darragh and Ms. Trunow as a Trustee at a future shareholder meeting.
|
Interested trustee affiliated with Investment Manager*
Name,
address, year of birth
|
Position
held with the Trust and length of service
|
Principal
occupation(s) during the past five years and other relevant professional experience
|
Number
of Funds in the Columbia Funds Complex overseen
|
Other
directorships held by Trustee during the past five years
|
William
F. Truscott
c/o Columbia Management
Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
1960
|
Trustee
2012
|
Chairman
of the Board and President, Columbia Management Investment Advisers, LLC since May 2010 and February 2012, respectively; Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012 (previously Chief Executive
Officer, U.S. Asset Management & President, Annuities, May 2010-September 2012); Director and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since May 2010 and February 2012, respectively; Chairman of the Board and
Chief Executive Officer, RiverSource Distributors, Inc. since 2006; Director, Threadneedle Asset Management Holdings, SARL since 2014; President and Chief Executive Officer, Ameriprise Certificate Company, 2006-August 2012
|
188
|
Chairman
of the Board, Columbia Management Investment Advisers, LLC since May 2010; Director, Columbia Management Investment Distributors, Inc. since May 2010; former Director, Ameriprise Certificate Company, 2006 - January 2013
|
*
|
Interested
person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial.
|
The Statement of Additional Information has additional
information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your financial intermediary.
Columbia
Alternative Beta Fund | Annual Report 2019
|
47
|
TRUSTEES AND OFFICERS
(continued)
The Board has appointed officers who are responsible for
day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund, including principal occupations during the past five
years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Fund officers
Name,
address and
year of birth
|
Position
and year
first appointed to
position for any Fund
in the Columbia
Funds complex or a
predecessor thereof
|
Principal
occupation(s) during past five years
|
Christopher
O. Petersen
5228 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1970
|
President
and Principal Executive Officer (2015)
|
Vice
President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007.
|
Michael
G. Clarke
225 Franklin Street
Boston, MA 02110
Born 1969
|
Chief
Financial Officer (Principal Financial Officer) (2009) and Senior Vice President (2019)
|
Vice
President, Head of North American Operations, and Co-Head of Global Operations, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 - May 2019); senior officer of Columbia
Funds and affiliated funds since 2002 (previously Treasurer and Chief Accounting Officer, January 2009 - January 2019 and December 2015 - January 2019, respectively).
|
Joseph
Beranek
5890 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1965
|
Treasurer
and Chief Accounting Officer (Principal Accounting Officer) (2019)
|
Vice
President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President — Pricing and Corporate Actions, May 2010 - March
2017).
|
Paul
B. Goucher
485 Lexington Avenue
New York, NY 10017
Born 1968
|
Senior
Vice President (2011) and Assistant Secretary (2008)
|
Senior
Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal
Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015).
|
Thomas
P. McGuire
225 Franklin Street
Boston, MA 02110
Born 1972
|
Senior
Vice President and Chief Compliance Officer (2012)
|
Vice
President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010.
|
Colin
Moore
225 Franklin Street
Boston, MA 02110
Born 1958
|
Senior
Vice President (2010)
|
Executive
Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013.
|
Ryan
C. Larrenaga
225 Franklin Street
Boston, MA 02110
Born 1970
|
Senior
Vice President (2017), Chief Legal Officer (2017), and Secretary (2015)
|
Vice
President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005.
|
Michael
E. DeFao
225 Franklin Street
Boston, MA 02110
Born 1968
|
Vice
President (2011) and Assistant Secretary (2010)
|
Vice
President and Chief Counsel, Ameriprise Financial, Inc. since May 2010.
|
Lyn
Kephart-Strong
5228 Ameriprise
Financial Center
Minneapolis, MN 55474
Born 1960
|
Vice
President (2015)
|
President,
Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009.
|
48
|
Columbia Alternative Beta
Fund | Annual Report 2019
|
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/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-Q or Form N-PORT (available for filings after March 31, 2019). The Fund’s Form N-Q or Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s
complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, 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
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia
Alternative Beta Fund | Annual Report 2019
|
49
|
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Alternative Beta 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.
© 2019 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
Item 2. Code of Ethics.
|
(a)
|
The registrant has adopted a code of ethics that applies to the registrants principal executive officer,
principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
|
|
(b)
|
During the period covered by this report, there were not any amendments to a provision of the code of ethics
that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the
registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item.
|
|
(c)
|
During the period covered by this report, there were no waivers, including any implicit waivers, from a
provision of the code of ethics to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are
employed by the registrant or a third party that relates to one or more of the items set forth in paragraph (b) of this Item.
|
Item 3. Audit Committee Financial Expert.
The
registrants Board of Trustees has determined that Douglas A. Hacker, David M. Moffett and
Anne-Lee
Verville, each of whom are members of the registrants Board of Trustees and Audit Committee,
each qualify as an audit committee financial expert. Mr. Hacker, Mr. Moffett and Ms. Verville are each independent trustees, as defined in paragraph (a)(2) of this items instructions.
Item 4. Principal Accountant Fees and Services
.
Fee
information below is disclosed for the four series of the registrant whose report to stockholders are included in this annual filing. Fiscal Year 2018 also includes fees from a fund that liquidated during the period.
(a)
Audit Fees.
Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended May 31,
2019 and May 31, 2018 are approximately as follows:
|
|
|
2019
|
|
2018
|
$154,300
|
|
$196,200
|
Audit Fees include amounts related to the audit of the registrants annual financial statements or services
that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b)
Audit-Related Fees.
Aggregate Audit-Related Fees billed to the registrant by the principal accountant for professional services rendered during the fiscal years ended May 31, 2019 and May 31, 2018 are approximately as follows:
Audit-Related Fees include amounts for assurance and related services by the principal accountant that are reasonably related
to the performance of the audit of the registrants financial statements and are not reported in Audit Fees above.
During the fiscal years ended
May 31, 2019 and May 31, 2018, there were no Audit-Related Fees billed by the registrants principal accountant to the registrants investment adviser (not including any
sub-adviser
whose
role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an
engagement that related directly to the operations and financial reporting of the registrant.
(c)
Tax Fees.
Aggregate Tax Fees billed by the
principal accountant to the registrant for professional services rendered during the fiscal years ended May 31, 2019 and May 31, 2018 are approximately as follows:
|
|
|
2019
|
|
2018
|
$49,500
|
|
$44,900
|
Tax Fees include amounts for the review of annual tax returns, the review of required shareholder distribution calculations
and typically include amounts for professional services by the principal accountant for tax compliance, tax advice and tax planning. Fiscal Year 2019 also includes Tax Fees for agreed-upon procedures related to a fund liquidation and a final tax
return.
During the fiscal years ended May 31, 2019 and May 31, 2018, there were no Tax Fees billed by the registrants principal
accountant to the registrants investment adviser (not including any
sub-adviser
whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any
entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(d)All Other Fees. Aggregate All Other Fees billed by the principal accountant to the registrant for professional
services rendered during the fiscal years ended May 31, 2019 and May 31, 2018 are approximately as follows:
All Other Fees include amounts for products and services provided by the principal accountant, other than the services reported
in paragraphs (a) through (c) above.
Aggregate All Other Fees billed by the registrants principal accountant to the registrants
investment adviser (not including any
sub-adviser
whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or
under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant during the fiscal years ended May 31, 2019 and
May 31, 2018 are approximately as follows:
|
|
|
2019
|
|
2018
|
$235,000
|
|
$242,500
|
In fiscal years 2019 and 2018, All Other Fees primarily consists of fees billed for internal control examinations of the
registrants transfer agent and investment adviser.
(e)(1)
Audit Committee
Pre-Approval
Policies and
Procedures
The registrants Audit Committee is required to
pre-approve
the engagement of the
registrants independent auditors to provide audit and
non-audit
services to the registrant and
non-audit
services to its investment adviser (excluding any
sub-adviser
whose role is primarily portfolio management and is
sub-contracted
or overseen by another investment adviser (the Adviser) or any entity controlling,
controlled by or under common control with the Adviser that provides ongoing services to the Fund (a Control Affiliate) if the engagement relates directly to the operations and financial reporting of the registrant.
The Audit Committee has adopted a Policy for Engagement of Independent Auditors for Audit and
Non-Audit
Services (the
Policy). The Policy sets forth the understanding of the Audit Committee regarding the engagement of the registrants independent accountants to provide (i) audit and permissible audit-related, tax and other services to the
registrant (Fund Services); (ii)
non-audit
services to the registrants Adviser and any Control Affiliates, that relates directly to the operations and financial reporting of a Fund
(Fund-related Adviser Services); and (iii) certain other audit and
non-audit
services to the registrants Adviser and its Control Affiliates. A service will require specific
pre-approval
by the Audit Committee if it is to be provided by the Funds independent auditor; provided, however, that
pre-approval
of
non-audit
services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SECs rules are met.
Under the Policy, the Audit Committee may delegate
pre-approval
authority
to any
pre-designated
member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any
pre-approval
decisions to the Audit Committee at its next regular meeting. The Audit Committees responsibilities with respect to the
pre-approval
of services
performed by the independent auditor may not be delegated to management.
On an annual basis, at a regularly scheduled Audit Committee meeting, the
Funds Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific
pre-approval.
This
schedule will provide a description of each type of service that is subject to specific
pre-approval,
along with total projected fees for each service. The
pre-approval
will generally cover a
one-year
period. The Audit Committee will review and approve the types of services and the projected fees for the next
one-year
period and may add
to, or subtract from, the list of
pre-approved
services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific
types of services that the independent auditor will be permitted to perform and the projected fees for each service.
The Funds Treasurer or other
Fund officer shall report to the Audit Committee at each of its regular meetings regarding all Fund Services or Fund-related Adviser Services provided since the last such report was rendered, including a description of the services, by category,
with forecasted fees for the annual reporting period, proposed changes requiring specific
pre-approval
and a description of services provided by the independent auditor, by category, with actual fees during
the current reporting period.
*****
(e)(2)
100% of the services performed for items (b) through (d) above during 2019 and 2018 were
pre-approved
by the registrants Audit Committee.
(f) Not applicable.
(g) The aggregate
non-audit
fees billed by the registrants accountant for services rendered to the registrant, and rendered to the registrants investment adviser (not including any
sub-adviser
whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant during the fiscal years ended May 31, 2019 and May 31, 2018 are approximately as follows:
|
|
|
2019
|
|
2018
|
$284,500
|
|
$287,400
|
(h) The registrants Audit Committee of the Board of Directors has considered whether the provision of
non-audit
services that were rendered to the registrants adviser (not including any
sub-adviser
whose role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not
pre-approved
pursuant to paragraph (c)(7)(ii) of Rule
2-01
of Regulation
S-X,
is compatible with maintaining the principal
accountants independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
|
(a)
|
The registrants 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 registrants
board of directors.
Item 11. Controls and Procedures.
|
(a)
|
The registrants principal executive officer and principal financial officer, based on their evaluation of
the registrants 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 registrants 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 registrants 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 registrants internal control over financial reporting.
|
Item 12. Disclosure of Securities Lending Activities for
Closed-End
Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form
N-CSR
attached hereto as Exhibit 99.CODE ETH.
(a)(2) Certifications pursuant to Rule
30a-2(a)
under the Investment Company Act of 1940 (17 CFR
270.30a-2(a))
attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Rule
30a-2(b)
under the Investment Company Act of 1940 (17 CFR
270.30a-2(b))
attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
|
|
|
|
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(registrant)
|
|
Columbia Funds Series Trust I
|
|
|
|
|
|
|
|
|
|
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By (Signature and Title)
|
|
/s/ Christopher O. Petersen
|
|
|
|
|
Christopher O. Petersen, President and Principal Executive Officer
|
|
|
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.
|
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|
|
|
|
|
|
By (Signature and Title)
|
|
/s/ Christopher O. Petersen
|
|
|
|
|
Christopher O. Petersen, President and Principal Executive Officer
|
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|
By (Signature and Title)
|
|
/s/ Michael G. Clarke
|
|
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|
Michael G. Clarke, Chief
Financial Officer
|
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Fund Policy: Code of Ethics for Principal Executive / Senior Financial Officers
|
C
OLUMBIA
F
UNDS
|
|
|
Applicable Regulatory Authority
|
|
Section 406 of the Sarbanes-Oxley Act of 2002; Item 2 of Form
N-CSR
|
|
|
Related Policies
|
|
Overview and Implementation of Compliance Program Policy
|
|
|
Requires Annual Board Approval
|
|
No but Covered Officers Must provide annual certification
|
|
|
Last Reviewed by AMC
|
|
July 2019
|
Overview and Statement
Item 2 of Form
N-CSR,
the form used by registered management investment companies to file certified annual and
semi-annual shareholder reports, requires a registered management investment company to disclose:
|
|
|
Whether it has adopted a code of ethics that applies to the investment companys principal executive
officer and senior financial officers and, if it has not adopted such a code of ethics, why it has not done so; and
|
|
|
|
Any amendments to, or waivers from, the code of ethics relating to such officers.
|
The Board of each Fund has adopted the following Code of Ethics for Principle Executive and Senior Financial Officers (the Code), which sets forth
the ethical standards to which the Fund holds its principal executive officer and each of its senior financial officers.
This Code should be read and
interpreted in conjunction with the
Overview and Implementation of Compliance Program Policy
.
Policy
The Board of each Fund
has adopted the Code in order to comply with applicable regulatory requirements as outlined below:
I.
|
Covered Officers/Purpose of the Code
|
This Code applies to the Funds Principal Executive Officer, Principal Financial Officer, and Principal Accounting Officer or Controller
(the Covered Officers) for the purpose of promoting:
|
|
|
Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between
personal and professional relationships;
|
|
|
|
Full, fair, accurate, timely and understandable disclosure in reports and documents that the Fund files with, or
submits to, the SEC, and in other public communications made by the Fund;
|
|
|
|
Compliance with applicable laws and governmental rules and regulations;
|
|
|
|
This document is current as of the last review date but subject to change thereafter. Please consult the online version to verify that this Fund Policy has not been updated or otherwise changed.
This Fund
Policy is the property of the Funds and must not be provided to any external party without express prior consent from the Fund CCO.
|
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Proprietary and Confidential
|
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Page
1
of
9
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The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the
Code; and
|
|
|
|
Accountability for adherence to the Code.
|
Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual or
apparent conflicts of interest.
II.
|
Administration of the Code
|
The Board has designated an individual to be primarily responsible for the administration of the Code (the Code Officer). In the
absence of the Code Officer, his or her designee shall serve as the Code Officer, but only on a temporary basis.
The Board has designated
a person who meets the definition of a Chief Legal Officer (the CLO) for purposes of the Sarbanes-Oxley Act of 2002 and the rules promulgated thereunder as the Funds CLO. The CLO of the Fund shall assist the Funds Code
Officer in administration of this Code. The Code Officer, in consultation with the CLO, shall be responsible for applying this Code to specific situations (in consultation with Fund counsel, where appropriate) and has the authority to interpret this
Code in any particular situation.
III.
|
Managing Conflicts of Interest
|
A conflict of interest occurs when a Covered Officers personal interest interferes with the interests of, or his or her
service to, the Fund. For example, a conflict of interest would arise if a Covered Officer, or a member of his or her family, receives improper personal benefits as a result of the Covered Officers position with the Fund. Certain provisions in
the 1940 Act and the rules and regulations thereunder and the Advisers Act and the rules and regulations thereunder govern certain conflicts of interest that arise out of the relationships between Covered Officers and the Fund. If such conflicts are
addressed in conformity with applicable provisions of the 1940 Act and the Advisers Act, they will be deemed to have been handled ethically. The Funds and its Advisers compliance programs and procedures are designed to prevent, or
identify and correct, violations of those provisions. This Code does not, and is not intended to, repeat or replace those programs and procedures, and conduct that is consistent with such programs and procedures falls outside of the parameters of
this Code.
Although they do not typically present an opportunity for improper personal benefit, conflicts may arise from, or as a result
of, the contractual relationships between the Fund and, as applicable, its Adviser, administrator, principal underwriter, pricing and bookkeeping agent and/or transfer agent (each, a Primary Service Provider) of which the Covered
Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fund or for a Primary Service Provider, or for both), be involved in
establishing policies and implementing decisions that will have different effects on the Primary
|
|
|
This document is current as of the last review date but subject to change thereafter. Please consult the online version to verify that this Fund Policy has not been updated or otherwise changed.
This Fund
Policy is the property of the Funds and must not be provided to any external party without express prior consent from the Fund CCO.
|
|
|
Proprietary and Confidential
|
|
Page
2
of
9
|
Service Providers and the Fund. The participation of the Covered Officers in such activities is inherent in the contractual relationships between the Fund and the Primary Service Providers and is
consistent with the performance by the Covered Officers of their duties as officers of the Fund. If such conflicts are addressed in conformity with applicable provisions of the 1940 Act and the Advisers Act, they will be deemed to have been handled
ethically. In addition, it is recognized by the Board of the Fund that the Covered Officers also may be officers or employees of one or more other investment companies or organizations affiliated with the sponsor of the Fund covered by other similar
codes and that the codes of ethics of those other investment companies or organizations will apply to the Covered Officers acting in such capacities for such other investment companies.
This Code covers general conflicts of interest and other issues applicable to the Funds under the Sarbanes-Oxley Act of 2002. The overarching
principle is that the personal interest of a Covered Officer should not be placed improperly before the interests of the Fund. Certain examples of such conflicts of interest follow.
Each Covered Officer must:
|
|
|
Not use his or her personal influence or personal relationships improperly to influence investment decisions or
financial reporting by the Fund whereby the Covered Officer, or a member of his or her family, would knowingly benefit personally to the detriment of the Fund;
|
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|
|
Not knowingly cause the Fund to take action, or fail to take action, for the individual personal benefit of the
Covered Officer, or a member of his or her family, rather than the benefit of the Fund;
|
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|
|
Not use material
non-public
knowledge of portfolio transactions made or
contemplated for the Fund to trade personally or cause others to trade personally in contemplation of the market effect of such transactions; and
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Report at least annually (or more frequently, as appropriate) known affiliations or other relationships that may
give rise to conflicts of interest with respect to the Fund.
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If a Covered Officer believes that he or she has a
potential conflict of interest that is likely to materially compromise his or her objectivity or his or her ability to perform the duties of his or her role as a Covered Officer, including a potential conflict of interest that arises out of his or
her responsibilities as an officer or employee of one or more Primary Service Providers or other funds, he or she should consult with the Code Officer, the CLO, the Funds outside counsel, or counsel to the Independent Board Members, as
appropriate.
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This document is current as of the last review date but subject to change thereafter. Please consult the online version to verify that this Fund Policy has not been updated or otherwise changed.
This Fund
Policy is the property of the Funds and must not be provided to any external party without express prior consent from the Fund CCO.
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Proprietary and Confidential
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Examples of potential conflicts of interest that may materially compromise objectivity or ability
to perform the duties of a Covered Officer and which the Covered Officer should consider discussing with the Code Officer or other appropriate person include:
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Service as a director on the board of a public or private company or service as a public official;
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The receipt of a
non-de
minimus gift when the gift is in relation to
doing business directly or indirectly with the Fund;
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The receipt of entertainment from any company with which the Fund has current or prospective business dealings,
unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety;
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An ownership interest in, or any consulting or employment relationship with, any of the Funds service
providers, other than the Primary Service Providers or any affiliated person thereof; and
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A direct or indirect material financial interest in commissions, transaction charges or spreads paid by the Fund
for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officers employment, such as compensation or equity ownership.
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IV.
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Disclosure and Compliance
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It is the responsibility of each Covered Officer:
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To familiarize himself or herself with the disclosure requirements generally applicable to the Fund, as well as
the business and financial operations of the Fund;
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To not knowingly misrepresent, and to not knowingly cause others to misrepresent, facts about the Fund to others,
whether within or outside the Fund, including to the Funds Board, Legal Counsel, Independent Legal Counsel and auditors, and to governmental regulators and self-regulatory organizations;
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To the extent appropriate within his or her area of responsibility, consult with other officers and employees of
the Fund and the Primary Service Providers with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fund files with, or submits to, the SEC and in other public communications made by the
Fund; and
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To adhere to and, within his or her area of responsibility, promote compliance with the standards and
restrictions imposed by applicable laws, rules and regulations.
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This document is current as of the last review date but subject to change thereafter. Please consult the online version to verify that this Fund Policy has not been updated or otherwise changed.
This Fund
Policy is the property of the Funds and must not be provided to any external party without express prior consent from the Fund CCO.
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Proprietary and Confidential
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V.
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Reporting and Accountability by Covered Officers
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Each Covered Officer must:
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Upon adoption of the Code or becoming a Covered Officer, acknowledge in writing to the Funds Board that he
or she has received, read and understands the Code, using the form attached as Appendix A hereto;
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Annually thereafter acknowledge in writing to the Funds Board that he or she has received and read the Code
and believes that he or she has complied with the requirements of the Code, using the form attached as Appendix B hereto;
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Not retaliate against any employee or Covered Officer for reports of potential violations that are made in good
faith; and
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Notify the Code Officer promptly if he or she knows of any violation, or of conduct that reasonably could be
expected to be or result in a violation, of this Code. Failure to do so is a violation of this Code.
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The Fund will
follow the policy set forth below in investigating and enforcing this Code:
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The Code Officer will endeavor to take all appropriate action to investigate any potential violation reported to
him or her;
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If, after such investigation, the Code Officer believes that no violation has occurred, the Code Officer will so
notify the person(s) reporting the potential violation, and no further action is required;
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Any matter that the Code Officer, upon consultation with the CLO, believes is a violation will be reported by the
Code Officer or the CLO to the Funds Audit Committee;
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The Funds Audit Committee will be responsible for granting waivers, as appropriate; and
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This Code and any changes to or waivers of the Code will, to the extent required, be disclosed as provided by SEC
rules.
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This Code shall be the sole code of ethics adopted by the Fund for the purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the
rules and forms applicable to registered management investment companies thereunder. Insofar as other policies or procedures of the Fund or the Funds Primary Service Providers govern or purport to govern the behavior or activities of the
Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they conflict with the provisions of this Code. The Funds and its Advisers and principal underwriters codes of ethics under Rule
17j-1
under the 1940 Act and the more detailed policies and procedures of the Primary Service Providers as set forth in their respect Compliance Manuals are separate requirements applicable to the Covered Officers
and are not part of this Code.
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This document is current as of the last review date but subject to change thereafter. Please consult the online version to verify that this Fund Policy has not been updated or otherwise changed.
This Fund
Policy is the property of the Funds and must not be provided to any external party without express prior consent from the Fund CCO.
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Proprietary and Confidential
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VII.
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Disclosure of Amendments to the Code
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Any amendments will, to the extent required, be disclosed in accordance with law.
All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected
accordingly. Except as otherwise required by law or this Code or upon advice of counsel, such reports and records shall not be disclosed to anyone other than the Funds Board, the Covered Officers, the Code Officer, the CLO, the Funds
Primary Service Providers and their affiliates, and outside audit firms, legal counsel to the Fund and legal counsel to the Independent Board Members.
The Code is intended solely for the internal use by the Fund and does not constitute an admission, by or on behalf of the Fund, as to any fact,
circumstance, or legal conclusion.
Reporting Requirements
Each Covered Officer must annually acknowledge in writing to the Funds Board that he or she has received and read the Code and believes that he or she
has complied with the requirements of the Code, using the form attached as Appendix II hereto.
The Code Officer or CLO shall report to the Funds
Audit Committee any violations of, or material issues arising under, this Code.
If the Audit Committee concurs that a violation has occurred, it will
inform and make a recommendation to the Funds Board, which will consider appropriate action, which may include review of, and appropriate modifications to: Applicable policies and procedures; Notification to the appropriate personnel of the
Funds Primary Service Providers or their boards; A recommendation to censure, suspend or dismiss the Covered Officer; or Referral of the matter to the appropriate authorities for civil action or criminal prosecution.
All material amendments to this Code must be in writing and approved or ratified by the Funds Board, including a majority of the Independent Board
Members.
The Code Officer, in conjunction with the CLO, shall be responsible for administration of this Code and for adopting procedures to ensure
compliance with the requirements set forth herein.
Any issues that arise under this policy should be communicated to an employees immediate
supervisor, and appropriately escalated to AMC. Additionally, AMC will escalate any compliance issues relating to this Code to the Fund CCO and, if warranted, the appropriate Fund Board.
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This document is current as of the last review date but subject to change thereafter. Please consult the online version to verify that this Fund Policy has not been updated or otherwise changed.
This Fund
Policy is the property of the Funds and must not be provided to any external party without express prior consent from the Fund CCO.
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Proprietary and Confidential
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Monitoring/Oversight/Escalation
The Code Officer shall be responsible for oversight of compliance with this Code by the Covered Officers. AMC and Ameriprise Risk & Control Services
may perform periodic reviews and assessments of various lines of business, including their compliance with this Code.
Recordkeeping
All records must be maintained for at least seven years, the first three in the appropriate Ameriprise Financial, Inc. management office. The following records
will be maintained to evidence compliance with this Code: (1) a copy of the information or materials supplied to the Audit Committee or the Board: (i) that provided the basis for any amendment or waiver to this Code; and (ii) relating
to any violation of the Code and sanctions imposed for such violation, together with a written record of the approval or action taken by the Audit Committee and/or Board; (2) a copy of the policy and any amendments; and (3) a list of
Covered Officers and reporting by Covered Officers.
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This document is current as of the last review date but subject to change thereafter. Please consult the online version to verify that this Fund Policy has not been updated or otherwise changed.
This Fund
Policy is the property of the Funds and must not be provided to any external party without express prior consent from the Fund CCO.
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Proprietary and Confidential
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Appendix A
INITIAL ACKNOWLEDGEMENT
I acknowledge
that I have received and read a copy of the Code of Ethics for Principal Executive and Senior Financial Officers (the Code) and that I understand it. I further acknowledge that I am responsible for understanding and complying with the
policies set forth in the Code during my tenure as a Covered Officer, as defined in the Code.
I have set forth below (and on attached sheets of paper, if
necessary) all known affiliations or other relationships that may give rise to conflicts of interest for me with respect to the Fund.
I also acknowledge my responsibility to report any known violation of the Code to the Code Officer, the CLO, the Funds
outside counsel, or counsel to the Independent Board Members, all as defined in this Code. I further acknowledge that the policies contained in the Code are not intended to create any contractual rights or obligations, express or implied. I also
understand that, consistent with applicable law, the Fund has the right to amend, interpret, modify or withdraw any of the provisions of the Code at any time in its sole discretion, with or without notice.
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Covered Officer Name and Title:
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(please print)
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Signature
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Date
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Please return this completed form to the CLO
(
) within one week from the date of your review of these documents. Thank you!
Appendix B
ANNUAL ACKNOWLEDGEMENT
I acknowledge that
I have received and read a copy of the Code of Ethics for Principal Executive and Senior Financial Officers (the Code) and that I understand it. I further acknowledge that I am responsible for understanding and complying with the
policies set forth in the Code during my tenure as a Covered Officer, as defined in the Code.
I also acknowledge that I believe that I have fully
complied with the terms and provisions of the Code during the period of time since the most recent Initial or Annual Acknowledgement provided by me except as described below.
I have set forth below (and on attached sheets of paper, if necessary) all known affiliations or other relationships that may
give rise to conflicts of interest for me with respect to the Fund.
1
I further acknowledge that the policies contained in the Code are not intended to create any contractual rights or
obligations, express or implied. I also understand that, consistent with applicable law, the Fund has the right to amend, interpret, modify or withdraw any of the provisions of the Code at any time in its sole discretion, with or without notice.
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Covered Officer Name and Title:
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(please print)
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Signature
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Date
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Please return this completed form to the CLO
(
) within one week from the date of your receipt of a request to complete and return it. Thank you!
1
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It is acceptable to refer to affiliations and other relationships previously disclosed in prior Initial or
Annual Acknowledgements without setting forth such affiliations and relationships again.
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